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: August 31
Date of reporting period: August 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
August 31, 2019
Columbia Contrarian Core 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
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3
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5
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7
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8
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12
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14
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15
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18
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22
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31
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32
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32
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36
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Columbia Contrarian Core Fund (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-PORT, and for reporting periods ended prior to March 31, 2019, on Form N-Q. The Fund’s Form N-Q and Form N-PORT filings are available on the SEC’s website at sec.gov.
The Fund’s complete schedule of portfolio holdings, as filed on Form N-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 (the Investment Manager)
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 Contrarian
Core Fund | Annual Report 2019
Investment objective
The Fund seeks total return,
consisting of long-term capital appreciation and current income.
Portfolio
management
Guy
Pope, CFA
Portfolio
Manager
Managed Fund
since 2005
Morningstar
style boxTM
The Morningstar
Style Box is based on a fund’s portfolio holdings. For equity funds, the vertical axis shows the market capitalization of the stocks owned, and the horizontal axis shows investment style (value, blend, or growth). Information shown is based on
the most recent data provided by Morningstar.
© 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 August 31, 2019)
|
|
|
Inception
|
1
Year
|
5
Years
|
10
Years
|
Class
A
|
Excluding
sales charges
|
11/01/98
|
2.49
|
8.65
|
12.81
|
|
Including
sales charges
|
|
-3.41
|
7.38
|
12.15
|
Advisor
Class*
|
11/08/12
|
2.74
|
8.93
|
13.12
|
Class
C
|
Excluding
sales charges
|
12/09/02
|
1.73
|
7.84
|
11.98
|
|
Including
sales charges
|
|
0.80
|
7.84
|
11.98
|
Institutional
Class
|
12/14/92
|
2.75
|
8.93
|
13.11
|
Institutional
2 Class*
|
11/08/12
|
2.81
|
9.04
|
13.20
|
Institutional
3 Class*
|
11/08/12
|
2.90
|
9.10
|
13.24
|
Class
R*
|
09/27/10
|
2.24
|
8.38
|
12.56
|
Class
V
|
Excluding
sales charges
|
02/12/93
|
2.52
|
8.65
|
12.80
|
|
Including
sales charges
|
|
-3.37
|
7.37
|
12.13
|
Russell
1000 Index
|
|
2.49
|
9.85
|
13.49
|
Returns for Class A and Class V
shares are shown with and without the maximum initial sales charge of 5.75%. Returns for Class C shares are shown with and without the 1.00% contingent deferred sales charge for the first year only. The Fund’s other share classes are not
subject to sales charges and have limited eligibility. Please see the Fund’s prospectus for details. Performance for different share classes will vary based on differences in sales charges and fees associated with each share class. All results
shown assume reinvestment of distributions during the period. Returns do not reflect the deduction of taxes that a shareholder may pay on Fund distributions or on the redemption of Fund shares. Performance results reflect the effect of any fee
waivers or reimbursements of Fund expenses by Columbia Management Investment Advisers, LLC and/or any of its affiliates. Absent these fee waivers or expense reimbursement arrangements, performance results would have been lower.
The performance information shown represents past performance and
is not a guarantee of future results. The investment return and principal value of your investment will fluctuate so that your shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than
the performance information shown. You may obtain performance information current to the most recent month-end by contacting your financial intermediary, visiting columbiathreadneedleus.com/investor/ or calling 800.345.6611.
*
|
The 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 Russell 1000 Index tracks the performance of 1,000 of the
largest U.S. companies, based on market capitalization.
Indices are not available for investment, are not
professionally managed and do not reflect sales charges, fees, brokerage commissions, taxes or other expenses of investing. Securities in the Fund may not match those in an index.
Columbia
Contrarian Core Fund | Annual Report 2019
|
3
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Fund at a Glance (continued)
Performance of a
hypothetical $10,000 investment (August 31, 2009 — August 31, 2019)
The chart above shows the
change in value of a hypothetical $10,000 investment in Class A shares of Columbia Contrarian Core 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 August 31, 2019)
|
Microsoft
Corp.
|
5.8
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Berkshire
Hathaway, Inc., Class B
|
4.0
|
Apple,
Inc.
|
3.9
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Amazon.com,
Inc.
|
3.3
|
Medtronic
PLC
|
3.0
|
MasterCard,
Inc., Class A
|
3.0
|
Comcast
Corp., Class A
|
2.9
|
JPMorgan
Chase & Co.
|
2.9
|
Citigroup,
Inc.
|
2.5
|
Chevron
Corp.
|
2.4
|
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 August 31, 2019)
|
Common
Stocks
|
98.3
|
Money
Market Funds
|
1.7
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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 August 31, 2019)
|
Communication
Services
|
14.8
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Consumer
Discretionary
|
10.3
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Consumer
Staples
|
5.7
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Energy
|
4.1
|
Financials
|
13.7
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Health
Care
|
13.5
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Industrials
|
6.3
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Information
Technology
|
24.7
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Materials
|
4.2
|
Real
Estate
|
1.6
|
Utilities
|
1.1
|
Total
|
100.0
|
Percentages indicated are based
upon total equity investments. The Fund’s portfolio composition is subject to change.
4
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Columbia Contrarian Core Fund
| Annual Report 2019
|
Manager Discussion of Fund Performance
For the
12-month period that ended August 31, 2019, the Fund’s Class A shares returned 2.49% excluding sales charges. The Fund’s benchmark, the Russell 1000 Index, also returned 2.49% for the same period. The Fund performed in line with its
benchmark, with stronger performance coming in the last nine months of the fiscal year.
Trade concerns, interest rates drove financial markets
Optimism prevailed early in the 12-month period ended August
31, 2019, as positive global economic conditions, the impact of broad U.S. corporate tax cuts and moves to reduce regulation in a number of industries buoyed confidence. The labor markets added 173,000 jobs per month, on average, and manufacturing
activity remained solid. Unemployment fell to a 50-year low of 3.7%.
However, the economic backdrop looked less rosy as the period
wore on. U.S. growth slowed from above 3.0% to 2.1% (annualized). European economies transitioned to a slower pace of growth, struggling with rising interest rates, trade tensions and uncertainty surrounding Brexit, 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 (the Fed) backed away from additional rate hikes, then dipped again in the final months of the period as trade concerns amplified. Late in July, the
Fed lowered its key short-term borrowing rate by 25 basis points (a basis point is one hundredth of one percent).
Bonds solidly outperformed equities for the 12-month period.
The Bloomberg Barclays U.S. Aggregate Bond Index, a broad measure of investment-grade bonds, returned 10.17%. The S&P 500 Index, a broad measure of U.S. stock returns, gained 2.92%.
Contributors and detractors
In a volatile period for equities, the Fund generated solid
gains through positive stock selection, especially in the information technology, real estate and communication services sectors. The Fund also benefited from a generally positive environment for growth stocks, which have been the beneficiaries of
solid economic growth and low interest rates.
In the
information technology sector, MasterCard, Inc., Microsoft Corp. and Fidelity National Information Services, Inc. were standout performers for the Fund. Mastercard has chalked up strong growth for such a large company. The company has benefited from
the continued shift from cash to card payments, especially for smaller purchases, and from the growth in online purchases, which by definition are card purchases. We believe that Mastercard has the potential for additional domestic growth as well as
international growth over the longer term. Microsoft continued to benefit from its shift to cloud computing. We believe Satya Nadella, Microsoft’s Chief Executive Officer, has done a great job of focusing the company on its core software
business, which has enabled productivity for clients. Microsoft’s revenues and earnings have grown nicely, the valuation of the company has expanded and we believe investors have gained appreciation for the durability and growth potential of
the franchise. Fidelity National is a financial processing and software company that provides software primarily to financial institutions. The company acquired Worldpay, Inc., which the Fund also owned, in a transaction that closed near the end of
the period. We believe the acquisition has the potential to drive complementary synergies for the combined organization.
In the real estate sector, a position in global cell tower
company American Tower Corp. generated outstanding gains. We believe that management has executed well, and investors currently appear to anticipate a healthy runway of growth linked to the introduction of fifth generation cellular network
technology, commonly known as 5G. We believe that American Tower has the potential to see increased demand for its services as 5G technology is rolled out across the globe.
In the communication services sector, Comcast Corp. was a
solid performer, with a double-digit rebound from the previous fiscal year. Early in 2018, Comcast announced that it would acquire U.K. media giant Sky Limited, beefing up its international presence. However, investors took a dim view of the
acquisition and Comcast shares lost ground. Then, shares gained traction in 2019 as investors became more comfortable with the integration of the acquisition and strong broadband subscriber growth allayed concerns about weak video subscriber
trends.
Columbia
Contrarian Core Fund | Annual Report 2019
|
5
|
Manager Discussion of Fund Performance (continued)
In the biotechnology industry within health care, Biogen, Inc.
was a significant disappointment as the company’s high-expectation Alzheimer’s drug aducanumab failed in its phase 3 trial. We had decreased the Fund’s position in Biogen, which helped mitigate the impact of its underperformance.
American clothing company PVH Corp., owner of Calvin Klein, Tommy Hilfiger and other recognized brands, was hurt by slowing global growth and the potential impact of tariffs on the business. We chose to exit the position. In the financial sector,
the Fund lost ground with Wells Fargo & Co. The company’s issues have taken longer than expected to resolve and the board has been slow to identify a replacement for the CEO, who recently stepped down. In addition, Wells Fargo has been
hurt by declining interest rates, which have been a challenge for most banks. We reduced the Fund’s exposure but retained a position in Wells Fargo.
At period’s end
Mindful of the uncertainties of a slowing economy, the late
stage of the economic cycle, rising geopolitical tensions and the forthcoming elections, we believe that investors will have much to negotiate and evaluate in the months ahead. As always, we plan to use the contrarian process that has served us well
to find opportunities and manage risk in the portfolio. This discipline has also served our shareholders well over the long term.
Market risk may affect a single
issuer, sector of the economy, industry or the market as a whole. 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. Growth securities, at times, may not perform as well as value securities or the stock
market in general and may be out of favor with investors. Value securities may be unprofitable if the market fails to recognize their intrinsic worth or the portfolio manager misgauged that worth. 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 Contrarian Core 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 $1,000
= 8.6), then multiply the results by the expenses paid during the period under the “Actual” column. The amount listed in the “Hypothetical” column assumes a 5% annual rate of return before expenses (which is not the
Fund’s actual return) and then applies the Fund’s actual expense ratio for the period to the hypothetical return. You should not use the hypothetical account values and expenses to estimate either your actual account balance at the end
of the period or the expenses you paid during the period. See “Compare with other funds” below for details on how to use the hypothetical data.
Compare with other funds
Since all mutual funds are required to include the same
hypothetical calculations about expenses in shareholder reports, you can use this information to compare the ongoing cost of investing in the Fund with other funds. To do so, compare the hypothetical example with the 5% hypothetical examples that
appear in the shareholder reports of other funds. As you compare hypothetical examples of other funds, it is important to note that hypothetical examples are meant to highlight the ongoing costs of investing in a fund only and do not reflect any
transaction costs, such as sales charges, or redemption or exchange fees. Therefore, the hypothetical calculations are useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. If
transaction costs were included in these calculations, your costs would be higher.
March
1, 2019 — August 31, 2019
|
|
Account
value at the
beginning of the
period ($)
|
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
|
1,069.20
|
1,019.95
|
5.29
|
5.16
|
1.02
|
Advisor
Class
|
1,000.00
|
1,000.00
|
1,070.70
|
1,021.21
|
4.00
|
3.90
|
0.77
|
Class
C
|
1,000.00
|
1,000.00
|
1,065.30
|
1,016.19
|
9.16
|
8.95
|
1.77
|
Institutional
Class
|
1,000.00
|
1,000.00
|
1,070.80
|
1,021.21
|
4.00
|
3.90
|
0.77
|
Institutional
2 Class
|
1,000.00
|
1,000.00
|
1,071.20
|
1,021.66
|
3.53
|
3.45
|
0.68
|
Institutional
3 Class
|
1,000.00
|
1,000.00
|
1,071.60
|
1,021.91
|
3.27
|
3.19
|
0.63
|
Class
R
|
1,000.00
|
1,000.00
|
1,067.90
|
1,018.70
|
6.58
|
6.43
|
1.27
|
Class
V
|
1,000.00
|
1,000.00
|
1,069.60
|
1,019.95
|
5.29
|
5.16
|
1.02
|
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
Contrarian Core Fund | Annual Report 2019
|
7
|
Portfolio of Investments
August 31, 2019
(Percentages represent value of investments compared to net
assets)
Investments in securities
Common
Stocks 98.0%
|
Issuer
|
Shares
|
Value
($)
|
Communication
Services 14.5%
|
Diversified
Telecommunication Services 3.3%
|
AT&T,
Inc.
|
5,284,305
|
186,324,594
|
Verizon
Communications, Inc.
|
2,276,623
|
132,408,394
|
Total
|
|
318,732,988
|
Entertainment
1.8%
|
Activision
Blizzard, Inc.
|
2,356,305
|
119,229,033
|
Electronic
Arts, Inc.(a)
|
554,565
|
51,951,649
|
Total
|
|
171,180,682
|
Interactive
Media & Services 6.1%
|
Alphabet,
Inc., Class A(a)
|
140,248
|
166,969,451
|
Alphabet,
Inc., Class C(a)
|
184,887
|
219,664,245
|
Facebook,
Inc., Class A(a)
|
1,093,885
|
203,101,628
|
Total
|
|
589,735,324
|
Media
2.8%
|
Comcast
Corp., Class A
|
6,233,736
|
275,905,156
|
Wireless
Telecommunication Services 0.5%
|
T-Mobile
U.S.A., Inc.(a)
|
683,875
|
53,376,444
|
Total
Communication Services
|
1,408,930,594
|
Consumer
Discretionary 10.1%
|
Hotels,
Restaurants & Leisure 2.5%
|
Aramark
|
1,702,046
|
69,545,599
|
McDonald’s
Corp.
|
601,673
|
131,146,664
|
Restaurant
Brands International, Inc.
|
584,300
|
45,838,335
|
Total
|
|
246,530,598
|
Household
Durables 0.7%
|
D.R.
Horton, Inc.
|
1,294,560
|
64,041,883
|
Internet
& Direct Marketing Retail 4.8%
|
Amazon.com,
Inc.(a)
|
178,815
|
317,627,296
|
eBay,
Inc.
|
3,592,330
|
144,734,976
|
Total
|
|
462,362,272
|
Multiline
Retail 0.2%
|
Dollar
General Corp.
|
148,998
|
23,257,098
|
Common
Stocks (continued)
|
Issuer
|
Shares
|
Value
($)
|
Specialty
Retail 1.9%
|
Lowe’s
Companies, Inc.
|
1,628,079
|
182,670,464
|
Total
Consumer Discretionary
|
978,862,315
|
Consumer
Staples 5.6%
|
Food
& Staples Retailing 0.4%
|
Sysco
Corp.
|
511,726
|
38,036,594
|
Food
Products 2.6%
|
ConAgra
Foods, Inc.
|
3,386,456
|
96,039,892
|
Mondelez
International, Inc., Class A
|
2,784,360
|
153,752,359
|
Total
|
|
249,792,251
|
Household
Products 0.8%
|
Colgate-Palmolive
Co.
|
1,108,665
|
82,207,510
|
Tobacco
1.8%
|
Philip
Morris International, Inc.
|
2,431,225
|
175,267,010
|
Total
Consumer Staples
|
545,303,365
|
Energy
4.0%
|
Energy
Equipment & Services 0.1%
|
Schlumberger
Ltd.
|
513,285
|
16,645,833
|
Oil,
Gas & Consumable Fuels 3.9%
|
Canadian
Natural Resources Ltd.
|
2,524,939
|
60,346,042
|
Chevron
Corp.
|
1,942,448
|
228,664,978
|
EOG
Resources, Inc.
|
1,187,688
|
88,114,573
|
Total
|
|
377,125,593
|
Total
Energy
|
393,771,426
|
Financials
13.4%
|
Banks
5.8%
|
Citigroup,
Inc.
|
3,733,506
|
240,251,111
|
JPMorgan
Chase & Co.
|
2,494,913
|
274,091,142
|
Wells
Fargo & Co.
|
1,062,990
|
49,503,445
|
Total
|
|
563,845,698
|
Capital
Markets 2.5%
|
BlackRock,
Inc.
|
220,387
|
93,126,731
|
Morgan
Stanley
|
3,591,200
|
148,998,888
|
Total
|
|
242,125,619
|
The accompanying Notes to Financial Statements are an integral part
of this statement.
8
|
Columbia Contrarian Core Fund
| Annual Report 2019
|
Portfolio of Investments (continued)
August 31, 2019
Common
Stocks (continued)
|
Issuer
|
Shares
|
Value
($)
|
Diversified
Financial Services 3.9%
|
Berkshire
Hathaway, Inc., Class B(a)
|
1,879,006
|
382,208,610
|
Insurance
1.2%
|
Aon
PLC
|
618,391
|
120,493,486
|
Total
Financials
|
1,308,673,413
|
Health
Care 13.2%
|
Biotechnology
0.4%
|
Alexion
Pharmaceuticals, Inc.(a)
|
372,140
|
37,496,826
|
Health
Care Equipment & Supplies 6.4%
|
Abbott
Laboratories
|
969,994
|
82,759,888
|
Baxter
International, Inc.
|
798,070
|
70,190,257
|
Becton
Dickinson and Co.
|
394,190
|
100,092,725
|
Dentsply
Sirona, Inc.
|
1,574,300
|
82,099,745
|
Medtronic
PLC
|
2,687,672
|
289,972,932
|
Total
|
|
625,115,547
|
Health
Care Providers & Services 2.7%
|
Anthem,
Inc.
|
475,109
|
124,250,506
|
Cigna
Corp.
|
596,685
|
91,871,590
|
Humana,
Inc.
|
161,040
|
45,608,138
|
Total
|
|
261,730,234
|
Pharmaceuticals
3.7%
|
Allergan
PLC
|
471,655
|
75,332,736
|
Johnson
& Johnson
|
1,434,161
|
184,088,906
|
Pfizer,
Inc.
|
2,841,934
|
101,030,754
|
Total
|
|
360,452,396
|
Total
Health Care
|
1,284,795,003
|
Industrials
6.2%
|
Aerospace
& Defense 3.3%
|
L3
Harris Technologies, Inc.
|
404,480
|
85,511,116
|
Northrop
Grumman Corp.
|
547,270
|
201,324,215
|
Spirit
AeroSystems Holdings, Inc., Class A
|
441,318
|
35,570,231
|
Total
|
|
322,405,562
|
Electrical
Equipment 0.7%
|
Emerson
Electric Co.
|
1,185,185
|
70,625,174
|
Industrial
Conglomerates 2.0%
|
Honeywell
International, Inc.
|
1,196,264
|
196,928,980
|
Common
Stocks (continued)
|
Issuer
|
Shares
|
Value
($)
|
Machinery
0.2%
|
Caterpillar,
Inc.
|
123,015
|
14,638,785
|
Total
Industrials
|
604,598,501
|
Information
Technology 24.2%
|
Communications
Equipment 0.9%
|
Cisco
Systems, Inc.
|
1,958,875
|
91,694,939
|
Electronic
Equipment, Instruments & Components 0.8%
|
Corning,
Inc.
|
2,633,445
|
73,341,443
|
IT
Services 7.6%
|
Fidelity
National Information Services, Inc.
|
1,442,065
|
196,438,094
|
Fiserv,
Inc.(a)
|
1,220,494
|
130,519,628
|
International
Business Machines Corp.
|
923,745
|
125,195,160
|
MasterCard,
Inc., Class A
|
1,018,554
|
286,590,539
|
Total
|
|
738,743,421
|
Semiconductors
& Semiconductor Equipment 4.0%
|
Broadcom,
Inc.
|
153,770
|
43,461,553
|
Intel
Corp.
|
1,140,320
|
54,062,571
|
Lam
Research Corp.
|
456,265
|
96,048,345
|
Marvell
Technology Group Ltd.
|
1,759,265
|
42,169,582
|
NVIDIA
Corp.
|
424,210
|
71,059,417
|
NXP
Semiconductors NV
|
805,440
|
82,267,642
|
Total
|
|
389,069,110
|
Software
7.1%
|
Adobe,
Inc.(a)
|
401,680
|
114,281,977
|
CDK
Global, Inc.
|
302,860
|
13,071,438
|
Microsoft
Corp.
|
4,050,387
|
558,386,352
|
Palo
Alto Networks, Inc.(a)
|
44,765
|
9,115,049
|
Total
|
|
694,854,816
|
Technology
Hardware, Storage & Peripherals 3.8%
|
Apple,
Inc.
|
1,787,126
|
373,044,681
|
Total
Information Technology
|
2,360,748,410
|
The accompanying Notes to Financial Statements are an integral part
of this statement.
Columbia
Contrarian Core Fund | Annual Report 2019
|
9
|
Portfolio of Investments
(continued)
August 31, 2019
Common
Stocks (continued)
|
Issuer
|
Shares
|
Value
($)
|
Materials
4.2%
|
Chemicals
3.1%
|
Air
Products & Chemicals, Inc.
|
327,120
|
73,902,950
|
Corteva,
Inc.
|
1,997,893
|
58,578,223
|
DuPont
de Nemours, Inc.
|
1,137,873
|
77,295,713
|
Mosaic
Co. (The)
|
1,589,145
|
29,224,377
|
Sherwin-Williams
Co. (The)
|
111,619
|
58,795,308
|
Total
|
|
297,796,571
|
Metals
& Mining 1.1%
|
Newmont
Goldcorp Corp.
|
2,667,175
|
106,393,611
|
Total
Materials
|
404,190,182
|
Real
Estate 1.6%
|
Equity
Real Estate Investment Trusts (REITS) 1.6%
|
American
Tower Corp.
|
677,372
|
155,924,261
|
Total
Real Estate
|
155,924,261
|
Common
Stocks (continued)
|
Issuer
|
Shares
|
Value
($)
|
Utilities
1.0%
|
Electric
Utilities 1.0%
|
American
Electric Power Co., Inc.
|
1,096,480
|
99,944,152
|
Total
Utilities
|
99,944,152
|
Total
Common Stocks
(Cost $6,392,617,457)
|
9,545,741,622
|
|
Money
Market Funds 1.7%
|
|
Shares
|
Value
($)
|
Columbia
Short-Term Cash Fund, 2.208%(b),(c)
|
164,033,216
|
164,016,812
|
Total
Money Market Funds
(Cost $164,016,812)
|
164,016,812
|
Total
Investments in Securities
(Cost: $6,556,634,269)
|
9,709,758,434
|
Other
Assets & Liabilities, Net
|
|
29,767,642
|
Net
Assets
|
9,739,526,076
|
Notes to Portfolio of Investments
(a)
|
Non-income
producing investment.
|
(b)
|
The rate
shown is the seven-day current annualized yield at August 31, 2019.
|
(c)
|
As
defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. Holdings and
transactions in these affiliated companies during the year ended August 31, 2019 are as follows:
|
Issuer
|
Beginning
shares
|
Shares
purchased
|
Shares
sold
|
Ending
shares
|
Realized
gain
(loss) —
affiliated
issuers ($)
|
Net
change in
unrealized
appreciation
(depreciation) —
affiliated
issuers ($)
|
Dividends
—
affiliated
issuers ($)
|
Value
—
affiliated
issuers
at end of
period ($)
|
Columbia
Short-Term Cash Fund, 2.208%
|
|
40,983,443
|
2,980,284,472
|
(2,857,234,699)
|
164,033,216
|
(740)
|
—
|
3,966,060
|
164,016,812
|
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 Contrarian Core Fund
| Annual Report 2019
|
Portfolio of Investments (continued)
August 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.
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.
The following table is a summary of the
inputs used to value the Fund’s investments at August 31, 2019:
|
Level
1 ($)
|
Level
2 ($)
|
Level
3 ($)
|
Total
($)
|
Investments
in Securities
|
|
|
|
|
Common
Stocks
|
|
|
|
|
Communication
Services
|
1,408,930,594
|
—
|
—
|
1,408,930,594
|
Consumer
Discretionary
|
978,862,315
|
—
|
—
|
978,862,315
|
Consumer
Staples
|
545,303,365
|
—
|
—
|
545,303,365
|
Energy
|
393,771,426
|
—
|
—
|
393,771,426
|
Financials
|
1,308,673,413
|
—
|
—
|
1,308,673,413
|
Health
Care
|
1,284,795,003
|
—
|
—
|
1,284,795,003
|
Industrials
|
604,598,501
|
—
|
—
|
604,598,501
|
Information
Technology
|
2,360,748,410
|
—
|
—
|
2,360,748,410
|
Materials
|
404,190,182
|
—
|
—
|
404,190,182
|
Real
Estate
|
155,924,261
|
—
|
—
|
155,924,261
|
Utilities
|
99,944,152
|
—
|
—
|
99,944,152
|
Total
Common Stocks
|
9,545,741,622
|
—
|
—
|
9,545,741,622
|
Money
Market Funds
|
164,016,812
|
—
|
—
|
164,016,812
|
Total
Investments in Securities
|
9,709,758,434
|
—
|
—
|
9,709,758,434
|
See the Portfolio of Investments for
all investment classifications not indicated in the table.
The accompanying Notes to Financial Statements are an integral part of this
statement.
Columbia
Contrarian Core Fund | Annual Report 2019
|
11
|
Statement of Assets and Liabilities
August 31, 2019
Assets
|
|
Investments
in securities, at value
|
|
Unaffiliated
issuers (cost $6,392,617,457)
|
$9,545,741,622
|
Affiliated
issuers (cost $164,016,812)
|
164,016,812
|
Receivable
for:
|
|
Investments
sold
|
21,382,866
|
Capital
shares sold
|
4,149,276
|
Dividends
|
14,917,043
|
Foreign
tax reclaims
|
69,805
|
Prepaid
expenses
|
63,004
|
Trustees’
deferred compensation plan
|
608,387
|
Total
assets
|
9,750,948,815
|
Liabilities
|
|
Payable
for:
|
|
Investments
purchased
|
506,599
|
Capital
shares purchased
|
8,756,748
|
Management
services fees
|
163,946
|
Distribution
and/or service fees
|
28,918
|
Transfer
agent fees
|
1,120,400
|
Compensation
of chief compliance officer
|
643
|
Other
expenses
|
237,098
|
Trustees’
deferred compensation plan
|
608,387
|
Total
liabilities
|
11,422,739
|
Net
assets applicable to outstanding capital stock
|
$9,739,526,076
|
Represented
by
|
|
Paid
in capital
|
6,268,783,650
|
Total
distributable earnings (loss) (Note 2)
|
3,470,742,426
|
Total
- representing net assets applicable to outstanding capital stock
|
$9,739,526,076
|
The accompanying Notes to Financial Statements are an integral part of this
statement.
12
|
Columbia Contrarian Core Fund
| Annual Report 2019
|
Statement of Assets and Liabilities (continued)
August 31, 2019
Class
A
|
|
Net
assets
|
$1,568,622,301
|
Shares
outstanding
|
61,551,079
|
Net
asset value per share
|
$25.48
|
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)
|
$27.03
|
Advisor
Class
|
|
Net
assets
|
$610,685,984
|
Shares
outstanding
|
23,320,405
|
Net
asset value per share
|
$26.19
|
Class
C
|
|
Net
assets
|
$561,715,981
|
Shares
outstanding
|
24,592,407
|
Net
asset value per share
|
$22.84
|
Institutional
Class
|
|
Net
assets
|
$3,961,439,655
|
Shares
outstanding
|
154,075,254
|
Net
asset value per share
|
$25.71
|
Institutional
2 Class
|
|
Net
assets
|
$638,213,444
|
Shares
outstanding
|
24,383,662
|
Net
asset value per share
|
$26.17
|
Institutional
3 Class
|
|
Net
assets
|
$2,123,061,704
|
Shares
outstanding
|
81,061,886
|
Net
asset value per share
|
$26.19
|
Class
R
|
|
Net
assets
|
$124,950,623
|
Shares
outstanding
|
4,903,639
|
Net
asset value per share
|
$25.48
|
Class
V
|
|
Net
assets
|
$150,836,384
|
Shares
outstanding
|
5,981,919
|
Net
asset value per share
|
$25.22
|
Maximum
sales charge
|
5.75%
|
Maximum
offering price per share (calculated by dividing the net asset value per share by 1.0 minus the maximum sales charge for Class V shares)
|
$26.76
|
The accompanying Notes to Financial Statements are an integral part of this
statement.
Columbia
Contrarian Core Fund | Annual Report 2019
|
13
|
Statement of Operations
Year Ended August 31, 2019
Net
investment income
|
|
Income:
|
|
Dividends
— unaffiliated issuers
|
$191,896,759
|
Dividends
— affiliated issuers
|
3,966,060
|
Interfund
lending
|
2,307
|
Foreign
taxes withheld
|
(775,426)
|
Total
income
|
195,089,700
|
Expenses:
|
|
Management
services fees
|
61,766,499
|
Distribution
and/or service fees
|
|
Class
A
|
4,107,841
|
Class
C
|
6,052,781
|
Class
R
|
653,845
|
Class
T
|
704
|
Class
V
|
374,613
|
Transfer
agent fees
|
|
Class
A
|
2,439,945
|
Advisor
Class
|
955,634
|
Class
C
|
898,909
|
Institutional
Class
|
6,120,009
|
Institutional
2 Class
|
413,758
|
Institutional
3 Class
|
159,636
|
Class
R
|
194,224
|
Class
T
|
413
|
Class
V
|
222,519
|
Compensation
of board members
|
164,919
|
Custodian
fees
|
66,938
|
Printing
and postage fees
|
488,698
|
Registration
fees
|
212,569
|
Audit
fees
|
29,000
|
Legal
fees
|
205,131
|
Interest
on interfund lending
|
5,546
|
Compensation
of chief compliance officer
|
4,003
|
Other
|
276,644
|
Total
expenses
|
85,814,778
|
Net
investment income
|
109,274,922
|
Realized
and unrealized gain (loss) — net
|
|
Net
realized gain (loss) on:
|
|
Investments
— unaffiliated issuers
|
434,323,724
|
Investments
— affiliated issuers
|
(740)
|
Foreign
currency translations
|
11,728
|
Net
realized gain
|
434,334,712
|
Net
change in unrealized appreciation (depreciation) on:
|
|
Investments
— unaffiliated issuers
|
(379,960,922)
|
Net
change in unrealized appreciation (depreciation)
|
(379,960,922)
|
Net
realized and unrealized gain
|
54,373,790
|
Net
increase in net assets resulting from operations
|
$163,648,712
|
The accompanying Notes to Financial Statements are an
integral part of this statement.
14
|
Columbia Contrarian Core Fund
| Annual Report 2019
|
Statement of Changes in Net Assets
|
Year
Ended
August 31, 2019
|
Year
Ended
August 31, 2018
|
Operations
|
|
|
Net
investment income
|
$109,274,922
|
$99,168,716
|
Net
realized gain
|
434,334,712
|
736,139,912
|
Net
change in unrealized appreciation (depreciation)
|
(379,960,922)
|
591,454,414
|
Net
increase in net assets resulting from operations
|
163,648,712
|
1,426,763,042
|
Distributions
to shareholders
|
|
|
Net
investment income and net realized gains
|
|
|
Class
A
|
(138,918,391)
|
|
Advisor
Class
|
(58,114,280)
|
|
Class
C
|
(52,570,730)
|
|
Institutional
Class
|
(360,754,860)
|
|
Institutional
2 Class
|
(63,631,067)
|
|
Institutional
3 Class
|
(168,677,334)
|
|
Class
R
|
(10,681,165)
|
|
Class
T
|
(77,659)
|
|
Class
V
|
(12,567,222)
|
|
Net
investment income
|
|
|
Class
A
|
|
(13,688,620)
|
Advisor
Class
|
|
(6,065,193)
|
Institutional
Class
|
|
(45,538,309)
|
Institutional
2 Class
|
|
(8,571,940)
|
Institutional
3 Class
|
|
(20,115,690)
|
Class
K
|
|
(48,187)
|
Class
R
|
|
(641,230)
|
Class
T
|
|
(8,444)
|
Class
V
|
|
(1,127,941)
|
Net
realized gains
|
|
|
Class
A
|
|
(93,913,407)
|
Advisor
Class
|
|
(31,380,381)
|
Class
C
|
|
(40,119,346)
|
Institutional
Class
|
|
(235,608,254)
|
Institutional
2 Class
|
|
(40,157,532)
|
Institutional
3 Class
|
|
(90,640,911)
|
Class
K
|
|
(292,694)
|
Class
R
|
|
(6,615,240)
|
Class
T
|
|
(57,932)
|
Class
V
|
|
(7,738,463)
|
Total
distributions to shareholders (Note 2)
|
(865,992,708)
|
(642,329,714)
|
Decrease
in net assets from capital stock activity
|
(1,118,537,358)
|
(116,288,386)
|
Total
increase (decrease) in net assets
|
(1,820,881,354)
|
668,144,942
|
Net
assets at beginning of year
|
11,560,407,430
|
10,892,262,488
|
Net
assets at end of year
|
$9,739,526,076
|
$11,560,407,430
|
Undistributed
net investment income
|
$68,845,491
|
$66,473,849
|
The accompanying Notes to Financial Statements are an
integral part of this statement.
Columbia
Contrarian Core Fund | Annual Report 2019
|
15
|
Statement of Changes in Net Assets (continued)
|
Year
Ended
|
Year
Ended
|
|
August
31, 2019
|
August
31, 2018
|
|
Shares
|
Dollars
($)
|
Shares
|
Dollars
($)
|
Capital
stock activity
|
Class
A
|
|
|
|
|
Subscriptions
|
6,431,275
|
157,963,212
|
12,208,122
|
316,921,667
|
Distributions
reinvested
|
5,690,953
|
128,729,350
|
3,884,229
|
99,008,995
|
Redemptions
|
(20,887,147)
|
(515,474,948)
|
(22,154,412)
|
(575,389,741)
|
Net
decrease
|
(8,764,919)
|
(228,782,386)
|
(6,062,061)
|
(159,459,079)
|
Advisor
Class
|
|
|
|
|
Subscriptions
|
6,887,887
|
176,244,532
|
11,310,517
|
300,451,143
|
Distributions
reinvested
|
2,390,774
|
55,465,956
|
1,389,820
|
36,260,392
|
Redemptions
|
(12,620,684)
|
(311,060,038)
|
(8,970,419)
|
(238,568,015)
|
Net
increase (decrease)
|
(3,342,023)
|
(79,349,550)
|
3,729,918
|
98,143,520
|
Class
C
|
|
|
|
|
Subscriptions
|
2,228,152
|
48,745,816
|
4,636,954
|
109,134,302
|
Distributions
reinvested
|
2,358,614
|
48,068,563
|
1,592,042
|
36,871,699
|
Redemptions
|
(8,810,129)
|
(193,575,408)
|
(9,819,541)
|
(231,021,490)
|
Net
decrease
|
(4,223,363)
|
(96,761,029)
|
(3,590,545)
|
(85,015,489)
|
Institutional
Class
|
|
|
|
|
Subscriptions
|
23,377,561
|
578,493,873
|
32,541,591
|
849,445,217
|
Distributions
reinvested
|
14,515,717
|
330,668,024
|
10,065,737
|
258,286,816
|
Redemptions
|
(62,124,113)
|
(1,527,803,654)
|
(57,893,556)
|
(1,516,465,968)
|
Net
decrease
|
(24,230,835)
|
(618,641,757)
|
(15,286,228)
|
(408,733,935)
|
Institutional
2 Class
|
|
|
|
|
Subscriptions
|
7,270,167
|
178,340,987
|
12,831,692
|
340,843,986
|
Distributions
reinvested
|
2,742,768
|
63,549,930
|
1,868,398
|
48,709,121
|
Redemptions
|
(17,730,297)
|
(441,115,098)
|
(12,546,333)
|
(332,078,939)
|
Net
increase (decrease)
|
(7,717,362)
|
(199,224,181)
|
2,153,757
|
57,474,168
|
Institutional
3 Class
|
|
|
|
|
Subscriptions
|
23,849,900
|
588,023,383
|
29,449,843
|
779,912,063
|
Distributions
reinvested
|
4,840,762
|
112,208,870
|
2,580,501
|
67,273,670
|
Redemptions
|
(22,980,661)
|
(579,666,449)
|
(17,189,124)
|
(461,087,450)
|
Net
increase
|
5,710,001
|
120,565,804
|
14,841,220
|
386,098,283
|
Class
K
|
|
|
|
|
Subscriptions
|
—
|
—
|
10,761
|
288,499
|
Distributions
reinvested
|
—
|
—
|
13,282
|
340,682
|
Redemptions
|
—
|
—
|
(269,627)
|
(7,180,214)
|
Net
decrease
|
—
|
—
|
(245,584)
|
(6,551,033)
|
Class
R
|
|
|
|
|
Subscriptions
|
731,640
|
18,022,092
|
1,298,152
|
33,613,269
|
Distributions
reinvested
|
408,080
|
9,243,026
|
229,073
|
5,848,237
|
Redemptions
|
(1,603,759)
|
(39,763,909)
|
(1,370,468)
|
(35,554,329)
|
Net
increase (decrease)
|
(464,039)
|
(12,498,791)
|
156,757
|
3,907,177
|
Class
T
|
|
|
|
|
Subscriptions
|
—
|
—
|
726
|
19,043
|
Distributions
reinvested
|
3,415
|
77,207
|
2,595
|
66,153
|
Redemptions
|
(41,813)
|
(938,561)
|
(18,306)
|
(475,567)
|
Net
decrease
|
(38,398)
|
(861,354)
|
(14,985)
|
(390,371)
|
Class
V
|
|
|
|
|
Subscriptions
|
142,392
|
3,222,198
|
246,930
|
6,375,877
|
Distributions
reinvested
|
399,819
|
8,947,940
|
250,684
|
6,329,782
|
Redemptions
|
(625,048)
|
(15,154,252)
|
(564,074)
|
(14,467,286)
|
Net
decrease
|
(82,837)
|
(2,984,114)
|
(66,460)
|
(1,761,627)
|
Total
net decrease
|
(43,153,775)
|
(1,118,537,358)
|
(4,384,211)
|
(116,288,386)
|
The accompanying Notes to Financial Statements are an integral part of this
statement.
16
|
Columbia Contrarian Core Fund
| Annual Report 2019
|
[THIS PAGE INTENTIONALLY LEFT BLANK]
Columbia
Contrarian Core 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
(loss)
|
Net
realized
and
unrealized
gain (loss)
|
Total
from
investment
operations
|
Distributions
from net
investment
income
|
Distributions
from net
realized
gains
|
Total
distributions to
shareholders
|
Class
A
|
Year
Ended 8/31/2019
|
$27.19
|
0.22
|
0.19
|
0.41
|
(0.22)
|
(1.90)
|
(2.12)
|
Year
Ended 8/31/2018
|
$25.41
|
0.18
|
3.05
|
3.23
|
(0.18)
|
(1.27)
|
(1.45)
|
Year
Ended 8/31/2017
|
$22.29
|
0.19
|
3.25
|
3.44
|
(0.15)
|
(0.17)
|
(0.32)
|
Year
Ended 8/31/2016
|
$21.27
|
0.15
|
2.05
|
2.20
|
(0.55)
|
(0.63)
|
(1.18)
|
Year
Ended 8/31/2015
|
$22.37
|
0.65
(e)
|
(0.23)
|
0.42
|
(0.10)
|
(1.42)
|
(1.52)
|
Advisor
Class
|
Year
Ended 8/31/2019
|
$27.89
|
0.29
|
0.19
|
0.48
|
(0.28)
|
(1.90)
|
(2.18)
|
Year
Ended 8/31/2018
|
$26.02
|
0.25
|
3.13
|
3.38
|
(0.24)
|
(1.27)
|
(1.51)
|
Year
Ended 8/31/2017
|
$22.81
|
0.26
|
3.33
|
3.59
|
(0.21)
|
(0.17)
|
(0.38)
|
Year
Ended 8/31/2016
|
$21.74
|
0.21
|
2.09
|
2.30
|
(0.60)
|
(0.63)
|
(1.23)
|
Year
Ended 8/31/2015
|
$22.83
|
0.80
(e)
|
(0.32)
|
0.48
|
(0.15)
|
(1.42)
|
(1.57)
|
Class
C
|
Year
Ended 8/31/2019
|
$24.57
|
0.04
|
0.15
|
0.19
|
(0.02)
|
(1.90)
|
(1.92)
|
Year
Ended 8/31/2018
|
$23.09
|
(0.01)
|
2.76
|
2.75
|
—
|
(1.27)
|
(1.27)
|
Year
Ended 8/31/2017
|
$20.28
|
0.01
|
2.97
|
2.98
|
(0.00)
(f)
|
(0.17)
|
(0.17)
|
Year
Ended 8/31/2016
|
$19.43
|
(0.00)
(f)
|
1.86
|
1.86
|
(0.38)
|
(0.63)
|
(1.01)
|
Year
Ended 8/31/2015
|
$20.62
|
0.50
(e)
|
(0.27)
|
0.23
|
—
|
(1.42)
|
(1.42)
|
Institutional
Class
|
Year
Ended 8/31/2019
|
$27.42
|
0.29
|
0.18
|
0.47
|
(0.28)
|
(1.90)
|
(2.18)
|
Year
Ended 8/31/2018
|
$25.61
|
0.25
|
3.07
|
3.32
|
(0.24)
|
(1.27)
|
(1.51)
|
Year
Ended 8/31/2017
|
$22.45
|
0.25
|
3.29
|
3.54
|
(0.21)
|
(0.17)
|
(0.38)
|
Year
Ended 8/31/2016
|
$21.42
|
0.21
|
2.05
|
2.26
|
(0.60)
|
(0.63)
|
(1.23)
|
Year
Ended 8/31/2015
|
$22.52
|
0.66
(e)
|
(0.18)
|
0.48
|
(0.16)
|
(1.42)
|
(1.58)
|
Institutional
2 Class
|
Year
Ended 8/31/2019
|
$27.88
|
0.32
|
0.18
|
0.50
|
(0.31)
|
(1.90)
|
(2.21)
|
Year
Ended 8/31/2018
|
$26.01
|
0.28
|
3.13
|
3.41
|
(0.27)
|
(1.27)
|
(1.54)
|
Year
Ended 8/31/2017
|
$22.80
|
0.28
|
3.33
|
3.61
|
(0.23)
|
(0.17)
|
(0.40)
|
Year
Ended 8/31/2016
|
$21.73
|
0.24
|
2.09
|
2.33
|
(0.63)
|
(0.63)
|
(1.26)
|
Year
Ended 8/31/2015
|
$22.83
|
0.78
(e)
|
(0.28)
|
0.50
|
(0.18)
|
(1.42)
|
(1.60)
|
The accompanying Notes to Financial Statements are an
integral part of this statement.
18
|
Columbia Contrarian Core 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 8/31/2019
|
$25.48
|
2.49%
|
1.03%
(c)
|
1.03%
(c)
|
0.91%
|
53%
|
$1,568,622
|
Year
Ended 8/31/2018
|
$27.19
|
13.09%
|
1.02%
|
1.02%
(d)
|
0.70%
|
63%
|
$1,912,203
|
Year
Ended 8/31/2017
|
$25.41
|
15.61%
|
1.04%
|
1.04%
(d)
|
0.82%
|
52%
|
$1,941,062
|
Year
Ended 8/31/2016
|
$22.29
|
10.79%
|
1.07%
|
1.07%
(d)
|
0.72%
|
47%
|
$2,860,806
|
Year
Ended 8/31/2015
|
$21.27
|
1.99%
|
1.09%
|
1.09%
(d)
|
2.93%
|
60%
|
$2,297,176
|
Advisor
Class
|
Year
Ended 8/31/2019
|
$26.19
|
2.74%
|
0.78%
(c)
|
0.78%
(c)
|
1.16%
|
53%
|
$610,686
|
Year
Ended 8/31/2018
|
$27.89
|
13.39%
|
0.77%
|
0.77%
(d)
|
0.95%
|
63%
|
$743,515
|
Year
Ended 8/31/2017
|
$26.02
|
15.91%
|
0.80%
|
0.80%
(d)
|
1.07%
|
52%
|
$596,704
|
Year
Ended 8/31/2016
|
$22.81
|
11.07%
|
0.82%
|
0.82%
(d)
|
0.99%
|
47%
|
$377,946
|
Year
Ended 8/31/2015
|
$21.74
|
2.25%
|
0.85%
|
0.85%
(d)
|
3.53%
|
60%
|
$227,941
|
Class
C
|
Year
Ended 8/31/2019
|
$22.84
|
1.73%
|
1.78%
(c)
|
1.78%
(c)
|
0.16%
|
53%
|
$561,716
|
Year
Ended 8/31/2018
|
$24.57
|
12.23%
|
1.77%
|
1.77%
(d)
|
(0.05%)
|
63%
|
$708,041
|
Year
Ended 8/31/2017
|
$23.09
|
14.80%
|
1.79%
|
1.79%
(d)
|
0.07%
|
52%
|
$748,148
|
Year
Ended 8/31/2016
|
$20.28
|
9.98%
|
1.83%
|
1.83%
(d)
|
(0.02%)
|
47%
|
$669,226
|
Year
Ended 8/31/2015
|
$19.43
|
1.17%
|
1.85%
|
1.85%
(d)
|
2.46%
|
60%
|
$409,798
|
Institutional
Class
|
Year
Ended 8/31/2019
|
$25.71
|
2.75%
|
0.78%
(c)
|
0.78%
(c)
|
1.16%
|
53%
|
$3,961,440
|
Year
Ended 8/31/2018
|
$27.42
|
13.37%
|
0.77%
|
0.77%
(d)
|
0.95%
|
63%
|
$4,889,699
|
Year
Ended 8/31/2017
|
$25.61
|
15.95%
|
0.80%
|
0.80%
(d)
|
1.07%
|
52%
|
$4,958,099
|
Year
Ended 8/31/2016
|
$22.45
|
11.05%
|
0.82%
|
0.82%
(d)
|
0.99%
|
47%
|
$4,234,639
|
Year
Ended 8/31/2015
|
$21.42
|
2.24%
|
0.84%
|
0.84%
(d)
|
2.97%
|
60%
|
$2,119,278
|
Institutional
2 Class
|
Year
Ended 8/31/2019
|
$26.17
|
2.81%
|
0.68%
(c)
|
0.68%
(c)
|
1.25%
|
53%
|
$638,213
|
Year
Ended 8/31/2018
|
$27.88
|
13.50%
|
0.68%
|
0.68%
|
1.04%
|
63%
|
$894,849
|
Year
Ended 8/31/2017
|
$26.01
|
16.05%
|
0.69%
|
0.69%
|
1.17%
|
52%
|
$779,002
|
Year
Ended 8/31/2016
|
$22.80
|
11.22%
|
0.70%
|
0.70%
|
1.12%
|
47%
|
$627,659
|
Year
Ended 8/31/2015
|
$21.73
|
2.34%
|
0.71%
|
0.71%
|
3.45%
|
60%
|
$336,043
|
The accompanying Notes to Financial Statements are an
integral part of this statement.
Columbia
Contrarian Core Fund | Annual Report 2019
|
19
|
Financial Highlights (continued)
|
Net
asset value,
beginning of
period
|
Net
investment
income
(loss)
|
Net
realized
and
unrealized
gain (loss)
|
Total
from
investment
operations
|
Distributions
from net
investment
income
|
Distributions
from net
realized
gains
|
Total
distributions to
shareholders
|
Institutional
3 Class
|
Year
Ended 8/31/2019
|
$27.89
|
0.33
|
0.19
|
0.52
|
(0.32)
|
(1.90)
|
(2.22)
|
Year
Ended 8/31/2018
|
$26.03
|
0.29
|
3.12
|
3.41
|
(0.28)
|
(1.27)
|
(1.55)
|
Year
Ended 8/31/2017
|
$22.81
|
0.30
|
3.33
|
3.63
|
(0.24)
|
(0.17)
|
(0.41)
|
Year
Ended 8/31/2016
|
$21.75
|
0.27
|
2.06
|
2.33
|
(0.64)
|
(0.63)
|
(1.27)
|
Year
Ended 8/31/2015
|
$22.84
|
1.19
(e)
|
(0.67)
|
0.52
|
(0.19)
|
(1.42)
|
(1.61)
|
Class
R
|
Year
Ended 8/31/2019
|
$27.18
|
0.16
|
0.19
|
0.35
|
(0.15)
|
(1.90)
|
(2.05)
|
Year
Ended 8/31/2018
|
$25.41
|
0.12
|
3.04
|
3.16
|
(0.12)
|
(1.27)
|
(1.39)
|
Year
Ended 8/31/2017
|
$22.29
|
0.14
|
3.25
|
3.39
|
(0.10)
|
(0.17)
|
(0.27)
|
Year
Ended 8/31/2016
|
$21.26
|
0.10
|
2.05
|
2.15
|
(0.49)
|
(0.63)
|
(1.12)
|
Year
Ended 8/31/2015
|
$22.37
|
0.65
(e)
|
(0.29)
|
0.36
|
(0.05)
|
(1.42)
|
(1.47)
|
Class
V
|
Year
Ended 8/31/2019
|
$26.93
|
0.22
|
0.19
|
0.41
|
(0.22)
|
(1.90)
|
(2.12)
|
Year
Ended 8/31/2018
|
$25.18
|
0.18
|
3.02
|
3.20
|
(0.18)
|
(1.27)
|
(1.45)
|
Year
Ended 8/31/2017
|
$22.09
|
0.19
|
3.22
|
3.41
|
(0.15)
|
(0.17)
|
(0.32)
|
Year
Ended 8/31/2016
|
$21.08
|
0.15
|
2.04
|
2.19
|
(0.55)
|
(0.63)
|
(1.18)
|
Year
Ended 8/31/2015
|
$22.19
|
0.55
(e)
|
(0.15)
|
0.40
|
(0.09)
|
(1.42)
|
(1.51)
|
Notes
to Financial Highlights
|
(a)
|
In
addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense
ratios.
|
(b)
|
Total net
expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable.
|
(c)
|
Ratios
include interfund lending expense which is less than 0.01%.
|
(d)
|
The
benefits derived from expense reductions had an impact of less than 0.01%.
|
(e)
|
Net
investment income per share includes special dividends. The per share effect of these dividends amounted to:
|
Year
Ended
|
Class
A
|
Advisor
Class
|
Class
C
|
Institutional
Class
|
Institutional
2
Class
|
Institutional
3
Class
|
Class
R
|
Class
V
|
08/31/2015
|
$0.54
|
$0.63
|
$0.55
|
$0.50
|
$0.58
|
$0.96
|
$0.60
|
$0.45
|
The accompanying Notes to Financial Statements are an
integral part of this statement.
20
|
Columbia Contrarian Core 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 8/31/2019
|
$26.19
|
2.90%
|
0.64%
(c)
|
0.64%
(c)
|
1.30%
|
53%
|
$2,123,062
|
Year
Ended 8/31/2018
|
$27.89
|
13.50%
|
0.63%
|
0.63%
|
1.10%
|
63%
|
$2,101,809
|
Year
Ended 8/31/2017
|
$26.03
|
16.14%
|
0.65%
|
0.65%
|
1.23%
|
52%
|
$1,574,824
|
Year
Ended 8/31/2016
|
$22.81
|
11.22%
|
0.65%
|
0.65%
|
1.23%
|
47%
|
$329,514
|
Year
Ended 8/31/2015
|
$21.75
|
2.44%
|
0.66%
|
0.66%
|
5.26%
|
60%
|
$53,246
|
Class
R
|
Year
Ended 8/31/2019
|
$25.48
|
2.24%
|
1.28%
(c)
|
1.28%
(c)
|
0.66%
|
53%
|
$124,951
|
Year
Ended 8/31/2018
|
$27.18
|
12.78%
|
1.27%
|
1.27%
(d)
|
0.45%
|
63%
|
$145,912
|
Year
Ended 8/31/2017
|
$25.41
|
15.34%
|
1.29%
|
1.29%
(d)
|
0.57%
|
52%
|
$132,392
|
Year
Ended 8/31/2016
|
$22.29
|
10.55%
|
1.32%
|
1.32%
(d)
|
0.49%
|
47%
|
$96,586
|
Year
Ended 8/31/2015
|
$21.26
|
1.69%
|
1.34%
|
1.34%
(d)
|
2.93%
|
60%
|
$50,048
|
Class
V
|
Year
Ended 8/31/2019
|
$25.22
|
2.52%
|
1.03%
(c)
|
1.03%
(c)
|
0.91%
|
53%
|
$150,836
|
Year
Ended 8/31/2018
|
$26.93
|
13.09%
|
1.02%
|
1.02%
(d)
|
0.70%
|
63%
|
$163,335
|
Year
Ended 8/31/2017
|
$25.18
|
15.61%
|
1.04%
|
1.04%
(d)
|
0.82%
|
52%
|
$154,392
|
Year
Ended 8/31/2016
|
$22.09
|
10.83%
|
1.08%
|
1.08%
(d)
|
0.71%
|
47%
|
$146,879
|
Year
Ended 8/31/2015
|
$21.08
|
1.92%
|
1.11%
|
1.11%
(d)
|
2.49%
|
60%
|
$143,304
|
The accompanying Notes to Financial Statements are an integral part of this
statement.
Columbia
Contrarian Core Fund | Annual Report 2019
|
21
|
Notes to Financial Statements
August 31, 2019
Note 1. Organization
Columbia Contrarian Core Fund (the Fund), a series of
Columbia Funds Series Trust I (the Trust), is a diversified fund. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Massachusetts business
trust.
Fund shares
The Trust may issue an unlimited number of shares (without par
value). The Fund offers each of the share classes listed in the Statement of Assets and Liabilities. Although all share classes generally have identical voting, dividend and liquidation rights, each share class votes separately when required by the
Trust’s organizational documents or by law. Each share class has its own expense and sales charge structure. Different share classes may have different minimum initial investment amounts and pay different distribution amounts to the extent the
expenses of distributing such share classes vary. Distributions to shareholders in a liquidation will be proportional to the net asset value of each share class.
As described in the Fund’s prospectus, Class A and Class
C shares are offered to the general public for investment. Advisor Class, Institutional Class, Institutional 2 Class, Institutional 3 Class and Class R shares are available for purchase through authorized investment professionals to omnibus
retirement plans or to institutional and to certain other investors as also described in the Fund’s prospectus. Class C shares automatically convert to Class A shares after 10 years. Effective 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 available only to investors who received (and who continuously held) Class V shares in connection with previous fund reorganizations.
Note 2. Summary of significant accounting
policies
Basis of preparation
The Fund is an investment company that applies the accounting
and reporting guidance in the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946, Financial Services - Investment Companies (ASC 946). The financial statements are prepared
in accordance with U.S. generally accepted accounting principles (GAAP), which requires management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities, the disclosure of contingent assets and
liabilities at the date of the financial statements and the reported amounts of income and expenses during the reporting period. Actual results could differ from those estimates.
The following is a summary of significant accounting policies
followed by the Fund in the preparation of its financial statements.
Security valuation
All equity securities are valued at the close of business of
the New York Stock Exchange. Equity securities are valued at the official closing price on the principal exchange or market on which they trade. 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 determined at the scheduled closing time of the New York Stock Exchange. Many securities markets and exchanges outside the U.S. close prior to the close of the New York Stock Exchange; therefore, the
closing prices for securities in such markets or on such exchanges may not fully reflect events that occur after such close but before the close of the New York Stock Exchange. In those situations, foreign securities will be fair valued pursuant to
a policy adopted by the Board of Trustees. Under the policy, the Fund may utilize a third party pricing service to determine these fair values. The third-party pricing service takes into account multiple factors, including, but not limited to,
movements in the U.S. securities markets, certain depositary receipts, futures contracts and foreign exchange rates that have occurred subsequent to the close of the foreign exchange or market, to determine a good faith estimate that reasonably
reflects the current market conditions as of the close of the New York Stock Exchange. The fair value of a security is likely to be different from the quoted or published price, if available.
22
|
Columbia Contrarian Core Fund
| Annual Report 2019
|
Notes to Financial Statements (continued)
August 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.
Foreign currency transactions and translations
The values of all assets and liabilities denominated in
foreign currencies are generally translated into U.S. dollars at exchange rates determined at the close of regular trading on the New York Stock Exchange. Net realized and unrealized gains (losses) on foreign currency transactions and translations
include gains (losses) arising from the fluctuation in exchange rates between trade and settlement dates on securities transactions, gains (losses) arising from the disposition of foreign currency and currency gains (losses) between the accrual and
payment dates on dividends, interest income and foreign withholding taxes.
For financial statement purposes, the Fund does not
distinguish that portion of gains (losses) on investments which is due to changes in foreign exchange rates from that which is due to changes in market prices of the investments. Such fluctuations are included with the net realized and unrealized
gains (losses) on investments in the Statement of Operations.
Security transactions
Security transactions are accounted for on the trade date.
Cost is determined and gains (losses) are based upon the specific identification method for both financial statement and federal income tax purposes.
Income recognition
Corporate actions and dividend income are generally recorded
net of any non-reclaimable tax withholdings, on the ex-dividend date or upon receipt of 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.
Columbia
Contrarian Core Fund | Annual Report 2019
|
23
|
Notes to Financial Statements (continued)
August 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.
Foreign taxes
The Fund may be subject to foreign taxes on income, gains on
investments or currency repatriation, a portion of which may be recoverable. The Fund will accrue such taxes and recoveries, as applicable, based upon its current interpretation of tax rules and regulations that exist in the markets in which it
invests.
Realized gains in certain countries may be
subject to foreign taxes at the Fund level, based on statutory rates. The Fund accrues for such foreign taxes on realized and unrealized gains at the appropriate rate for each jurisdiction, as applicable. The amount, if any, is disclosed as a
liability on the Statement of Assets and Liabilities.
Distributions to shareholders
Distributions from net investment income, if any, are declared
and paid annually. Net realized capital gains, if any, are distributed at least annually. Income distributions and capital gain distributions are determined in accordance with federal income tax regulations, which may differ from GAAP.
Guarantees and indemnifications
Under the Trust’s organizational documents and, in some
cases, by contract, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Trust or its funds. In addition, certain of the Fund’s contracts with its service providers contain
general indemnification clauses. The Fund’s maximum exposure under these arrangements is unknown since the amount of any future claims that may be made against the Fund cannot be determined, and the Fund has no historical basis for predicting
the likelihood of any such claims.
Recent accounting
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. The standard is effective for annual periods beginning after December 15, 2019 and interim periods within
those fiscal years, with early adoption permitted. After evaluation, management determined to adopt the ASU effective for the period ended August 31, 2019 and all subsequent periods. As a result of the amendments, management implemented disclosure
changes which include removal
24
|
Columbia Contrarian Core Fund
| Annual Report 2019
|
Notes to Financial Statements (continued)
August 31, 2019
of the amount and
reasons for transfers between Level 1 and Level 2 of the fair value hierarchy, removal of the policy for the timing of transfers between levels, removal of the description of the Level 3 valuation processes, as well as modifications to the
measurement uncertainty disclosure.
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 0.77% to 0.57% as the Fund’s net assets increase. The
effective management services fee rate for the year ended August 31, 2019 was 0.61% 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.
Columbia
Contrarian Core Fund | Annual Report 2019
|
25
|
Notes to Financial Statements (continued)
August 31, 2019
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 August 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
|
0.15
|
Advisor
Class
|
0.15
|
Class
C
|
0.15
|
Institutional
Class
|
0.15
|
Institutional
2 Class
|
0.06
|
Institutional
3 Class
|
0.01
|
Class
R
|
0.15
|
Class
T
|
0.04
(a)
|
Class
V
|
0.15
|
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 August 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 0.10%, 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.
26
|
Columbia Contrarian Core Fund
| Annual Report 2019
|
Notes to Financial Statements (continued)
August 31, 2019
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.
Sales charges
(unaudited)
Sales charges, including front-end charges
and contingent deferred sales charges (CDSC), received by the Distributor for distributing Fund shares for the year ended August 31, 2019, if any, are listed below:
|
Front
End (%)
|
CDSC
(%)
|
Amount
($)
|
Class
A
|
5.75
|
0.50 - 1.00
(a)
|
1,342,446
|
Class
C
|
—
|
1.00
(b)
|
46,574
|
Class
T
|
2.50
|
—
|
—
|
Class
V
|
5.75
|
0.50 - 1.00
(a)
|
5,414
|
(a)
|
This
charge is imposed on certain investments of between $1 million and $50 million redeemed within 18 months after purchase, as follows: 1.00% if redeemed within 12 months after purchase, and 0.50% if redeemed more than 12, but less than 18, months
after purchase, with certain limited exceptions.
|
(b)
|
This
charge applies to redemptions within 12 months after purchase, with certain limited exceptions.
|
The Fund’s other share classes are not subject to sales
charges.
Expenses waived/reimbursed by the Investment
Manager and its affiliates
The Investment Manager and
certain of its affiliates have contractually agreed to waive fees and/or reimburse expenses (excluding certain fees and expenses described below) for the period(s) disclosed below, unless sooner terminated at the sole discretion of the Board of
Trustees, so that the Fund’s net operating expenses, after giving effect to fees waived/expenses reimbursed and any balance credits and/or overdraft charges from the Fund’s custodian, do not exceed the following annual rate(s) as a
percentage of the class’ average daily net assets:
|
January
1, 2019
through
December 31, 2019
|
Prior
to
January 1, 2019
|
Class
A
|
1.14%
|
1.15%
|
Advisor
Class
|
0.89
|
0.90
|
Class
C
|
1.89
|
1.90
|
Institutional
Class
|
0.89
|
0.90
|
Institutional
2 Class
|
0.80
|
0.81
|
Institutional
3 Class
|
0.75
|
0.76
|
Class
R
|
1.39
|
1.40
|
Class
V
|
1.14
|
1.15
|
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.
Columbia
Contrarian Core Fund | Annual Report 2019
|
27
|
Notes to Financial Statements (continued)
August 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 August 31, 2019, these differences were primarily due to
differing treatment for deferral/reversal of wash sale losses, trustees’ deferred compensation, re-characterization of distributions for investments, distribution reclassifications, 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:
Undistributed
net
investment
income ($)
|
Accumulated
net realized
gain ($)
|
Paid
in
capital ($)
|
(223,589)
|
223,589
|
—
|
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 August 31, 2019
|
Year
Ended August 31, 2018
|
Ordinary
income ($)
|
Long-term
capital gains ($)
|
Total
($)
|
Ordinary
income ($)
|
Long-term
capital gains ($)
|
Total
($)
|
109,292,030
|
756,700,678
|
865,992,708
|
128,021,089
|
514,308,625
|
642,329,714
|
Short-term capital gain
distributions, if any, are considered ordinary income distributions for tax purposes.
At August 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 ($)
|
Net
unrealized
appreciation ($)
|
69,453,878
|
305,361,675
|
—
|
3,096,535,260
|
At August 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) ($)
|
Net
unrealized
appreciation ($)
|
6,613,223,174
|
3,247,057,236
|
(150,521,976)
|
3,096,535,260
|
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 $5,251,641,864 and $7,207,732,672, respectively, for the year ended August 31, 2019. The amount of purchase and sale activity impacts the portfolio turnover rate reported in the
Financial Highlights.
28
|
Columbia Contrarian Core Fund
| Annual Report 2019
|
Notes to Financial Statements (continued)
August 31, 2019
Note 6. Affiliated money market fund
The Fund invests in Columbia Short-Term Cash Fund, an
affiliated money market fund established for the exclusive use by the Fund and other affiliated funds (the Affiliated MMF). The income earned by the Fund from such investments is included as Dividends - affiliated issuers in the Statement of
Operations. As an investing fund, the Fund indirectly bears its proportionate share of the expenses of the Affiliated MMF. The Affiliated MMF prices its shares with a floating net asset value. In addition, the Board of Trustees of the Affiliated MMF
may impose a fee on redemptions (sometimes referred to as a liquidity fee) or temporarily suspend redemptions (sometimes referred to as imposing a redemption gate) in the event its liquidity falls below regulatory limits.
Note 7. Interfund lending
Pursuant to an exemptive order granted by the Securities and
Exchange Commission, the Fund participates in a program (the Interfund Program) allowing each participating Columbia Fund (each, a Participating Fund) to lend money directly to and, except for closed-end funds and money market funds, borrow money
directly from other Participating Funds for temporary purposes. The amounts eligible for borrowing and lending under the Interfund Program are subject to certain restrictions.
Interfund loans are subject to the risk that the borrowing
fund could be unable to repay the loan when due, and a delay in repayment to the lending fund could result in lost opportunities and/or additional lending costs. The exemptive order is subject to conditions intended to mitigate conflicts of interest
arising from the Investment Manager’s relationship with each Participating Fund.
The Fund’s activity in the Interfund Program during the
year ended August 31, 2019 was as follows:
Borrower
or lender
|
Average
loan
balance ($)
|
Weighted
average
interest rate (%)
|
Days
outstanding
|
Borrower
|
7,987,500
|
3.07
|
8
|
Lender
|
2,292,308
|
2.79
|
13
|
Interest income earned and
interest expense incurred by the Fund is recorded as Interfund lending in the Statement of Operations. The Fund had no outstanding interfund loans at August 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 August 31,
2019.
Note 9. Significant risks
Shareholder concentration risk
At August 31, 2019, two unaffiliated shareholders of record
owned 24.7% 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 22.3% of the outstanding shares of the
Fund in one or more accounts. Subscription and redemption activity by concentrated accounts may have a significant effect on the operations of the Fund. In the case of a
Columbia
Contrarian Core Fund | Annual Report 2019
|
29
|
Notes to Financial Statements (continued)
August 31, 2019
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.
Technology and technology-related investment risk
The Fund may be more susceptible to the particular risks that
may affect companies in the information technology sector, as well as other technology-related sectors (collectively, the technology sectors) than if it were invested in a wider variety of companies in unrelated sectors. Companies in the technology
sectors are subject to certain risks, including the risk that new services, equipment or technologies will not be accepted by consumers and businesses or will become rapidly obsolete. Performance of such companies may be affected by factors
including obtaining and protecting patents (or the failure to do so) and significant competitive pressures, including aggressive pricing of their products or services, new market entrants, competition for market share and short product cycles due to
an accelerated rate of technological developments. Such competitive pressures may lead to limited earnings and/or falling profit margins. As a result, the value of their securities may fall or fail to rise. In addition, many technology sector
companies have limited operating histories and prices of these companies’ securities historically have been more volatile than other securities, especially over the short term.
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.
30
|
Columbia Contrarian Core 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 Contrarian Core Fund
Opinion on the Financial Statements
We have audited the accompanying statement of assets and
liabilities, including the portfolio of investments, of Columbia Contrarian Core Fund (one of the funds constituting Columbia Funds Series Trust I, hereafter referred to as the “Fund”) as of August 31, 2019, the related statement of
operations for the year ended August 31, 2019, the statement of changes in net assets for each of the two years in the period ended August 31, 2019, including the related notes, and the financial highlights for each of the five years in the period
ended August 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 August 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 August 31, 2019 and the financial highlights for each of the five years in the period ended August 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 August 31, 2019, by correspondence with the custodian, transfer agent and brokers; when replies were not received from brokers, we performed other audit procedures. We believe that our audits provide a reasonable basis for
our opinion.
/s/PricewaterhouseCoopers LLP
Minneapolis, Minnesota
October 24, 2019
We have served as the auditor of one or more investment
companies within the Columbia Funds Complex since 1977.
Columbia
Contrarian Core Fund | Annual Report 2019
|
31
|
Federal Income Tax Information
(Unaudited)
The Fund hereby designates the following tax attributes for
the fiscal year ended August 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%
|
$447,714,346
|
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.
TRUSTEES AND OFFICERS
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), September 2007-October 2018
|
70
|
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, December 2002-May 2006; President of UAL Loyalty Services (airline marketing company), September 2001-December 2002; Executive Vice President and Chief
Financial Officer of United Airlines, July 1999-September 2001
|
70
|
Spartan
Nash Company, (food distributor); former Director, Nash Finch Company (food distributor), 2005-2013; Aircastle Limited (aircraft leasing); former Director, SeaCube Container Leasing Ltd. (container leasing), 2010-2013; and Travelport Worldwide
Limited (travel information technology)
|
32
|
Columbia Contrarian Core 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
|
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), 1997-2010; Chair, Wellington Management Portfolios (commingled non-U.S. investment pools), 2007-2010; Director, Wellington Trust Company, NA
and other Wellington affiliates, 1997-2010
|
70
|
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
|
70
|
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
|
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, August 2007-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, August 1999-October 2005;
University Professor, Boston College, November 2005-August 2007
|
70
|
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, 1988-2014
|
70
|
Former
Director, M Fund, Inc. (M Funds mutual fund family), July 2018-July 2019
|
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, 1994-1997, President – Application Systems Division, 1991-1994, Chief Financial Officer – US Marketing & Services, 1988-1991, and Chief Information Officer, 1987-1988, IBM Corporation
(computer and technology)
|
70
|
Former
Director, Enesco Group, Inc. (producer of giftware and home and garden decor products), 2001-2006
|
Columbia
Contrarian Core Fund | Annual Report 2019
|
33
|
TRUSTEES AND OFFICERS (continued)
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, May
2010-February 2015; President, Columbia Funds, 2009-2015; and senior officer of Columbia Funds and affiliated funds, 2003-2015
|
70
|
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
|
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, 2004-2010; Senior Partner, McKinsey & Company, 2001-2004
|
70
|
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, April 2016-September
2016; Senior Vice President and Chief Investment Officer, Calvert Investments, August 2008-January 2016; Section Head and Portfolio Manager, General Motors Asset Management, June 1997-August 2008
|
70
|
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
|
192
|
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, August 2006 - January 2013
|
34
|
Columbia Contrarian Core Fund
| Annual Report 2019
|
TRUSTEES AND OFFICERS (continued)
*
|
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.
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 as of the printing of this report, 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.
|
Columbia
Contrarian Core Fund | Annual Report 2019
|
35
|
TRUSTEES AND OFFICERS (continued)
Fund officers (continued)
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
|
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.
|
Board Consideration and Approval of
Management
Agreement
On June 12, 2019, the Board of Trustees (the Board) and the
Trustees who are not interested persons (as defined in the Investment Company Act of 1940) (the Independent Trustees) of Columbia Funds Series Trust I (the Trust) unanimously approved the continuation of the Management Agreement (the Management
Agreement) with Columbia Management Investment Advisers, LLC (the Investment Manager) with respect to Columbia Contrarian Core Fund (the Fund), a series of the Trust. As detailed below, the Board’s Advisory Fees and Expenses Committee (the
Committee) and the Board met on multiple occasions to review and discuss, among themselves, with the management team of the Investment Manager and with an independent fee consultant, materials provided by the Investment Manager, the independent fee
consultant and others before determining to approve the continuation of the Management Agreement.
In connection with their deliberations regarding the
continuation of the Management Agreement, the Committee and the Board evaluated materials requested from the Investment Manager regarding the Fund and the Management Agreement, and discussed these materials with representatives of the Investment
Manager at Committee meetings held on March 5, 2019, April 25, 2019 and June 11, 2019 and at Board meetings held on March 6, 2019 and June 12, 2019. In addition, the Board and its various committees consider matters bearing on the Management
Agreement at other meetings throughout the year and in prior years and meet regularly with senior management of the Trust and the Investment Manager. Through the Board’s Investment Oversight Committees, Trustees also meet with selected
portfolio managers of the funds the Trustees oversee and with other investment personnel at various times throughout the year. The Committee and the Board also consulted with the independent fee consultant, Fund counsel and the Independent
Trustees’ independent legal counsel, who advised on various matters with respect to the Committee’s and the Board’s considerations and otherwise assisted the Committee and the Board in their deliberations. On June 11, 2019, the
Committee recommended that the Board approve the continuation of the Management Agreement. On June 12, 2019, the Board, including the Independent Trustees, voting separately, unanimously approved the continuation of the Management Agreement for the
Fund.
The Committee and the Board considered all
information that they, their legal counsel or the Investment Manager believed reasonably necessary to evaluate and to determine whether to recommend for approval or approve the continuation of the Management Agreement. The information and factors
considered by the Committee and the Board in recommending for approval or approving the continuation of the Management Agreement for the Fund included the following:
•
|
Information on the
investment performance of the Fund relative to the performance of a group of mutual funds determined to be comparable to the Fund by an independent third-party data provider, as well as performance relative to benchmarks;
|
•
|
Information on the
Fund’s management fees and total expenses, including information comparing the Fund’s expenses to those of a group of comparable mutual funds, as determined by the independent third-party data provider;
|
36
|
Columbia Contrarian Core Fund
| Annual Report 2019
|
Board Consideration and Approval of Management
Agreement (continued)
•
|
The Investment
Manager’s agreement to contractually limit or cap total operating expenses for the Fund through December 31, 2020 so that total operating expenses (excluding certain fees and expenses, such as transaction costs and certain other investment
related expenses, interest, taxes, acquired fund fees and expenses, and infrequent and/or unusual expenses) would not exceed a specified annual rate, as a percentage of the Fund’s net assets;
|
•
|
The terms and conditions of
the Management Agreement;
|
•
|
The current and proposed
terms and conditions of other agreements and arrangements with affiliates of the Investment Manager relating to the operations of the Fund, including agreements with respect to the provision of distribution, transfer agency and shareholder services
to the Fund;
|
•
|
Descriptions of various
functions performed by the Investment Manager under the Management Agreement, including portfolio management and portfolio trading practices;
|
•
|
Information regarding the
management fees of similarly-managed portfolios of other clients of the Investment Manager, including institutional accounts and collective trusts;
|
•
|
Information regarding the
reputation, regulatory history and resources of the Investment Manager, including information regarding senior management, portfolio managers and other personnel;
|
•
|
Information regarding the
capabilities of the Investment Manager with respect to compliance monitoring services, including an assessment of the Investment Manager’s compliance system by the Fund’s Chief Compliance Officer; and
|
•
|
The profitability to the
Investment Manager and its affiliates from their relationships with the Fund.
|
Nature, extent and quality of services provided under the
Management Agreement
The Committee and the Board
considered the nature, extent and quality of services provided to the Fund by the Investment Manager and its affiliates under the Management Agreement and under separate agreements for the provision of transfer agency and shareholder services, and
the resources dedicated to the Fund and the other Columbia Funds by the Investment Manager and its affiliates. The Committee and the Board considered, among other things, the Investment Manager’s ability to attract, motivate and retain highly
qualified research, advisory and supervisory investment professionals (including compensation programs for personnel involved in fund management, reputation and other attributes), the portfolio management services provided by those investment
professionals, and the quality of the Investment Manager’s investment research capabilities and trade execution services. The Committee and the Board also considered the potential benefits to shareholders of investing in a mutual fund that is
part of a fund complex offering exposure to a variety of asset classes and investment disciplines and providing a variety of fund and shareholder services.
The Committee and the Board also considered the professional
experience and qualifications of the senior personnel of the Investment Manager, which included consideration of the Investment Manager’s experience with funds using an investment strategy similar to that used by the Investment Manager for the
Fund. The Committee and the Board noted the compliance programs of and the compliance-related resources provided to the Fund by the Investment Manager and its affiliates and the resources dedicated by the Investment Manager and its affiliates to
risk management, and considered the Investment Manager’s ability to provide administrative services to the Fund and coordinate the activities of the Fund’s other service providers. After reviewing these and related factors, the Committee
and the Board concluded, within the context of their overall conclusions, that the nature, extent and quality of the services provided to the Fund under the Management Agreement supported the continuation of the Management Agreement.
Investment performance
The Committee and the Board reviewed information about the
performance of the Fund over various time periods, including performance information relative to benchmarks, information that compared the performance of the Fund to the performance of a group of comparable mutual funds as determined by the
independent third-party data provider, and information and analysis provided by the independent fee consultant. The Committee and the Board also reviewed a description of the third party’s methodology for identifying the Fund’s peer
groups for purposes of performance and expense comparisons. Although the Fund’s performance lagged that of a relevant peer group for certain (although not necessarily all) periods, the Committee
Columbia
Contrarian Core Fund | Annual Report 2019
|
37
|
Board Consideration and Approval of Management
Agreement (continued)
and the Board concluded that other factors relevant to performance were
sufficient, in light of other considerations, to support continuation of the Management Agreement. Those factors included one or more of the following: (i) that the Fund’s performance, although lagging in certain recent periods, was stronger
over the longer term; (ii) that the underperformance was attributable, to a significant extent, to investment decisions that were reasonable and consistent with the Fund’s investment strategy and policies and that the Fund was performing
within a reasonable range of expectations, given those investment decisions, market conditions and the Fund’s investment strategy; (iii) that the Fund’s performance was competitive when compared to other relevant performance benchmarks
or peer groups; and (iv) that the Investment Manager had taken or was taking steps designed to help improve the Fund’s investment performance, including, but not limited to, replacing portfolio managers, enhancing the resources supporting the
portfolio managers, or modifying investment strategies.
The Committee and the Board noted that, through December 31,
2018, the Fund’s performance was in the eighty-sixty, eighty-fifth and fifty-seventh percentile (where the best performance would be in the first percentile) of its category selected by the independent third-party data provider for the
purposes of performance comparisons for the one-, three- and five-year periods, respectively.
The Committee and the Board also considered the Investment
Manager’s performance and reputation generally, the Investment Manager’s historical responsiveness to Board concerns about performance, and the Investment Manager’s willingness to take steps intended to improve performance. After
reviewing these and related factors, the Committee and the Board concluded, within the context of their overall conclusions, that the performance of the Fund and the Investment Manager was sufficient, in light of other considerations, to support the
continuation of the Management Agreement.
Investment
management fee rates and other expenses
The Committee
and the Board considered the management fees charged to the Fund under the Management Agreement as well as the total expenses incurred by the Fund. In assessing the reasonableness of the fees under the Management Agreement, the Committee and the
Board considered, among other information, the Fund’s total expense ratio as a percentage of average daily net assets. The Committee and the Board considered data provided by the independent third-party data provider and the independent fee
consultant. The Committee and the Board noted that, as of December 31, 2018, the Fund’s actual management fee and net total expense ratio were both ranked in the third quintile (where the lowest fees and expenses would be in the first
quintile) against the Fund’s expense universe as determined by the independent third-party data provider for purposes of expense comparison. The Committee and the Board also took into account the fee waiver and expense limitation arrangements
agreed to by the Investment Manager, as noted above.
The
Committee and the Board also received and considered information about the management fees charged by the Investment Manager to institutional accounts. In considering the fees charged to those accounts, the Committee and the Board took into account,
among other things, the Investment Manager’s representations about the differences between managing mutual funds as compared to other types of accounts, including differences in the services provided, differences in the risk profile of such
business for the Investment Manager and the additional resources required to manage mutual funds effectively. The Committee and the Board also received and considered information about the fees charged by the Investment Manager for sub-advisory
services it provides to comparable unaffiliated funds. In evaluating the Fund’s management fees, the Committee and the Board also took into account the demands, complexity and quality of the investment management of the Fund.
After reviewing these and related factors, the Committee and
the Board concluded, within the context of their overall conclusions, that the management fee rates and expenses of the Fund, in light of other considerations, supported the continuation of the Management Agreement.
Costs of services provided and profitability
The Committee and the Board also took note of the costs the
Investment Manager and its affiliates incur in connection with the services provided and the profitability to the Investment Manager and its affiliates from their relationships with the Fund, and the efforts undertaken by the Investment Manager and
its affiliates to manage efficiently their costs to provide such services.
38
|
Columbia Contrarian Core Fund
| Annual Report 2019
|
Board Consideration and Approval of Management
Agreement (continued)
The Committee and the Board also considered the compensation directly or
indirectly received by the Investment Manager’s affiliates in connection with their relationships with the Fund. The Committee and the Board reviewed information provided by management as to the profitability to the Investment Manager and its
affiliates of their relationships with the Fund, information about the allocation of expenses used to calculate profitability, and comparisons of profitability levels realized in 2018 to profitability levels realized in 2017. When reviewing
profitability, the Committee and the Board also considered court cases in which adviser profitability was an issue in whole or in part, the performance of similarly managed funds, the performance of the Fund, and the expense ratio of the Fund. In
addition, the Committee and the Board considered information provided by the Investment Manager regarding the Investment Manager’s financial condition and comparing its profitability to that of other asset management firms that are, or are
subsidiaries of, publicly traded companies. In this regard, the Committee and the Board also considered data provided by the independent fee consultant.
After reviewing these and related factors, the Committee and
the Board concluded, within the context of their overall conclusions, that the costs of services provided and the profitability to the Investment Manager and its affiliates from their relationships with the Fund supported the continuation of the
Management Agreement.
Economies of scale
The Committee and the Board considered the potential
existence of economies of scale in the provision by the Investment Manager of services to the Fund, to groups of related funds, and to the Investment Manager’s investment advisory clients as a whole, and whether those economies of scale were
shared with the Fund through breakpoints in investment management fees or other means, such as expense limitation arrangements and additional investments by the Investment Manager in investment, trading, compliance and other resources. The Committee
and the Board noted that the management fee schedules for the Fund contained breakpoints that would reduce the fee rate on assets above specified threshold levels.
In considering these matters, the Committee and the Board also
considered the costs of the services provided and the profitability to the Investment Manager and its affiliates from their relationships with the Fund, as noted above. After reviewing these and related factors, the Committee and the Board
concluded, within the context of their overall conclusions, that the extent to which any economies of scale were expected to be shared with the Fund supported the continuation of the Management Agreement.
Other benefits to the Investment Manager
The Committee and the Board received and considered
information regarding “fall-out” or ancillary benefits received by the Investment Manager and its affiliates as a result of their relationships with the Fund, such as the engagement of the Investment Manager’s affiliates to provide
distribution, transfer agency and shareholder services to the Fund. In this regard, among other matters, the Committee and the Board considered that the Fund’s distributor retains a portion of the distribution fees from the Fund and receives a
portion of the sales charges on sales or redemptions of certain classes of shares of the Fund. The Committee and the Board also considered the benefits of research made available to the Investment Manager by reason of brokerage commissions generated
by the Fund’s securities transactions, and reviewed information about the Investment Manager’s practices with respect to considering brokerage and research services when allocating portfolio transactions. In this connection, the Board
also noted that the amount of research made available to the Investment Manager by reason of brokerage commissions had been declining over time, and may decline further. The Committee and the Board recognized that the Investment Manager’s
profitability would be somewhat lower without these benefits.
Conclusion
The Committee and the Board reviewed all of the above
considerations in reaching their decisions to recommend or approve the continuation of the Management Agreement. In their deliberations, the Trustees did not identify any particular information that was all-important or controlling, and individual
Trustees may have attributed different weights to the various factors. Based on their evaluation of all factors that they deemed to be material, including those factors described above, and assisted by the advice of independent legal counsel, the
Board, including the Independent Trustees, voting separately, unanimously approved the continuation of the Management Agreement.
Columbia
Contrarian Core Fund | Annual Report 2019
|
39
|
Columbia Contrarian Core Fund
P.O. Box 219104
Kansas City, MO 64121-9104
Please read and consider the investment objectives, risks,
charges and expenses for any fund carefully before investing. For a prospectus and summary prospectus, which contains this and other important information about the Fund, go to
columbiathreadneedleus.com/investor/. The Fund is distributed by Columbia Management Investment Distributors, Inc., member FINRA, and managed by Columbia Management Investment Advisers, LLC.
Columbia Threadneedle Investments (Columbia Threadneedle) is
the global brand name of the Columbia and Threadneedle group of companies. All rights reserved.
© 2019 Columbia Management Investment Advisers, LLC.
columbiathreadneedleus.com/investor/
Annual
Report
August 31, 2019
Columbia Emerging Markets 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
|
|
6
|
|
8
|
|
9
|
|
14
|
|
16
|
|
17
|
|
20
|
|
24
|
|
33
|
|
34
|
|
34
|
|
38
|
Columbia Emerging Markets Fund (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-PORT, and for reporting periods ended prior to March 31, 2019, on Form N-Q. The Fund’s Form N-Q and Form N-PORT filings are available on the SEC’s website at sec.gov.
The Fund’s complete schedule of portfolio holdings, as filed on Form N-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 (the Investment Manager)
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 Emerging
Markets Fund | Annual Report 2019
Investment objective
The Fund seeks long-term capital
appreciation.
Portfolio
management
Dara White,
CFA
Lead
Portfolio Manager
Managed Fund
since 2008
Robert
Cameron
Portfolio
Manager
Managed Fund
since 2008
Jasmine (Weili)
Huang*, CFA, CPA (U.S. and China), CFM
Portfolio
Manager
Managed Fund
since 2008
Young Kim
Portfolio
Manager
Managed Fund
since 2015
Perry Vickery,
CFA
Portfolio
Manager
Managed Fund
since 2017
*
Jasmine (Weili) Huang is on a medical leave of absence. A timetable for her return is not set.
Morningstar
style boxTM
The Morningstar
Style Box is based on a fund’s portfolio holdings. For equity funds, the vertical axis shows the market capitalization of the stocks owned, and the horizontal axis shows investment style (value, blend, or growth). Information shown is based on
the most recent data provided by Morningstar.
© 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 August 31, 2019)
|
|
|
Inception
|
1
Year
|
5
Years
|
10
Years
|
Class
A
|
Excluding
sales charges
|
09/28/07
|
0.00
|
2.15
|
5.38
|
|
Including
sales charges
|
|
-5.74
|
0.94
|
4.76
|
Advisor
Class*
|
03/19/13
|
0.20
|
2.41
|
5.66
|
Class
C
|
Excluding
sales charges
|
09/28/07
|
-0.79
|
1.39
|
4.60
|
|
Including
sales charges
|
|
-1.78
|
1.39
|
4.60
|
Institutional
Class
|
01/02/98
|
0.20
|
2.41
|
5.65
|
Institutional
2 Class*
|
11/08/12
|
0.36
|
2.55
|
5.76
|
Institutional
3 Class*
|
11/08/12
|
0.43
|
2.60
|
5.80
|
Class
R*
|
09/27/10
|
-0.25
|
1.89
|
5.14
|
MSCI
Emerging Markets Index (Net)
|
|
-4.36
|
0.38
|
4.07
|
MSCI
EAFE Index (Net)
|
|
-3.26
|
1.89
|
5.00
|
Returns for Class A shares are shown
with and without the maximum initial sales charge of 5.75%. Returns for Class C shares are shown with and without the 1.00% contingent deferred sales charge for the first year only. The Fund’s other share classes are not subject to sales
charges and have limited eligibility. Please see the Fund’s prospectus for details. Performance for different share classes will vary based on differences in sales charges and fees associated with each share class. All results shown assume
reinvestment of distributions during the period. Returns do not reflect the deduction of taxes that a shareholder may pay on Fund distributions or on the redemption of Fund shares. Performance results reflect the effect of any fee waivers or
reimbursements of Fund expenses by Columbia Management Investment Advisers, LLC and/or any of its affiliates. Absent these fee waivers or expense reimbursement arrangements, performance results would have been lower.
The performance information shown represents past performance and
is not a guarantee of future results. The investment return and principal value of your investment will fluctuate so that your shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than
the performance information shown. You may obtain performance information current to the most recent month-end by contacting your financial intermediary, visiting columbiathreadneedleus.com/investor/ or calling 800.345.6611.
*
|
The returns shown for periods
prior to the share class inception date (including returns for the Life of the Fund, if shown, which are since Fund inception) include the returns of the Fund’s oldest share class. These returns are adjusted to reflect any higher class-related
operating expenses of the newer share classes, as applicable. Please visit columbiathreadneedleus.com/investor/investment-products/mutual-funds/appended-performance for more information.
|
The MSCI Emerging Markets Index (Net) is a free float-adjusted
market capitalization index that is designed to measure equity market performance of emerging markets.
The MSCI EAFE Index (Net) is a free float-adjusted market
capitalization index that is designed to measure the equity market performance of developed markets, excluding the U.S. and Canada. The index is compiled from a composite of securities markets of Europe, Australasia and the Far East and is widely
recognized by investors in foreign markets as the measurement index for portfolios of non-North American securities.
Indices are not available for investment, are not
professionally managed and do not reflect sales charges, fees, brokerage commissions, taxes (except the MSCI Emerging Markets Index (Net) and the MSCI EAFE Index (Net) which reflect reinvested dividends net of withholding taxes) or other expenses of
investing. Securities in the Fund may not match those in an index.
Columbia
Emerging Markets Fund | Annual Report 2019
|
3
|
Fund at a Glance (continued)
Performance of a
hypothetical $10,000 investment (August 31, 2009 — August 31, 2019)
The chart above shows the
change in value of a hypothetical $10,000 investment in Class A shares of Columbia Emerging Markets 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 August 31, 2019)
|
Alibaba
Group Holding Ltd., ADR (China)
|
7.0
|
Tencent
Holdings Ltd. (China)
|
6.3
|
Taiwan
Semiconductor Manufacturing Co., Ltd. (Taiwan)
|
4.0
|
Naspers
Ltd., Class N (South Africa)
|
3.8
|
Samsung
Electronics Co., Ltd. (South Korea)
|
3.6
|
Ping
An Insurance Group Co. of China Ltd., Class H (China)
|
2.2
|
PT
Bank Rakyat Indonesia Persero Tbk (Indonesia)
|
2.2
|
PT
Bank Central Asia Tbk (Indonesia)
|
2.0
|
Reliance
Industries Ltd. (India)
|
1.9
|
Itaú
Unibanco Holding SA, ADR (Brazil)
|
1.8
|
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.
Equity
sector breakdown (%) (at August 31, 2019)
|
Communication
Services
|
12.5
|
Consumer
Discretionary
|
24.2
|
Consumer
Staples
|
4.2
|
Energy
|
8.1
|
Financials
|
21.9
|
Health
Care
|
5.4
|
Industrials
|
3.9
|
Information
Technology
|
14.4
|
Materials
|
2.7
|
Real
Estate
|
2.1
|
Utilities
|
0.6
|
Total
|
100.0
|
Percentages indicated are based
upon total equity investments. The Fund’s portfolio composition is subject to change.
4
|
Columbia Emerging Markets
Fund | Annual Report 2019
|
Fund at a Glance (continued)
Country
breakdown (%) (at August 31, 2019)
|
Argentina
|
0.3
|
Brazil
|
13.3
|
Canada
|
0.8
|
China
|
28.6
|
Hong
Kong
|
3.2
|
Hungary
|
0.8
|
India
|
12.0
|
Indonesia
|
5.9
|
Luxembourg
|
0.5
|
Mexico
|
1.2
|
Panama
|
0.9
|
Peru
|
1.2
|
Philippines
|
1.4
|
Poland
|
1.3
|
Russian
Federation
|
5.0
|
South
Africa
|
4.9
|
South
Korea
|
7.8
|
Taiwan
|
5.8
|
Thailand
|
2.7
|
United
States(a)
|
2.4
|
Total
|
100.0
|
(a)
|
Includes
investments in Money Market Funds.
|
Country breakdown is based primarily on issuer’s place
of organization/incorporation. Percentages indicated are based upon total investments excluding investments in derivatives, if any. The Fund’s portfolio composition is subject to change.
Columbia
Emerging Markets Fund | Annual Report 2019
|
5
|
Manager Discussion of Fund Performance
For the
12-month period ended August 31, 2019, the Fund’s Class A shares returned 0.00% excluding sales charges. During the same time period, the Fund outperformed its benchmark, the MSCI Emerging Markets Index (Net), which returned -4.36%, as well as
the MSCI EAFE Index (Net), a measure of more developed foreign markets, which returned -3.26%. Individual stock selection, particularly in the financials, industrials, health care and consumer staples sectors, was the primary factor in the
Fund’s outperformance, while country allocation also contributed positively.
Market overview
The 12 months ended August 31, 2019 saw notable volatility
in risk assets including emerging market equities. The period opened against the backdrop of a slowing global economy and an escalating U.S.-China trade war. A sharp risk-off tone in late 2018 was driven by concerns that the U.S. Federal Reserve
(Fed) would overshoot in raising rates given the already fragile growth outlook. The Fed responded to the deterioration in sentiment by executing a policy pivot entering 2019, signaling a pause in rate increases along with announcing an early end to
its balance sheet reduction program. The Chinese government also moved toward increasing accommodation by putting to the side deleveraging efforts and adding stimulus in the form of lower bank reserve requirements, tax cuts and targeted
infrastructure spending. Along with signs of modest progress in trade negotiations, these developments supported a rebound in global equities over the first few months of 2019. However, the rally would be derailed in early May as President Trump
announced plans to raise tariffs from 10% to 25% on some $200 billion in imports from China. Sentiment was subsequently buffered to a degree as the Fed indicated a willingness to cut its benchmark overnight lending rate as needed to offset the
impact on global growth of higher tariffs.
There was
wide dispersion in performance across individual emerging markets over the 12 months. Brazilian equities led performance for the period, rising more than 30% on the back of elections in late 2018 that improved the outlook for government reform and
fiscal restraint. Indonesia was another strong performer, as that country’s reform-minded president won reelection and Southeast Asian economies in general benefited from a shift in U.S. manufacturing supply chains away from China in the wake
of trade tensions. Both Brazil and Indonesia overcame the narrative that they would be “the next Turkey” and fall prey to collapsing currencies due to a lack of market confidence in their fiscal management. That said, the oversold
Turkish equity market experienced a strong gain over the period, coming off lows. Russia also outperformed, likely in part due to improved corporate governance in the wake of U.S. sanctions that have limited access to financing. Sharp declines were
seen in Argentina, which required International Monetary Fund assistance to restructure its debt, as well as Mexico where elections went in a direction not viewed as friendly to free market enterprise. Korea was also in notable negative territory on
concerns over slower global growth that were exacerbated by the U.S.-China trade war. Indian equities also declined more than the benchmark, as Prime Minister Modi’s necessary reform efforts have weighed on the domestic economy in the short
term.
Contributors and detractors
While the Fund’s performance lagged the benchmark
during the sell-off in risk assets seen in late 2018, this was more than offset by strong relative results in 2019 through August 31. Individual stock selection was the primary factor in the Fund’s outperformance relative to the benchmark. The
Fund’s country allocation also contributed positively, most notably overweights to Brazil and Indonesia along with an underweight to Korea. Sector allocation detracted marginally, specifically overweights to consumer discretionary and
healthcare and underweights to utilities and consumer staples. It should be noted that the Fund’s country and sector weightings are the result of our individual stock selection process rather than top-down analysis.
In China, we have increasingly focused on domestically
oriented companies that are less vulnerable to global trade disruptions. Positive contributions from the Fund’s China holdings were highlighted by a pair of companies within consumer staples, premium liquor manufacturers Kweichow Moutai Co.,
Ltd. and Wuliangye Yibin Co., Ltd. Both companies have seen their results benefit from an increase in high-end consumption supported in part by the government’s recent stimulus efforts. Within consumer discretionary, a pair of educational
services companies, TAL Education Group and New Oriental Education & Technology, were notable outperformers as both companies have experienced strong enrollment growth. Within healthcare, a position in WuXi AppTec Group aided performance as the
China-based biopharmaceutical company has benefited from the industry trend toward outsourcing of clinical drug trials. Turning to Brazil, shares of rental car company Localiza Rent A Car rose on positive results driven by the recovery in the
domestic economy and the growth of rideshare companies such as Uber and Lyft. Low cost airline Azul Brazilian Airlines was another contributor, with results benefiting as Brazil emerges from an
6
|
Columbia Emerging Markets
Fund | Annual Report 2019
|
Manager Discussion of Fund Performance (continued)
historically deep recession. In Indonesia, positive contributions were led by
Banc Rakyat, a leading microfinance company which has experienced strong profit growth, and Ace Hardware Indonesia, which is well-positioned to benefit from a secular a rise in home ownership.
On the downside, shares of Sunny Optical Technology Co., Ltd.,
China’s largest manufacturer of smartphone camera components, declined notably. We exited the position on the view that the U.S.-China trade dispute and security concerns are likely to weigh on Chinese technology companies for some time.
Nexteer Automotive Group Ltd. was another laggard, as the China-based auto parts company was negatively impacted by shifting supply chains resulting from higher U.S. tariffs. We sold the position during the period. Shares of Chinese online
advertising firm 58.com also performed poorly as the slowing domestic economy hurt revenue growth. We have maintained our holdings of 58.com given the company’s leadership position in the Chinese market. Outside of China, detractors included
Mexican petrochemical company Mexichem SAB de CB, as slowing growth and regulatory concerns weighed on the stock price.
Portfolio positioning
We continue to use a bottom-up approach designed to identify
fast-growing, fundamentally sound companies that are capitalizing on favorable long-term trends, including the increase in emerging market consumers with rising incomes in developing economies. At the close of the reporting period, the Fund’s
most meaningful overweights were in the consumer discretionary, communications services and healthcare sectors, while underweights included materials, utilities, consumer staples and industrials.
In China, the government’s focus had shifted away from
deleveraging and toward measures to stimulate the economy at the close of the reporting period. The Chinese Purchasing Managers’ Index had shown signs of strengthening, suggesting a return on the part of companies to more of a “business
as usual” approach despite the overhang from trade uncertainty. More broadly, we believe that reforms in emerging market economies have the potential to be transformational in unlocking growth potential. Reform efforts in countries such as
Indonesia, China and India have been paving the way for greater macro stability and stronger structural growth. In Brazil as well, the new government has been pursuing reforms to boost productivity and address fiscal instability, most notably
targeting pensions.
We believe the emerging market
valuation case remains compelling, with most valuation metrics below their respective historical levels at the close of the reporting period. In addition, we viewed the improved composition of the emerging market universe, which featured higher
quality names, as offering investors an attractive opportunity to invest in solid businesses supported by structural growth trends.
Market risk may affect a single
issuer, sector of the economy, industry or the market as a whole. 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. Investments in small- and mid-cap companies involve risks and volatility greater
than investments in larger, more established companies. Value securities may be unprofitable if the market fails to recognize their intrinsic worth or the portfolio manager misgauged that worth. Growth
securities, at times, may not perform as well as value securities or the stock market in general and may be out of favor with investors. Certain issuer events, including
initial public offerings, business consolidation or restructuring, may present heightened risks to securities from the high degree of uncertainty associated with such events. 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.
Columbia
Emerging Markets 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 $1,000
= 8.6), then multiply the results by the expenses paid during the period under the “Actual” column. The amount listed in the “Hypothetical” column assumes a 5% annual rate of return before expenses (which is not the
Fund’s actual return) and then applies the Fund’s actual expense ratio for the period to the hypothetical return. You should not use the hypothetical account values and expenses to estimate either your actual account balance at the end
of the period or the expenses you paid during the period. See “Compare with other funds” below for details on how to use the hypothetical data.
Compare with other funds
Since all mutual funds are required to include the same
hypothetical calculations about expenses in shareholder reports, you can use this information to compare the ongoing cost of investing in the Fund with other funds. To do so, compare the hypothetical example with the 5% hypothetical examples that
appear in the shareholder reports of other funds. As you compare hypothetical examples of other funds, it is important to note that hypothetical examples are meant to highlight the ongoing costs of investing in a fund only and do not reflect any
transaction costs, such as sales charges, or redemption or exchange fees. Therefore, the hypothetical calculations are useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. If
transaction costs were included in these calculations, your costs would be higher.
March
1, 2019 — August 31, 2019
|
|
Account
value at the
beginning of the
period ($)
|
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
|
1,020.20
|
1,017.25
|
7.90
|
7.89
|
1.56
|
Advisor
Class
|
1,000.00
|
1,000.00
|
1,020.60
|
1,018.50
|
6.64
|
6.63
|
1.31
|
Class
C
|
1,000.00
|
1,000.00
|
1,016.10
|
1,013.49
|
11.67
|
11.66
|
2.31
|
Institutional
Class
|
1,000.00
|
1,000.00
|
1,020.70
|
1,018.50
|
6.64
|
6.63
|
1.31
|
Institutional
2 Class
|
1,000.00
|
1,000.00
|
1,021.50
|
1,019.20
|
5.93
|
5.92
|
1.17
|
Institutional
3 Class
|
1,000.00
|
1,000.00
|
1,022.20
|
1,019.45
|
5.68
|
5.67
|
1.12
|
Class
R
|
1,000.00
|
1,000.00
|
1,018.70
|
1,015.99
|
9.16
|
9.15
|
1.81
|
Expenses paid during the period
are equal to the annualized expense ratio for each class as indicated above, multiplied by the average account value over the period and then multiplied by the number of days in the Fund’s most recent fiscal half year and divided by 365.
Expenses do not include fees and expenses incurred indirectly
by the Fund from its investment in underlying funds, including affiliated and non-affiliated pooled investment vehicles, such as mutual funds and exchange-traded funds.
8
|
Columbia Emerging Markets
Fund | Annual Report 2019
|
Portfolio of Investments
August 31, 2019
(Percentages represent value of investments compared to net
assets)
Investments in securities
Common
Stocks 94.9%
|
Issuer
|
Shares
|
Value
($)
|
Argentina
0.3%
|
MercadoLibre,
Inc.(a)
|
7,078
|
4,208,579
|
Brazil
11.5%
|
Arco
Platform Ltd., Class A(a)
|
132,983
|
6,428,398
|
B3
SA - Brasil Bolsa Balcao
|
491,000
|
5,336,853
|
BK
Brasil Operacao e Assessoria a Restaurantes SA
|
3,993,900
|
18,276,842
|
IRB
Brasil Resseguros SA
|
155,800
|
3,986,238
|
Itaú
Unibanco Holding SA, ADR
|
2,772,800
|
22,847,872
|
Linx
SA
|
561,400
|
4,304,383
|
Localiza
Rent a Car SA
|
1,437,302
|
16,434,738
|
Lojas
Renner SA
|
549,340
|
6,715,187
|
Magazine
Luiza SA
|
868,800
|
7,626,390
|
Notre
Dame Intermedica Participacoes SA
|
910,700
|
11,924,210
|
Pagseguro
Digital Ltd., Class A(a)
|
149,475
|
7,467,771
|
Petrobras
Distribuidora SA
|
1,475,500
|
10,208,422
|
Petroleo
Brasileiro SA, ADR
|
1,477,776
|
20,023,865
|
Stone
Co., Ltd., Class A(a)
|
194,585
|
5,853,117
|
Total
|
147,434,286
|
Canada
0.8%
|
Parex
Resources, Inc.(a)
|
652,110
|
9,986,873
|
China
28.6%
|
58.Com,
Inc., ADR(a)
|
125,859
|
6,769,956
|
Alibaba
Group Holding Ltd., ADR(a)
|
497,827
|
87,134,660
|
BeiGene
Ltd., ADR(a)
|
95,216
|
13,687,300
|
China
Animal Healthcare Ltd.(a),(b),(c)
|
6,354,000
|
1
|
China
Resources Cement Holdings Ltd.
|
12,272,000
|
10,843,316
|
CNOOC
Ltd.
|
9,598,000
|
14,218,632
|
Ctrip.com
International Ltd., ADR(a)
|
172,242
|
5,577,196
|
HUYA,
Inc. ADR(a)
|
140,515
|
3,540,978
|
Jiangsu
Yanghe Brewery Joint-Stock Co., Ltd., Class A
|
652,711
|
10,227,233
|
Kingdee
International Software Group Co., Ltd.
|
5,726,000
|
5,165,576
|
Kweichow
Moutai Co., Ltd., Class A
|
40,348
|
6,448,245
|
Midea
Group Co., Ltd., Class A
|
1,161,153
|
8,591,618
|
NetEase,
Inc., ADR
|
61,638
|
15,717,690
|
New
Oriental Education & Technology Group, Inc., ADR(a)
|
105,605
|
11,975,607
|
Common
Stocks (continued)
|
Issuer
|
Shares
|
Value
($)
|
Ping
An Insurance Group Co. of China Ltd., Class H
|
2,408,000
|
27,627,013
|
Shenzhou
International Group Holdings Ltd.
|
933,000
|
12,658,305
|
TAL
Education Group, ADR(a)
|
310,237
|
11,053,744
|
Tencent
Holdings Ltd.
|
1,909,900
|
78,851,240
|
Tencent
Music Entertainment Group, ADR(a)
|
760,353
|
10,112,695
|
Wuliangye
Yibin Co., Ltd., Class A
|
212,023
|
4,198,248
|
WuXi
AppTec Co., Ltd., Class H
|
715,680
|
8,009,863
|
Wuxi
Biologics Cayman, Inc.(a)
|
1,199,000
|
12,584,061
|
Total
|
364,993,177
|
Hong
Kong 3.2%
|
AIA
Group Ltd.
|
1,464,400
|
14,170,645
|
Galaxy
Entertainment Group Ltd.
|
1,914,000
|
11,978,734
|
Melco
Resorts & Entertainment Ltd., ADR
|
157,433
|
3,274,606
|
Techtronic
Industries Co., Ltd.
|
1,675,500
|
11,557,137
|
Total
|
40,981,122
|
Hungary
0.8%
|
OTP
Bank Nyrt
|
150,345
|
5,994,950
|
Richter
Gedeon Nyrt
|
261,293
|
4,356,442
|
Total
|
10,351,392
|
India
12.0%
|
Apollo
Hospitals Enterprise Ltd.
|
405,314
|
8,559,945
|
Asian
Paints Ltd.
|
500,739
|
11,347,452
|
AU
Small Finance Bank Ltd.
|
521,290
|
4,919,521
|
Avenue
Supermarts Ltd.(a)
|
230,751
|
5,079,954
|
Bajaj
Finance Ltd.
|
119,258
|
5,572,777
|
Balkrishna
Industries Ltd.
|
619,122
|
6,457,615
|
Biocon
Ltd.
|
1,129,926
|
3,727,994
|
Eicher
Motors Ltd.
|
36,230
|
8,261,133
|
HDFC
Asset Management Co., Ltd.
|
191,154
|
6,838,272
|
HDFC
Bank Ltd., ADR
|
209,997
|
22,637,677
|
HDFC
Life Insurance Co., Ltd.
|
1,144,623
|
8,939,143
|
Indraprastha
Gas Ltd.
|
1,497,979
|
7,044,503
|
Jubilant
Foodworks Ltd.
|
634,709
|
10,570,037
|
Maruti
Suzuki India Ltd.
|
50,195
|
4,306,786
|
Petronet
LNG Ltd.
|
2,285,927
|
8,547,615
|
Reliance
Industries Ltd.
|
1,339,976
|
23,439,522
|
The accompanying Notes to Financial Statements are an integral part
of this statement.
Columbia
Emerging Markets Fund | Annual Report 2019
|
9
|
Portfolio of Investments (continued)
August 31, 2019
Common
Stocks (continued)
|
Issuer
|
Shares
|
Value
($)
|
Tech
Mahindra Ltd.
|
699,091
|
6,788,801
|
Total
|
153,038,747
|
Indonesia
5.9%
|
PT
Ace Hardware Indonesia Tbk
|
71,267,400
|
8,656,563
|
PT
Bank Central Asia Tbk
|
11,331,700
|
24,320,837
|
PT
Bank Rakyat Indonesia Persero Tbk
|
90,089,000
|
27,039,611
|
PT
Pakuwon Jati Tbk
|
160,903,400
|
7,248,308
|
PT
Telekomunikasi Indonesia Persero Tbk
|
25,309,800
|
7,957,698
|
Total
|
75,223,017
|
Luxembourg
0.5%
|
Ternium
SA, ADR
|
360,950
|
6,374,377
|
Mexico
1.2%
|
Grupo
Financiero Banorte SAB de CV, Class O
|
2,003,100
|
10,808,334
|
Mexichem
SAB de CV
|
2,716,171
|
4,973,853
|
Total
|
15,782,187
|
Panama
0.9%
|
Copa
Holdings SA, Class A
|
107,421
|
11,083,699
|
Peru
1.2%
|
Credicorp
Ltd.
|
72,229
|
14,960,071
|
Philippines
1.4%
|
Ayala
Land, Inc.
|
20,084,900
|
18,240,319
|
Poland
1.3%
|
Dino
Polska SA(a)
|
297,929
|
11,510,075
|
KRUK
SA
|
122,895
|
5,124,677
|
Total
|
16,634,752
|
Russian
Federation 5.0%
|
Detsky
Mir PJSC
|
3,393,890
|
4,589,599
|
Lukoil
PJSC, ADR
|
193,082
|
15,563,581
|
Mail.ru
Group Ltd., GDR(a),(d)
|
405,164
|
9,134,449
|
Sberbank
of Russia PJSC, ADR
|
809,745
|
11,113,784
|
TCS
Group Holding PLC, GDR(d)
|
447,095
|
8,315,967
|
Yandex
NV, Class A(a)
|
394,876
|
14,649,900
|
Total
|
63,367,280
|
Common
Stocks (continued)
|
Issuer
|
Shares
|
Value
($)
|
South
Africa 4.9%
|
AVI
Ltd.
|
1,092,276
|
5,969,446
|
Capitec
Bank Holdings Ltd.
|
95,555
|
6,897,284
|
Clicks
Group Ltd.
|
219,159
|
2,875,164
|
Naspers
Ltd., Class N
|
207,252
|
47,163,471
|
Total
|
62,905,365
|
South
Korea 6.9%
|
KB
Financial Group, Inc.
|
201,426
|
6,581,204
|
Pearl
Abyss Corp.(a)
|
29,639
|
4,769,755
|
Samsung
Electronics Co., Ltd.
|
1,231,103
|
44,823,205
|
SK
Hynix, Inc.
|
276,978
|
17,737,867
|
SK
Innovation Co., Ltd.
|
64,317
|
8,779,759
|
SK
Telecom Co., Ltd.
|
24,201
|
4,784,106
|
Total
|
87,475,896
|
Taiwan
5.8%
|
ASMedia
Technology, Inc.
|
338,000
|
5,431,572
|
MediaTek,
Inc.
|
742,000
|
8,679,416
|
Silergy
Corp.
|
326,000
|
7,243,319
|
Taiwan
Semiconductor Manufacturing Co., Ltd.
|
6,055,048
|
49,752,091
|
Taiwan
Semiconductor Manufacturing Co., Ltd., ADR
|
79,182
|
3,375,529
|
Total
|
74,481,927
|
Thailand
2.7%
|
Mega
Lifesciences PCL, Foreign Registered Shares
|
4,650,400
|
4,735,675
|
Muangthai
Capital PCL, Foreign Registered Shares
|
8,946,500
|
16,014,101
|
Srisawad
Corp., PCL, Foreign Registered Shares
|
2,238,610
|
4,062,881
|
Tisco
Financial Group PCL, Foreign Registered Shares
|
2,772,900
|
9,232,960
|
Total
|
34,045,617
|
Total
Common Stocks
(Cost $844,272,006)
|
1,211,568,683
|
Preferred
Stocks 2.7%
|
Issuer
|
|
Shares
|
Value
($)
|
Brazil
1.7%
|
Azul
SA(a)
|
|
859,900
|
10,042,203
|
Cia
Brasileira de Distribuicao
|
|
293,600
|
6,213,033
|
Lojas
Americanas SA
|
|
1,290,900
|
5,848,173
|
Total
|
22,103,409
|
The accompanying Notes to Financial Statements are an integral part
of this statement.
10
|
Columbia Emerging Markets
Fund | Annual Report 2019
|
Portfolio of Investments
(continued)
August 31, 2019
Preferred
Stocks (continued)
|
Issuer
|
|
Shares
|
Value
($)
|
South
Korea 1.0%
|
Samsung
Electronics Co., Ltd.
|
|
399,050
|
12,158,075
|
Total
Preferred Stocks
(Cost $26,670,363)
|
34,261,484
|
Money
Market Funds 2.4%
|
|
Shares
|
Value
($)
|
Columbia
Short-Term Cash Fund, 2.208%(e),(f)
|
31,144,946
|
31,141,831
|
Total
Money Market Funds
(Cost $31,141,831)
|
31,141,831
|
Total
Investments in Securities
(Cost $902,084,200)
|
1,276,971,998
|
Other
Assets & Liabilities, Net
|
|
(155,488)
|
Net
Assets
|
$1,276,816,510
|
Notes to Portfolio of Investments
(a)
|
Non-income
producing investment.
|
(b)
|
Represents fair
value as determined in good faith under procedures approved by the Board of Trustees. At August 31, 2019, the total value of these securities amounted to $1, which represents less than 0.01% of total net assets.
|
(c)
|
Valuation
based on significant unobservable inputs.
|
(d)
|
Represents privately
placed and other securities and instruments exempt from Securities and Exchange Commission registration (collectively, private placements), such as Section 4(a)(2) and Rule 144A eligible securities, which are often sold only to qualified
institutional buyers. 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 August 31, 2019, the total value of these securities amounted to $17,450,416, which represents 1.37% of total net assets.
|
(e)
|
The rate
shown is the seven-day current annualized yield at August 31, 2019.
|
(f)
|
As
defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. Holdings and
transactions in these affiliated companies during the year ended August 31, 2019 are as follows:
|
Issuer
|
Beginning
shares
|
Shares
purchased
|
Shares
sold
|
Ending
shares
|
Realized
gain
(loss) —
affiliated
issuers ($)
|
Net
change in
unrealized
appreciation
(depreciation) —
affiliated
issuers ($)
|
Dividends
—
affiliated
issuers ($)
|
Value
—
affiliated
issuers
at end of
period ($)
|
Columbia
Short-Term Cash Fund, 2.208%
|
|
44,632,401
|
348,576,167
|
(362,063,622)
|
31,144,946
|
(54)
|
—
|
635,166
|
31,141,831
|
Abbreviation Legend
ADR
|
American
Depositary Receipt
|
GDR
|
Global
Depositary Receipt
|
Fair value
measurements
The Fund categorizes its fair value
measurements according to a three-level hierarchy that maximizes the use of observable inputs and minimizes the use of unobservable inputs by prioritizing that the most observable input be used when available. Observable inputs are those that market
participants would use in pricing an investment based on market data obtained from sources independent of the reporting entity. Unobservable inputs are those that reflect the Fund’s assumptions about the information market participants would
use in pricing an investment. An investment’s level within the fair value hierarchy is based on the lowest level of any input that is deemed significant to the asset’s or liability’s fair value measurement. The input levels are not
necessarily an indication of the risk or liquidity associated with investments at that level. For example, certain U.S. government securities are generally high quality and liquid, however, they are reflected as Level 2 because the inputs used to
determine fair value may not always be quoted prices in an active market.
Fair value inputs are summarized in the three broad levels
listed below:
The accompanying Notes to Financial Statements are an integral part of this
statement.
Columbia
Emerging Markets Fund | Annual Report 2019
|
11
|
Portfolio of Investments (continued)
August 31, 2019
Fair value
measurements (continued)
■
|
Level 1 — Valuations
based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments.
|
■
|
Level 2 — Valuations
based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.).
|
■
|
Level 3 — Valuations
based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments).
|
Inputs that are used in determining fair value of an investment
may include price information, credit data, volatility statistics, and other factors. These inputs can be either observable or unobservable. The availability of observable inputs can vary between investments, and is affected by various factors such
as the type of investment, and the volume and level of activity for that investment or similar investments in the marketplace. The inputs will be considered by the Investment Manager, along with any other relevant factors in the calculation of an
investment’s fair value. The Fund uses prices and inputs that are current as of the measurement date, which may include periods of market dislocations. During these periods, the availability of prices and inputs may be reduced for many
investments. This condition could cause an investment to be reclassified between the various levels within the hierarchy.
Foreign equity securities actively traded in markets where there
is a significant delay in the local close relative to the New York Stock Exchange are classified as Level 2. The values of these securities may include an adjustment to reflect the impact of significant market movements following the close of local
trading, as described in Note 2 to the financial statements – Security valuation.
Investments falling into the Level 3 category are primarily
supported by quoted prices from brokers and dealers participating in the market for those investments. However, these may be classified as Level 3 investments due to lack of market transparency and corroboration to support these quoted prices.
Additionally, valuation models may be used as the pricing source for any remaining investments classified as Level 3. These models may rely on one or more significant unobservable inputs and/or significant assumptions by the Investment Manager.
Inputs used in valuations may include, but are not limited to, financial statement analysis, capital account balances, discount rates and estimated cash flows, and comparable company data.
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.
The following table is a summary of the
inputs used to value the Fund’s investments at August 31, 2019:
|
Level
1 ($)
|
Level
2 ($)
|
Level
3 ($)
|
Total
($)
|
Investments
in Securities
|
|
|
|
|
Common
Stocks
|
|
|
|
|
Argentina
|
4,208,579
|
—
|
—
|
4,208,579
|
Brazil
|
147,434,286
|
—
|
—
|
147,434,286
|
Canada
|
9,986,873
|
—
|
—
|
9,986,873
|
China
|
165,569,826
|
199,423,350
|
1
|
364,993,177
|
Hong
Kong
|
3,274,606
|
37,706,516
|
—
|
40,981,122
|
Hungary
|
—
|
10,351,392
|
—
|
10,351,392
|
India
|
22,637,677
|
130,401,070
|
—
|
153,038,747
|
Indonesia
|
—
|
75,223,017
|
—
|
75,223,017
|
Luxembourg
|
6,374,377
|
—
|
—
|
6,374,377
|
Mexico
|
15,782,187
|
—
|
—
|
15,782,187
|
Panama
|
11,083,699
|
—
|
—
|
11,083,699
|
Peru
|
14,960,071
|
—
|
—
|
14,960,071
|
Philippines
|
—
|
18,240,319
|
—
|
18,240,319
|
Poland
|
—
|
16,634,752
|
—
|
16,634,752
|
Russian
Federation
|
14,649,900
|
48,717,380
|
—
|
63,367,280
|
South
Africa
|
—
|
62,905,365
|
—
|
62,905,365
|
South
Korea
|
—
|
87,475,896
|
—
|
87,475,896
|
The accompanying Notes to Financial Statements are an integral part of this
statement.
12
|
Columbia Emerging Markets
Fund | Annual Report 2019
|
Portfolio of Investments (continued)
August 31, 2019
Fair value
measurements (continued)
|
Level
1 ($)
|
Level
2 ($)
|
Level
3 ($)
|
Total
($)
|
Taiwan
|
3,375,529
|
71,106,398
|
—
|
74,481,927
|
Thailand
|
—
|
34,045,617
|
—
|
34,045,617
|
Total
Common Stocks
|
419,337,610
|
792,231,072
|
1
|
1,211,568,683
|
Preferred
Stocks
|
|
|
|
|
Brazil
|
22,103,409
|
—
|
—
|
22,103,409
|
South
Korea
|
—
|
12,158,075
|
—
|
12,158,075
|
Total
Preferred Stocks
|
22,103,409
|
12,158,075
|
—
|
34,261,484
|
Money
Market Funds
|
31,141,831
|
—
|
—
|
31,141,831
|
Total
Investments in Securities
|
472,582,850
|
804,389,147
|
1
|
1,276,971,998
|
See the Portfolio of Investments for
all investment classifications not indicated in the table.
The Fund’s assets assigned to the Level 2 input category
are generally valued using the market approach, in which a security’s value is determined through reference to prices and information from market transactions for similar or identical assets. These assets include certain foreign securities for
which a third party statistical pricing service may be employed for purposes of fair market valuation. The model utilized by such third party statistical pricing service takes into account a security’s correlation to available market data
including, but not limited to, intraday index, ADR, and exchange-traded fund movements.
The Fund does not hold any significant investments (greater
than one percent of net assets) categorized as Level 3.
The accompanying Notes to Financial Statements are an integral part of this
statement.
Columbia
Emerging Markets Fund | Annual Report 2019
|
13
|
Statement of Assets and Liabilities
August 31, 2019
Assets
|
|
Investments
in securities, at value
|
|
Unaffiliated
issuers (cost $870,942,369)
|
$1,245,830,167
|
Affiliated
issuers (cost $31,141,831)
|
31,141,831
|
Foreign
currency (cost $2,011,966)
|
2,011,966
|
Receivable
for:
|
|
Investments
sold
|
1,483,069
|
Capital
shares sold
|
496,166
|
Dividends
|
1,522,086
|
Foreign
tax reclaims
|
39,998
|
Prepaid
expenses
|
8,514
|
Trustees’
deferred compensation plan
|
97,770
|
Total
assets
|
1,282,631,567
|
Liabilities
|
|
Due
to custodian
|
3,188
|
Payable
for:
|
|
Investments
purchased
|
3,119,609
|
Capital
shares purchased
|
2,081,031
|
Foreign
capital gains taxes deferred
|
363
|
Management
services fees
|
35,905
|
Distribution
and/or service fees
|
2,195
|
Transfer
agent fees
|
134,758
|
Compensation
of board members
|
330
|
Compensation
of chief compliance officer
|
87
|
Other
expenses
|
339,821
|
Trustees’
deferred compensation plan
|
97,770
|
Total
liabilities
|
5,815,057
|
Net
assets applicable to outstanding capital stock
|
$1,276,816,510
|
Represented
by
|
|
Paid
in capital
|
937,976,249
|
Total
distributable earnings (loss) (Note 2)
|
338,840,261
|
Total
- representing net assets applicable to outstanding capital stock
|
$1,276,816,510
|
The accompanying Notes to Financial Statements are an integral part of this
statement.
14
|
Columbia Emerging Markets
Fund | Annual Report 2019
|
Statement of Assets and Liabilities (continued)
August 31, 2019
Class
A
|
|
Net
assets
|
$249,512,281
|
Shares
outstanding
|
20,541,736
|
Net
asset value per share
|
$12.15
|
Maximum
sales charge
|
5.75%
|
Maximum
offering price per share (calculated by dividing the net asset value per share by 1.0 minus the maximum sales charge for Class A shares)
|
$12.89
|
Advisor
Class
|
|
Net
assets
|
$23,160,854
|
Shares
outstanding
|
1,869,389
|
Net
asset value per share
|
$12.39
|
Class
C
|
|
Net
assets
|
$14,829,970
|
Shares
outstanding
|
1,305,536
|
Net
asset value per share
|
$11.36
|
Institutional
Class
|
|
Net
assets
|
$210,843,843
|
Shares
outstanding
|
17,144,650
|
Net
asset value per share
|
$12.30
|
Institutional
2 Class
|
|
Net
assets
|
$161,553,556
|
Shares
outstanding
|
13,046,087
|
Net
asset value per share
|
$12.38
|
Institutional
3 Class
|
|
Net
assets
|
$609,791,200
|
Shares
outstanding
|
49,030,273
|
Net
asset value per share
|
$12.44
|
Class
R
|
|
Net
assets
|
$7,124,806
|
Shares
outstanding
|
595,917
|
Net
asset value per share
|
$11.96
|
The accompanying Notes to Financial Statements are an integral part of this
statement.
Columbia
Emerging Markets Fund | Annual Report 2019
|
15
|
Statement of Operations
Year Ended August 31, 2019
Net
investment income
|
|
Income:
|
|
Dividends
— unaffiliated issuers
|
$23,518,017
|
Dividends
— affiliated issuers
|
635,166
|
Interest
|
32,225
|
Interfund
lending
|
269
|
Foreign
taxes withheld
|
(2,358,059)
|
Total
income
|
21,827,618
|
Expenses:
|
|
Management
services fees
|
13,209,425
|
Distribution
and/or service fees
|
|
Class
A
|
631,755
|
Class
C
|
176,752
|
Class
R
|
42,099
|
Class
T
|
95
|
Transfer
agent fees
|
|
Class
A
|
523,429
|
Advisor
Class
|
46,416
|
Class
C
|
36,645
|
Institutional
Class
|
403,774
|
Institutional
2 Class
|
90,766
|
Institutional
3 Class
|
48,354
|
Class
R
|
17,452
|
Class
T
|
79
|
Compensation
of board members
|
32,297
|
Custodian
fees
|
403,826
|
Printing
and postage fees
|
108,243
|
Registration
fees
|
138,016
|
Audit
fees
|
88,348
|
Legal
fees
|
25,937
|
Interest
on interfund lending
|
266
|
Compensation
of chief compliance officer
|
503
|
Other
|
278,938
|
Total
expenses
|
16,303,415
|
Net
investment income
|
5,524,203
|
Realized
and unrealized gain (loss) — net
|
|
Net
realized gain (loss) on:
|
|
Investments
— unaffiliated issuers
|
(14,523,417)
|
Investments
— affiliated issuers
|
(54)
|
Foreign
currency translations
|
(489,764)
|
Net
realized loss
|
(15,013,235)
|
Net
change in unrealized appreciation (depreciation) on:
|
|
Investments
— unaffiliated issuers
|
8,977,103
|
Foreign
currency translations
|
8,053
|
Foreign
capital gains tax
|
846,600
|
Net
change in unrealized appreciation (depreciation)
|
9,831,756
|
Net
realized and unrealized loss
|
(5,181,479)
|
Net
increase in net assets resulting from operations
|
$342,724
|
The accompanying Notes to Financial Statements are an
integral part of this statement.
16
|
Columbia Emerging Markets
Fund | Annual Report 2019
|
Statement of Changes in Net Assets
|
Year
Ended
August 31, 2019
|
Year
Ended
August 31, 2018
|
Operations
|
|
|
Net
investment income
|
$5,524,203
|
$5,791,258
|
Net
realized gain (loss)
|
(15,013,235)
|
48,614,991
|
Net
change in unrealized appreciation (depreciation)
|
9,831,756
|
(103,432,166)
|
Net
increase (decrease) in net assets resulting from operations
|
342,724
|
(49,025,917)
|
Distributions
to shareholders
|
|
|
Net
investment income and net realized gains
|
|
|
Advisor
Class
|
(24,274)
|
|
Institutional
Class
|
(200,983)
|
|
Institutional
2 Class
|
(359,831)
|
|
Institutional
3 Class
|
(2,014,299)
|
|
Net
investment income
|
|
|
Class
A
|
|
(428,669)
|
Advisor
Class
|
|
(246,201)
|
Institutional
Class
|
|
(663,215)
|
Institutional
2 Class
|
|
(591,542)
|
Institutional
3 Class
|
|
(3,566,018)
|
Class
K
|
|
(265)
|
Class
T
|
|
(273)
|
Total
distributions to shareholders (Note 2)
|
(2,599,387)
|
(5,496,183)
|
Increase
(decrease) in net assets from capital stock activity
|
(86,007,158)
|
61,209,749
|
Total
increase (decrease) in net assets
|
(88,263,821)
|
6,687,649
|
Net
assets at beginning of year
|
1,365,080,331
|
1,358,392,682
|
Net
assets at end of year
|
$1,276,816,510
|
$1,365,080,331
|
Undistributed
net investment income
|
$4,889,117
|
$2,344,628
|
The accompanying Notes to Financial Statements are an
integral part of this statement.
Columbia
Emerging Markets Fund | Annual Report 2019
|
17
|
Statement of Changes in Net Assets (continued)
|
Year
Ended
|
Year
Ended
|
|
August
31, 2019
|
August
31, 2018
|
|
Shares
|
Dollars
($)
|
Shares
|
Dollars
($)
|
Capital
stock activity
|
Class
A
|
|
|
|
|
Subscriptions
|
3,226,742
|
37,908,150
|
6,518,228
|
87,750,740
|
Distributions
reinvested
|
—
|
—
|
30,980
|
414,207
|
Redemptions
|
(5,414,706)
|
(63,444,477)
|
(5,276,371)
|
(70,201,930)
|
Net
increase (decrease)
|
(2,187,964)
|
(25,536,327)
|
1,272,837
|
17,963,017
|
Advisor
Class
|
|
|
|
|
Subscriptions
|
876,086
|
10,474,656
|
5,182,839
|
69,700,665
|
Distributions
reinvested
|
1,432
|
15,556
|
16,026
|
217,629
|
Redemptions
|
(977,592)
|
(11,589,595)
|
(4,887,806)
|
(68,542,788)
|
Net
increase (decrease)
|
(100,074)
|
(1,099,383)
|
311,059
|
1,375,506
|
Class
C
|
|
|
|
|
Subscriptions
|
279,757
|
3,043,581
|
798,806
|
10,227,940
|
Redemptions
|
(911,098)
|
(9,990,004)
|
(919,710)
|
(11,349,229)
|
Net
decrease
|
(631,341)
|
(6,946,423)
|
(120,904)
|
(1,121,289)
|
Institutional
Class
|
|
|
|
|
Subscriptions
|
7,907,090
|
92,844,941
|
7,368,950
|
100,703,261
|
Distributions
reinvested
|
12,604
|
135,877
|
34,024
|
458,987
|
Redemptions
|
(7,311,724)
|
(86,023,138)
|
(4,938,883)
|
(66,091,619)
|
Net
increase
|
607,970
|
6,957,680
|
2,464,091
|
35,070,629
|
Institutional
2 Class
|
|
|
|
|
Subscriptions
|
5,860,742
|
68,952,373
|
6,934,574
|
92,870,933
|
Distributions
reinvested
|
33,128
|
359,106
|
42,452
|
576,068
|
Redemptions
|
(5,409,492)
|
(63,203,448)
|
(4,022,170)
|
(55,890,014)
|
Net
increase
|
484,378
|
6,108,031
|
2,954,856
|
37,556,987
|
Institutional
3 Class
|
|
|
|
|
Subscriptions
|
7,975,489
|
94,409,262
|
7,735,597
|
107,784,636
|
Distributions
reinvested
|
85,596
|
932,136
|
104,027
|
1,417,884
|
Redemptions
|
(13,227,089)
|
(158,079,243)
|
(9,957,728)
|
(136,688,116)
|
Net
decrease
|
(5,166,004)
|
(62,737,845)
|
(2,118,104)
|
(27,485,596)
|
Class
K
|
|
|
|
|
Distributions
reinvested
|
—
|
—
|
20
|
256
|
Redemptions
|
—
|
—
|
(7,495)
|
(107,872)
|
Net
decrease
|
—
|
—
|
(7,475)
|
(107,616)
|
Class
R
|
|
|
|
|
Subscriptions
|
165,990
|
1,911,070
|
344,871
|
4,595,479
|
Redemptions
|
(391,268)
|
(4,534,318)
|
(500,192)
|
(6,547,665)
|
Net
decrease
|
(225,278)
|
(2,623,248)
|
(155,321)
|
(1,952,186)
|
Class
T
|
|
|
|
|
Distributions
reinvested
|
—
|
—
|
21
|
269
|
Redemptions
|
(12,005)
|
(129,643)
|
(6,816)
|
(89,972)
|
Net
decrease
|
(12,005)
|
(129,643)
|
(6,795)
|
(89,703)
|
Total
net increase (decrease)
|
(7,230,318)
|
(86,007,158)
|
4,594,244
|
61,209,749
|
The accompanying Notes to Financial Statements are an integral part of this
statement.
18
|
Columbia Emerging Markets
Fund | Annual Report 2019
|
[THIS PAGE INTENTIONALLY LEFT BLANK]
Columbia
Emerging Markets Fund | Annual Report 2019
|
19
|
The
following table is intended to help you understand the Fund’s financial performance. Certain information reflects financial results for a single share of a class held for the periods shown. Per share net investment income (loss) amounts are
calculated based on average shares outstanding during the period. Total return assumes reinvestment of all dividends and distributions, if any. Total return does not reflect payment of sales charges, if any. Total return and portfolio turnover are
not annualized for periods of less than one year. The portfolio turnover rate is calculated without regard to purchase and sales transactions of short-term instruments and certain derivatives, if any. If such transactions were included, the
Fund’s portfolio turnover rate may be higher.
|
Net
asset value,
beginning of
period
|
Net
investment
income
(loss)
|
Net
realized
and
unrealized
gain (loss)
|
Total
from
investment
operations
|
Distributions
from net
investment
income
|
Total
distributions to
shareholders
|
Class
A
|
Year
Ended 8/31/2019
|
$12.15
|
0.01
|
(0.01)
|
0.00
(c)
|
—
|
—
|
Year
Ended 8/31/2018
|
$12.62
|
0.02
|
(0.47)
|
(0.45)
|
(0.02)
|
(0.02)
|
Year
Ended 8/31/2017
|
$9.99
|
0.01
|
2.62
|
2.63
|
—
|
—
|
Year
Ended 8/31/2016
|
$8.79
|
(0.01)
|
1.21
|
1.20
|
—
|
—
|
Year
Ended 8/31/2015
|
$10.94
|
(0.01)
|
(2.14)
|
(2.15)
|
(0.00)
(c)
|
(0.00)
(c)
|
Advisor
Class
|
Year
Ended 8/31/2019
|
$12.38
|
0.04
|
(0.02)
|
0.02
|
(0.01)
|
(0.01)
|
Year
Ended 8/31/2018
|
$12.84
|
0.02
|
(0.43)
|
(0.41)
|
(0.05)
|
(0.05)
|
Year
Ended 8/31/2017
|
$10.14
|
0.07
|
2.63
|
2.70
|
—
|
—
|
Year
Ended 8/31/2016
|
$8.90
|
0.01
|
1.23
|
1.24
|
—
|
—
|
Year
Ended 8/31/2015
|
$11.08
|
0.09
|
(2.24)
|
(2.15)
|
(0.03)
|
(0.03)
|
Class
C
|
Year
Ended 8/31/2019
|
$11.45
|
(0.08)
|
(0.01)
|
(0.09)
|
—
|
—
|
Year
Ended 8/31/2018
|
$11.96
|
(0.08)
|
(0.43)
|
(0.51)
|
—
|
—
|
Year
Ended 8/31/2017
|
$9.54
|
(0.06)
|
2.48
|
2.42
|
—
|
—
|
Year
Ended 8/31/2016
|
$8.45
|
(0.08)
|
1.17
|
1.09
|
—
|
—
|
Year
Ended 8/31/2015
|
$10.60
|
(0.08)
|
(2.07)
|
(2.15)
|
—
|
—
|
Institutional
Class
|
Year
Ended 8/31/2019
|
$12.29
|
0.05
|
(0.03)
|
0.02
|
(0.01)
|
(0.01)
|
Year
Ended 8/31/2018
|
$12.76
|
0.05
|
(0.47)
|
(0.42)
|
(0.05)
|
(0.05)
|
Year
Ended 8/31/2017
|
$10.07
|
0.04
|
2.65
|
2.69
|
—
|
—
|
Year
Ended 8/31/2016
|
$8.84
|
0.01
|
1.22
|
1.23
|
—
|
—
|
Year
Ended 8/31/2015
|
$11.00
|
0.02
|
(2.15)
|
(2.13)
|
(0.03)
|
(0.03)
|
Institutional
2 Class
|
Year
Ended 8/31/2019
|
$12.37
|
0.07
|
(0.03)
|
0.04
|
(0.03)
|
(0.03)
|
Year
Ended 8/31/2018
|
$12.84
|
0.08
|
(0.49)
|
(0.41)
|
(0.06)
|
(0.06)
|
Year
Ended 8/31/2017
|
$10.12
|
0.06
|
2.66
|
2.72
|
—
|
—
|
Year
Ended 8/31/2016
|
$8.87
|
0.05
|
1.20
|
1.25
|
—
|
—
|
Year
Ended 8/31/2015
|
$11.05
|
0.11
|
(2.24)
|
(2.13)
|
(0.05)
|
(0.05)
|
The accompanying Notes to Financial Statements are an
integral part of this statement.
20
|
Columbia Emerging Markets
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 8/31/2019
|
$12.15
|
0.00%
|
1.58%
(d)
|
1.58%
(d)
|
0.12%
|
38%
|
$249,512
|
Year
Ended 8/31/2018
|
$12.15
|
(3.58%)
|
1.54%
|
1.54%
(e)
|
0.12%
|
39%
|
$276,209
|
Year
Ended 8/31/2017
|
$12.62
|
26.33%
|
1.65%
(f)
|
1.62%
(e),(f)
|
0.14%
|
51%
|
$270,816
|
Year
Ended 8/31/2016
|
$9.99
|
13.65%
|
1.67%
(f)
|
1.67%
(e),(f)
|
(0.16%)
|
81%
|
$244,190
|
Year
Ended 8/31/2015
|
$8.79
|
(19.65%)
|
1.62%
(f)
|
1.62%
(e),(f)
|
(0.07%)
|
76%
|
$238,932
|
Advisor
Class
|
Year
Ended 8/31/2019
|
$12.39
|
0.20%
|
1.33%
(d)
|
1.33%
(d)
|
0.36%
|
38%
|
$23,161
|
Year
Ended 8/31/2018
|
$12.38
|
(3.26%)
|
1.29%
|
1.29%
(e)
|
0.14%
|
39%
|
$24,379
|
Year
Ended 8/31/2017
|
$12.84
|
26.63%
|
1.41%
(f)
|
1.37%
(e),(f)
|
0.68%
|
51%
|
$21,298
|
Year
Ended 8/31/2016
|
$10.14
|
13.93%
|
1.42%
(f)
|
1.42%
(e),(f)
|
0.13%
|
81%
|
$2,205
|
Year
Ended 8/31/2015
|
$8.90
|
(19.45%)
|
1.39%
(f)
|
1.39%
(e),(f)
|
0.91%
|
76%
|
$1,827
|
Class
C
|
Year
Ended 8/31/2019
|
$11.36
|
(0.79%)
|
2.33%
(d)
|
2.33%
(d)
|
(0.69%)
|
38%
|
$14,830
|
Year
Ended 8/31/2018
|
$11.45
|
(4.26%)
|
2.29%
|
2.29%
(e)
|
(0.62%)
|
39%
|
$22,177
|
Year
Ended 8/31/2017
|
$11.96
|
25.37%
|
2.40%
(f)
|
2.37%
(e),(f)
|
(0.57%)
|
51%
|
$24,616
|
Year
Ended 8/31/2016
|
$9.54
|
12.90%
|
2.42%
(f)
|
2.42%
(e),(f)
|
(0.92%)
|
81%
|
$19,419
|
Year
Ended 8/31/2015
|
$8.45
|
(20.28%)
|
2.37%
(f)
|
2.37%
(e),(f)
|
(0.83%)
|
76%
|
$20,462
|
Institutional
Class
|
Year
Ended 8/31/2019
|
$12.30
|
0.20%
|
1.33%
(d)
|
1.33%
(d)
|
0.41%
|
38%
|
$210,844
|
Year
Ended 8/31/2018
|
$12.29
|
(3.35%)
|
1.29%
|
1.29%
(e)
|
0.40%
|
39%
|
$203,193
|
Year
Ended 8/31/2017
|
$12.76
|
26.71%
|
1.40%
(f)
|
1.37%
(e),(f)
|
0.39%
|
51%
|
$179,501
|
Year
Ended 8/31/2016
|
$10.07
|
13.91%
|
1.42%
(f)
|
1.42%
(e),(f)
|
0.07%
|
81%
|
$647,011
|
Year
Ended 8/31/2015
|
$8.84
|
(19.41%)
|
1.37%
(f)
|
1.37%
(e),(f)
|
0.18%
|
76%
|
$760,839
|
Institutional
2 Class
|
Year
Ended 8/31/2019
|
$12.38
|
0.36%
|
1.18%
(d)
|
1.18%
(d)
|
0.55%
|
38%
|
$161,554
|
Year
Ended 8/31/2018
|
$12.37
|
(3.22%)
|
1.16%
|
1.16%
|
0.58%
|
39%
|
$155,442
|
Year
Ended 8/31/2017
|
$12.84
|
26.88%
|
1.22%
(f)
|
1.22%
(f)
|
0.57%
|
51%
|
$123,364
|
Year
Ended 8/31/2016
|
$10.12
|
14.09%
|
1.26%
(f)
|
1.26%
(f)
|
0.54%
|
81%
|
$113,041
|
Year
Ended 8/31/2015
|
$8.87
|
(19.35%)
|
1.21%
(f)
|
1.21%
(f)
|
1.08%
|
76%
|
$17,559
|
The accompanying Notes to Financial Statements are an
integral part of this statement.
Columbia
Emerging Markets Fund | Annual Report 2019
|
21
|
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 8/31/2019
|
$12.43
|
0.07
|
(0.02)
|
0.05
|
(0.04)
|
(0.04)
|
Year
Ended 8/31/2018
|
$12.90
|
0.07
|
(0.47)
|
(0.40)
|
(0.07)
|
(0.07)
|
Year
Ended 8/31/2017
|
$10.17
|
0.10
|
2.63
|
2.73
|
—
|
—
|
Year
Ended 8/31/2016
|
$8.90
|
0.05
|
1.22
|
1.27
|
—
|
—
|
Year
Ended 8/31/2015
|
$11.09
|
0.05
|
(2.19)
|
(2.14)
|
(0.05)
|
(0.05)
|
Class
R
|
Year
Ended 8/31/2019
|
$11.99
|
(0.02)
|
(0.01)
|
(0.03)
|
—
|
—
|
Year
Ended 8/31/2018
|
$12.47
|
(0.02)
|
(0.46)
|
(0.48)
|
—
|
—
|
Year
Ended 8/31/2017
|
$9.89
|
(0.01)
|
2.59
|
2.58
|
—
|
—
|
Year
Ended 8/31/2016
|
$8.72
|
(0.03)
|
1.20
|
1.17
|
—
|
—
|
Year
Ended 8/31/2015
|
$10.89
|
(0.03)
|
(2.14)
|
(2.17)
|
—
|
—
|
Notes
to Financial Highlights
|
(a)
|
In
addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense
ratios.
|
(b)
|
Total net
expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable.
|
(c)
|
Rounds to
zero.
|
(d)
|
Ratios
include interfund lending expense which is less than 0.01%.
|
(e)
|
The
benefits derived from expense reductions had an impact of less than 0.01%.
|
(f)
|
Ratios
include line of credit interest expense which is less than 0.01%.
|
The accompanying Notes to Financial Statements are an
integral part of this statement.
22
|
Columbia Emerging Markets
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 8/31/2019
|
$12.44
|
0.43%
|
1.13%
(d)
|
1.13%
(d)
|
0.58%
|
38%
|
$609,791
|
Year
Ended 8/31/2018
|
$12.43
|
(3.18%)
|
1.10%
|
1.10%
|
0.54%
|
39%
|
$673,688
|
Year
Ended 8/31/2017
|
$12.90
|
26.84%
|
1.19%
(f)
|
1.19%
(f)
|
0.86%
|
51%
|
$726,291
|
Year
Ended 8/31/2016
|
$10.17
|
14.27%
|
1.20%
(f)
|
1.20%
(f)
|
0.58%
|
81%
|
$22,104
|
Year
Ended 8/31/2015
|
$8.90
|
(19.34%)
|
1.15%
(f)
|
1.15%
(f)
|
0.46%
|
76%
|
$5,351
|
Class
R
|
Year
Ended 8/31/2019
|
$11.96
|
(0.25%)
|
1.83%
(d)
|
1.83%
(d)
|
(0.16%)
|
38%
|
$7,125
|
Year
Ended 8/31/2018
|
$11.99
|
(3.85%)
|
1.79%
|
1.79%
(e)
|
(0.17%)
|
39%
|
$9,847
|
Year
Ended 8/31/2017
|
$12.47
|
26.09%
|
1.90%
(f)
|
1.87%
(e),(f)
|
(0.08%)
|
51%
|
$12,175
|
Year
Ended 8/31/2016
|
$9.89
|
13.42%
|
1.92%
(f)
|
1.92%
(e),(f)
|
(0.37%)
|
81%
|
$9,683
|
Year
Ended 8/31/2015
|
$8.72
|
(19.93%)
|
1.87%
(f)
|
1.87%
(e),(f)
|
(0.30%)
|
76%
|
$6,997
|
The accompanying Notes to Financial Statements are an integral part of this
statement.
Columbia
Emerging Markets Fund | Annual Report 2019
|
23
|
Notes to Financial Statements
August 31, 2019
Note 1. Organization
Columbia Emerging Markets Fund (the Fund), a series of
Columbia Funds Series Trust I (the Trust), is a diversified fund. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Massachusetts business
trust.
Fund shares
The Trust may issue an unlimited number of shares (without par
value). The Fund offers each of the share classes listed in the Statement of Assets and Liabilities. Although all share classes generally have identical voting, dividend and liquidation rights, each share class votes separately when required by the
Trust’s organizational documents or by law. Each share class has its own expense and sales charge structure. Different share classes may have different minimum initial investment amounts and pay different distribution amounts to the extent the
expenses of distributing such share classes vary. Distributions to shareholders in a liquidation will be proportional to the net asset value of each share class.
As described in the Fund’s prospectus, Class A and Class
C shares are offered to the general public for investment. Advisor Class, Institutional Class, Institutional 2 Class, Institutional 3 Class and Class R shares are available for purchase through authorized investment professionals to omnibus
retirement plans or to institutional and to certain other investors as also described in the Fund’s prospectus. Class C shares automatically convert to Class A shares after 10 years. Effective 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
All equity securities are valued at the close of business of
the New York Stock Exchange. Equity securities are valued at the official closing price on the principal exchange or market on which they trade. 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 determined at the scheduled closing time of the New York Stock Exchange. Many securities markets and exchanges outside the U.S. close prior to the close of the New York Stock Exchange; therefore, the
closing prices for securities in such markets or on such exchanges may not fully reflect events that occur after such close but before the close of the New York Stock Exchange. In those situations, foreign securities will be fair valued pursuant to
a policy adopted by the Board of Trustees. Under the policy, the Fund may utilize a third party pricing service to determine these fair values. The third-party pricing service takes into account multiple factors, including, but not limited to,
movements in the U.S. securities markets, certain depositary receipts, futures contracts and foreign exchange rates that have occurred subsequent to the close of the foreign exchange or market, to determine a good faith estimate that reasonably
reflects the current market conditions as of the close of the New York Stock Exchange. The fair value of a security is likely to be different from the quoted or published price, if available.
Investments in open-end investment companies, including money
market funds, are valued at their latest net asset value.
24
|
Columbia Emerging Markets
Fund | Annual Report 2019
|
Notes to Financial Statements (continued)
August 31, 2019
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 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.
Columbia
Emerging Markets Fund | Annual Report 2019
|
25
|
Notes to Financial Statements (continued)
August 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.
Foreign taxes
The Fund may be subject to foreign taxes on income, gains on
investments or currency repatriation, a portion of which may be recoverable. The Fund will accrue such taxes and recoveries, as applicable, based upon its current interpretation of tax rules and regulations that exist in the markets in which it
invests.
Realized gains in certain countries may be
subject to foreign taxes at the Fund level, based on statutory rates. The Fund accrues for such foreign taxes on realized and unrealized gains at the appropriate rate for each jurisdiction, as applicable. The amount, if any, is disclosed as a
liability on the Statement of Assets and Liabilities.
Distributions to shareholders
Distributions from net investment income, if any, are declared
and paid annually. Net realized capital gains, if any, are distributed at least annually. Income distributions and capital gain distributions are determined in accordance with federal income tax regulations, which may differ from GAAP.
Guarantees and indemnifications
Under the Trust’s organizational documents and, in some
cases, by contract, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Trust or its funds. In addition, certain of the Fund’s contracts with its service providers contain
general indemnification clauses. The Fund’s maximum exposure under these arrangements is unknown since the amount of any future claims that may be made against the Fund cannot be determined, and the Fund has no historical basis for predicting
the likelihood of any such claims.
Recent accounting
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. The standard is effective for annual periods beginning after December 15, 2019 and interim periods within
those fiscal years, with early adoption permitted. After evaluation, management determined to adopt the ASU effective for the period ended August 31, 2019 and all subsequent periods. As a result of the amendments, management implemented disclosure
changes which include removal
26
|
Columbia Emerging Markets
Fund | Annual Report 2019
|
Notes to Financial Statements (continued)
August 31, 2019
of the amount and
reasons for transfers between Level 1 and Level 2 of the fair value hierarchy, removal of the policy for the timing of transfers between levels, removal of the description of the Level 3 valuation processes, as well as modifications to the
measurement uncertainty disclosure.
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 1.10% to 0.70% as the Fund’s net assets increase. The
effective management services fee rate for the year ended August 31, 2019 was 1.03% 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.
Columbia
Emerging Markets Fund | Annual Report 2019
|
27
|
Notes to Financial Statements (continued)
August 31, 2019
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 August 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
|
0.21
|
Advisor
Class
|
0.21
|
Class
C
|
0.21
|
Institutional
Class
|
0.21
|
Institutional
2 Class
|
0.06
|
Institutional
3 Class
|
0.01
|
Class
R
|
0.21
|
Class
T
|
0.06
(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 August 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 contingent
deferred sales charges (CDSC), received by the Distributor for distributing Fund shares for the year ended August 31, 2019, if any, are listed below:
|
Front
End (%)
|
CDSC
(%)
|
Amount
($)
|
Class
A
|
5.75
|
0.50 - 1.00
(a)
|
219,981
|
Class
C
|
—
|
1.00
(b)
|
4,058
|
Class
T
|
2.50
|
—
|
—
|
(a)
|
This
charge is imposed on certain investments of between $1 million and $50 million redeemed within 18 months after purchase, as follows: 1.00% if redeemed within 12 months after purchase, and 0.50% if redeemed more than 12, but less than 18, months
after purchase, with certain limited exceptions.
|
(b)
|
This
charge applies to redemptions within 12 months after purchase, with certain limited exceptions.
|
28
|
Columbia Emerging Markets
Fund | Annual Report 2019
|
Notes to Financial Statements (continued)
August 31, 2019
The
Fund’s other share classes are not subject to sales charges.
Expenses waived/reimbursed by the Investment Manager and its
affiliates
The Investment Manager and certain of its
affiliates have contractually agreed to waive fees and/or reimburse expenses (excluding certain fees and expenses described below) for the period(s) disclosed below, unless sooner terminated at the sole discretion of the Board of Trustees, so that
the Fund’s net operating expenses, after giving effect to fees waived/expenses reimbursed and any balance credits and/or overdraft charges from the Fund’s custodian, do not exceed the following annual rate(s) as a percentage of the
class’ average daily net assets:
|
January
1, 2019
through
December 31, 2019
|
Prior
to
January 1, 2019
|
Class
A
|
1.65%
|
1.65%
|
Advisor
Class
|
1.40
|
1.40
|
Class
C
|
2.40
|
2.40
|
Institutional
Class
|
1.40
|
1.40
|
Institutional
2 Class
|
1.26
|
1.27
|
Institutional
3 Class
|
1.21
|
1.22
|
Class
R
|
1.90
|
1.90
|
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 August 31, 2019, these differences were primarily due to
differing treatment for deferral/reversal of wash sale losses, trustees’ deferred compensation, capital loss carryforward, foreign capital gains tax 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:
Undistributed
net
investment
income ($)
|
Accumulated
net realized
(loss) ($)
|
Paid
in
capital ($)
|
(380,327)
|
380,327
|
—
|
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.
Columbia
Emerging Markets Fund | Annual Report 2019
|
29
|
Notes to Financial Statements (continued)
August 31, 2019
The
tax character of distributions paid during the years indicated was as follows:
Year
Ended August 31, 2019
|
Year
Ended August 31, 2018
|
Ordinary
income ($)
|
Long-term
capital gains ($)
|
Total
($)
|
Ordinary
income ($)
|
Long-term
capital gains ($)
|
Total
($)
|
2,599,387
|
—
|
2,599,387
|
5,496,183
|
—
|
5,496,183
|
Short-term capital gain
distributions, if any, are considered ordinary income distributions for tax purposes.
At August 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 ($)
|
Net
unrealized
appreciation ($)
|
4,987,217
|
—
|
(40,549,041)
|
374,505,153
|
At August 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) ($)
|
Net
unrealized
appreciation ($)
|
902,466,845
|
415,753,530
|
(41,248,377)
|
374,505,153
|
Tax cost of investments and
unrealized appreciation/(depreciation) may also include timing differences that do not constitute adjustments to tax basis.
The following capital loss carryforwards, determined at August
31, 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 August 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
($)
|
(40,549,041)
|
—
|
(40,549,041)
|
—
|
—
|
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 $481,815,012 and $550,102,126, respectively, for the year ended August 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.
30
|
Columbia Emerging Markets
Fund | Annual Report 2019
|
Notes to Financial Statements (continued)
August 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 August 31, 2019 was as follows:
Borrower
or lender
|
Average
loan
balance ($)
|
Weighted
average
interest rate (%)
|
Days
outstanding
|
Borrower
|
850,000
|
2.82
|
4
|
Lender
|
550,000
|
2.92
|
6
|
Interest income earned and
interest expense incurred by the Fund is recorded as Interfund lending in the Statement of Operations. The Fund had no outstanding interfund loans at August 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 August 31,
2019.
Note 9. Significant risks
Consumer discretionary sector risk
The Fund may be more susceptible to the particular risks that
may affect companies in the consumer discretionary sector than if it were invested in a wider variety of companies in unrelated sectors. Companies in the consumer discretionary sector are subject to certain risks, including fluctuations in the
performance of the overall domestic and international economy, interest rate changes, increased competition and consumer confidence. Performance of such companies may be affected by factors including reduced disposable household income, reduced
consumer spending, changing demographics and consumer tastes.
Financial sector risk
The Fund may be more susceptible to the particular risks that
may affect companies in the financial services sector than if it were invested in a wider variety of companies in unrelated sectors. Companies in the financial services sector are subject to certain risks, including the risk of regulatory change,
decreased liquidity in credit markets and unstable interest rates. Such companies may have concentrated portfolios, such as a high level of loans to real estate developers, which makes them vulnerable to economic conditions that affect that
industry. Performance of such companies may be affected by competitive pressures and exposure to investments or agreements that, under certain circumstances, may lead to losses (e.g., subprime
Columbia
Emerging Markets Fund | Annual Report 2019
|
31
|
Notes to Financial Statements (continued)
August 31, 2019
loans). Companies
in the financial services sector are subject to extensive governmental regulation that may limit the amount and types of loans and other financial commitments they can make, and interest rates and fees that they may charge. In addition,
profitability of such companies is largely dependent upon the availability and the cost of capital.
Foreign securities and emerging market countries risk
Investing in foreign securities may involve certain risks not
typically associated with investing in U.S. securities, such as increased currency volatility and risks associated with political, regulatory, economic, social, diplomatic and other conditions or events occurring in the country or region, which may
result in significant market volatility. In addition, certain foreign securities may not be as liquid as U.S. securities. Investing in emerging markets may increase these risks and expose the Fund to elevated risks associated with increased
inflation, deflation or currency devaluation. To the extent that the Fund concentrates its investment exposure to any one or a few specific countries, the Fund will be particularly susceptible to the risks associated with the conditions, events or
other factors impacting those countries or regions and may, therefore, have a greater risk than that of a fund that is more geographically diversified.
Shareholder concentration risk
At August 31, 2019, two unaffiliated shareholders of record
owned 38.0% of the outstanding shares of the Fund in one or more accounts. The Fund has no knowledge about whether any portion of those shares was owned beneficially. Affiliated shareholders of record owned 34.8% 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.
32
|
Columbia Emerging Markets
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 Emerging Markets Fund
Opinion on the Financial Statements
We have audited the accompanying statement of assets and
liabilities, including the portfolio of investments, of Columbia Emerging Markets Fund (one of the funds constituting Columbia Funds Series Trust I, hereafter referred to as the “Fund”) as of August 31, 2019, the related statement of
operations for the year ended August 31, 2019, the statement of changes in net assets for each of the two years in the period ended August 31, 2019, including the related notes, and the financial highlights for each of the five years in the period
ended August 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 August 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 August 31, 2019 and the financial highlights for each of the five years in the period ended August 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 August 31, 2019, by correspondence with the custodian, transfer agent and brokers; when replies were not received from brokers, we performed other audit procedures. We believe that our audits provide a reasonable basis for
our opinion.
/s/PricewaterhouseCoopers LLP
Minneapolis, Minnesota
October 24, 2019
We have served as the auditor of one or more investment
companies within the Columbia Funds Complex since 1977.
Columbia
Emerging Markets Fund | Annual Report 2019
|
33
|
Federal Income Tax Information
(Unaudited)
The Fund hereby designates the following tax attributes for
the fiscal year ended August 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
|
Foreign
taxes paid
to foreign
countries
|
Foreign
taxes paid
per share
to foreign
countries
|
Foreign
source
income
|
Foreign
source
income per
share
|
100.00%
|
0.22%
|
$2,358,059
|
$0.02
|
$23,501,645
|
$0.23
|
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.
Foreign taxes. The Fund makes the election to pass through to
shareholders the foreign taxes paid. Eligible shareholders may claim a foreign tax credit. These taxes, and the corresponding foreign source income, are provided.
TRUSTEES AND OFFICERS
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), September 2007-October 2018
|
70
|
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, December 2002-May 2006; President of UAL Loyalty Services (airline marketing company), September 2001-December 2002; Executive Vice President and Chief
Financial Officer of United Airlines, July 1999-September 2001
|
70
|
Spartan
Nash Company, (food distributor); former Director, Nash Finch Company (food distributor), 2005-2013; Aircastle Limited (aircraft leasing); former Director, SeaCube Container Leasing Ltd. (container leasing), 2010-2013; and Travelport Worldwide
Limited (travel information technology)
|
34
|
Columbia Emerging Markets
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
|
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), 1997-2010; Chair, Wellington Management Portfolios (commingled non-U.S. investment pools), 2007-2010; Director, Wellington Trust Company, NA
and other Wellington affiliates, 1997-2010
|
70
|
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
|
70
|
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
|
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, August 2007-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, August 1999-October 2005;
University Professor, Boston College, November 2005-August 2007
|
70
|
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, 1988-2014
|
70
|
Former
Director, M Fund, Inc. (M Funds mutual fund family), July 2018-July 2019
|
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, 1994-1997, President – Application Systems Division, 1991-1994, Chief Financial Officer – US Marketing & Services, 1988-1991, and Chief Information Officer, 1987-1988, IBM Corporation
(computer and technology)
|
70
|
Former
Director, Enesco Group, Inc. (producer of giftware and home and garden decor products), 2001-2006
|
Columbia
Emerging Markets Fund | Annual Report 2019
|
35
|
TRUSTEES AND OFFICERS (continued)
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, May
2010-February 2015; President, Columbia Funds, 2009-2015; and senior officer of Columbia Funds and affiliated funds, 2003-2015
|
70
|
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
|
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, 2004-2010; Senior Partner, McKinsey & Company, 2001-2004
|
70
|
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, April 2016-September
2016; Senior Vice President and Chief Investment Officer, Calvert Investments, August 2008-January 2016; Section Head and Portfolio Manager, General Motors Asset Management, June 1997-August 2008
|
70
|
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
|
192
|
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, August 2006 - January 2013
|
36
|
Columbia Emerging Markets
Fund | Annual Report 2019
|
TRUSTEES AND OFFICERS (continued)
*
|
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.
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 as of the printing of this report, 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.
|
Columbia
Emerging Markets Fund | Annual Report 2019
|
37
|
TRUSTEES AND OFFICERS (continued)
Fund officers (continued)
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
|
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.
|
Board Consideration and Approval of
Management
Agreement
On June 12, 2019, the Board of Trustees (the Board) and the
Trustees who are not interested persons (as defined in the Investment Company Act of 1940) (the Independent Trustees) of Columbia Funds Series Trust I (the Trust) unanimously approved the continuation of the Management Agreement (the Management
Agreement) with Columbia Management Investment Advisers, LLC (the Investment Manager) with respect to Columbia Emerging Markets Fund (the Fund), a series of the Trust. As detailed below, the Board’s Advisory Fees and Expenses Committee (the
Committee) and the Board met on multiple occasions to review and discuss, among themselves, with the management team of the Investment Manager and with an independent fee consultant, materials provided by the Investment Manager, the independent fee
consultant and others before determining to approve the continuation of the Management Agreement.
In connection with their deliberations regarding the
continuation of the Management Agreement, the Committee and the Board evaluated materials requested from the Investment Manager regarding the Fund and the Management Agreement, and discussed these materials with representatives of the Investment
Manager at Committee meetings held on March 5, 2019, April 25, 2019 and June 11, 2019 and at Board meetings held on March 6, 2019 and June 12, 2019. In addition, the Board and its various committees consider matters bearing on the Management
Agreement at other meetings throughout the year and in prior years and meet regularly with senior management of the Trust and the Investment Manager. Through the Board’s Investment Oversight Committees, Trustees also meet with selected
portfolio managers of the funds the Trustees oversee and with other investment personnel at various times throughout the year. The Committee and the Board also consulted with the independent fee consultant, Fund counsel and the Independent
Trustees’ independent legal counsel, who advised on various matters with respect to the Committee’s and the Board’s considerations and otherwise assisted the Committee and the Board in their deliberations. On June 11, 2019, the
Committee recommended that the Board approve the continuation of the Management Agreement. On June 12, 2019, the Board, including the Independent Trustees, voting separately, unanimously approved the continuation of the Management Agreement for the
Fund.
The Committee and the Board considered all
information that they, their legal counsel or the Investment Manager believed reasonably necessary to evaluate and to determine whether to recommend for approval or approve the continuation of the Management Agreement. The information and factors
considered by the Committee and the Board in recommending for approval or approving the continuation of the Management Agreement for the Fund included the following:
•
|
Information on the
investment performance of the Fund relative to the performance of a group of mutual funds determined to be comparable to the Fund by an independent third-party data provider, as well as performance relative to benchmarks;
|
•
|
Information on the
Fund’s management fees and total expenses, including information comparing the Fund’s expenses to those of a group of comparable mutual funds, as determined by the independent third-party data provider;
|
38
|
Columbia Emerging Markets
Fund | Annual Report 2019
|
Board Consideration and Approval of Management
Agreement (continued)
•
|
The Investment
Manager’s agreement to contractually limit or cap total operating expenses for the Fund through December 31, 2020 so that total operating expenses (excluding certain fees and expenses, such as transaction costs and certain other investment
related expenses, interest, taxes, acquired fund fees and expenses, and infrequent and/or unusual expenses) would not exceed a specified annual rate, as a percentage of the Fund’s net assets;
|
•
|
The terms and conditions of
the Management Agreement;
|
•
|
The current and proposed
terms and conditions of other agreements and arrangements with affiliates of the Investment Manager relating to the operations of the Fund, including agreements with respect to the provision of distribution, transfer agency and shareholder services
to the Fund;
|
•
|
Descriptions of various
functions performed by the Investment Manager under the Management Agreement, including portfolio management and portfolio trading practices;
|
•
|
Information regarding the
management fees of similarly-managed portfolios of other clients of the Investment Manager, including institutional accounts and collective trusts;
|
•
|
Information regarding the
reputation, regulatory history and resources of the Investment Manager, including information regarding senior management, portfolio managers and other personnel;
|
•
|
Information regarding the
capabilities of the Investment Manager with respect to compliance monitoring services, including an assessment of the Investment Manager’s compliance system by the Fund’s Chief Compliance Officer; and
|
•
|
The profitability to the
Investment Manager and its affiliates from their relationships with the Fund.
|
Nature, extent and quality of services provided under the
Management Agreement
The Committee and the Board
considered the nature, extent and quality of services provided to the Fund by the Investment Manager and its affiliates under the Management Agreement and under separate agreements for the provision of transfer agency and shareholder services, and
the resources dedicated to the Fund and the other Columbia Funds by the Investment Manager and its affiliates. The Committee and the Board considered, among other things, the Investment Manager’s ability to attract, motivate and retain highly
qualified research, advisory and supervisory investment professionals (including compensation programs for personnel involved in fund management, reputation and other attributes), the portfolio management services provided by those investment
professionals, and the quality of the Investment Manager’s investment research capabilities and trade execution services. The Committee and the Board also considered the potential benefits to shareholders of investing in a mutual fund that is
part of a fund complex offering exposure to a variety of asset classes and investment disciplines and providing a variety of fund and shareholder services.
The Committee and the Board also considered the professional
experience and qualifications of the senior personnel of the Investment Manager, which included consideration of the Investment Manager’s experience with funds using an investment strategy similar to that used by the Investment Manager for the
Fund. The Committee and the Board noted the compliance programs of and the compliance-related resources provided to the Fund by the Investment Manager and its affiliates and the resources dedicated by the Investment Manager and its affiliates to
risk management, and considered the Investment Manager’s ability to provide administrative services to the Fund and coordinate the activities of the Fund’s other service providers. After reviewing these and related factors, the Committee
and the Board concluded, within the context of their overall conclusions, that the nature, extent and quality of the services provided to the Fund under the Management Agreement supported the continuation of the Management Agreement.
Investment performance
The Committee and the Board reviewed information about the
performance of the Fund over various time periods, including performance information relative to benchmarks, information that compared the performance of the Fund to the performance of a group of comparable mutual funds as determined by the
independent third-party data provider, and information and analysis provided by the independent fee consultant. The Committee and the Board also reviewed a description of the third party’s methodology for identifying the Fund’s peer
groups for purposes of performance and expense comparisons. Although the Fund’s performance lagged that of a relevant peer group for certain (although not necessarily all) periods, the Committee
Columbia
Emerging Markets Fund | Annual Report 2019
|
39
|
Board Consideration and Approval of Management
Agreement (continued)
and the Board concluded that other factors relevant to performance were
sufficient, in light of other considerations, to support continuation of the Management Agreement. Those factors included one or more of the following: (i) that the Fund’s performance, although lagging in certain recent periods, was stronger
over the longer term; (ii) that the underperformance was attributable, to a significant extent, to investment decisions that were reasonable and consistent with the Fund’s investment strategy and policies and that the Fund was performing
within a reasonable range of expectations, given those investment decisions, market conditions and the Fund’s investment strategy; (iii) that the Fund’s performance was competitive when compared to other relevant performance benchmarks
or peer groups; and (iv) that the Investment Manager had taken or was taking steps designed to help improve the Fund’s investment performance, including, but not limited to, replacing portfolio managers, enhancing the resources supporting the
portfolio managers, or modifying investment strategies.
The Committee and the Board noted that, through December 31,
2018, the Fund’s performance was in the ninety-second, fifty-sixth and forty-third percentile (where the best performance would be in the first percentile) of its category selected by the independent third-party data provider for the purposes
of performance comparisons for the one-, three- and five-year periods, respectively.
The Committee and the Board also considered the Investment
Manager’s performance and reputation generally, the Investment Manager’s historical responsiveness to Board concerns about performance, and the Investment Manager’s willingness to take steps intended to improve performance. After
reviewing these and related factors, the Committee and the Board concluded, within the context of their overall conclusions, that the performance of the Fund and the Investment Manager was sufficient, in light of other considerations, to support the
continuation of the Management Agreement.
Investment
management fee rates and other expenses
The Committee
and the Board considered the management fees charged to the Fund under the Management Agreement as well as the total expenses incurred by the Fund. In assessing the reasonableness of the fees under the Management Agreement, the Committee and the
Board considered, among other information, the Fund’s total expense ratio as a percentage of average daily net assets. The Committee and the Board considered data provided by the independent third-party data provider and the independent fee
consultant. The Committee and the Board noted that, as of December 31, 2018, the Fund’s actual management fee and net total expense ratio were ranked in the fourth and third quintiles, respectively, (where the lowest fees and expenses would be
in the first quintile) against the Fund’s expense universe as determined by the independent third-party data provider for purposes of expense comparison. The Committee and the Board also took into account the fee waiver and expense limitation
arrangements agreed to by the Investment Manager, as noted above.
The Committee and the Board also received and considered
information about the management fees charged by the Investment Manager to institutional accounts. In considering the fees charged to those accounts, the Committee and the Board took into account, among other things, the Investment Manager’s
representations about the differences between managing mutual funds as compared to other types of accounts, including differences in the services provided, differences in the risk profile of such business for the Investment Manager and the
additional resources required to manage mutual funds effectively. The Committee and the Board also received and considered information about the fees charged by the Investment Manager for sub-advisory services it provides to comparable unaffiliated
funds. In evaluating the Fund’s management fees, the Committee and the Board also took into account the demands, complexity and quality of the investment management of the Fund.
After reviewing these and related factors, the Committee and
the Board concluded, within the context of their overall conclusions, that the management fee rates and expenses of the Fund, in light of other considerations, supported the continuation of the Management Agreement.
Costs of services provided and profitability
The Committee and the Board also took note of the costs the
Investment Manager and its affiliates incur in connection with the services provided and the profitability to the Investment Manager and its affiliates from their relationships with the Fund, and the efforts undertaken by the Investment Manager and
its affiliates to manage efficiently their costs to provide such services.
40
|
Columbia Emerging Markets
Fund | Annual Report 2019
|
Board Consideration and Approval of Management
Agreement (continued)
The Committee and the Board also considered the compensation directly or
indirectly received by the Investment Manager’s affiliates in connection with their relationships with the Fund. The Committee and the Board reviewed information provided by management as to the profitability to the Investment Manager and its
affiliates of their relationships with the Fund, information about the allocation of expenses used to calculate profitability, and comparisons of profitability levels realized in 2018 to profitability levels realized in 2017. When reviewing
profitability, the Committee and the Board also considered court cases in which adviser profitability was an issue in whole or in part, the performance of similarly managed funds, the performance of the Fund, and the expense ratio of the Fund. In
addition, the Committee and the Board considered information provided by the Investment Manager regarding the Investment Manager’s financial condition and comparing its profitability to that of other asset management firms that are, or are
subsidiaries of, publicly traded companies. In this regard, the Committee and the Board also considered data provided by the independent fee consultant.
After reviewing these and related factors, the Committee and
the Board concluded, within the context of their overall conclusions, that the costs of services provided and the profitability to the Investment Manager and its affiliates from their relationships with the Fund supported the continuation of the
Management Agreement.
Economies of scale
The Committee and the Board considered the potential
existence of economies of scale in the provision by the Investment Manager of services to the Fund, to groups of related funds, and to the Investment Manager’s investment advisory clients as a whole, and whether those economies of scale were
shared with the Fund through breakpoints in investment management fees or other means, such as expense limitation arrangements and additional investments by the Investment Manager in investment, trading, compliance and other resources. The Committee
and the Board noted that the management fee schedules for the Fund contained breakpoints that would reduce the fee rate on assets above specified threshold levels.
In considering these matters, the Committee and the Board also
considered the costs of the services provided and the profitability to the Investment Manager and its affiliates from their relationships with the Fund, as noted above. After reviewing these and related factors, the Committee and the Board
concluded, within the context of their overall conclusions, that the extent to which any economies of scale were expected to be shared with the Fund supported the continuation of the Management Agreement.
Other benefits to the Investment Manager
The Committee and the Board received and considered
information regarding “fall-out” or ancillary benefits received by the Investment Manager and its affiliates as a result of their relationships with the Fund, such as the engagement of the Investment Manager’s affiliates to provide
distribution, transfer agency and shareholder services to the Fund. In this regard, among other matters, the Committee and the Board considered that the Fund’s distributor retains a portion of the distribution fees from the Fund and receives a
portion of the sales charges on sales or redemptions of certain classes of shares of the Fund. The Committee and the Board also considered the benefits of research made available to the Investment Manager by reason of brokerage commissions generated
by the Fund’s securities transactions, and reviewed information about the Investment Manager’s practices with respect to considering brokerage and research services when allocating portfolio transactions. In this connection, the Board
also noted that the amount of research made available to the Investment Manager by reason of brokerage commissions had been declining over time, and may decline further. The Committee and the Board recognized that the Investment Manager’s
profitability would be somewhat lower without these benefits.
Conclusion
The Committee and the Board reviewed all of the above
considerations in reaching their decisions to recommend or approve the continuation of the Management Agreement. In their deliberations, the Trustees did not identify any particular information that was all-important or controlling, and individual
Trustees may have attributed different weights to the various factors. Based on their evaluation of all factors that they deemed to be material, including those factors described above, and assisted by the advice of independent legal counsel, the
Board, including the Independent Trustees, voting separately, unanimously approved the continuation of the Management Agreement.
Columbia
Emerging Markets Fund | Annual Report 2019
|
41
|
[THIS PAGE INTENTIONALLY LEFT BLANK]
[THIS PAGE INTENTIONALLY LEFT BLANK]
Columbia Emerging Markets Fund
P.O. Box 219104
Kansas City, MO 64121-9104
Please read and consider the investment objectives, risks,
charges and expenses for any fund carefully before investing. For a prospectus and summary prospectus, which contains this and other important information about the Fund, go to
columbiathreadneedleus.com/investor/. The Fund is distributed by Columbia Management Investment Distributors, Inc., member FINRA, and managed by Columbia Management Investment Advisers, LLC.
Columbia Threadneedle Investments (Columbia Threadneedle) is
the global brand name of the Columbia and Threadneedle group of companies. All rights reserved.
© 2019 Columbia Management Investment Advisers, LLC.
columbiathreadneedleus.com/investor/
Annual
Report
August 31, 2019
Columbia Greater China 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
|
|
6
|
|
8
|
|
9
|
|
13
|
|
14
|
|
15
|
|
18
|
|
22
|
|
31
|
|
32
|
|
32
|
|
36
|
Columbia Greater China Fund (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-PORT, and for reporting periods ended prior to March 31, 2019, on Form N-Q. The Fund’s Form N-Q and Form N-PORT filings are available on the SEC’s website at sec.gov.
The Fund’s complete schedule of portfolio holdings, as filed on Form N-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 (the Investment Manager)
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 Greater
China Fund | Annual Report 2019
Investment objective
The Fund seeks long-term capital
appreciation.
Portfolio
management
Dara White,
CFA
Co-Portfolio
Manager
Managed Fund
since January 2019
Jasmine (Weili)
Huang, CFA, CPA (U.S. and China), CFM*
Co-Portfolio
Manager
Managed Fund
since 2005
*Ms. Huang is on a
medical leave of absence, a timetable for her return is not set.
Morningstar
style boxTM
The Morningstar
Style Box is based on a fund’s portfolio holdings. For equity funds, the vertical axis shows the market capitalization of the stocks owned, and the horizontal axis shows investment style (value, blend, or growth). Information shown is based on
the most recent data provided by Morningstar.
© 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 August 31, 2019)
|
|
|
Inception
|
1
Year
|
5
Years
|
10
Years
|
Class
A
|
Excluding
sales charges
|
05/16/97
|
1.28
|
6.83
|
7.51
|
|
Including
sales charges
|
|
-4.54
|
5.57
|
6.87
|
Advisor
Class*
|
03/19/13
|
1.53
|
7.10
|
7.68
|
Class
C
|
Excluding
sales charges
|
05/16/97
|
0.53
|
6.03
|
6.70
|
|
Including
sales charges
|
|
-0.41
|
6.03
|
6.70
|
Institutional
Class
|
05/16/97
|
1.54
|
7.10
|
7.78
|
Institutional
2 Class*
|
11/08/12
|
1.65
|
7.23
|
7.78
|
Institutional
3 Class*
|
03/01/17
|
1.69
|
7.04
|
7.61
|
MSCI
China Index (Net)
|
|
-5.25
|
4.66
|
5.34
|
Hang
Seng Index
|
|
-7.60
|
0.56
|
2.58
|
Returns for Class A shares are shown
with and without the maximum initial sales charge of 5.75%. Returns for Class C shares are shown with and without the 1.00% contingent deferred sales charge for the first year only. The Fund’s other share classes are not subject to sales
charges and have limited eligibility. Please see the Fund’s prospectus for details. Performance for different share classes will vary based on differences in sales charges and fees associated with each share class. All results shown assume
reinvestment of distributions during the period. Returns do not reflect the deduction of taxes that a shareholder may pay on Fund distributions or on the redemption of Fund shares. Performance results reflect the effect of any fee waivers or
reimbursements of Fund expenses by Columbia Management Investment Advisers, LLC and/or any of its affiliates. Absent these fee waivers or expense reimbursement arrangements, performance results would have been lower.
The performance information shown represents past performance and
is not a guarantee of future results. The investment return and principal value of your investment will fluctuate so that your shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than
the performance information shown. You may obtain performance information current to the most recent month-end by contacting your financial intermediary, visiting columbiathreadneedleus.com/investor/ or calling 800.345.6611.
*
|
The returns shown for periods
prior to the share class inception date (including returns for the Life of the Fund, if shown, which are since Fund inception) include the returns of the Fund’s oldest share class. Since the Fund launched more than one share class at its
inception, Class A shares were used. These returns are adjusted to reflect any higher class-related operating expenses of the newer share classes, as applicable. Please visit
columbiathreadneedleus.com/investor/investment-products/mutual-funds/appended-performance for more information.
|
The MSCI China Index (Net) is designed to broadly and fairly
represent the full diversity of business activities in China. This index aims to capture 85% of the free float adjusted market capitalization in each industry group.
The Hang Seng Index tracks the performance of approximately 70%
of the total market capitalization of the stock exchange of Hong Kong.
Indices are not available for investment, are not
professionally managed and do not reflect sales charges, fees, brokerage commissions, taxes (except the MSCI China Index (Net) which reflects reinvested dividends net of withholding taxes) or other expenses of investing. Securities in the Fund may
not match those in an index.
Columbia
Greater China Fund | Annual Report 2019
|
3
|
Fund at a Glance (continued)
Performance of a
hypothetical $10,000 investment (August 31, 2009 — August 31, 2019)
The chart above shows the
change in value of a hypothetical $10,000 investment in Class A shares of Columbia Greater China 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 August 31, 2019)
|
Tencent
Holdings Ltd.
|
22.0
|
Alibaba
Group Holding Ltd., ADR
|
17.0
|
Ping
An Insurance Group Co. of China Ltd., Class H
|
5.8
|
Shenzhou
International Group Holdings Ltd.
|
4.2
|
CNOOC
Ltd.
|
4.1
|
China
Construction Bank Corp., Class H
|
3.8
|
China
Mengniu Dairy Co., Ltd.
|
2.7
|
NetEase,
Inc., ADR
|
2.7
|
TAL
Education Group, ADR
|
2.3
|
Jiangsu
Yanghe Brewery Joint-Stock Co., Ltd., Class A
|
2.2
|
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.
Equity
sector breakdown (%) (at August 31, 2019)
|
Communication
Services
|
26.6
|
Consumer
Discretionary
|
30.8
|
Consumer
Staples
|
9.9
|
Energy
|
4.2
|
Financials
|
14.0
|
Health
Care
|
9.4
|
Industrials
|
1.9
|
Information
Technology
|
0.7
|
Materials
|
1.1
|
Real
Estate
|
1.4
|
Total
|
100.0
|
Percentages indicated are based
upon total equity investments. The Fund’s portfolio composition is subject to change.
4
|
Columbia Greater China Fund
| Annual Report 2019
|
Fund at a Glance (continued)
Country
breakdown (%) (at August 31, 2019)
|
China
|
96.2
|
Hong
Kong
|
3.2
|
United
States(a)
|
0.6
|
Total
|
100.0
|
(a)
|
Includes
investments in Money Market Funds.
|
Country breakdown is based primarily on issuer’s place
of organization/incorporation. Percentages indicated are based upon total investments excluding investments in derivatives, if any. The Fund’s portfolio composition is subject to change.
Columbia
Greater China Fund | Annual Report 2019
|
5
|
Manager Discussion of Fund Performance
For the
12-month period that ended August 31, 2019, the Fund’s Class A shares returned 1.28% excluding sales charges. The Fund’s performance exceeded the MSCI China Index (Net) benchmark return of -5.25% and the Hang Seng Index return of -7.60%,
for the same 12-month period. Selection within communication services, consumer staples and financials added to the Fund’s relative performance, while selection within information technology constrained return.
Trade and monetary policy concerns overhung market
The 12 months ended August 31, 2019 saw notable volatility
in risk assets including Chinese equities. The period opened against the backdrop of a slowing global economy and an escalating U.S.-China trade war. A sharp risk-off tone in late 2018 was driven by concerns that the U.S. Federal Reserve (Fed) would
overshoot in raising rates given the already fragile growth outlook. The Fed responded to the deterioration in sentiment by executing a policy pivot entering 2019, signaling a pause in rate increases along with announcing an early end to its balance
sheet reduction program. The Chinese government also moved toward increasing accommodation by putting to the side deleveraging efforts and adding stimulus in the form of lower bank reserve requirements, tax cuts and targeted infrastructure spending.
Along with signs of modest progress in trade negotiations, these developments supported a rebound in global equities over the first few months of 2019.
However, the rally would be derailed in early May as President
Trump announced plans to raise tariffs from 10% to 25% on some $200 billion in imports from China. Sentiment was subsequently buffered to a degree as the Fed indicated a willingness to cut its benchmark overnight lending rate as needed to offset the
impact on global growth of higher tariffs
Fund
performance aided by security selection
For the 12
months ended August 31, 2019, performance in the Chinese market was led by domestically focused sectors such as consumer staples, consumer discretionary and utilities. By contrast, energy, healthcare, information technology and industrials issues
lagged as the trade war weighed on these sectors.
Security selection was the primary driver of the Fund’s
outperformance relative to the MSCI benchmark, highlighted by choices within communication services, consumer staples and financials. Selection within information technology detracted from relative performance. The Fund’s sector allocations in
aggregate added modestly to returns versus the benchmark as we sought to focus on companies with results primarily reliant on the domestic consumer.
Within communication services, contributions were led by
exposure to Netease, as the internet technology company benefited from a more relaxed regulatory environment around online games. An underweight to internet search company Baidu also added to relative performance, as the slowing Chinese economy has
hampered growth in online searches and associated advertising revenue. Within consumer discretionary, a pair of educational services companies, TAL Education Group and New Oriental Education & Technology, were notable outperformers as both
companies have experienced strong enrollment growth. In consumer staples, positive results for premium liquor manufacturer Kweichow Moutai have been driven by an increase in high-end consumption, while China Resources Beer, brewer of the
world’s best-selling beer, has seen its results benefit as it pursues a “premiumization” strategy. In financials, contributions were led by Ping An Insurance, which given its market leadership is well-positioned to experience
further growth from addressing what we believe to be the underpenetrated Chinese insurance market. Within health care, a position in WuXi AppTec Group aided performance as the biopharmaceutical company has benefited from the industry trend toward
outsourcing of clinical drug trials.
On the downside, as
noted selection within information technology was the leading constraint on return. Shares of Sunny Optical, China’s largest manufacturer of smartphone camera components, declined notably. We exited the position on the view that the U.S.-China
trade dispute and security concerns are likely to weigh on Chinese technology companies for some time. Online advertising agency Focus Media Internet Technology also performed poorly, and we sold out of that position as well.
Focus on secular growth themes
We continue to use a bottom-up approach designed to identify
fast-growing, fundamentally sound companies that we believe are capitalizing on favorable long-term trends, including the emerging Chinese consumer fueled by rising incomes.
6
|
Columbia Greater China Fund
| Annual Report 2019
|
Manager Discussion of Fund Performance (continued)
In China, the government’s focus had shifted away from
deleveraging and toward measures to stimulate the economy at the close of the reporting period. Chinese Purchasing Managers’ Index had shown some signs of strengthening, suggesting a return on the part of companies to more of a “business
as usual” approach despite the overhang from trade concerns. However, real activity growth remained under pressure, with particular headwinds related to exports. We had observed an increase in government support for the private sector and an
improvement in the regulatory environment.
In managing
the Fund, our investment focus remains on long-term secular Chinese domestic growth themes rather than global trade and cyclical trends. We continue to believe the long-term outlook for China’s “new economy” remains robust and that
market volatility can create opportunities to invest in high quality companies at reasonable prices.
Marketrisk may affect a single
issuer, sector of the economy, industry or the market as a whole. 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. Concentration in the Greater China region, where issuers tend to be less developed
than U.S. issuers, presents increased risk of loss than a fund that does not concentrate its investments. Investments in small- and mid-cap companies involve risks and volatility greater than investments in
larger, more established companies. As a non-diversified fund, fewer investments could have a greater affect 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.
Columbia
Greater China 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 $1,000
= 8.6), then multiply the results by the expenses paid during the period under the “Actual” column. The amount listed in the “Hypothetical” column assumes a 5% annual rate of return before expenses (which is not the
Fund’s actual return) and then applies the Fund’s actual expense ratio for the period to the hypothetical return. You should not use the hypothetical account values and expenses to estimate either your actual account balance at the end
of the period or the expenses you paid during the period. See “Compare with other funds” below for details on how to use the hypothetical data.
Compare with other funds
Since all mutual funds are required to include the same
hypothetical calculations about expenses in shareholder reports, you can use this information to compare the ongoing cost of investing in the Fund with other funds. To do so, compare the hypothetical example with the 5% hypothetical examples that
appear in the shareholder reports of other funds. As you compare hypothetical examples of other funds, it is important to note that hypothetical examples are meant to highlight the ongoing costs of investing in a fund only and do not reflect any
transaction costs, such as sales charges, or redemption or exchange fees. Therefore, the hypothetical calculations are useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. If
transaction costs were included in these calculations, your costs would be higher.
March
1, 2019 — August 31, 2019
|
|
Account
value at the
beginning of the
period ($)
|
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
|
1,018.30
|
1,017.45
|
7.69
|
7.69
|
1.52
|
Advisor
Class
|
1,000.00
|
1,000.00
|
1,019.70
|
1,018.65
|
6.48
|
6.48
|
1.28
|
Class
C
|
1,000.00
|
1,000.00
|
1,014.60
|
1,013.69
|
11.46
|
11.46
|
2.27
|
Institutional
Class
|
1,000.00
|
1,000.00
|
1,019.70
|
1,018.70
|
6.43
|
6.43
|
1.27
|
Institutional
2 Class
|
1,000.00
|
1,000.00
|
1,020.30
|
1,019.10
|
6.03
|
6.02
|
1.19
|
Institutional
3 Class
|
1,000.00
|
1,000.00
|
1,020.60
|
1,019.35
|
5.77
|
5.77
|
1.14
|
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 Greater China Fund
| Annual Report 2019
|
Portfolio of Investments
August 31, 2019
(Percentages represent value of investments compared to net
assets)
Investments in securities
Common
Stocks 99.4%
|
Issuer
|
Shares
|
Value
($)
|
Communication
Services 26.4%
|
Entertainment
4.6%
|
HUYA,
Inc. ADR(a)
|
48,227
|
1,215,321
|
NetEase,
Inc., ADR
|
11,446
|
2,918,730
|
Tencent
Music Entertainment Group, ADR(a)
|
63,623
|
846,186
|
Total
|
|
4,980,237
|
Interactive
Media & Services 21.8%
|
Tencent
Holdings Ltd.
|
577,100
|
23,825,881
|
Total
Communication Services
|
28,806,118
|
Consumer
Discretionary 30.7%
|
Diversified
Consumer Services 4.4%
|
New
Oriental Education & Technology Group, Inc., ADR(a)
|
20,630
|
2,339,442
|
TAL
Education Group, ADR(a)
|
70,085
|
2,497,128
|
Total
|
|
4,836,570
|
Hotels,
Restaurants & Leisure 1.8%
|
China
International Travel Service Corp., Ltd., Class A
|
35,000
|
468,345
|
Galaxy
Entertainment Group Ltd.
|
246,000
|
1,539,587
|
Total
|
|
2,007,932
|
Household
Durables 2.3%
|
Haier
Smart Home Co., Ltd., Class A
|
356,620
|
794,053
|
Midea
Group Co., Ltd., Class A
|
224,975
|
1,664,638
|
Total
|
|
2,458,691
|
Internet
& Direct Marketing Retail 17.6%
|
Alibaba
Group Holding Ltd., ADR(a)
|
105,061
|
18,388,827
|
Ctrip.com
International Ltd., ADR(a)
|
23,985
|
776,634
|
Total
|
|
19,165,461
|
Specialty
Retail 0.4%
|
Zhongsheng
Group Holdings Ltd.
|
124,000
|
386,509
|
Textiles,
Apparel & Luxury Goods 4.2%
|
Shenzhou
International Group Holdings Ltd.
|
336,000
|
4,558,618
|
Total
Consumer Discretionary
|
33,413,781
|
Common
Stocks (continued)
|
Issuer
|
Shares
|
Value
($)
|
Consumer
Staples 9.8%
|
Beverages
5.9%
|
China
Resources Beer Holdings Co., Ltd.
|
392,000
|
2,218,905
|
Jiangsu
Yanghe Brewery Joint-Stock Co., Ltd., Class A
|
154,290
|
2,417,548
|
Kweichow
Moutai Co., Ltd., Class A
|
11,700
|
1,869,844
|
Total
|
|
6,506,297
|
Food
Products 3.9%
|
China
Mengniu Dairy Co., Ltd.
|
748,000
|
2,959,046
|
Foshan
Haitian Flavouring & Food Co., Ltd., Class A
|
79,136
|
1,269,631
|
Total
|
|
4,228,677
|
Total
Consumer Staples
|
10,734,974
|
Energy
4.1%
|
Oil,
Gas & Consumable Fuels 4.1%
|
CNOOC
Ltd.
|
3,029,500
|
4,487,950
|
Total
Energy
|
4,487,950
|
Financials
14.0%
|
Banks
6.8%
|
China
Construction Bank Corp., Class H
|
5,476,340
|
4,069,548
|
China
Merchants Bank Co., Ltd., Class H
|
318,500
|
1,445,023
|
Industrial
& Commercial Bank of China Ltd., Class H
|
3,021,000
|
1,905,215
|
Total
|
|
7,419,786
|
Insurance
7.2%
|
AIA
Group Ltd.
|
161,200
|
1,559,893
|
Ping
An Insurance Group Co. of China Ltd., Class H
|
543,500
|
6,235,582
|
Total
|
|
7,795,475
|
Total
Financials
|
15,215,261
|
Health
Care 9.4%
|
Biotechnology
2.8%
|
BeiGene
Ltd., ADR(a)
|
9,283
|
1,334,431
|
CStone
Pharmaceuticals(a)
|
450,000
|
661,191
|
Zai
Lab Ltd., ADR(a)
|
32,460
|
1,058,520
|
Total
|
|
3,054,142
|
Life
Sciences Tools & Services 2.9%
|
WuXi
AppTec Co., Ltd., Class H
|
124,880
|
1,397,652
|
Wuxi
Biologics Cayman, Inc.(a)
|
170,500
|
1,789,477
|
Total
|
|
3,187,129
|
The accompanying Notes to Financial Statements are an integral part
of this statement.
Columbia
Greater China Fund | Annual Report 2019
|
9
|
Portfolio of Investments (continued)
August 31, 2019
Common
Stocks (continued)
|
Issuer
|
Shares
|
Value
($)
|
Pharmaceuticals
3.7%
|
China
Animal Healthcare Ltd.(a),(b),(c),(d)
|
1,050,000
|
0
|
CSPC
Pharmaceutical Group Ltd.
|
686,000
|
1,366,827
|
Jiangsu
Hengrui Medicine Co., Ltd., Class A
|
52,131
|
584,234
|
Sino
Biopharmaceutical Ltd.
|
1,375,500
|
2,038,037
|
Total
|
|
3,989,098
|
Total
Health Care
|
10,230,369
|
Industrials
1.9%
|
Electrical
Equipment 0.8%
|
Zhuzhou
CRRC Times Electric Co., Ltd., Class H
|
202,100
|
802,297
|
Machinery
0.3%
|
Techtronic
Industries Co., Ltd.
|
51,000
|
351,784
|
Transportation
Infrastructure 0.8%
|
Shanghai
International Airport Co., Ltd., Class A
|
73,800
|
868,168
|
Total
Industrials
|
2,022,249
|
Information
Technology 0.7%
|
Software
0.7%
|
Kingdee
International Software Group Co., Ltd.
|
873,000
|
787,556
|
Total
Information Technology
|
787,556
|
Common
Stocks (continued)
|
Issuer
|
Shares
|
Value
($)
|
Materials
1.1%
|
Construction
Materials 1.1%
|
China
Resources Cement Holdings Ltd.
|
1,394,000
|
1,231,713
|
Total
Materials
|
1,231,713
|
Real
Estate 1.3%
|
Real
Estate Management & Development 1.3%
|
China
Resources Land Ltd.
|
360,000
|
1,459,502
|
Total
Real Estate
|
1,459,502
|
Total
Common Stocks
(Cost $54,321,687)
|
108,389,473
|
|
Money
Market Funds 0.6%
|
|
Shares
|
Value
($)
|
Columbia
Short-Term Cash Fund, 2.208%(e),(f)
|
635,900
|
635,836
|
Total
Money Market Funds
(Cost $635,836)
|
635,836
|
Total
Investments in Securities
(Cost: $54,957,523)
|
109,025,309
|
Other
Assets & Liabilities, Net
|
|
(45,840)
|
Net
Assets
|
108,979,469
|
Notes to Portfolio of Investments
(a)
|
Non-income
producing investment.
|
(b)
|
Represents fair
value as determined in good faith under procedures approved by the Board of Trustees. At August 31, 2019, the total value of these securities amounted to $0, which represents less than 0.01% of total net assets.
|
(c)
|
Negligible market
value.
|
(d)
|
Valuation
based on significant unobservable inputs.
|
(e)
|
The rate
shown is the seven-day current annualized yield at August 31, 2019.
|
(f)
|
As
defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. Holdings and
transactions in these affiliated companies during the year ended August 31, 2019 are as follows:
|
Issuer
|
Beginning
shares
|
Shares
purchased
|
Shares
sold
|
Ending
shares
|
Realized
gain
(loss) —
affiliated
issuers ($)
|
Net
change in
unrealized
appreciation
(depreciation) —
affiliated
issuers ($)
|
Dividends
—
affiliated
issuers ($)
|
Value
—
affiliated
issuers
at end of
period ($)
|
Columbia
Short-Term Cash Fund, 2.208%
|
|
6,297,619
|
39,997,465
|
(45,659,184)
|
635,900
|
51
|
—
|
68,381
|
635,836
|
Abbreviation
Legend
ADR
|
American
Depositary Receipt
|
The accompanying Notes to Financial Statements are an integral part of this
statement.
10
|
Columbia Greater China Fund
| Annual Report 2019
|
Portfolio of Investments (continued)
August 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.
Foreign equity securities actively traded in markets where
there is a significant delay in the local close relative to the New York Stock Exchange are classified as Level 2. The values of these securities may include an adjustment to reflect the impact of significant market movements following the close of
local trading, as described in Note 2 to the financial statements – Security valuation.
Investments falling into the Level 3 category are primarily
supported by quoted prices from brokers and dealers participating in the market for those investments. However, these may be classified as Level 3 investments due to lack of market transparency and corroboration to support these quoted prices.
Additionally, valuation models may be used as the pricing source for any remaining investments classified as Level 3. These models may rely on one or more significant unobservable inputs and/or significant assumptions by the Investment Manager.
Inputs used in valuations may include, but are not limited to, financial statement analysis, capital account balances, discount rates and estimated cash flows, and comparable company data.
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.
The following table is a summary of
the inputs used to value the Fund’s investments at August 31, 2019:
|
Level
1 ($)
|
Level
2 ($)
|
Level
3 ($)
|
Total
($)
|
Investments
in Securities
|
|
|
|
|
Common
Stocks
|
|
|
|
|
Communication
Services
|
4,980,237
|
23,825,881
|
—
|
28,806,118
|
Consumer
Discretionary
|
24,002,031
|
9,411,750
|
—
|
33,413,781
|
Consumer
Staples
|
—
|
10,734,974
|
—
|
10,734,974
|
Energy
|
—
|
4,487,950
|
—
|
4,487,950
|
Financials
|
—
|
15,215,261
|
—
|
15,215,261
|
Health
Care
|
2,392,951
|
7,837,418
|
0*
|
10,230,369
|
Industrials
|
—
|
2,022,249
|
—
|
2,022,249
|
Information
Technology
|
—
|
787,556
|
—
|
787,556
|
Materials
|
—
|
1,231,713
|
—
|
1,231,713
|
Real
Estate
|
—
|
1,459,502
|
—
|
1,459,502
|
Total
Common Stocks
|
31,375,219
|
77,014,254
|
0*
|
108,389,473
|
Money
Market Funds
|
635,836
|
—
|
—
|
635,836
|
Total
Investments in Securities
|
32,011,055
|
77,014,254
|
0*
|
109,025,309
|
See the Portfolio of
Investments for all investment classifications not indicated in the table.
The accompanying Notes to Financial Statements are an integral part of this
statement.
Columbia
Greater China Fund | Annual Report 2019
|
11
|
Portfolio of Investments (continued)
August 31, 2019
Fair value
measurements (continued)
The Fund’s assets assigned to the Level 2 input category are generally valued using the market approach, in which a security’s value is determined
through reference to prices and information from market transactions for similar or identical assets. These assets include certain foreign securities for which a third party statistical pricing service may be employed for purposes of fair market
valuation. The model utilized by such third party statistical pricing service takes into account a security’s correlation to available market data including, but not limited to, intraday index, ADR, and exchange-traded fund
movements.
The Fund does not hold any significant
investments (greater than one percent of net assets) categorized as Level 3.
The accompanying Notes to Financial Statements are an integral part of this
statement.
12
|
Columbia Greater China Fund
| Annual Report 2019
|
Statement of Assets and Liabilities
August 31, 2019
Assets
|
|
Investments
in securities, at value
|
|
Unaffiliated
issuers (cost $54,321,687)
|
$108,389,473
|
Affiliated
issuers (cost $635,836)
|
635,836
|
Cash
|
29
|
Receivable
for:
|
|
Capital
shares sold
|
17,861
|
Dividends
|
49,115
|
Prepaid
expenses
|
714
|
Trustees’
deferred compensation plan
|
68,808
|
Total
assets
|
109,161,836
|
Liabilities
|
|
Payable
for:
|
|
Capital
shares purchased
|
61,748
|
Management
services fees
|
2,830
|
Distribution
and/or service fees
|
519
|
Transfer
agent fees
|
14,320
|
Compensation
of chief compliance officer
|
8
|
Audit
fees
|
19,225
|
Custodian
fees
|
11,358
|
Other
expenses
|
3,551
|
Trustees’
deferred compensation plan
|
68,808
|
Total
liabilities
|
182,367
|
Net
assets applicable to outstanding capital stock
|
$108,979,469
|
Represented
by
|
|
Paid
in capital
|
53,463,616
|
Total
distributable earnings (loss) (Note 2)
|
55,515,853
|
Total
- representing net assets applicable to outstanding capital stock
|
$108,979,469
|
Class
A
|
|
Net
assets
|
$65,762,336
|
Shares
outstanding
|
1,461,239
|
Net
asset value per share
|
$45.00
|
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)
|
$47.75
|
Advisor
Class
|
|
Net
assets
|
$1,027,223
|
Shares
outstanding
|
20,466
|
Net
asset value per share
|
$50.19
|
Class
C
|
|
Net
assets
|
$2,553,867
|
Shares
outstanding
|
62,348
|
Net
asset value per share
|
$40.96
|
Institutional
Class
|
|
Net
assets
|
$31,243,913
|
Shares
outstanding
|
634,588
|
Net
asset value per share
|
$49.23
|
Institutional
2 Class
|
|
Net
assets
|
$3,001,300
|
Shares
outstanding
|
59,575
|
Net
asset value per share
|
$50.38
|
Institutional
3 Class
|
|
Net
assets
|
$5,390,830
|
Shares
outstanding
|
109,849
|
Net
asset value per share(a)
|
$49.08
|
(a)
|
Net
asset value per share rounds to this amount due to fractional shares outstanding.
|
The accompanying Notes to Financial Statements are an integral part of this
statement.
Columbia
Greater China Fund | Annual Report 2019
|
13
|
Statement of Operations
Year Ended August 31, 2019
Net
investment income
|
|
Income:
|
|
Dividends
— unaffiliated issuers
|
$1,786,174
|
Dividends
— affiliated issuers
|
68,381
|
Foreign
taxes withheld
|
(128,387)
|
Total
income
|
1,726,168
|
Expenses:
|
|
Management
services fees
|
1,101,436
|
Distribution
and/or service fees
|
|
Class
A
|
166,442
|
Class
C
|
41,736
|
Class
T
|
2
|
Transfer
agent fees
|
|
Class
A
|
98,264
|
Advisor
Class
|
4,444
|
Class
C
|
6,210
|
Institutional
Class
|
50,418
|
Institutional
2 Class
|
1,787
|
Institutional
3 Class
|
510
|
Class
T
|
1
|
Compensation
of board members
|
15,166
|
Custodian
fees
|
17,259
|
Printing
and postage fees
|
21,376
|
Registration
fees
|
95,803
|
Audit
fees
|
39,274
|
Legal
fees
|
2,312
|
Interest
on interfund lending
|
172
|
Compensation
of chief compliance officer
|
46
|
Other
|
20,439
|
Total
expenses
|
1,683,097
|
Net
investment income
|
43,071
|
Realized
and unrealized gain (loss) — net
|
|
Net
realized gain (loss) on:
|
|
Investments
— unaffiliated issuers
|
2,556,911
|
Investments
— affiliated issuers
|
51
|
Foreign
currency translations
|
(15,419)
|
Net
realized gain
|
2,541,543
|
Net
change in unrealized appreciation (depreciation) on:
|
|
Investments
— unaffiliated issuers
|
(2,754,977)
|
Foreign
currency translations
|
33
|
Net
change in unrealized appreciation (depreciation)
|
(2,754,944)
|
Net
realized and unrealized loss
|
(213,401)
|
Net
decrease in net assets resulting from operations
|
$(170,330)
|
The accompanying Notes to Financial Statements are an
integral part of this statement.
14
|
Columbia Greater China Fund
| Annual Report 2019
|
Statement of Changes in Net Assets
|
Year
Ended
August 31, 2019
|
Year
Ended
August 31, 2018
|
Operations
|
|
|
Net
investment income (loss)
|
$43,071
|
$(207,375)
|
Net
realized gain
|
2,541,543
|
9,630,829
|
Net
change in unrealized appreciation (depreciation)
|
(2,754,944)
|
(3,756,926)
|
Net
increase (decrease) in net assets resulting from operations
|
(170,330)
|
5,666,528
|
Distributions
to shareholders
|
|
|
Net
investment income and net realized gains
|
|
|
Class
A
|
(3,661,678)
|
|
Advisor
Class
|
(97,147)
|
|
Class
C
|
(279,328)
|
|
Institutional
Class
|
(1,849,058)
|
|
Institutional
2 Class
|
(130,519)
|
|
Institutional
3 Class
|
(374,829)
|
|
Net
investment income
|
|
|
Class
A
|
|
(417,242)
|
Advisor
Class
|
|
(9,370)
|
Institutional
Class
|
|
(254,856)
|
Institutional
2 Class
|
|
(16,423)
|
Institutional
3 Class
|
|
(48,186)
|
Class
T
|
|
(16)
|
Net
realized gains
|
|
|
Class
A
|
|
(999,421)
|
Advisor
Class
|
|
(16,158)
|
Class
C
|
|
(142,541)
|
Institutional
Class
|
|
(436,288)
|
Institutional
2 Class
|
|
(25,504)
|
Institutional
3 Class
|
|
(75,324)
|
Class
T
|
|
(38)
|
Total
distributions to shareholders (Note 2)
|
(6,392,559)
|
(2,441,367)
|
Increase
(decrease) in net assets from capital stock activity
|
(14,903,835)
|
2,163,844
|
Total
increase (decrease) in net assets
|
(21,466,724)
|
5,389,005
|
Net
assets at beginning of year
|
130,446,193
|
125,057,188
|
Net
assets at end of year
|
$108,979,469
|
$130,446,193
|
Excess
of distributions over net investment income
|
$(68,808)
|
$(786,878)
|
The accompanying Notes to Financial Statements are an
integral part of this statement.
Columbia
Greater China Fund | Annual Report 2019
|
15
|
Statement of Changes in Net Assets (continued)
|
Year
Ended
|
Year
Ended
|
|
August
31, 2019
|
August
31, 2018
|
|
Shares
|
Dollars
($)
|
Shares
|
Dollars
($)
|
Capital
stock activity
|
Class
A
|
|
|
|
|
Subscriptions
|
293,595
|
13,045,239
|
488,536
|
25,350,672
|
Distributions
reinvested
|
84,947
|
3,282,349
|
25,274
|
1,257,391
|
Redemptions
|
(466,874)
|
(20,192,754)
|
(460,353)
|
(23,554,912)
|
Net
increase (decrease)
|
(88,332)
|
(3,865,166)
|
53,457
|
3,053,151
|
Advisor
Class
|
|
|
|
|
Subscriptions
|
110,263
|
5,328,559
|
49,981
|
2,825,421
|
Distributions
reinvested
|
2,255
|
97,017
|
464
|
25,473
|
Redemptions
|
(130,492)
|
(6,322,936)
|
(75,925)
|
(4,056,287)
|
Net
decrease
|
(17,974)
|
(897,360)
|
(25,480)
|
(1,205,393)
|
Class
C
|
|
|
|
|
Subscriptions
|
19,516
|
782,288
|
67,512
|
3,183,493
|
Distributions
reinvested
|
7,589
|
268,361
|
2,943
|
135,746
|
Redemptions
|
(92,940)
|
(3,736,176)
|
(158,393)
|
(7,532,398)
|
Net
decrease
|
(65,835)
|
(2,685,527)
|
(87,938)
|
(4,213,159)
|
Institutional
Class
|
|
|
|
|
Subscriptions
|
295,807
|
13,942,662
|
438,459
|
24,336,834
|
Distributions
reinvested
|
32,556
|
1,373,839
|
11,538
|
622,116
|
Redemptions
|
(523,058)
|
(24,321,127)
|
(395,992)
|
(21,306,306)
|
Net
increase (decrease)
|
(194,695)
|
(9,004,626)
|
54,005
|
3,652,644
|
Institutional
2 Class
|
|
|
|
|
Subscriptions
|
40,978
|
2,022,243
|
62,028
|
3,525,467
|
Distributions
reinvested
|
3,021
|
130,388
|
761
|
41,868
|
Redemptions
|
(28,907)
|
(1,410,541)
|
(36,118)
|
(2,069,011)
|
Net
increase
|
15,092
|
742,090
|
26,671
|
1,498,324
|
Institutional
3 Class
|
|
|
|
|
Subscriptions
|
119,938
|
5,653,638
|
46,467
|
2,552,658
|
Distributions
reinvested
|
6,638
|
278,940
|
263
|
14,088
|
Redemptions
|
(110,078)
|
(5,123,412)
|
(57,187)
|
(3,188,469)
|
Net
increase (decrease)
|
16,498
|
809,166
|
(10,457)
|
(621,723)
|
Class
T
|
|
|
|
|
Redemptions
|
(57)
|
(2,412)
|
—
|
—
|
Net
decrease
|
(57)
|
(2,412)
|
—
|
—
|
Total
net increase (decrease)
|
(335,303)
|
(14,903,835)
|
10,258
|
2,163,844
|
The accompanying Notes to Financial Statements are an integral part of this
statement.
16
|
Columbia Greater China Fund
| Annual Report 2019
|
[THIS PAGE INTENTIONALLY LEFT BLANK]
Columbia
Greater China 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
(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 8/31/2019
|
$47.25
|
0.00
(c)
|
0.20
(d)
|
—
|
0.20
|
—
|
(2.45)
|
(2.45)
|
Year
Ended 8/31/2018
|
$45.67
|
(0.10)
|
2.62
|
—
|
2.52
|
(0.28)
|
(0.66)
|
(0.94)
|
Year
Ended 8/31/2017
|
$35.20
|
0.06
|
10.41
|
—
|
10.47
|
—
|
—
|
—
|
Year
Ended 8/31/2016
|
$33.33
|
(0.04)
|
3.66
|
—
|
3.62
|
(0.05)
|
(1.70)
|
(1.75)
|
Year
Ended 8/31/2015
|
$45.93
|
0.02
|
(3.87)
|
0.15
|
(3.70)
|
(0.30)
|
(8.60)
|
(8.90)
|
Advisor
Class
|
Year
Ended 8/31/2019
|
$52.25
|
(0.12)
|
0.51
(d)
|
—
|
0.39
|
—
|
(2.45)
|
(2.45)
|
Year
Ended 8/31/2018
|
$50.38
|
0.12
|
2.80
|
—
|
2.92
|
(0.39)
|
(0.66)
|
(1.05)
|
Year
Ended 8/31/2017
|
$38.74
|
0.18
|
11.46
|
—
|
11.64
|
—
|
—
|
—
|
Year
Ended 8/31/2016
|
$36.53
|
0.11
|
3.96
|
—
|
4.07
|
(0.16)
|
(1.70)
|
(1.86)
|
Year
Ended 8/31/2015
|
$49.47
|
1.09
|
(5.18)
|
0.16
|
(3.93)
|
(0.41)
|
(8.60)
|
(9.01)
|
Class
C
|
Year
Ended 8/31/2019
|
$43.57
|
(0.41)
|
0.25
(d)
|
—
|
(0.16)
|
—
|
(2.45)
|
(2.45)
|
Year
Ended 8/31/2018
|
$42.24
|
(0.43)
|
2.42
|
—
|
1.99
|
—
|
(0.66)
|
(0.66)
|
Year
Ended 8/31/2017
|
$32.81
|
(0.24)
|
9.67
|
—
|
9.43
|
—
|
—
|
—
|
Year
Ended 8/31/2016
|
$31.35
|
(0.22)
|
3.38
|
—
|
3.16
|
—
|
(1.70)
|
(1.70)
|
Year
Ended 8/31/2015
|
$43.71
|
(0.28)
|
(3.62)
|
0.14
|
(3.76)
|
—
|
(8.60)
|
(8.60)
|
Institutional
Class
|
Year
Ended 8/31/2019
|
$51.30
|
0.08
|
0.30
(d)
|
—
|
0.38
|
—
|
(2.45)
|
(2.45)
|
Year
Ended 8/31/2018
|
$49.49
|
0.03
|
2.83
|
—
|
2.86
|
(0.39)
|
(0.66)
|
(1.05)
|
Year
Ended 8/31/2017
|
$38.05
|
0.17
|
11.27
|
—
|
11.44
|
—
|
—
|
—
|
Year
Ended 8/31/2016
|
$35.91
|
0.12
|
3.87
|
—
|
3.99
|
(0.15)
|
(1.70)
|
(1.85)
|
Year
Ended 8/31/2015
|
$48.78
|
0.38
|
(4.39)
|
0.16
|
(3.85)
|
(0.42)
|
(8.60)
|
(9.02)
|
Institutional
2 Class
|
Year
Ended 8/31/2019
|
$52.38
|
0.16
|
0.29
(d)
|
—
|
0.45
|
—
|
(2.45)
|
(2.45)
|
Year
Ended 8/31/2018
|
$50.52
|
0.11
|
2.84
|
—
|
2.95
|
(0.43)
|
(0.66)
|
(1.09)
|
Year
Ended 8/31/2017
|
$38.80
|
0.22
|
11.50
|
—
|
11.72
|
—
|
—
|
—
|
Year
Ended 8/31/2016
|
$36.58
|
0.24
|
3.90
|
—
|
4.14
|
(0.22)
|
(1.70)
|
(1.92)
|
Year
Ended 8/31/2015
|
$49.52
|
0.52
|
(4.54)
|
0.16
|
(3.86)
|
(0.48)
|
(8.60)
|
(9.08)
|
The accompanying Notes to Financial Statements are an
integral part of this statement.
18
|
Columbia Greater China 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 8/31/2019
|
$45.00
|
1.28%
|
1.53%
(e)
|
1.53%
(e)
|
0.00%
(c)
|
18%
|
$65,762
|
Year
Ended 8/31/2018
|
$47.25
|
5.41%
|
1.51%
(f)
|
1.51%
(f),(g)
|
(0.20%)
|
26%
|
$73,210
|
Year
Ended 8/31/2017
|
$45.67
|
29.74%
|
1.55%
(h)
|
1.55%
(g),(h)
|
0.17%
|
35%
|
$68,323
|
Year
Ended 8/31/2016
|
$35.20
|
10.97%
|
1.60%
(f)
|
1.60%
(f),(g)
|
(0.11%)
|
39%
|
$58,385
|
Year
Ended 8/31/2015
|
$33.33
|
(9.49%)
(i)
|
1.56%
(f)
|
1.56%
(f),(g)
|
0.04%
|
74%
|
$63,284
|
Advisor
Class
|
Year
Ended 8/31/2019
|
$50.19
|
1.53%
|
1.29%
(e)
|
1.29%
(e)
|
(0.23%)
|
18%
|
$1,027
|
Year
Ended 8/31/2018
|
$52.25
|
5.69%
|
1.26%
(f)
|
1.26%
(f),(g)
|
0.22%
|
26%
|
$2,008
|
Year
Ended 8/31/2017
|
$50.38
|
30.05%
|
1.30%
(h)
|
1.30%
(g),(h)
|
0.43%
|
35%
|
$3,220
|
Year
Ended 8/31/2016
|
$38.74
|
11.27%
|
1.36%
(f)
|
1.36%
(f),(g)
|
0.30%
|
39%
|
$3,532
|
Year
Ended 8/31/2015
|
$36.53
|
(9.26%)
(i)
|
1.29%
(f)
|
1.29%
(f),(g)
|
2.47%
|
74%
|
$2,473
|
Class
C
|
Year
Ended 8/31/2019
|
$40.96
|
0.53%
|
2.28%
(e)
|
2.28%
(e)
|
(1.02%)
|
18%
|
$2,554
|
Year
Ended 8/31/2018
|
$43.57
|
4.63%
|
2.26%
(f)
|
2.26%
(f),(g)
|
(0.90%)
|
26%
|
$5,585
|
Year
Ended 8/31/2017
|
$42.24
|
28.74%
|
2.29%
(h)
|
2.29%
(g),(h)
|
(0.70%)
|
35%
|
$9,130
|
Year
Ended 8/31/2016
|
$32.81
|
10.15%
|
2.36%
(f)
|
2.36%
(f),(g)
|
(0.71%)
|
39%
|
$10,952
|
Year
Ended 8/31/2015
|
$31.35
|
(10.16%)
(i)
|
2.32%
(f)
|
2.32%
(f),(g)
|
(0.71%)
|
74%
|
$12,103
|
Institutional
Class
|
Year
Ended 8/31/2019
|
$49.23
|
1.54%
|
1.28%
(e)
|
1.28%
(e)
|
0.17%
|
18%
|
$31,244
|
Year
Ended 8/31/2018
|
$51.30
|
5.68%
|
1.26%
(f)
|
1.26%
(f),(g)
|
0.05%
|
26%
|
$42,542
|
Year
Ended 8/31/2017
|
$49.49
|
30.07%
|
1.29%
(h)
|
1.29%
(g),(h)
|
0.43%
|
35%
|
$38,369
|
Year
Ended 8/31/2016
|
$38.05
|
11.24%
|
1.35%
(f)
|
1.35%
(f),(g)
|
0.34%
|
39%
|
$40,293
|
Year
Ended 8/31/2015
|
$35.91
|
(9.24%)
(i)
|
1.31%
(f)
|
1.31%
(f),(g)
|
0.86%
|
74%
|
$49,047
|
Institutional
2 Class
|
Year
Ended 8/31/2019
|
$50.38
|
1.65%
|
1.20%
(e)
|
1.20%
(e)
|
0.32%
|
18%
|
$3,001
|
Year
Ended 8/31/2018
|
$52.38
|
5.73%
|
1.18%
(f)
|
1.18%
(f)
|
0.19%
|
26%
|
$2,330
|
Year
Ended 8/31/2017
|
$50.52
|
30.21%
|
1.18%
(h)
|
1.18%
(h)
|
0.54%
|
35%
|
$900
|
Year
Ended 8/31/2016
|
$38.80
|
11.44%
|
1.21%
(f)
|
1.21%
(f)
|
0.66%
|
39%
|
$879
|
Year
Ended 8/31/2015
|
$36.58
|
(9.11%)
(i)
|
1.16%
(f)
|
1.16%
(f)
|
1.17%
|
74%
|
$438
|
The accompanying Notes to Financial Statements are an
integral part of this statement.
Columbia
Greater China Fund | Annual Report 2019
|
19
|
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 8/31/2019
|
$51.08
|
0.20
|
0.25
(d)
|
—
|
0.45
|
—
|
(2.45)
|
(2.45)
|
Year
Ended 8/31/2018
|
$49.25
|
0.09
|
2.83
|
—
|
2.92
|
(0.43)
|
(0.66)
|
(1.09)
|
Year
Ended 8/31/2017(j)
|
$38.50
|
0.22
|
10.53
|
—
|
10.75
|
—
|
—
|
—
|
Notes
to Financial Highlights
|
(a)
|
In
addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense
ratios.
|
(b)
|
Total net
expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable.
|
(c)
|
Rounds to
zero.
|
(d)
|
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.
|
(e)
|
Ratios
include interfund lending expense which is less than 0.01%.
|
(f)
|
Ratios
include line of credit interest expense which is less than 0.01%.
|
(g)
|
The
benefits derived from expense reductions had an impact of less than 0.01%.
|
(h)
|
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
|
08/31/2017
|
0.06%
|
0.05%
|
0.06%
|
0.06%
|
0.06%
|
(i)
|
The Fund
received a payment from an affiliate. Had the Fund not received this payment, the total return would have been lower by 0.33%.
|
(j)
|
Institutional
3 Class shares commenced operations on March 1, 2017. Per share data and total return reflect activity from that date.
|
(k)
|
Annualized.
|
The accompanying Notes to Financial Statements are an
integral part of this statement.
20
|
Columbia Greater China 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 8/31/2019
|
$49.08
|
1.69%
|
1.14%
(e)
|
1.14%
(e)
|
0.42%
|
18%
|
$5,391
|
Year
Ended 8/31/2018
|
$51.08
|
5.82%
|
1.13%
(f)
|
1.13%
(f)
|
0.17%
|
26%
|
$4,768
|
Year
Ended 8/31/2017(j)
|
$49.25
|
27.92%
|
1.22%
(k)
|
1.22%
(k)
|
1.45%
(k)
|
35%
|
$5,112
|
The accompanying Notes to Financial Statements are an integral part of this
statement.
Columbia
Greater China Fund | Annual Report 2019
|
21
|
Notes to Financial Statements
August 31, 2019
Note 1. Organization
Columbia Greater China Fund (the Fund), a series of Columbia
Funds Series Trust I (the Trust), is a non-diversified fund. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Massachusetts business trust.
Fund shares
The Trust may issue an unlimited number of shares (without par
value). The Fund offers each of the share classes listed in the Statement of Assets and Liabilities. Although all share classes generally have identical voting, dividend and liquidation rights, each share class votes separately when required by the
Trust’s organizational documents or by law. Each share class has its own expense and sales charge structure. Different share classes may have different minimum initial investment amounts and pay different distribution amounts to the extent the
expenses of distributing such share classes vary. Distributions to shareholders in a liquidation will be proportional to the net asset value of each share class.
As described in the Fund’s prospectus, Class A and Class
C shares are offered to the general public for investment. Advisor Class, Institutional Class, Institutional 2 Class and Institutional 3 Class shares are available for purchase through authorized investment professionals to omnibus retirement plans
or to institutional and to certain other investors as also described in the Fund’s prospectus. Class C shares automatically convert to Class A shares after 10 years. Effective 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
All equity securities are valued at the close of business of
the New York Stock Exchange. Equity securities are valued at the official closing price on the principal exchange or market on which they trade. 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 determined at the scheduled closing time of the New York Stock Exchange. Many securities markets and exchanges outside the U.S. close prior to the close of the New York Stock Exchange; therefore, the
closing prices for securities in such markets or on such exchanges may not fully reflect events that occur after such close but before the close of the New York Stock Exchange. In those situations, foreign securities will be fair valued pursuant to
a policy adopted by the Board of Trustees. Under the policy, the Fund may utilize a third party pricing service to determine these fair values. The third-party pricing service takes into account multiple factors, including, but not limited to,
movements in the U.S. securities markets, certain depositary receipts, futures contracts and foreign exchange rates that have occurred subsequent to the close of the foreign exchange or market, to determine a good faith estimate that reasonably
reflects the current market conditions as of the close of the New York Stock Exchange. The fair value of a security is likely to be different from the quoted or published price, if available.
Investments in open-end investment companies, including money
market funds, are valued at their latest net asset value.
22
|
Columbia Greater China Fund
| Annual Report 2019
|
Notes to Financial Statements (continued)
August 31, 2019
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 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.
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.
Columbia
Greater China Fund | Annual Report 2019
|
23
|
Notes to Financial Statements (continued)
August 31, 2019
Foreign taxes
The Fund may be subject to foreign taxes on income, gains on
investments or currency repatriation, a portion of which may be recoverable. The Fund will accrue such taxes and recoveries, as applicable, based upon its current interpretation of tax rules and regulations that exist in the markets in which it
invests.
Realized gains in certain countries may be
subject to foreign taxes at the Fund level, based on statutory rates. The Fund accrues for such foreign taxes on realized and unrealized gains at the appropriate rate for each jurisdiction, as applicable. The amount, if any, is disclosed as a
liability on the Statement of Assets and Liabilities.
Distributions to shareholders
Distributions from net investment income, if any, are declared
and paid annually. Net realized capital gains, if any, are distributed at least annually. Income distributions and capital gain distributions are determined in accordance with federal income tax regulations, which may differ from GAAP.
Guarantees and indemnifications
Under the Trust’s organizational documents and, in some
cases, by contract, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Trust or its funds. In addition, certain of the Fund’s contracts with its service providers contain
general indemnification clauses. The Fund’s maximum exposure under these arrangements is unknown since the amount of any future claims that may be made against the Fund cannot be determined, and the Fund has no historical basis for predicting
the likelihood of any such claims.
Recent accounting
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. The standard is effective for annual periods beginning after December 15, 2019 and interim periods within
those fiscal years, with early adoption permitted. After evaluation, management determined to adopt the ASU effective for the period ended August 31, 2019 and all subsequent periods. As a result of the amendments, management implemented disclosure
changes which include removal of the amount and reasons for transfers between Level 1 and Level 2 of the fair value hierarchy, removal of the policy for the timing of transfers between levels, removal of the description of the Level 3 valuation
processes, as well as modifications to the measurement uncertainty disclosure.
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.
24
|
Columbia Greater China Fund
| Annual Report 2019
|
Notes to Financial Statements (continued)
August 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 0.95% to 0.72% as the Fund’s net assets increase. The
effective management services fee rate for the year ended August 31, 2019 was 0.95% 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.
For the year ended August 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
|
0.15
|
Advisor
Class
|
0.15
|
Class
C
|
0.15
|
Institutional
Class
|
0.15
|
Institutional
2 Class
|
0.07
|
Institutional
3 Class
|
0.01
|
Class
T
|
0.05
(a)
|
Columbia
Greater China Fund | Annual Report 2019
|
25
|
Notes to Financial Statements (continued)
August 31, 2019
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 August 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% and 0.25% of the average daily net assets attributable to Class C 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 contingent
deferred sales charges (CDSC), received by the Distributor for distributing Fund shares for the year ended August 31, 2019, if any, are listed below:
|
Front
End (%)
|
CDSC
(%)
|
Amount
($)
|
Class
A
|
5.75
|
0.50 - 1.00
(a)
|
56,476
|
Class
C
|
—
|
1.00
(b)
|
2,327
|
Class
T
|
2.50
|
—
|
—
|
(a)
|
This
charge is imposed on certain investments of between $1 million and $50 million redeemed within 18 months after purchase, as follows: 1.00% if redeemed within 12 months after purchase, and 0.50% if redeemed more than 12, but less than 18, months
after purchase, with certain limited exceptions.
|
(b)
|
This
charge applies to redemptions within 12 months after purchase, with certain limited exceptions.
|
The Fund’s other share classes are not subject to sales
charges.
26
|
Columbia Greater China Fund
| Annual Report 2019
|
Notes to Financial Statements (continued)
August 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:
|
January
1, 2019
through
December 31, 2019
|
Prior
to
January 1, 2019
|
Class
A
|
1.85%
|
1.86%
|
Advisor
Class
|
1.60
|
1.61
|
Class
C
|
2.60
|
2.61
|
Institutional
Class
|
1.60
|
1.61
|
Institutional
2 Class
|
1.53
|
1.54
|
Institutional
3 Class
|
1.47
|
1.48
|
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 August 31, 2019, these differences were primarily due to
differing treatment for deferral/reversal of wash sale losses, trustees’ deferred compensation, net operating loss reclassification 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:
Excess
of distributions
over net investment
income ($)
|
Accumulated
net realized
gain ($)
|
Paid
in
capital ($)
|
674,999
|
15,420
|
(690,419)
|
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 August 31, 2019
|
Year
Ended August 31, 2018
|
Ordinary
income ($)
|
Long-term
capital gains ($)
|
Total
($)
|
Ordinary
income ($)
|
Long-term
capital gains ($)
|
Total
($)
|
—
|
6,392,559
|
6,392,559
|
746,093
|
1,695,274
|
2,441,367
|
Short-term capital gain
distributions, if any, are considered ordinary income distributions for tax purposes.
Columbia
Greater China Fund | Annual Report 2019
|
27
|
Notes to Financial Statements (continued)
August 31, 2019
At
August 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 ($)
|
Net
unrealized
appreciation ($)
|
—
|
1,726,687
|
—
|
53,857,939
|
At August 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) ($)
|
Net
unrealized
appreciation ($)
|
55,167,370
|
55,992,724
|
(2,134,785)
|
53,857,939
|
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 $20,707,149 and $36,100,641, respectively, for the year ended August 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.
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 August 31, 2019 was as follows:
Borrower
or lender
|
Average
loan
balance ($)
|
Weighted
average
interest rate (%)
|
Days
outstanding
|
Borrower
|
700,000
|
2.95
|
3
|
28
|
Columbia Greater China Fund
| Annual Report 2019
|
Notes to Financial Statements (continued)
August 31, 2019
Interest expense incurred by the Fund is recorded as
Interfund lending in the Statement of Operations. The Fund had no outstanding interfund loans at August 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 August 31,
2019.
Note 9. Significant risks
Consumer discretionary sector risk
The Fund may be more susceptible to the particular risks that
may affect companies in the consumer discretionary sector than if it were invested in a wider variety of companies in unrelated sectors. Companies in the consumer discretionary sector are subject to certain risks, including fluctuations in the
performance of the overall domestic and international economy, interest rate changes, increased competition and consumer confidence. Performance of such companies may be affected by factors including reduced disposable household income, reduced
consumer spending, changing demographics and consumer tastes.
Foreign securities and emerging market countries risk
Investing in foreign securities may involve certain risks not
typically associated with investing in U.S. securities, such as increased currency volatility and risks associated with political, regulatory, economic, social, diplomatic and other conditions or events occurring in the country or region, which may
result in significant market volatility. In addition, certain foreign securities may not be as liquid as U.S. securities. Investing in emerging markets may increase these risks and expose the Fund to elevated risks associated with increased
inflation, deflation or currency devaluation. To the extent that the Fund concentrates its investment exposure to any one or a few specific countries, the Fund will be particularly susceptible to the risks associated with the conditions, events or
other factors impacting those countries or regions and may, therefore, have a greater risk than that of a fund that is more geographically diversified.
Geographic focus risk
The Fund may be particularly susceptible to economic,
political, regulatory or other events or conditions affecting issuers and countries within the specific geographic regions in which the Fund invests. Currency devaluations could occur in countries that have not yet experienced currency devaluation
to date, or could continue to occur in countries that have already experienced such devaluations. As a result the Fund’s NAV may be more volatile than the NAV of a more geographically diversified fund.
Non-diversification risk
A non-diversified fund is permitted to invest a greater
percentage of its total assets in fewer issuers than a diversified fund. This increases the risk that a change in the value of any one investment held by the Fund could affect the overall value of the Fund more than it would affect that of a
diversified fund holding a greater number of investments. Accordingly, the Fund’s value will likely be more volatile than the value of a more diversified fund.
Columbia
Greater China Fund | Annual Report 2019
|
29
|
Notes to Financial Statements (continued)
August 31, 2019
Shareholder concentration risk
At August 31, 2019, one unaffiliated shareholder of record
owned 10.6% of the outstanding shares of the Fund in one or more accounts. The Fund has no knowledge about whether any portion of those shares was owned beneficially. Subscription and redemption activity by concentrated accounts may have a
significant effect on the operations of the Fund. In the case of a large redemption, the Fund may be forced to sell investments at inopportune times, including its liquid positions, which may result in Fund losses and the Fund holding a higher
percentage of less liquid positions. Large redemptions could result in decreased economies of scale and increased operating expenses for non-redeeming Fund shareholders.
Technology and technology-related investment risk
The Fund may be more susceptible to the particular risks that
may affect companies in the information technology sector, as well as other technology-related sectors (collectively, the technology sectors) than if it were invested in a wider variety of companies in unrelated sectors. Companies in the technology
sectors are subject to certain risks, including the risk that new services, equipment or technologies will not be accepted by consumers and businesses or will become rapidly obsolete. Performance of such companies may be affected by factors
including obtaining and protecting patents (or the failure to do so) and significant competitive pressures, including aggressive pricing of their products or services, new market entrants, competition for market share and short product cycles due to
an accelerated rate of technological developments. Such competitive pressures may lead to limited earnings and/or falling profit margins. As a result, the value of their securities may fall or fail to rise. In addition, many technology sector
companies have limited operating histories and prices of these companies’ securities historically have been more volatile than other securities, especially over the short term.
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.
30
|
Columbia Greater China 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 Greater China Fund
Opinion on the Financial Statements
We have audited the accompanying statement of assets and
liabilities, including the portfolio of investments, of Columbia Greater China Fund (one of the funds constituting Columbia Funds Series Trust I, hereafter referred to as the “Fund”) as of August 31, 2019, the related statement of
operations for the year ended August 31, 2019, the statement of changes in net assets for each of the two years in the period ended August 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 August 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 August 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 August 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
October 24, 2019
We have served as the auditor of one or more investment
companies within the Columbia Funds Complex since 1977.
Columbia
Greater China Fund | Annual Report 2019
|
31
|
Federal Income Tax Information
(Unaudited)
The Fund hereby designates the following tax attributes for
the fiscal year ended August 31, 2019. Shareholders will be notified in early 2020 of the amounts for use in preparing 2019 income tax returns.
Capital
gain
dividend
|
Foreign
taxes paid
to foreign
countries
|
Foreign
taxes paid
per share
to foreign
countries
|
Foreign
source
income
|
Foreign
source
income per
share
|
$2,684,811
|
$128,387
|
$0.05
|
$1,786,303
|
$0.76
|
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.
Foreign taxes. The Fund makes the election to pass through to
shareholders the foreign taxes paid. Eligible shareholders may claim a foreign tax credit. These taxes, and the corresponding foreign source income, are provided.
TRUSTEES AND OFFICERS
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), September 2007-October 2018
|
70
|
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, December 2002-May 2006; President of UAL Loyalty Services (airline marketing company), September 2001-December 2002; Executive Vice President and Chief
Financial Officer of United Airlines, July 1999-September 2001
|
70
|
Spartan
Nash Company, (food distributor); former Director, Nash Finch Company (food distributor), 2005-2013; Aircastle Limited (aircraft leasing); former Director, SeaCube Container Leasing Ltd. (container leasing), 2010-2013; 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), 1997-2010; Chair, Wellington Management Portfolios (commingled non-U.S. investment pools), 2007-2010; Director, Wellington Trust Company, NA
and other Wellington affiliates, 1997-2010
|
70
|
None
|
32
|
Columbia Greater China 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
|
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
|
70
|
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
|
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, August 2007-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, August 1999-October 2005;
University Professor, Boston College, November 2005-August 2007
|
70
|
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, 1988-2014
|
70
|
Former
Director, M Fund, Inc. (M Funds mutual fund family), July 2018-July 2019
|
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, 1994-1997, President – Application Systems Division, 1991-1994, Chief Financial Officer – US Marketing & Services, 1988-1991, and Chief Information Officer, 1987-1988, IBM Corporation
(computer and technology)
|
70
|
Former
Director, Enesco Group, Inc. (producer of giftware and home and garden decor products), 2001-2006
|
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, May
2010-February 2015; President, Columbia Funds, 2009-2015; and senior officer of Columbia Funds and affiliated funds, 2003-2015
|
70
|
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
Greater China Fund | Annual Report 2019
|
33
|
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, 2004-2010; Senior Partner, McKinsey & Company, 2001-2004
|
70
|
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, April 2016-September
2016; Senior Vice President and Chief Investment Officer, Calvert Investments, August 2008-January 2016; Section Head and Portfolio Manager, General Motors Asset Management, June 1997-August 2008
|
70
|
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
|
192
|
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, August 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.
34
|
Columbia Greater China 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 as of the printing of this report, 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
Greater China Fund | Annual Report 2019
|
35
|
Board Consideration and Approval of
Management
Agreement
On June 12, 2019, the Board of Trustees (the Board) and the
Trustees who are not interested persons (as defined in the Investment Company Act of 1940) (the Independent Trustees) of Columbia Funds Series Trust I (the Trust) unanimously approved the continuation of the Management Agreement (the Management
Agreement) with Columbia Management Investment Advisers, LLC (the Investment Manager) with respect to Columbia Greater China Fund (the Fund), a series of the Trust. As detailed below, the Board’s Advisory Fees and Expenses Committee (the
Committee) and the Board met on multiple occasions to review and discuss, among themselves, with the management team of the Investment Manager and with an independent fee consultant, materials provided by the Investment Manager, the independent fee
consultant and others before determining to approve the continuation of the Management Agreement.
In connection with their deliberations regarding the
continuation of the Management Agreement, the Committee and the Board evaluated materials requested from the Investment Manager regarding the Fund and the Management Agreement, and discussed these materials with representatives of the Investment
Manager at Committee meetings held on March 5, 2019, April 25, 2019 and June 11, 2019 and at Board meetings held on March 6, 2019 and June 12, 2019. In addition, the Board and its various committees consider matters bearing on the Management
Agreement at other meetings throughout the year and in prior years and meet regularly with senior management of the Trust and the Investment Manager. Through the Board’s Investment Oversight Committees, Trustees also meet with selected
portfolio managers of the funds the Trustees oversee and with other investment personnel at various times throughout the year. The Committee and the Board also consulted with the independent fee consultant, Fund counsel and the Independent
Trustees’ independent legal counsel, who advised on various matters with respect to the Committee’s and the Board’s considerations and otherwise assisted the Committee and the Board in their deliberations. On June 11, 2019, the
Committee recommended that the Board approve the continuation of the Management Agreement. On June 12, 2019, the Board, including the Independent Trustees, voting separately, unanimously approved the continuation of the Management Agreement for the
Fund.
The Committee and the Board considered all
information that they, their legal counsel or the Investment Manager believed reasonably necessary to evaluate and to determine whether to recommend for approval or approve the continuation of the Management Agreement. The information and factors
considered by the Committee and the Board in recommending for approval or approving the continuation of the Management Agreement for the Fund included the following:
•
|
Information on the
investment performance of the Fund relative to the performance of a group of mutual funds determined to be comparable to the Fund by an independent third-party data provider, as well as performance relative to benchmarks;
|
•
|
Information on the
Fund’s management fees and total expenses, including information comparing the Fund’s expenses to those of a group of comparable mutual funds, as determined by the independent third-party data provider;
|
•
|
The Investment
Manager’s agreement to contractually limit or cap total operating expenses for the Fund through December 31, 2020 so that total operating expenses (excluding certain fees and expenses, such as transaction costs and certain other investment
related expenses, interest, taxes, acquired fund fees and expenses, and infrequent and/or unusual expenses) would not exceed a specified annual rate, as a percentage of the Fund’s net assets;
|
•
|
The terms and conditions of
the Management Agreement;
|
•
|
The current and proposed
terms and conditions of other agreements and arrangements with affiliates of the Investment Manager relating to the operations of the Fund, including agreements with respect to the provision of distribution, transfer agency and shareholder services
to the Fund;
|
•
|
Descriptions of various
functions performed by the Investment Manager under the Management Agreement, including portfolio management and portfolio trading practices;
|
•
|
Information regarding the
management fees of similarly-managed portfolios of other clients of the Investment Manager, including institutional accounts and collective trusts;
|
•
|
Information regarding the
reputation, regulatory history and resources of the Investment Manager, including information regarding senior management, portfolio managers and other personnel;
|
36
|
Columbia Greater China Fund
| Annual Report 2019
|
Board Consideration and Approval of Management
Agreement (continued)
•
|
Information regarding the
capabilities of the Investment Manager with respect to compliance monitoring services, including an assessment of the Investment Manager’s compliance system by the Fund’s Chief Compliance Officer; and
|
•
|
The profitability to the
Investment Manager and its affiliates from their relationships with the Fund.
|
Nature, extent and quality of services provided under the
Management Agreement
The Committee and the Board
considered the nature, extent and quality of services provided to the Fund by the Investment Manager and its affiliates under the Management Agreement and under separate agreements for the provision of transfer agency and shareholder services, and
the resources dedicated to the Fund and the other Columbia Funds by the Investment Manager and its affiliates. The Committee and the Board considered, among other things, the Investment Manager’s ability to attract, motivate and retain highly
qualified research, advisory and supervisory investment professionals (including compensation programs for personnel involved in fund management, reputation and other attributes), the portfolio management services provided by those investment
professionals, and the quality of the Investment Manager’s investment research capabilities and trade execution services. The Committee and the Board also considered the potential benefits to shareholders of investing in a mutual fund that is
part of a fund complex offering exposure to a variety of asset classes and investment disciplines and providing a variety of fund and shareholder services.
The Committee and the Board also considered the professional
experience and qualifications of the senior personnel of the Investment Manager, which included consideration of the Investment Manager’s experience with funds using an investment strategy similar to that used by the Investment Manager for the
Fund. The Committee and the Board noted the compliance programs of and the compliance-related resources provided to the Fund by the Investment Manager and its affiliates and the resources dedicated by the Investment Manager and its affiliates to
risk management, and considered the Investment Manager’s ability to provide administrative services to the Fund and coordinate the activities of the Fund’s other service providers. After reviewing these and related factors, the Committee
and the Board concluded, within the context of their overall conclusions, that the nature, extent and quality of the services provided to the Fund under the Management Agreement supported the continuation of the Management Agreement.
Investment performance
The Committee and the Board reviewed information about the
performance of the Fund over various time periods, including performance information relative to benchmarks, information that compared the performance of the Fund to the performance of a group of comparable mutual funds as determined by the
independent third-party data provider, and information and analysis provided by the independent fee consultant. The Committee and the Board also reviewed a description of the third party’s methodology for identifying the Fund’s peer
groups for purposes of performance and expense comparisons. Although the Fund’s performance lagged that of a relevant peer group for certain (although not necessarily all) periods, the Committee and the Board concluded that other factors
relevant to performance were sufficient, in light of other considerations, to support continuation of the Management Agreement. Those factors included one or more of the following: (i) that the Fund’s performance, although lagging in certain
recent periods, was stronger over the longer term; (ii) that the underperformance was attributable, to a significant extent, to investment decisions that were reasonable and consistent with the Fund’s investment strategy and policies and that
the Fund was performing within a reasonable range of expectations, given those investment decisions, market conditions and the Fund’s investment strategy; (iii) that the Fund’s performance was competitive when compared to other relevant
performance benchmarks or peer groups; and (iv) that the Investment Manager had taken or was taking steps designed to help improve the Fund’s investment performance, including, but not limited to, replacing portfolio managers, enhancing the
resources supporting the portfolio managers, or modifying investment strategies.
The Committee and the Board noted that, through December 31,
2018, the Fund’s performance was in the seventy-third, fifty-fifth and twenty-eighth percentile (where the best performance would be in the first percentile) of its category selected by the independent third-party data provider for the
purposes of performance comparisons for the one-, three- and five-year periods, respectively.
Columbia
Greater China Fund | Annual Report 2019
|
37
|
Board Consideration and Approval of Management
Agreement (continued)
The Committee and the Board also considered the Investment Manager’s
performance and reputation generally, the Investment Manager’s historical responsiveness to Board concerns about performance, and the Investment Manager’s willingness to take steps intended to improve performance. After reviewing these
and related factors, the Committee and the Board concluded, within the context of their overall conclusions, that the performance of the Fund and the Investment Manager was sufficient, in light of other considerations, to support the continuation of
the Management Agreement.
Investment management fee
rates and other expenses
The Committee and the Board
considered the management fees charged to the Fund under the Management Agreement as well as the total expenses incurred by the Fund. In assessing the reasonableness of the fees under the Management Agreement, the Committee and the Board considered,
among other information, the Fund’s total expense ratio as a percentage of average daily net assets. The Committee and the Board considered data provided by the independent third-party data provider and the independent fee consultant. The
Committee and the Board noted that, as of December 31, 2018, the Fund’s actual management fee and net total expense ratio were ranked in the third and first quintiles, respectively, (where the lowest fees and expenses would be in the first
quintile) against the Fund’s expense universe as determined by the independent third-party data provider for purposes of expense comparison. The Committee and the Board also took into account the fee waiver and expense limitation arrangements
agreed to by the Investment Manager, as noted above.
The
Committee and the Board also received and considered information about the management fees charged by the Investment Manager to institutional accounts. In considering the fees charged to those accounts, the Committee and the Board took into account,
among other things, the Investment Manager’s representations about the differences between managing mutual funds as compared to other types of accounts, including differences in the services provided, differences in the risk profile of such
business for the Investment Manager and the additional resources required to manage mutual funds effectively. The Committee and the Board also received and considered information about the fees charged by the Investment Manager for sub-advisory
services it provides to comparable unaffiliated funds. In evaluating the Fund’s management fees, the Committee and the Board also took into account the demands, complexity and quality of the investment management of the Fund.
After reviewing these and related factors, the Committee and
the Board concluded, within the context of their overall conclusions, that the management fee rates and expenses of the Fund, in light of other considerations, supported the continuation of the Management Agreement.
Costs of services provided and profitability
The Committee and the Board also took note of the costs the
Investment Manager and its affiliates incur in connection with the services provided and the profitability to the Investment Manager and its affiliates from their relationships with the Fund, and the efforts undertaken by the Investment Manager and
its affiliates to manage efficiently their costs to provide such services.
The Committee and the Board also considered the compensation
directly or indirectly received by the Investment Manager’s affiliates in connection with their relationships with the Fund. The Committee and the Board reviewed information provided by management as to the profitability to the Investment
Manager and its affiliates of their relationships with the Fund, information about the allocation of expenses used to calculate profitability, and comparisons of profitability levels realized in 2018 to profitability levels realized in 2017. When
reviewing profitability, the Committee and the Board also considered court cases in which adviser profitability was an issue in whole or in part, the performance of similarly managed funds, the performance of the Fund, and the expense ratio of the
Fund. In addition, the Committee and the Board considered information provided by the Investment Manager regarding the Investment Manager’s financial condition and comparing its profitability to that of other asset management firms that are,
or are subsidiaries of, publicly traded companies. In this regard, the Committee and the Board also considered data provided by the independent fee consultant.
After reviewing these and related factors, the Committee and
the Board concluded, within the context of their overall conclusions, that the costs of services provided and the profitability to the Investment Manager and its affiliates from their relationships with the Fund supported the continuation of the
Management Agreement.
38
|
Columbia Greater China Fund
| Annual Report 2019
|
Board Consideration and Approval of Management
Agreement (continued)
Economies of scale
The Committee and the Board considered the potential
existence of economies of scale in the provision by the Investment Manager of services to the Fund, to groups of related funds, and to the Investment Manager’s investment advisory clients as a whole, and whether those economies of scale were
shared with the Fund through breakpoints in investment management fees or other means, such as expense limitation arrangements and additional investments by the Investment Manager in investment, trading, compliance and other resources. The Committee
and the Board noted that the management fee schedules for the Fund contained breakpoints that would reduce the fee rate on assets above specified threshold levels.
In considering these matters, the Committee and the Board also
considered the costs of the services provided and the profitability to the Investment Manager and its affiliates from their relationships with the Fund, as noted above. After reviewing these and related factors, the Committee and the Board
concluded, within the context of their overall conclusions, that the extent to which any economies of scale were expected to be shared with the Fund supported the continuation of the Management Agreement.
Other benefits to the Investment Manager
The Committee and the Board received and considered
information regarding “fall-out” or ancillary benefits received by the Investment Manager and its affiliates as a result of their relationships with the Fund, such as the engagement of the Investment Manager’s affiliates to provide
distribution, transfer agency and shareholder services to the Fund. In this regard, among other matters, the Committee and the Board considered that the Fund’s distributor retains a portion of the distribution fees from the Fund and receives a
portion of the sales charges on sales or redemptions of certain classes of shares of the Fund. The Committee and the Board also considered the benefits of research made available to the Investment Manager by reason of brokerage commissions generated
by the Fund’s securities transactions, and reviewed information about the Investment Manager’s practices with respect to considering brokerage and research services when allocating portfolio transactions. In this connection, the Board
also noted that the amount of research made available to the Investment Manager by reason of brokerage commissions had been declining over time, and may decline further. The Committee and the Board recognized that the Investment Manager’s
profitability would be somewhat lower without these benefits.
Conclusion
The Committee and the Board reviewed all of the above
considerations in reaching their decisions to recommend or approve the continuation of the Management Agreement. In their deliberations, the Trustees did not identify any particular information that was all-important or controlling, and individual
Trustees may have attributed different weights to the various factors. Based on their evaluation of all factors that they deemed to be material, including those factors described above, and assisted by the advice of independent legal counsel, the
Board, including the Independent Trustees, voting separately, unanimously approved the continuation of the Management Agreement.
Columbia
Greater China Fund | Annual Report 2019
|
39
|
Columbia Greater China Fund
P.O. Box 219104
Kansas City, MO 64121-9104
Please read and consider the investment objectives, risks,
charges and expenses for any fund carefully before investing. For a prospectus and summary prospectus, which contains this and other important information about the Fund, go to
columbiathreadneedleus.com/investor/. The Fund is distributed by Columbia Management Investment Distributors, Inc., member FINRA, and managed by Columbia Management Investment Advisers, LLC.
Columbia Threadneedle Investments (Columbia Threadneedle) is
the global brand name of the Columbia and Threadneedle group of companies. All rights reserved.
© 2019 Columbia Management Investment Advisers, LLC.
columbiathreadneedleus.com/investor/
Annual
Report
August 31, 2019
Columbia Mid Cap Growth 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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31
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32
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32
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36
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Columbia Mid Cap Growth Fund (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-PORT, and for reporting periods ended prior to March 31, 2019, on Form N-Q. The Fund’s Form N-Q and Form N-PORT filings are available on the SEC’s website at sec.gov.
The Fund’s complete schedule of portfolio holdings, as filed on Form N-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 (the Investment Manager)
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 Mid Cap
Growth Fund | Annual Report 2019
Investment objective
The Fund seeks significant capital
appreciation by investing, under normal market conditions, at least 80% of its net assets (plus any borrowings for investment purposes) in stocks of companies with a market capitalization, at the time of initial purchase, equal to or less than the
largest stock in the Russell Midcap Index.
Portfolio
management
Matthew Litfin,
CFA
Lead
Portfolio Manager
Managed Fund
since 2018
Erika Maschmeyer,
CFA
Portfolio
Manager
Managed Fund
since 2018
John Emerson,
CFA
Portfolio
Manager
Managed Fund
since 2018
Morningstar
style boxTM
The Morningstar
Style Box is based on a fund’s portfolio holdings. For equity funds, the vertical axis shows the market capitalization of the stocks owned, and the horizontal axis shows investment style (value, blend, or growth). Information shown is based on
the most recent data provided by Morningstar.
© 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 August 31, 2019)
|
|
|
Inception
|
1
Year
|
5
Years
|
10
Years
|
Class
A
|
Excluding
sales charges
|
11/01/02
|
2.78
|
9.17
|
12.79
|
|
Including
sales charges
|
|
-3.13
|
7.89
|
12.13
|
Advisor
Class*
|
11/08/12
|
3.08
|
9.45
|
13.07
|
Class
C
|
Excluding
sales charges
|
10/13/03
|
2.03
|
8.35
|
11.95
|
|
Including
sales charges
|
|
1.26
|
8.35
|
11.95
|
Institutional
Class
|
11/20/85
|
3.07
|
9.45
|
13.08
|
Institutional
2 Class*
|
03/07/11
|
3.11
|
9.55
|
13.18
|
Institutional
3 Class
|
07/15/09
|
3.18
|
9.62
|
13.23
|
Class
R
|
01/23/06
|
2.56
|
8.90
|
12.51
|
Class
V
|
Excluding
sales charges
|
11/01/02
|
2.83
|
9.18
|
12.77
|
|
Including
sales charges
|
|
-3.08
|
7.89
|
12.10
|
Russell
Midcap Growth Index
|
|
5.96
|
10.72
|
14.85
|
Russell
Midcap Index
|
|
0.54
|
7.94
|
13.48
|
Returns for Class A and Class V
shares are shown with and without the maximum initial sales charge of 5.75%. Returns for Class C shares are shown with and without the 1.00% contingent deferred sales charge for the first year only. The Fund’s other share classes are not
subject to sales charges and have limited eligibility. Please see the Fund’s prospectus for details. Performance for different share classes will vary based on differences in sales charges and fees associated with each share class. All results
shown assume reinvestment of distributions during the period. Returns do not reflect the deduction of taxes that a shareholder may pay on Fund distributions or on the redemption of Fund shares. Performance results reflect the effect of any fee
waivers or reimbursements of Fund expenses by Columbia Management Investment Advisers, LLC and/or any of its affiliates. Absent these fee waivers or expense reimbursement arrangements, performance results would have been lower.
The performance information shown represents past performance and
is not a guarantee of future results. The investment return and principal value of your investment will fluctuate so that your shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than
the performance information shown. You may obtain performance information current to the most recent month-end by contacting your financial intermediary, visiting columbiathreadneedleus.com/investor/ or calling 800.345.6611.
*
|
The 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 Russell Midcap Growth Index, an unmanaged index, measures
the performance of those Russell Midcap Index companies with higher price-to-book ratios and forecasted growth values.
The Russell Midcap Index, an unmanaged index, measures the
performance of the 800 smallest companies in the Russell 1000 Index, which represents approximately 25% of the total market capitalization or the Russell 1000 Index.
Indices are not available for investment, are not
professionally managed and do not reflect sales charges, fees, brokerage commissions, taxes or other expenses of investing. Securities in the Fund may not match those in an index.
Columbia
Mid Cap Growth Fund | Annual Report 2019
|
3
|
Fund at a Glance (continued)
Performance of a
hypothetical $10,000 investment (August 31, 2009 — August 31, 2019)
The chart above shows the
change in value of a hypothetical $10,000 investment in Class A shares of Columbia Mid Cap Growth 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 August 31, 2019)
|
O’Reilly
Automotive, Inc.
|
2.5
|
Aspen
Technology, Inc.
|
2.4
|
Booz
Allen Hamilton Holdings Corp.
|
2.4
|
Tractor
Supply Co.
|
2.3
|
ANSYS,
Inc.
|
2.3
|
Teradyne,
Inc.
|
2.3
|
IDEXX
Laboratories, Inc.
|
2.1
|
Equity
LifeStyle Properties, Inc.
|
2.1
|
Toro
Co. (The)
|
2.0
|
Churchill
Downs, Inc.
|
2.0
|
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 August 31, 2019)
|
Common
Stocks
|
99.3
|
Money
Market Funds
|
0.7
|
Total
|
100.0
|
Percentages indicated are based
upon total investments excluding investments in derivatives, if any. The Fund’s portfolio composition is subject to change.
Equity
sector breakdown (%) (at August 31, 2019)
|
Communication
Services
|
3.6
|
Consumer
Discretionary
|
21.0
|
Consumer
Staples
|
1.5
|
Energy
|
0.8
|
Financials
|
4.4
|
Health
Care
|
17.5
|
Industrials
|
16.8
|
Information
Technology
|
30.7
|
Materials
|
1.6
|
Real
Estate
|
2.1
|
Total
|
100.0
|
Percentages indicated are based
upon total equity investments. The Fund’s portfolio composition is subject to change.
4
|
Columbia Mid Cap Growth Fund
| Annual Report 2019
|
Manager Discussion of Fund Performance
For the
12-month period ended August 31, 2019, the Fund’s Class A shares returned 2.78% excluding sales charges. During the same period, the Fund underperformed its benchmark, the Russell Midcap Growth Index, which returned 5.96%, and outperformed the
broader based Russell Midcap Index, which returned 0.54%. The Fund’s sector positioning represented the largest overall detractor from performance during the period as overweights to health care and energy and an underweight to information
technology weighed on returns. Stock selection within industrials, consumer discretionary and information technology contributed positively to performance.
Trade tensions and Fed statements drove the markets
During the 12 months ended August 31, 2019, domestic stocks
managed positive returns despite significant volatility along the way. After registering solid gains in September 2018, stocks reversed course in early October when remarks by U.S. Federal Reserve (Fed) Chair Jerome Powell seemed to indicate that
the Fed would continue to aggressively tighten monetary policy despite slowing global growth. Fed officials immediately sought to reassure investors, but stocks nevertheless declined sharply. Cyclical stocks sold off and investors looked for more
defensive “safe havens” in various sectors of financial markets, including consumer staples, health care and utilities stocks. Entering 2019, the Fed pivoted sharply, indicating that economic weakness arising in part from trade tensions
with China called for a relaxation of policy, including a pause in rate hikes. As a result, stocks essentially regained the ground lost in late 2018. However, stocks turned sharply lower in May on reignited concerns about the U.S./China trade
dispute against an already fragile global growth backdrop. The market then rebounded in June as the Fed indicated it was prepared to cut rates if necessary to offset the impact of higher tariffs on growth. Sentiment was also supported by the view
that corporate earnings growth, while slowing considerably from its 2018 pace, was unlikely to slip into negative territory. As the period drew to a close, investors continued to focus on U.S./China trade tensions, uncertainty over Brexit (the
U.K.’s exit from the European Union), an emerging geopolitical crisis in the Middle East and a generally slowing global economy. During a protracted period of uncertainty about global trade, many companies have had to focus their energies on
adjusting to tariffs and severe disruptions of pre-existing manufacturing supply chains.
Contributors and detractors
During the period, the Fund’s sector positioning
represented the largest overall detractor from performance, as overweights to health care and energy and an underweight to information technology weighed on returns. Overall stock selection also was negative. While selection was strong within
industrials, consumer discretionary and information technology, this was offset by unfavorable selection in financials, energy and communication services.
In terms of individual holdings, the Fund’s position in
leading cardiac medical device firm Abiomed was the largest detractor from performance during the period. Known for its flagship Impella heart pump, Abiomed has faced slower than expected growth and a more modest earnings outlook. We are currently
reassessing Abiomed’s growth prospects. In addition, holdings in the medical device company Align Technology, a manufacturer of 3D digital scanners and clear aligners used in orthodontics, detracted on investor concerns surrounding increased
competition. We thought that these concerns were overdone, and viewed Align as attractively valued, with significant revenue and earnings growth prospects over the next several years. Finally, holdings in SVB Financial Group, a U.S.-based high-tech
commercial bank, detracted due to SVB’s earnings were negatively affected by recent short-term rate declines. We believed that the stock’s valuation underplayed the bank’s competitive advantages, along with its ability to grow
alongside early-stage U.S. technology companies. We continued to the hold the stock.
Conversely, holdings in the software and engineering services
company Cadence Design Systems added to both absolute and relative returns. Cadence has been acquiring market share in the growing electronic design automation market. The company has also exhibited high profit margins and stable high-single-digit
revenue growth. Another positive contributor was single-family homebuilder NVR. NVR’s centralized manufacturing model has led to attractive returns and a lower risk profile compared with its peers. Positive contributions within information
technology were also highlighted by consulting firm Booz Allen Hamilton. As a government contractor with high earnings visibility, the company was viewed by investors as largely insulated from any fallout deriving from the U.S.-China trade
war.
Columbia
Mid Cap Growth Fund | Annual Report 2019
|
5
|
Manager Discussion of Fund Performance (continued)
At period’s end
Regardless of short-term market conditions, our investment
process is based on bottom-up fundamental analysis of individual companies and on constructing an optimal portfolio of high-quality growth stocks. At the same time, we monitor macroeconomic conditions and take likely scenarios into account around
the margins in managing the Fund. While the Treasury yield curve has become inverted along much of its length, we believe that the economy may be poised for slower but still positive growth. On balance, the Fund was positioned at period’s end
for slow, steady growth, while reflecting an awareness of the risks posed by trade wars to certain segments and companies.
The Fund’s sector weights are largely the result of
individual stock selection. We believe that our investment philosophy, which favors higher quality and structural growth based on such factors as return on invested capital, revenue and earnings growth, and debt ratios, is well suited for this
uncertain environment.
Market risk may affect a single issuer, sector of the economy, industry or the market as a whole. Growth securities, at times, may not perform as well as value securities or the stock
market in general and may be out of favor with investors. 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. Investments in mid-cap companies involve risks and volatility greater than investments in
larger, more established companies. 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 Mid Cap Growth 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 $1,000
= 8.6), then multiply the results by the expenses paid during the period under the “Actual” column. The amount listed in the “Hypothetical” column assumes a 5% annual rate of return before expenses (which is not the
Fund’s actual return) and then applies the Fund’s actual expense ratio for the period to the hypothetical return. You should not use the hypothetical account values and expenses to estimate either your actual account balance at the end
of the period or the expenses you paid during the period. See “Compare with other funds” below for details on how to use the hypothetical data.
Compare with other funds
Since all mutual funds are required to include the same
hypothetical calculations about expenses in shareholder reports, you can use this information to compare the ongoing cost of investing in the Fund with other funds. To do so, compare the hypothetical example with the 5% hypothetical examples that
appear in the shareholder reports of other funds. As you compare hypothetical examples of other funds, it is important to note that hypothetical examples are meant to highlight the ongoing costs of investing in a fund only and do not reflect any
transaction costs, such as sales charges, or redemption or exchange fees. Therefore, the hypothetical calculations are useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. If
transaction costs were included in these calculations, your costs would be higher.
March
1, 2019 — August 31, 2019
|
|
Account
value at the
beginning of the
period ($)
|
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
|
1,063.00
|
1,019.25
|
6.00
|
5.87
|
1.16
|
Advisor
Class
|
1,000.00
|
1,000.00
|
1,064.40
|
1,020.51
|
4.71
|
4.61
|
0.91
|
Class
C
|
1,000.00
|
1,000.00
|
1,059.00
|
1,015.49
|
9.86
|
9.65
|
1.91
|
Institutional
Class
|
1,000.00
|
1,000.00
|
1,064.30
|
1,020.51
|
4.71
|
4.61
|
0.91
|
Institutional
2 Class
|
1,000.00
|
1,000.00
|
1,064.50
|
1,020.86
|
4.35
|
4.26
|
0.84
|
Institutional
3 Class
|
1,000.00
|
1,000.00
|
1,064.90
|
1,021.11
|
4.09
|
4.00
|
0.79
|
Class
R
|
1,000.00
|
1,000.00
|
1,061.60
|
1,018.00
|
7.29
|
7.13
|
1.41
|
Class
V
|
1,000.00
|
1,000.00
|
1,063.40
|
1,019.25
|
6.00
|
5.87
|
1.16
|
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
Mid Cap Growth Fund | Annual Report 2019
|
7
|
Portfolio of Investments
August 31, 2019
(Percentages represent value of investments compared to net
assets)
Investments in securities
Common
Stocks 99.4%
|
Issuer
|
Shares
|
Value
($)
|
Communication
Services 3.6%
|
Entertainment
3.6%
|
Live
Nation Entertainment, Inc.(a)
|
352,695
|
24,515,829
|
Madison
Square Garden Co. (The), Class A(a)
|
76,390
|
19,275,489
|
Zynga,
Inc., Class A(a)
|
2,830,000
|
16,159,300
|
Total
|
|
59,950,618
|
Total
Communication Services
|
59,950,618
|
Consumer
Discretionary 20.9%
|
Distributors
1.5%
|
Pool
Corp.
|
129,310
|
25,393,898
|
Diversified
Consumer Services 1.9%
|
Grand
Canyon Education, Inc.(a)
|
244,500
|
30,709,200
|
Hotels,
Restaurants & Leisure 8.7%
|
Chipotle
Mexican Grill, Inc.(a)
|
37,300
|
31,273,066
|
Choice
Hotels International, Inc.
|
313,484
|
28,520,774
|
Churchill
Downs, Inc.
|
268,815
|
33,134,137
|
Domino’s
Pizza, Inc.
|
136,238
|
30,904,228
|
Texas
Roadhouse, Inc.
|
407,200
|
20,954,512
|
Total
|
|
144,786,717
|
Household
Durables 1.6%
|
NVR,
Inc.(a)
|
7,140
|
25,696,860
|
Internet
& Direct Marketing Retail 1.0%
|
Wayfair,
Inc., Class A(a)
|
146,100
|
16,471,314
|
Specialty
Retail 6.2%
|
O’Reilly
Automotive, Inc.(a)
|
109,579
|
42,052,037
|
Tractor
Supply Co.
|
375,767
|
38,283,142
|
Ulta
Beauty, Inc.(a)
|
98,009
|
23,299,680
|
Total
|
|
103,634,859
|
Total
Consumer Discretionary
|
346,692,848
|
Consumer
Staples 1.5%
|
Food
Products 1.5%
|
Lamb
Weston Holdings, Inc.
|
357,200
|
25,143,308
|
Total
Consumer Staples
|
25,143,308
|
Common
Stocks (continued)
|
Issuer
|
Shares
|
Value
($)
|
Energy
0.8%
|
Energy
Equipment & Services 0.8%
|
Helmerich
& Payne, Inc.
|
353,000
|
13,269,270
|
Total
Energy
|
13,269,270
|
Financials
4.4%
|
Banks
1.7%
|
SVB
Financial Group(a)
|
147,300
|
28,667,526
|
Capital
Markets 1.7%
|
Raymond
James Financial, Inc.
|
363,737
|
28,556,992
|
Consumer
Finance 1.0%
|
Synchrony
Financial
|
497,000
|
15,928,850
|
Total
Financials
|
73,153,368
|
Health
Care 17.3%
|
Biotechnology
3.9%
|
Exact
Sciences Corp.(a)
|
217,054
|
25,877,178
|
Sarepta
Therapeutics, Inc.(a)
|
175,352
|
15,807,983
|
Seattle
Genetics, Inc.(a)
|
320,084
|
23,250,901
|
Total
|
|
64,936,062
|
Health
Care Equipment & Supplies 8.0%
|
ABIOMED,
Inc.(a)
|
100,900
|
19,480,763
|
Align
Technology, Inc.(a)
|
76,678
|
14,040,509
|
IDEXX
Laboratories, Inc.(a)
|
119,721
|
34,687,962
|
ResMed,
Inc.
|
169,986
|
23,679,050
|
STERIS
PLC
|
116,627
|
18,007,209
|
Varian
Medical Systems, Inc.(a)
|
209,288
|
22,169,878
|
Total
|
|
132,065,371
|
Health
Care Providers & Services 2.7%
|
Encompass
Health Corp.
|
448,709
|
27,277,020
|
Laboratory
Corp. of America Holdings(a)
|
109,654
|
18,373,624
|
Total
|
|
45,650,644
|
Life
Sciences Tools & Services 2.7%
|
Mettler-Toledo
International, Inc.(a)
|
35,710
|
23,453,971
|
Pra
Health Sciences, Inc.(a)
|
217,000
|
21,448,280
|
Total
|
|
44,902,251
|
Total
Health Care
|
287,554,328
|
The accompanying Notes to Financial Statements are an integral part
of this statement.
8
|
Columbia Mid Cap Growth Fund
| Annual Report 2019
|
Portfolio of Investments
(continued)
August 31, 2019
Common
Stocks (continued)
|
Issuer
|
Shares
|
Value
($)
|
Industrials
16.7%
|
Aerospace
& Defense 1.5%
|
BWX
Technologies, Inc.
|
426,984
|
25,277,453
|
Building
Products 2.7%
|
Allegion
PLC
|
167,000
|
16,077,090
|
Lennox
International, Inc.
|
114,785
|
29,130,137
|
Total
|
|
45,207,227
|
Commercial
Services & Supplies 4.8%
|
Cintas
Corp.
|
73,240
|
19,320,712
|
Copart,
Inc.(a)
|
388,011
|
29,252,149
|
Rollins,
Inc.
|
926,999
|
30,414,837
|
Total
|
|
78,987,698
|
Machinery
4.8%
|
Donaldson
Co., Inc.
|
512,070
|
24,763,705
|
IDEX
Corp.
|
122,000
|
20,094,620
|
Toro
Co. (The)
|
470,855
|
33,906,269
|
Total
|
|
78,764,594
|
Professional
Services 1.2%
|
CoStar
Group, Inc.(a)
|
31,049
|
19,091,099
|
Road
& Rail 1.7%
|
Old
Dominion Freight Line, Inc.
|
177,000
|
28,985,520
|
Total
Industrials
|
276,313,591
|
Information
Technology 30.5%
|
Electronic
Equipment, Instruments & Components 1.9%
|
CDW
Corp.
|
271,712
|
31,382,736
|
IT
Services 11.2%
|
Black
Knight, Inc.(a)
|
270,000
|
16,807,500
|
Booz
Allen Hamilton Holdings Corp.
|
523,805
|
39,552,515
|
EPAM
Systems, Inc.(a)
|
151,500
|
28,986,495
|
Gartner,
Inc.(a)
|
221,116
|
29,556,576
|
GoDaddy,
Inc., Class A(a)
|
513,265
|
32,510,205
|
Jack
Henry & Associates, Inc.
|
121,800
|
17,656,128
|
WEX,
Inc.(a)
|
98,569
|
20,162,289
|
Total
|
|
185,231,708
|
Common
Stocks (continued)
|
Issuer
|
Shares
|
Value
($)
|
Semiconductors
& Semiconductor Equipment 5.4%
|
Advanced
Micro Devices, Inc.(a)
|
1,000,000
|
31,450,000
|
Lam
Research Corp.
|
99,294
|
20,902,380
|
Teradyne,
Inc.
|
703,469
|
37,262,753
|
Total
|
|
89,615,133
|
Software
12.0%
|
Alteryx,
Inc., Class A(a)
|
227,000
|
32,336,150
|
ANSYS,
Inc.(a)
|
185,026
|
38,218,971
|
Aspen
Technology, Inc.(a)
|
297,549
|
39,633,527
|
Cadence
Design Systems, Inc.(a)
|
236,998
|
16,229,623
|
Guidewire
Software, Inc.(a)
|
185,046
|
17,797,724
|
ServiceNow,
Inc.(a)
|
111,477
|
29,189,138
|
Tyler
Technologies, Inc.(a)
|
98,749
|
25,333,068
|
Total
|
|
198,738,201
|
Total
Information Technology
|
504,967,778
|
Materials
1.6%
|
Chemicals
1.6%
|
Celanese
Corp., Class A
|
236,670
|
26,831,278
|
Total
Materials
|
26,831,278
|
Real
Estate 2.1%
|
Equity
Real Estate Investment Trusts (REITS) 2.1%
|
Equity
LifeStyle Properties, Inc.
|
251,947
|
33,942,300
|
Total
Real Estate
|
33,942,300
|
Total
Common Stocks
(Cost $1,398,136,357)
|
1,647,818,687
|
|
Money
Market Funds 0.7%
|
|
Shares
|
Value
($)
|
Columbia
Short-Term Cash Fund, 2.208%(b),(c)
|
11,703,100
|
11,701,929
|
Total
Money Market Funds
(Cost $11,701,929)
|
11,701,929
|
Total
Investments in Securities
(Cost: $1,409,838,286)
|
1,659,520,616
|
Other
Assets & Liabilities, Net
|
|
(1,107,336)
|
Net
Assets
|
1,658,413,280
|
The accompanying Notes to Financial Statements are an integral part
of this statement.
Columbia
Mid Cap Growth Fund | Annual Report 2019
|
9
|
Portfolio of Investments (continued)
August 31, 2019
Notes to Portfolio of Investments
(a)
|
Non-income
producing investment.
|
(b)
|
The rate
shown is the seven-day current annualized yield at August 31, 2019.
|
(c)
|
As
defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. Holdings and
transactions in these affiliated companies during the year ended August 31, 2019 are as follows:
|
Issuer
|
Beginning
shares
|
Shares
purchased
|
Shares
sold
|
Ending
shares
|
Realized
gain
(loss) —
affiliated
issuers ($)
|
Net
change in
unrealized
appreciation
(depreciation) —
affiliated
issuers ($)
|
Dividends
—
affiliated
issuers ($)
|
Value
—
affiliated
issuers
at end of
period ($)
|
Columbia
Short-Term Cash Fund, 2.208%
|
|
19,029,731
|
649,435,985
|
(656,762,616)
|
11,703,100
|
2,647
|
—
|
611,427
|
11,701,929
|
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.
The following table is a summary of
the inputs used to value the Fund’s investments at August 31, 2019:
|
Level
1 ($)
|
Level
2 ($)
|
Level
3 ($)
|
Total
($)
|
Investments
in Securities
|
|
|
|
|
Common
Stocks
|
|
|
|
|
Communication
Services
|
59,950,618
|
—
|
—
|
59,950,618
|
Consumer
Discretionary
|
346,692,848
|
—
|
—
|
346,692,848
|
Consumer
Staples
|
25,143,308
|
—
|
—
|
25,143,308
|
Energy
|
13,269,270
|
—
|
—
|
13,269,270
|
Financials
|
73,153,368
|
—
|
—
|
73,153,368
|
Health
Care
|
287,554,328
|
—
|
—
|
287,554,328
|
The accompanying Notes to Financial Statements are an integral part of this
statement.
10
|
Columbia Mid Cap Growth Fund
| Annual Report 2019
|
Portfolio of Investments (continued)
August 31, 2019
Fair value
measurements (continued)
|
Level
1 ($)
|
Level
2 ($)
|
Level
3 ($)
|
Total
($)
|
Industrials
|
276,313,591
|
—
|
—
|
276,313,591
|
Information
Technology
|
504,967,778
|
—
|
—
|
504,967,778
|
Materials
|
26,831,278
|
—
|
—
|
26,831,278
|
Real
Estate
|
33,942,300
|
—
|
—
|
33,942,300
|
Total
Common Stocks
|
1,647,818,687
|
—
|
—
|
1,647,818,687
|
Money
Market Funds
|
11,701,929
|
—
|
—
|
11,701,929
|
Total
Investments in Securities
|
1,659,520,616
|
—
|
—
|
1,659,520,616
|
See the Portfolio of Investments for
all investment classifications not indicated in the table.
The accompanying Notes to Financial Statements are an integral part of this
statement.
Columbia
Mid Cap Growth Fund | Annual Report 2019
|
11
|
Statement of Assets and Liabilities
August 31, 2019
Assets
|
|
Investments
in securities, at value
|
|
Unaffiliated
issuers (cost $1,398,136,357)
|
$1,647,818,687
|
Affiliated
issuers (cost $11,701,929)
|
11,701,929
|
Receivable
for:
|
|
Capital
shares sold
|
185,739
|
Dividends
|
759,265
|
Prepaid
expenses
|
11,139
|
Trustees’
deferred compensation plan
|
192,171
|
Other
assets
|
2,199
|
Total
assets
|
1,660,671,129
|
Liabilities
|
|
Payable
for:
|
|
Capital
shares purchased
|
1,730,299
|
Management
services fees
|
34,783
|
Distribution
and/or service fees
|
6,258
|
Transfer
agent fees
|
168,677
|
Compensation
of board members
|
51,620
|
Compensation
of chief compliance officer
|
112
|
Other
expenses
|
73,929
|
Trustees’
deferred compensation plan
|
192,171
|
Total
liabilities
|
2,257,849
|
Net
assets applicable to outstanding capital stock
|
$1,658,413,280
|
Represented
by
|
|
Paid
in capital
|
1,282,102,664
|
Total
distributable earnings (loss) (Note 2)
|
376,310,616
|
Total
- representing net assets applicable to outstanding capital stock
|
$1,658,413,280
|
The accompanying Notes to Financial Statements are an integral part of this
statement.
12
|
Columbia Mid Cap Growth Fund
| Annual Report 2019
|
Statement of Assets and Liabilities (continued)
August 31, 2019
Class
A
|
|
Net
assets
|
$810,160,844
|
Shares
outstanding
|
34,559,933
|
Net
asset value per share
|
$23.44
|
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)
|
$24.87
|
Advisor
Class
|
|
Net
assets
|
$17,075,450
|
Shares
outstanding
|
646,147
|
Net
asset value per share
|
$26.43
|
Class
C
|
|
Net
assets
|
$12,862,528
|
Shares
outstanding
|
695,970
|
Net
asset value per share
|
$18.48
|
Institutional
Class
|
|
Net
assets
|
$652,042,813
|
Shares
outstanding
|
25,584,509
|
Net
asset value per share
|
$25.49
|
Institutional
2 Class
|
|
Net
assets
|
$46,284,428
|
Shares
outstanding
|
1,797,331
|
Net
asset value per share
|
$25.75
|
Institutional
3 Class
|
|
Net
assets
|
$86,115,483
|
Shares
outstanding
|
3,341,993
|
Net
asset value per share
|
$25.77
|
Class
R
|
|
Net
assets
|
$10,592,697
|
Shares
outstanding
|
476,810
|
Net
asset value per share
|
$22.22
|
Class
V
|
|
Net
assets
|
$23,279,037
|
Shares
outstanding
|
997,997
|
Net
asset value per share
|
$23.33
|
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)
|
$24.75
|
The accompanying Notes to Financial Statements are an integral part of this
statement.
Columbia
Mid Cap Growth Fund | Annual Report 2019
|
13
|
Statement of Operations
Year Ended August 31, 2019
Net
investment income
|
|
Income:
|
|
Dividends
— unaffiliated issuers
|
$14,005,244
|
Dividends
— affiliated issuers
|
611,427
|
Foreign
taxes withheld
|
(14,102)
|
Total
income
|
14,602,569
|
Expenses:
|
|
Management
services fees
|
12,857,303
|
Distribution
and/or service fees
|
|
Class
A
|
2,049,948
|
Class
C
|
145,644
|
Class
R
|
56,277
|
Class
T
|
52
|
Class
V
|
57,714
|
Transfer
agent fees
|
|
Class
A
|
1,072,153
|
Advisor
Class
|
20,088
|
Class
C
|
19,101
|
Institutional
Class
|
875,097
|
Institutional
2 Class
|
25,895
|
Institutional
3 Class
|
7,379
|
Class
R
|
14,742
|
Class
T
|
28
|
Class
V
|
30,172
|
Compensation
of board members
|
40,477
|
Custodian
fees
|
17,868
|
Printing
and postage fees
|
118,530
|
Registration
fees
|
144,644
|
Audit
fees
|
29,000
|
Legal
fees
|
34,460
|
Compensation
of chief compliance officer
|
674
|
Other
|
66,440
|
Total
expenses
|
17,683,686
|
Net
investment loss
|
(3,081,117)
|
Realized
and unrealized gain (loss) — net
|
|
Net
realized gain (loss) on:
|
|
Investments
— unaffiliated issuers
|
132,173,378
|
Investments
— affiliated issuers
|
2,647
|
Net
realized gain
|
132,176,025
|
Net
change in unrealized appreciation (depreciation) on:
|
|
Investments
— unaffiliated issuers
|
(100,472,666)
|
Net
change in unrealized appreciation (depreciation)
|
(100,472,666)
|
Net
realized and unrealized gain
|
31,703,359
|
Net
increase in net assets resulting from operations
|
$28,622,242
|
The accompanying Notes to Financial Statements are an
integral part of this statement.
14
|
Columbia Mid Cap Growth Fund
| Annual Report 2019
|
Statement of Changes in Net Assets
|
Year
Ended
August 31, 2019
|
Year
Ended
August 31, 2018
|
Operations
|
|
|
Net
investment loss
|
$(3,081,117)
|
$(5,002,069)
|
Net
realized gain
|
132,176,025
|
387,294,251
|
Net
change in unrealized appreciation (depreciation)
|
(100,472,666)
|
(2,096,912)
|
Net
increase in net assets resulting from operations
|
28,622,242
|
380,195,270
|
Distributions
to shareholders
|
|
|
Net
investment income and net realized gains
|
|
|
Class
A
|
(166,912,970)
|
|
Advisor
Class
|
(2,634,235)
|
|
Class
C
|
(3,657,183)
|
|
Institutional
Class
|
(130,195,142)
|
|
Institutional
2 Class
|
(8,351,752)
|
|
Institutional
3 Class
|
(21,319,046)
|
|
Class
R
|
(2,476,579)
|
|
Class
T
|
(12,685)
|
|
Class
V
|
(4,632,188)
|
|
Net
realized gains
|
|
|
Class
A
|
|
(105,220,136)
|
Advisor
Class
|
|
(4,507,137)
|
Class
C
|
|
(5,722,872)
|
Institutional
Class
|
|
(82,635,824)
|
Institutional
2 Class
|
|
(6,394,483)
|
Institutional
3 Class
|
|
(18,192,893)
|
Class
K
|
|
(48,940)
|
Class
R
|
|
(1,655,980)
|
Class
T
|
|
(16,630)
|
Class
V
|
|
(2,907,267)
|
Total
distributions to shareholders (Note 2)
|
(340,191,780)
|
(227,302,162)
|
Increase
(decrease) in net assets from capital stock activity
|
32,140,604
|
(40,756,164)
|
Total
increase (decrease) in net assets
|
(279,428,934)
|
112,136,944
|
Net
assets at beginning of year
|
1,937,842,214
|
1,825,705,270
|
Net
assets at end of year
|
$1,658,413,280
|
$1,937,842,214
|
Excess
of distributions over net investment income
|
$(3,094,291)
|
$(216,816)
|
The accompanying Notes to Financial Statements are an
integral part of this statement.
Columbia
Mid Cap Growth Fund | Annual Report 2019
|
15
|
Statement of Changes in Net Assets (continued)
|
Year
Ended
|
Year
Ended
|
|
August
31, 2019
|
August
31, 2018
|
|
Shares
|
Dollars
($)
|
Shares
|
Dollars
($)
|
Capital
stock activity
|
Class
A
|
|
|
|
|
Subscriptions
|
1,406,230
|
31,603,643
|
1,910,223
|
52,520,354
|
Distributions
reinvested
|
7,814,810
|
160,125,449
|
4,044,479
|
100,950,198
|
Redemptions
|
(6,673,931)
|
(152,377,661)
|
(4,953,334)
|
(133,269,622)
|
Net
increase
|
2,547,109
|
39,351,431
|
1,001,368
|
20,200,930
|
Advisor
Class
|
|
|
|
|
Subscriptions
|
377,704
|
9,546,375
|
454,467
|
13,424,077
|
Distributions
reinvested
|
36,178
|
834,258
|
139,602
|
3,826,498
|
Redemptions
|
(256,104)
|
(6,667,558)
|
(1,317,881)
|
(40,333,359)
|
Net
increase (decrease)
|
157,778
|
3,713,075
|
(723,812)
|
(23,082,784)
|
Class
C
|
|
|
|
|
Subscriptions
|
117,659
|
2,202,100
|
140,699
|
3,189,968
|
Distributions
reinvested
|
211,520
|
3,437,201
|
265,314
|
5,542,415
|
Redemptions
|
(360,826)
|
(6,643,757)
|
(1,469,074)
|
(34,096,662)
|
Net
decrease
|
(31,647)
|
(1,004,456)
|
(1,063,061)
|
(25,364,279)
|
Institutional
Class
|
|
|
|
|
Subscriptions
|
1,214,017
|
30,336,834
|
1,047,744
|
30,091,638
|
Distributions
reinvested
|
5,464,026
|
121,519,951
|
2,875,772
|
76,553,065
|
Redemptions
|
(5,717,714)
|
(141,093,517)
|
(3,139,551)
|
(90,275,444)
|
Net
increase
|
960,329
|
10,763,268
|
783,965
|
16,369,259
|
Institutional
2 Class
|
|
|
|
|
Subscriptions
|
352,459
|
8,653,527
|
319,028
|
9,203,476
|
Distributions
reinvested
|
371,831
|
8,351,315
|
238,412
|
6,394,196
|
Redemptions
|
(498,062)
|
(12,227,828)
|
(765,851)
|
(22,045,765)
|
Net
increase (decrease)
|
226,228
|
4,777,014
|
(208,411)
|
(6,448,093)
|
Institutional
3 Class
|
|
|
|
|
Subscriptions
|
365,215
|
8,926,511
|
378,819
|
10,762,862
|
Distributions
reinvested
|
169,327
|
3,804,787
|
76,819
|
2,060,281
|
Redemptions
|
(1,561,347)
|
(39,614,073)
|
(1,153,614)
|
(33,061,314)
|
Net
decrease
|
(1,026,805)
|
(26,882,775)
|
(697,976)
|
(20,238,171)
|
Class
K
|
|
|
|
|
Subscriptions
|
—
|
—
|
362
|
10,225
|
Distributions
reinvested
|
—
|
—
|
1,832
|
48,646
|
Redemptions
|
—
|
—
|
(15,939)
|
(457,104)
|
Net
decrease
|
—
|
—
|
(13,745)
|
(398,233)
|
Class
R
|
|
|
|
|
Subscriptions
|
163,014
|
3,573,731
|
134,778
|
3,410,677
|
Distributions
reinvested
|
70,303
|
1,368,098
|
35,729
|
856,409
|
Redemptions
|
(241,836)
|
(5,306,084)
|
(276,570)
|
(7,270,777)
|
Net
decrease
|
(8,519)
|
(364,255)
|
(106,063)
|
(3,003,691)
|
Class
T
|
|
|
|
|
Distributions
reinvested
|
598
|
12,245
|
655
|
16,346
|
Redemptions
|
(3,713)
|
(78,794)
|
(2,442)
|
(62,892)
|
Net
decrease
|
(3,115)
|
(66,549)
|
(1,787)
|
(46,546)
|
Class
V
|
|
|
|
|
Subscriptions
|
26,525
|
548,841
|
30,854
|
827,255
|
Distributions
reinvested
|
194,536
|
3,966,600
|
100,223
|
2,491,545
|
Redemptions
|
(113,437)
|
(2,661,590)
|
(76,862)
|
(2,063,356)
|
Net
increase
|
107,624
|
1,853,851
|
54,215
|
1,255,444
|
Total
net increase (decrease)
|
2,928,982
|
32,140,604
|
(975,307)
|
(40,756,164)
|
The accompanying Notes to Financial Statements are an integral part of this
statement.
16
|
Columbia Mid Cap Growth Fund
| Annual Report 2019
|
[THIS PAGE INTENTIONALLY LEFT BLANK]
Columbia
Mid Cap Growth 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
(loss)
|
Net
realized
and
unrealized
gain (loss)
|
Total
from
investment
operations
|
Distributions
from net
investment
income
|
Distributions
from net
realized
gains
|
Total
distributions to
shareholders
|
Class
A
|
Year
Ended 8/31/2019
|
$28.83
|
(0.07)
|
0.09
|
0.02
|
—
|
(5.41)
|
(5.41)
|
Year
Ended 8/31/2018
|
$26.90
|
(0.10)
|
5.54
|
5.44
|
—
|
(3.51)
|
(3.51)
|
Year
Ended 8/31/2017
|
$25.09
|
(0.09)
|
3.42
|
3.33
|
—
|
(1.52)
|
(1.52)
|
Year
Ended 8/31/2016
|
$28.69
|
(0.06)
|
0.84
|
0.78
|
(0.26)
|
(4.12)
|
(4.38)
|
Year
Ended 8/31/2015
|
$32.14
|
0.25
(d)
|
1.29
|
1.54
|
—
|
(4.99)
|
(4.99)
|
Advisor
Class
|
Year
Ended 8/31/2019
|
$31.71
|
(0.02)
|
0.20
|
0.18
|
—
|
(5.46)
|
(5.46)
|
Year
Ended 8/31/2018
|
$29.26
|
(0.05)
|
6.07
|
6.02
|
—
|
(3.57)
|
(3.57)
|
Year
Ended 8/31/2017
|
$27.12
|
(0.03)
|
3.71
|
3.68
|
—
|
(1.54)
|
(1.54)
|
Year
Ended 8/31/2016
|
$30.67
|
0.00
(e)
|
0.91
|
0.91
|
(0.34)
|
(4.12)
|
(4.46)
|
Year
Ended 8/31/2015
|
$33.99
|
1.93
(d)
|
(0.21)
(f)
|
1.72
|
—
|
(5.04)
|
(5.04)
|
Class
C
|
Year
Ended 8/31/2019
|
$23.99
|
(0.20)
|
(0.04)
(f)
|
(0.24)
|
—
|
(5.27)
|
(5.27)
|
Year
Ended 8/31/2018
|
$22.91
|
(0.26)
|
4.64
|
4.38
|
—
|
(3.30)
|
(3.30)
|
Year
Ended 8/31/2017
|
$21.70
|
(0.24)
|
2.93
|
2.69
|
—
|
(1.48)
|
(1.48)
|
Year
Ended 8/31/2016
|
$25.34
|
(0.21)
|
0.72
|
0.51
|
(0.03)
|
(4.12)
|
(4.15)
|
Year
Ended 8/31/2015
|
$28.99
|
0.03
(d)
|
1.15
|
1.18
|
—
|
(4.83)
|
(4.83)
|
Institutional
Class
|
Year
Ended 8/31/2019
|
$30.80
|
(0.01)
|
0.16
|
0.15
|
—
|
(5.46)
|
(5.46)
|
Year
Ended 8/31/2018
|
$28.52
|
(0.04)
|
5.89
|
5.85
|
—
|
(3.57)
|
(3.57)
|
Year
Ended 8/31/2017
|
$26.46
|
(0.03)
|
3.63
|
3.60
|
—
|
(1.54)
|
(1.54)
|
Year
Ended 8/31/2016
|
$30.03
|
0.01
|
0.87
|
0.88
|
(0.33)
|
(4.12)
|
(4.45)
|
Year
Ended 8/31/2015
|
$33.39
|
0.32
(d)
|
1.36
|
1.68
|
—
|
(5.04)
|
(5.04)
|
Institutional
2 Class
|
Year
Ended 8/31/2019
|
$31.06
|
0.00
(e)
|
0.16
|
0.16
|
—
|
(5.47)
|
(5.47)
|
Year
Ended 8/31/2018
|
$28.73
|
(0.02)
|
5.95
|
5.93
|
—
|
(3.60)
|
(3.60)
|
Year
Ended 8/31/2017
|
$26.63
|
(0.00)
(e)
|
3.65
|
3.65
|
—
|
(1.55)
|
(1.55)
|
Year
Ended 8/31/2016
|
$30.20
|
0.04
|
0.88
|
0.92
|
(0.37)
|
(4.12)
|
(4.49)
|
Year
Ended 8/31/2015
|
$33.54
|
0.40
(d)
|
1.33
|
1.73
|
—
|
(5.07)
|
(5.07)
|
The accompanying Notes to Financial Statements are an
integral part of this statement.
18
|
Columbia Mid Cap Growth 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 8/31/2019
|
$23.44
|
2.78%
|
1.17%
|
1.17%
|
(0.31%)
|
89%
|
$810,161
|
Year
Ended 8/31/2018
|
$28.83
|
22.23%
|
1.16%
|
1.16%
(c)
|
(0.38%)
|
140%
|
$922,862
|
Year
Ended 8/31/2017
|
$26.90
|
13.97%
|
1.19%
|
1.19%
(c)
|
(0.37%)
|
119%
|
$834,347
|
Year
Ended 8/31/2016
|
$25.09
|
2.83%
|
1.19%
|
1.19%
(c)
|
(0.23%)
|
130%
|
$880,155
|
Year
Ended 8/31/2015
|
$28.69
|
5.33%
|
1.19%
|
1.19%
(c)
|
0.83%
|
101%
|
$948,826
|
Advisor
Class
|
Year
Ended 8/31/2019
|
$26.43
|
3.08%
|
0.92%
|
0.92%
|
(0.06%)
|
89%
|
$17,075
|
Year
Ended 8/31/2018
|
$31.71
|
22.50%
|
0.91%
|
0.91%
(c)
|
(0.16%)
|
140%
|
$15,488
|
Year
Ended 8/31/2017
|
$29.26
|
14.24%
|
0.94%
|
0.94%
(c)
|
(0.11%)
|
119%
|
$35,473
|
Year
Ended 8/31/2016
|
$27.12
|
3.10%
|
0.94%
|
0.94%
(c)
|
0.02%
|
130%
|
$26,945
|
Year
Ended 8/31/2015
|
$30.67
|
5.61%
|
0.93%
|
0.93%
(c)
|
6.10%
|
101%
|
$26,912
|
Class
C
|
Year
Ended 8/31/2019
|
$18.48
|
2.03%
|
1.92%
|
1.92%
|
(1.05%)
|
89%
|
$12,863
|
Year
Ended 8/31/2018
|
$23.99
|
21.27%
|
1.91%
|
1.91%
(c)
|
(1.15%)
|
140%
|
$17,458
|
Year
Ended 8/31/2017
|
$22.91
|
13.12%
|
1.94%
|
1.94%
(c)
|
(1.12%)
|
119%
|
$41,030
|
Year
Ended 8/31/2016
|
$21.70
|
2.05%
|
1.94%
|
1.94%
(c)
|
(0.98%)
|
130%
|
$46,355
|
Year
Ended 8/31/2015
|
$25.34
|
4.56%
|
1.94%
|
1.94%
(c)
|
0.11%
|
101%
|
$51,859
|
Institutional
Class
|
Year
Ended 8/31/2019
|
$25.49
|
3.07%
|
0.92%
|
0.92%
|
(0.05%)
|
89%
|
$652,043
|
Year
Ended 8/31/2018
|
$30.80
|
22.49%
|
0.91%
|
0.91%
(c)
|
(0.13%)
|
140%
|
$758,444
|
Year
Ended 8/31/2017
|
$28.52
|
14.29%
|
0.94%
|
0.94%
(c)
|
(0.12%)
|
119%
|
$679,866
|
Year
Ended 8/31/2016
|
$26.46
|
3.09%
|
0.94%
|
0.94%
(c)
|
0.02%
|
130%
|
$813,009
|
Year
Ended 8/31/2015
|
$30.03
|
5.58%
|
0.94%
|
0.94%
(c)
|
1.01%
|
101%
|
$938,781
|
Institutional
2 Class
|
Year
Ended 8/31/2019
|
$25.75
|
3.11%
|
0.84%
|
0.84%
|
0.02%
|
89%
|
$46,284
|
Year
Ended 8/31/2018
|
$31.06
|
22.60%
|
0.83%
|
0.83%
|
(0.06%)
|
140%
|
$48,792
|
Year
Ended 8/31/2017
|
$28.73
|
14.40%
|
0.84%
|
0.84%
|
(0.01%)
|
119%
|
$51,118
|
Year
Ended 8/31/2016
|
$26.63
|
3.21%
|
0.83%
|
0.83%
|
0.14%
|
130%
|
$36,964
|
Year
Ended 8/31/2015
|
$30.20
|
5.72%
|
0.82%
|
0.82%
|
1.28%
|
101%
|
$37,589
|
The accompanying Notes to Financial Statements are an
integral part of this statement.
Columbia
Mid Cap Growth Fund | Annual Report 2019
|
19
|
Financial Highlights (continued)
|
Net
asset value,
beginning of
period
|
Net
investment
income
(loss)
|
Net
realized
and
unrealized
gain (loss)
|
Total
from
investment
operations
|
Distributions
from net
investment
income
|
Distributions
from net
realized
gains
|
Total
distributions to
shareholders
|
Institutional
3 Class
|
Year
Ended 8/31/2019
|
$31.07
|
0.02
|
0.16
|
0.18
|
—
|
(5.48)
|
(5.48)
|
Year
Ended 8/31/2018
|
$28.74
|
(0.00)
(e)
|
5.94
|
5.94
|
—
|
(3.61)
|
(3.61)
|
Year
Ended 8/31/2017
|
$26.63
|
0.03
|
3.63
|
3.66
|
—
|
(1.55)
|
(1.55)
|
Year
Ended 8/31/2016
|
$30.21
|
0.03
|
0.91
|
0.94
|
(0.40)
|
(4.12)
|
(4.52)
|
Year
Ended 8/31/2015
|
$33.53
|
0.05
(d)
|
1.71
|
1.76
|
—
|
(5.08)
|
(5.08)
|
Class
R
|
Year
Ended 8/31/2019
|
$27.64
|
(0.12)
|
0.07
|
(0.05)
|
—
|
(5.37)
|
(5.37)
|
Year
Ended 8/31/2018
|
$25.93
|
(0.16)
|
5.31
|
5.15
|
—
|
(3.44)
|
(3.44)
|
Year
Ended 8/31/2017
|
$24.27
|
(0.15)
|
3.31
|
3.16
|
—
|
(1.50)
|
(1.50)
|
Year
Ended 8/31/2016
|
$27.88
|
(0.12)
|
0.81
|
0.69
|
(0.18)
|
(4.12)
|
(4.30)
|
Year
Ended 8/31/2015
|
$31.39
|
0.15
(d)
|
1.28
|
1.43
|
—
|
(4.94)
|
(4.94)
|
Class
V
|
Year
Ended 8/31/2019
|
$28.71
|
(0.07)
|
0.10
|
0.03
|
—
|
(5.41)
|
(5.41)
|
Year
Ended 8/31/2018
|
$26.81
|
(0.10)
|
5.51
|
5.41
|
—
|
(3.51)
|
(3.51)
|
Year
Ended 8/31/2017
|
$25.01
|
(0.09)
|
3.41
|
3.32
|
—
|
(1.52)
|
(1.52)
|
Year
Ended 8/31/2016
|
$28.61
|
(0.06)
|
0.83
|
0.77
|
(0.25)
|
(4.12)
|
(4.37)
|
Year
Ended 8/31/2015
|
$32.05
|
0.24
(d)
|
1.30
|
1.54
|
—
|
(4.98)
|
(4.98)
|
Notes
to Financial Highlights
|
(a)
|
In
addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense
ratios.
|
(b)
|
Total net
expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable.
|
(c)
|
The
benefits derived from expense reductions had an impact of less than 0.01%.
|
(d)
|
Net
investment income per share includes special dividends. The per share effect of these dividends amounted to:
|
Year
Ended
|
Class
A
|
Advisor
Class
|
Class
C
|
Institutional
Class
|
Institutional
2
Class
|
Institutional
3
Class
|
Class
R
|
Class
V
|
08/31/2015
|
$0.35
|
$2.00
|
$0.32
|
$0.34
|
$0.39
|
$0.04
|
$0.32
|
$0.34
|
(e)
|
Rounds
to zero.
|
(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.
|
The accompanying Notes to Financial Statements are an
integral part of this statement.
20
|
Columbia Mid Cap Growth 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 8/31/2019
|
$25.77
|
3.18%
|
0.79%
|
0.79%
|
0.08%
|
89%
|
$86,115
|
Year
Ended 8/31/2018
|
$31.07
|
22.66%
|
0.78%
|
0.78%
|
(0.01%)
|
140%
|
$135,728
|
Year
Ended 8/31/2017
|
$28.74
|
14.45%
|
0.79%
|
0.79%
|
0.11%
|
119%
|
$145,597
|
Year
Ended 8/31/2016
|
$26.63
|
3.27%
|
0.79%
|
0.79%
|
0.13%
|
130%
|
$5,869
|
Year
Ended 8/31/2015
|
$30.21
|
5.83%
|
0.73%
|
0.73%
|
0.15%
|
101%
|
$3
|
Class
R
|
Year
Ended 8/31/2019
|
$22.22
|
2.56%
|
1.42%
|
1.42%
|
(0.55%)
|
89%
|
$10,593
|
Year
Ended 8/31/2018
|
$27.64
|
21.89%
|
1.41%
|
1.41%
(c)
|
(0.63%)
|
140%
|
$13,414
|
Year
Ended 8/31/2017
|
$25.93
|
13.71%
|
1.44%
|
1.44%
(c)
|
(0.62%)
|
119%
|
$15,333
|
Year
Ended 8/31/2016
|
$24.27
|
2.58%
|
1.44%
|
1.44%
(c)
|
(0.48%)
|
130%
|
$16,796
|
Year
Ended 8/31/2015
|
$27.88
|
5.06%
|
1.44%
|
1.44%
(c)
|
0.52%
|
101%
|
$18,965
|
Class
V
|
Year
Ended 8/31/2019
|
$23.33
|
2.83%
|
1.17%
|
1.17%
|
(0.31%)
|
89%
|
$23,279
|
Year
Ended 8/31/2018
|
$28.71
|
22.19%
|
1.16%
|
1.16%
(c)
|
(0.37%)
|
140%
|
$25,566
|
Year
Ended 8/31/2017
|
$26.81
|
13.97%
|
1.19%
|
1.19%
(c)
|
(0.36%)
|
119%
|
$22,419
|
Year
Ended 8/31/2016
|
$25.01
|
2.83%
|
1.19%
|
1.19%
(c)
|
(0.23%)
|
130%
|
$21,346
|
Year
Ended 8/31/2015
|
$28.61
|
5.34%
|
1.20%
|
1.20%
(c)
|
0.80%
|
101%
|
$22,590
|
The accompanying Notes to Financial Statements are an integral part of this
statement.
Columbia
Mid Cap Growth Fund | Annual Report 2019
|
21
|
Notes to Financial Statements
August 31, 2019
Note 1. Organization
Columbia Mid Cap Growth Fund (the Fund), a series of
Columbia Funds Series Trust I (the Trust), is a diversified fund. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Massachusetts business
trust.
Fund shares
The Trust may issue an unlimited number of shares (without par
value). The Fund offers each of the share classes listed in the Statement of Assets and Liabilities. Although all share classes generally have identical voting, dividend and liquidation rights, each share class votes separately when required by the
Trust’s organizational documents or by law. Each share class has its own expense and sales charge structure. Different share classes may have different minimum initial investment amounts and pay different distribution amounts to the extent the
expenses of distributing such share classes vary. Distributions to shareholders in a liquidation will be proportional to the net asset value of each share class.
As described in the Fund’s prospectus, Class A and Class
C shares are offered to the general public for investment. Advisor Class, Institutional Class, Institutional 2 Class, Institutional 3 Class and Class R shares are available for purchase through authorized investment professionals to omnibus
retirement plans or to institutional and to certain other investors as also described in the Fund’s prospectus. Class C shares automatically convert to Class A shares after 10 years. Effective 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 available only to investors who received (and who continuously held) Class V shares in connection with previous fund reorganizations.
Note 2. Summary of significant accounting
policies
Basis of preparation
The Fund is an investment company that applies the accounting
and reporting guidance in the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946, Financial Services - Investment Companies (ASC 946). The financial statements are prepared
in accordance with U.S. generally accepted accounting principles (GAAP), which requires management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities, the disclosure of contingent assets and
liabilities at the date of the financial statements and the reported amounts of income and expenses during the reporting period. Actual results could differ from those estimates.
The following is a summary of significant accounting policies
followed by the Fund in the preparation of its financial statements.
Security valuation
All equity securities are valued at the close of business of
the New York Stock Exchange. Equity securities are valued at the official closing price on the principal exchange or market on which they trade. 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 determined at the scheduled closing time of the New York Stock Exchange. Many securities markets and exchanges outside the U.S. close prior to the close of the New York Stock Exchange; therefore, the
closing prices for securities in such markets or on such exchanges may not fully reflect events that occur after such close but before the close of the New York Stock Exchange. In those situations, foreign securities will be fair valued pursuant to
a policy adopted by the Board of Trustees. Under the policy, the Fund may utilize a third party pricing service to determine these fair values. The third-party pricing service takes into account multiple factors, including, but not limited to,
movements in the U.S. securities markets, certain depositary receipts, futures contracts and foreign exchange rates that have occurred subsequent to the close of the foreign exchange or market, to determine a good faith estimate that reasonably
reflects the current market conditions as of the close of the New York Stock Exchange. The fair value of a security is likely to be different from the quoted or published price, if available.
22
|
Columbia Mid Cap Growth Fund
| Annual Report 2019
|
Notes to Financial Statements (continued)
August 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.
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.
Columbia
Mid Cap Growth Fund | Annual Report 2019
|
23
|
Notes to Financial Statements (continued)
August 31, 2019
Foreign taxes
The Fund may be subject to foreign taxes on income, gains on
investments or currency repatriation, a portion of which may be recoverable. The Fund will accrue such taxes and recoveries, as applicable, based upon its current interpretation of tax rules and regulations that exist in the markets in which it
invests.
Realized gains in certain countries may be
subject to foreign taxes at the Fund level, based on statutory rates. The Fund accrues for such foreign taxes on realized and unrealized gains at the appropriate rate for each jurisdiction, as applicable. The amount, if any, is disclosed as a
liability on the Statement of Assets and Liabilities.
Distributions to shareholders
Distributions from net investment income, if any, are declared
and paid annually. Net realized capital gains, if any, are distributed at least annually. Income distributions and capital gain distributions are determined in accordance with federal income tax regulations, which may differ from GAAP.
Guarantees and indemnifications
Under the Trust’s organizational documents and, in some
cases, by contract, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Trust or its funds. In addition, certain of the Fund’s contracts with its service providers contain
general indemnification clauses. The Fund’s maximum exposure under these arrangements is unknown since the amount of any future claims that may be made against the Fund cannot be determined, and the Fund has no historical basis for predicting
the likelihood of any such claims.
Recent accounting
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. The standard is effective for annual periods beginning after December 15, 2019 and interim periods within
those fiscal years, with early adoption permitted. After evaluation, management determined to adopt the ASU effective for the period ended August 31, 2019 and all subsequent periods. As a result of the amendments, management implemented disclosure
changes which include removal of the amount and reasons for transfers between Level 1 and Level 2 of the fair value hierarchy, removal of the policy for the timing of transfers between levels, removal of the description of the Level 3 valuation
processes, as well as modifications to the measurement uncertainty disclosure.
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.
24
|
Columbia Mid Cap Growth Fund
| Annual Report 2019
|
Notes to Financial Statements (continued)
August 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 0.82% to 0.65% as the Fund’s net assets increase. The
effective management services fee rate for the year ended August 31, 2019 was 0.76% of the Fund’s average daily net assets.
Participating Affiliates
The Investment Manager and its investment advisory affiliates
(Affiliates) may coordinate in providing services to their clients. From time to time, the Investment Manager may engage its Affiliates to provide a variety of services such as investment research, investment monitoring, trading and discretionary
investment management (including portfolio management) to certain accounts managed by the Investment Manager, including the Fund. These Affiliates will provide services to the Investment Manager pursuant to personnel-sharing agreements or similar
inter-company arrangements and the Fund will pay no additional fees and expenses as a result of any such arrangements.
These Affiliates, like the Investment Manager, are direct or
indirect subsidiaries of Ameriprise Financial and are registered with the appropriate respective regulators and, where required, the Securities and Exchange Commission and the Commodity Futures Trading Commission in the United States. Pursuant to
some of these arrangements, certain employees of these Affiliates may serve as “associated persons” of the Investment Manager and, in this capacity, subject to the oversight and supervision of the Investment Manager and consistent with
the investment objectives, policies and limitations set forth in the Fund’s prospectus and SAI, may provide such services to the Fund on behalf of the Investment Manager.
Compensation of board members
Members of the Board of Trustees who are not officers or
employees of the Investment Manager or Ameriprise Financial are compensated for their services to the Fund as disclosed in the Statement of Operations. 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.
Columbia
Mid Cap Growth Fund | Annual Report 2019
|
25
|
Notes to Financial Statements (continued)
August 31, 2019
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 August 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
|
0.13
|
Advisor
Class
|
0.13
|
Class
C
|
0.13
|
Institutional
Class
|
0.13
|
Institutional
2 Class
|
0.06
|
Institutional
3 Class
|
0.01
|
Class
R
|
0.13
|
Class
T
|
0.04
(a)
|
Class
V
|
0.13
|
The Fund and certain other
associated investment companies have severally, but not jointly, guaranteed the performance and observance of all the terms and conditions of a lease entered into by Seligman Data Corp. (SDC), the former transfer agent, including the payment of rent
by SDC (the Guaranty). SDC was the legacy Seligman funds’ former transfer agent.
The lease and the Guaranty expired on January 31, 2019. SDC is
owned by six associated investment companies, including the Fund. The Fund’s ownership interest in SDC at August 31, 2019 is recorded as a part of other assets in the Statement of Assets and Liabilities at a cost of $2,199, which approximates
the fair value of the ownership interest.
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 August 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 0.10%, 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.
26
|
Columbia Mid Cap Growth Fund
| Annual Report 2019
|
Notes to Financial Statements (continued)
August 31, 2019
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.
Sales charges
(unaudited)
Sales charges, including front-end charges
and contingent deferred sales charges (CDSC), received by the Distributor for distributing Fund shares for the year ended August 31, 2019, if any, are listed below:
|
Front
End (%)
|
CDSC
(%)
|
Amount
($)
|
Class
A
|
5.75
|
0.50 - 1.00
(a)
|
222,772
|
Class
C
|
—
|
1.00
(b)
|
1,059
|
Class
T
|
2.50
|
—
|
—
|
Class
V
|
5.75
|
0.50 - 1.00
(a)
|
193
|
(a)
|
This
charge is imposed on certain investments of between $1 million and $50 million redeemed within 18 months after purchase, as follows: 1.00% if redeemed within 12 months after purchase, and 0.50% if redeemed more than 12, but less than 18, months
after purchase, with certain limited exceptions.
|
(b)
|
This
charge applies to redemptions within 12 months after purchase, with certain limited exceptions.
|
The Fund’s other share classes are not subject to sales
charges.
Expenses waived/reimbursed by the Investment
Manager and its affiliates
The Investment Manager and
certain of its affiliates have contractually agreed to waive fees and/or reimburse expenses (excluding certain fees and expenses described below) for the period(s) disclosed below, unless sooner terminated at the sole discretion of the Board of
Trustees, so that the Fund’s net operating expenses, after giving effect to fees waived/expenses reimbursed and any balance credits and/or overdraft charges from the Fund’s custodian, do not exceed the following annual rate(s) as a
percentage of the class’ average daily net assets:
|
January
1, 2019
through
December 31, 2019
|
Prior
to
January 1, 2019
|
Class
A
|
1.24%
|
1.30%
|
Advisor
Class
|
0.99
|
1.05
|
Class
C
|
1.99
|
2.05
|
Institutional
Class
|
0.99
|
1.05
|
Institutional
2 Class
|
0.92
|
0.96
|
Institutional
3 Class
|
0.87
|
0.92
|
Class
R
|
1.49
|
1.55
|
Class
V
|
1.24
|
1.30
|
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
Columbia
Mid Cap Growth Fund | Annual Report 2019
|
27
|
Notes to Financial Statements (continued)
August 31, 2019
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 August 31, 2019, these differences were primarily due to
differing treatment for deferral/reversal of wash sale losses, trustees’ deferred compensation, late-year ordinary losses, non-deductible expenses, net operating loss reclassification, 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:
Excess
of distributions
over net investment
income ($)
|
Accumulated
net realized
gain ($)
|
Paid
in
capital ($)
|
203,642
|
(203,636)
|
(6)
|
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 August 31, 2019
|
Year
Ended August 31, 2018
|
Ordinary
income ($)
|
Long-term
capital gains ($)
|
Total
($)
|
Ordinary
income ($)
|
Long-term
capital gains ($)
|
Total
($)
|
29,282,463
|
310,909,317
|
340,191,780
|
63,483,335
|
163,818,827
|
227,302,162
|
Short-term capital gain
distributions, if any, are considered ordinary income distributions for tax purposes.
At August 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 ($)
|
Net
unrealized
appreciation ($)
|
—
|
130,552,043
|
—
|
248,852,864
|
At August 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) ($)
|
Net
unrealized
appreciation ($)
|
1,410,667,752
|
293,709,289
|
(44,856,425)
|
248,852,864
|
Tax cost of investments and
unrealized appreciation/(depreciation) may also include timing differences that do not constitute adjustments to tax basis.
Under current tax rules, regulated investment companies can
elect to treat certain late-year ordinary losses incurred and post-October capital losses (capital losses realized after October 31) as arising on the first day of the following taxable year. As of August 31, 2019, the Fund will elect to treat the
following late-year ordinary losses and post-October capital losses as arising on September 1, 2019.
Late
year
ordinary losses ($)
|
Post-October
capital losses ($)
|
2,848,643
|
—
|
28
|
Columbia Mid Cap Growth Fund
| Annual Report 2019
|
Notes to Financial Statements (continued)
August 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 $1,512,653,745 and $1,811,732,992, respectively, for the year ended August 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.
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 August 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 August 31,
2019.
Columbia
Mid Cap Growth Fund | Annual Report 2019
|
29
|
Notes to Financial Statements (continued)
August 31, 2019
Note 9. Significant risks
Consumer discretionary sector risk
The Fund may be more susceptible to the particular risks that
may affect companies in the consumer discretionary sector than if it were invested in a wider variety of companies in unrelated sectors. Companies in the consumer discretionary sector are subject to certain risks, including fluctuations in the
performance of the overall domestic and international economy, interest rate changes, increased competition and consumer confidence. Performance of such companies may be affected by factors including reduced disposable household income, reduced
consumer spending, changing demographics and consumer tastes.
Shareholder concentration risk
At August 31, 2019, affiliated shareholders of record owned
33.0% of the outstanding shares of the Fund in one or more accounts. Subscription and redemption activity by concentrated accounts may have a significant effect on the operations of the Fund. In the case of a large redemption, the Fund may be forced
to sell investments at inopportune times, including its liquid positions, which may result in Fund losses and the Fund holding a higher percentage of less liquid positions. Large redemptions could result in decreased economies of scale and increased
operating expenses for non-redeeming Fund shareholders.
Technology and technology-related investment risk
The Fund may be more susceptible to the particular risks that
may affect companies in the information technology sector, as well as other technology-related sectors (collectively, the technology sectors) than if it were invested in a wider variety of companies in unrelated sectors. Companies in the technology
sectors are subject to certain risks, including the risk that new services, equipment or technologies will not be accepted by consumers and businesses or will become rapidly obsolete. Performance of such companies may be affected by factors
including obtaining and protecting patents (or the failure to do so) and significant competitive pressures, including aggressive pricing of their products or services, new market entrants, competition for market share and short product cycles due to
an accelerated rate of technological developments. Such competitive pressures may lead to limited earnings and/or falling profit margins. As a result, the value of their securities may fall or fail to rise. In addition, many technology sector
companies have limited operating histories and prices of these companies’ securities historically have been more volatile than other securities, especially over the short term.
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.
30
|
Columbia Mid Cap Growth 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 Mid Cap Growth Fund
Opinion on the Financial Statements
We have audited the accompanying statement of assets and
liabilities, including the portfolio of investments, of Columbia Mid Cap Growth Fund (one of the funds constituting Columbia Funds Series Trust I, hereafter referred to as the “Fund”) as of August 31, 2019, the related statement of
operations for the year ended August 31, 2019, the statement of changes in net assets for each of the two years in the period ended August 31, 2019, including the related notes, and the financial highlights for each of the five years in the period
ended August 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 August 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 August 31, 2019 and the financial highlights for each of the five years in the period ended August 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 August 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
October 24, 2019
We have served as the auditor of one or more investment
companies within the Columbia Funds Complex since 1977.
Columbia
Mid Cap Growth Fund | Annual Report 2019
|
31
|
Federal Income Tax Information
(Unaudited)
The Fund hereby designates the following tax attributes for
the fiscal year ended August 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
|
29.80%
|
28.64%
|
$137,371,719
|
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.
TRUSTEES AND OFFICERS
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), September 2007-October 2018
|
70
|
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, December 2002-May 2006; President of UAL Loyalty Services (airline marketing company), September 2001-December 2002; Executive Vice President and Chief
Financial Officer of United Airlines, July 1999-September 2001
|
70
|
Spartan
Nash Company, (food distributor); former Director, Nash Finch Company (food distributor), 2005-2013; Aircastle Limited (aircraft leasing); former Director, SeaCube Container Leasing Ltd. (container leasing), 2010-2013; and Travelport Worldwide
Limited (travel information technology)
|
32
|
Columbia Mid Cap Growth 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
|
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), 1997-2010; Chair, Wellington Management Portfolios (commingled non-U.S. investment pools), 2007-2010; Director, Wellington Trust Company, NA
and other Wellington affiliates, 1997-2010
|
70
|
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
|
70
|
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
|
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, August 2007-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, August 1999-October 2005;
University Professor, Boston College, November 2005-August 2007
|
70
|
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, 1988-2014
|
70
|
Former
Director, M Fund, Inc. (M Funds mutual fund family), July 2018-July 2019
|
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, 1994-1997, President – Application Systems Division, 1991-1994, Chief Financial Officer – US Marketing & Services, 1988-1991, and Chief Information Officer, 1987-1988, IBM Corporation
(computer and technology)
|
70
|
Former
Director, Enesco Group, Inc. (producer of giftware and home and garden decor products), 2001-2006
|
Columbia
Mid Cap Growth Fund | Annual Report 2019
|
33
|
TRUSTEES AND OFFICERS (continued)
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, May
2010-February 2015; President, Columbia Funds, 2009-2015; and senior officer of Columbia Funds and affiliated funds, 2003-2015
|
70
|
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
|
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, 2004-2010; Senior Partner, McKinsey & Company, 2001-2004
|
70
|
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, April 2016-September
2016; Senior Vice President and Chief Investment Officer, Calvert Investments, August 2008-January 2016; Section Head and Portfolio Manager, General Motors Asset Management, June 1997-August 2008
|
70
|
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
|
192
|
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, August 2006 - January 2013
|
34
|
Columbia Mid Cap Growth Fund
| Annual Report 2019
|
TRUSTEES AND OFFICERS (continued)
*
|
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.
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 as of the printing of this report, 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.
|
Columbia
Mid Cap Growth Fund | Annual Report 2019
|
35
|
TRUSTEES AND OFFICERS (continued)
Fund officers (continued)
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
|
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.
|
Board Consideration and Approval of
Management
Agreement
On June 12, 2019, the Board of Trustees (the Board) and the
Trustees who are not interested persons (as defined in the Investment Company Act of 1940) (the Independent Trustees) of Columbia Funds Series Trust I (the Trust) unanimously approved the continuation of the Management Agreement (the Management
Agreement) with Columbia Management Investment Advisers, LLC (the Investment Manager) with respect to Columbia Mid Cap Growth Fund (the Fund), a series of the Trust. As detailed below, the Board’s Advisory Fees and Expenses Committee (the
Committee) and the Board met on multiple occasions to review and discuss, among themselves, with the management team of the Investment Manager and with an independent fee consultant, materials provided by the Investment Manager, the independent fee
consultant and others before determining to approve the continuation of the Management Agreement.
In connection with their deliberations regarding the
continuation of the Management Agreement, the Committee and the Board evaluated materials requested from the Investment Manager regarding the Fund and the Management Agreement, and discussed these materials with representatives of the Investment
Manager at Committee meetings held on March 5, 2019, April 25, 2019 and June 11, 2019 and at Board meetings held on March 6, 2019 and June 12, 2019. In addition, the Board and its various committees consider matters bearing on the Management
Agreement at other meetings throughout the year and in prior years and meet regularly with senior management of the Trust and the Investment Manager. Through the Board’s Investment Oversight Committees, Trustees also meet with selected
portfolio managers of the funds the Trustees oversee and with other investment personnel at various times throughout the year. The Committee and the Board also consulted with the independent fee consultant, Fund counsel and the Independent
Trustees’ independent legal counsel, who advised on various matters with respect to the Committee’s and the Board’s considerations and otherwise assisted the Committee and the Board in their deliberations. On June 11, 2019, the
Committee recommended that the Board approve the continuation of the Management Agreement. On June 12, 2019, the Board, including the Independent Trustees, voting separately, unanimously approved the continuation of the Management Agreement for the
Fund.
The Committee and the Board considered all
information that they, their legal counsel or the Investment Manager believed reasonably necessary to evaluate and to determine whether to recommend for approval or approve the continuation of the Management Agreement. The information and factors
considered by the Committee and the Board in recommending for approval or approving the continuation of the Management Agreement for the Fund included the following:
•
|
Information on the
investment performance of the Fund relative to the performance of a group of mutual funds determined to be comparable to the Fund by an independent third-party data provider, as well as performance relative to benchmarks;
|
•
|
Information on the
Fund’s management fees and total expenses, including information comparing the Fund’s expenses to those of a group of comparable mutual funds, as determined by the independent third-party data provider;
|
36
|
Columbia Mid Cap Growth Fund
| Annual Report 2019
|
Board Consideration and Approval of Management
Agreement (continued)
•
|
The Investment
Manager’s agreement to contractually limit or cap total operating expenses for the Fund through December 31, 2020 so that total operating expenses (excluding certain fees and expenses, such as transaction costs and certain other investment
related expenses, interest, taxes, acquired fund fees and expenses, and infrequent and/or unusual expenses) would not exceed a specified annual rate, as a percentage of the Fund’s net assets;
|
•
|
The terms and conditions of
the Management Agreement;
|
•
|
The current and proposed
terms and conditions of other agreements and arrangements with affiliates of the Investment Manager relating to the operations of the Fund, including agreements with respect to the provision of distribution, transfer agency and shareholder services
to the Fund;
|
•
|
Descriptions of various
functions performed by the Investment Manager under the Management Agreement, including portfolio management and portfolio trading practices;
|
•
|
Information regarding the
management fees of similarly-managed portfolios of other clients of the Investment Manager, including institutional accounts and collective trusts;
|
•
|
Information regarding the
reputation, regulatory history and resources of the Investment Manager, including information regarding senior management, portfolio managers and other personnel;
|
•
|
Information regarding the
capabilities of the Investment Manager with respect to compliance monitoring services, including an assessment of the Investment Manager’s compliance system by the Fund’s Chief Compliance Officer; and
|
•
|
The profitability to the
Investment Manager and its affiliates from their relationships with the Fund.
|
Nature, extent and quality of services provided under the
Management Agreement
The Committee and the Board
considered the nature, extent and quality of services provided to the Fund by the Investment Manager and its affiliates under the Management Agreement and under separate agreements for the provision of transfer agency and shareholder services, and
the resources dedicated to the Fund and the other Columbia Funds by the Investment Manager and its affiliates. The Committee and the Board considered, among other things, the Investment Manager’s ability to attract, motivate and retain highly
qualified research, advisory and supervisory investment professionals (including compensation programs for personnel involved in fund management, reputation and other attributes), the portfolio management services provided by those investment
professionals, and the quality of the Investment Manager’s investment research capabilities and trade execution services. The Committee and the Board also considered the potential benefits to shareholders of investing in a mutual fund that is
part of a fund complex offering exposure to a variety of asset classes and investment disciplines and providing a variety of fund and shareholder services.
The Committee and the Board also considered the professional
experience and qualifications of the senior personnel of the Investment Manager, which included consideration of the Investment Manager’s experience with funds using an investment strategy similar to that used by the Investment Manager for the
Fund. The Committee and the Board noted the compliance programs of and the compliance-related resources provided to the Fund by the Investment Manager and its affiliates and the resources dedicated by the Investment Manager and its affiliates to
risk management, and considered the Investment Manager’s ability to provide administrative services to the Fund and coordinate the activities of the Fund’s other service providers. After reviewing these and related factors, the Committee
and the Board concluded, within the context of their overall conclusions, that the nature, extent and quality of the services provided to the Fund under the Management Agreement supported the continuation of the Management Agreement.
Investment performance
The Committee and the Board reviewed information about the
performance of the Fund over various time periods, including performance information relative to benchmarks, information that compared the performance of the Fund to the performance of a group of comparable mutual funds as determined by the
independent third-party data provider, and information and analysis provided by the independent fee consultant. The Committee and the Board also reviewed a description of the third party’s methodology for identifying the Fund’s peer
groups for purposes of performance and expense comparisons. Although the Fund’s performance lagged that of a relevant peer group for certain (although not necessarily all) periods, the Committee
Columbia
Mid Cap Growth Fund | Annual Report 2019
|
37
|
Board Consideration and Approval of Management
Agreement (continued)
and the Board concluded that other factors relevant to performance were
sufficient, in light of other considerations, to support continuation of the Management Agreement. Those factors included one or more of the following: (i) that the Fund’s performance, although lagging in certain recent periods, was stronger
over the longer term; (ii) that the underperformance was attributable, to a significant extent, to investment decisions that were reasonable and consistent with the Fund’s investment strategy and policies and that the Fund was performing
within a reasonable range of expectations, given those investment decisions, market conditions and the Fund’s investment strategy; (iii) that the Fund’s performance was competitive when compared to other relevant performance benchmarks
or peer groups; and (iv) that the Investment Manager had taken or was taking steps designed to help improve the Fund’s investment performance, including, but not limited to, replacing portfolio managers, enhancing the resources supporting the
portfolio managers, or modifying investment strategies.
The Committee and the Board noted that, through December 31,
2018, the Fund’s performance was in the forty-seventh, seventy-fourth and forty-eighth percentile (where the best performance would be in the first percentile) of its category selected by the independent third-party data provider for the
purposes of performance comparisons for the one-, three- and five-year periods, respectively.
The Committee and the Board also considered the Investment
Manager’s performance and reputation generally, the Investment Manager’s historical responsiveness to Board concerns about performance, and the Investment Manager’s willingness to take steps intended to improve performance. After
reviewing these and related factors, the Committee and the Board concluded, within the context of their overall conclusions, that the performance of the Fund and the Investment Manager was sufficient, in light of other considerations, to support the
continuation of the Management Agreement.
Investment
management fee rates and other expenses
The Committee
and the Board considered the management fees charged to the Fund under the Management Agreement as well as the total expenses incurred by the Fund. In assessing the reasonableness of the fees under the Management Agreement, the Committee and the
Board considered, among other information, the Fund’s total expense ratio as a percentage of average daily net assets. The Committee and the Board considered data provided by the independent third-party data provider and the independent fee
consultant. The Committee and the Board noted that, as of December 31, 2018, the Fund’s actual management fee and net total expense ratio were ranked in the third and second quintiles, respectively, (where the lowest fees and expenses would be
in the first quintile) against the Fund’s expense universe as determined by the independent third-party data provider for purposes of expense comparison. The Committee and the Board also took into account the fee waiver and expense limitation
arrangements agreed to by the Investment Manager, as noted above.
The Committee and the Board also received and considered
information about the management fees charged by the Investment Manager to institutional accounts. In considering the fees charged to those accounts, the Committee and the Board took into account, among other things, the Investment Manager’s
representations about the differences between managing mutual funds as compared to other types of accounts, including differences in the services provided, differences in the risk profile of such business for the Investment Manager and the
additional resources required to manage mutual funds effectively. The Committee and the Board also received and considered information about the fees charged by the Investment Manager for sub-advisory services it provides to comparable unaffiliated
funds. In evaluating the Fund’s management fees, the Committee and the Board also took into account the demands, complexity and quality of the investment management of the Fund.
After reviewing these and related factors, the Committee and
the Board concluded, within the context of their overall conclusions, that the management fee rates and expenses of the Fund, in light of other considerations, supported the continuation of the Management Agreement.
Costs of services provided and profitability
The Committee and the Board also took note of the costs the
Investment Manager and its affiliates incur in connection with the services provided and the profitability to the Investment Manager and its affiliates from their relationships with the Fund, and the efforts undertaken by the Investment Manager and
its affiliates to manage efficiently their costs to provide such services.
38
|
Columbia Mid Cap Growth Fund
| Annual Report 2019
|
Board Consideration and Approval of Management
Agreement (continued)
The Committee and the Board also considered the compensation directly or
indirectly received by the Investment Manager’s affiliates in connection with their relationships with the Fund. The Committee and the Board reviewed information provided by management as to the profitability to the Investment Manager and its
affiliates of their relationships with the Fund, information about the allocation of expenses used to calculate profitability, and comparisons of profitability levels realized in 2018 to profitability levels realized in 2017. When reviewing
profitability, the Committee and the Board also considered court cases in which adviser profitability was an issue in whole or in part, the performance of similarly managed funds, the performance of the Fund, and the expense ratio of the Fund. In
addition, the Committee and the Board considered information provided by the Investment Manager regarding the Investment Manager’s financial condition and comparing its profitability to that of other asset management firms that are, or are
subsidiaries of, publicly traded companies. In this regard, the Committee and the Board also considered data provided by the independent fee consultant.
After reviewing these and related factors, the Committee and
the Board concluded, within the context of their overall conclusions, that the costs of services provided and the profitability to the Investment Manager and its affiliates from their relationships with the Fund supported the continuation of the
Management Agreement.
Economies of scale
The Committee and the Board considered the potential
existence of economies of scale in the provision by the Investment Manager of services to the Fund, to groups of related funds, and to the Investment Manager’s investment advisory clients as a whole, and whether those economies of scale were
shared with the Fund through breakpoints in investment management fees or other means, such as expense limitation arrangements and additional investments by the Investment Manager in investment, trading, compliance and other resources. The Committee
and the Board noted that the management fee schedules for the Fund contained breakpoints that would reduce the fee rate on assets above specified threshold levels.
In considering these matters, the Committee and the Board also
considered the costs of the services provided and the profitability to the Investment Manager and its affiliates from their relationships with the Fund, as noted above. After reviewing these and related factors, the Committee and the Board
concluded, within the context of their overall conclusions, that the extent to which any economies of scale were expected to be shared with the Fund supported the continuation of the Management Agreement.
Other benefits to the Investment Manager
The Committee and the Board received and considered
information regarding “fall-out” or ancillary benefits received by the Investment Manager and its affiliates as a result of their relationships with the Fund, such as the engagement of the Investment Manager’s affiliates to provide
distribution, transfer agency and shareholder services to the Fund. In this regard, among other matters, the Committee and the Board considered that the Fund’s distributor retains a portion of the distribution fees from the Fund and receives a
portion of the sales charges on sales or redemptions of certain classes of shares of the Fund. The Committee and the Board also considered the benefits of research made available to the Investment Manager by reason of brokerage commissions generated
by the Fund’s securities transactions, and reviewed information about the Investment Manager’s practices with respect to considering brokerage and research services when allocating portfolio transactions. In this connection, the Board
also noted that the amount of research made available to the Investment Manager by reason of brokerage commissions had been declining over time, and may decline further. The Committee and the Board recognized that the Investment Manager’s
profitability would be somewhat lower without these benefits.
Conclusion
The Committee and the Board reviewed all of the above
considerations in reaching their decisions to recommend or approve the continuation of the Management Agreement. In their deliberations, the Trustees did not identify any particular information that was all-important or controlling, and individual
Trustees may have attributed different weights to the various factors. Based on their evaluation of all factors that they deemed to be material, including those factors described above, and assisted by the advice of independent legal counsel, the
Board, including the Independent Trustees, voting separately, unanimously approved the continuation of the Management Agreement.
Columbia
Mid Cap Growth Fund | Annual Report 2019
|
39
|
Columbia Mid Cap Growth Fund
P.O. Box 219104
Kansas City, MO 64121-9104
Please read and consider the investment objectives, risks,
charges and expenses for any fund carefully before investing. For a prospectus and summary prospectus, which contains this and other important information about the Fund, go to
columbiathreadneedleus.com/investor/. The Fund is distributed by Columbia Management Investment Distributors, Inc., member FINRA, and managed by Columbia Management Investment Advisers, LLC.
Columbia Threadneedle Investments (Columbia Threadneedle) is
the global brand name of the Columbia and Threadneedle group of companies. All rights reserved.
© 2019 Columbia Management Investment Advisers, LLC.
columbiathreadneedleus.com/investor/
Annual
Report
August 31, 2019
Columbia Disciplined Small Core 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
|
|
16
|
|
18
|
|
19
|
|
22
|
|
26
|
|
37
|
|
38
|
|
38
|
|
42
|
Columbia Disciplined Small Core Fund (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-PORT, and for reporting periods ended prior to March 31, 2019, on Form N-Q. The Fund’s Form N-Q and Form N-PORT filings are available on the SEC’s website at sec.gov.
The Fund’s complete schedule of portfolio holdings, as filed on Form N-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 (the Investment Manager)
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 Disciplined
Small Core Fund | Annual Report 2019
Investment objective
The Fund seeks long-term capital
appreciation.
Portfolio
management
Brian Condon,
CFA
Co-Portfolio
Manager
Managed Fund
since 2016
Peter
Albanese
Co-Portfolio
Manager
Managed Fund
since 2017
Morningstar
style boxTM
The Morningstar
Style Box is based on a fund’s portfolio holdings. For equity funds, the vertical axis shows the market capitalization of the stocks owned, and the horizontal axis shows investment style (value, blend, or growth). Information shown is based on
the most recent data provided by Morningstar.
© 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 August 31, 2019)
|
|
|
Inception
|
1
Year
|
5
Years
|
10
Years
|
Class
A
|
Excluding
sales charges
|
11/01/98
|
-19.21
|
-0.16
|
7.57
|
|
Including
sales charges
|
|
-23.87
|
-1.33
|
6.94
|
Advisor
Class*
|
11/08/12
|
-19.11
|
0.07
|
7.83
|
Class
C
|
Excluding
sales charges
|
11/18/02
|
-19.95
|
-0.95
|
6.75
|
|
Including
sales charges
|
|
-20.34
|
-0.95
|
6.75
|
Institutional
Class
|
12/14/92
|
-18.92
|
0.11
|
7.85
|
Institutional
2 Class*
|
11/08/12
|
-18.91
|
0.22
|
7.95
|
Institutional
3 Class*
|
11/08/12
|
-18.92
|
0.25
|
7.98
|
Class
V
|
Excluding
sales charges
|
02/12/93
|
-19.32
|
-0.19
|
7.54
|
|
Including
sales charges
|
|
-23.99
|
-1.36
|
6.90
|
Russell
2000 Index
|
|
-12.89
|
6.41
|
11.59
|
S&P
SmallCap 600 Index
|
|
-15.06
|
7.97
|
13.22
|
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. These returns are adjusted to reflect any higher class-related
operating expenses of the newer share classes, as applicable. Please visit columbiathreadneedleus.com/investor/investment-products/mutual-funds/appended-performance for more information.
|
The Russell 2000 Index measures the performance of the
small-cap segment of the U.S. equity universe. The Russell 2000 is a subset of the Russell 3000 Index representing approximately 10% of the total market capitalization of that index. It includes the securities of approximately 2,000 of the smallest
companies in the Russell 3000 Index based on a combination of their market capitalization and current index membership.
The S&P SmallCap 600 Index tracks the performance of 600
domestic companies traded on major stock exchanges. The S&P SmallCap 600 is heavily weighted with the stocks of companies with small market capitalizations.
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
Disciplined Small Core Fund | Annual Report 2019
|
3
|
Fund at a Glance (continued)
Performance of a
hypothetical $10,000 investment (August 31, 2009 — August 31, 2019)
The chart above shows the
change in value of a hypothetical $10,000 investment in Class A shares of Columbia Disciplined Small Core 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 August 31, 2019)
|
Portland
General Electric Co.
|
0.8
|
Radian
Group, Inc.
|
0.8
|
Essent
Group Ltd.
|
0.8
|
Southwest
Gas Holdings, Inc.
|
0.8
|
j2
Global, Inc.
|
0.8
|
PS
Business Parks, Inc.
|
0.8
|
Syneos
Health, Inc.
|
0.8
|
Cirrus
Logic, Inc.
|
0.7
|
Medpace
Holdings, Inc.
|
0.7
|
Federated
Investors, Inc., Class B
|
0.7
|
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 August 31, 2019)
|
Common
Stocks
|
100.0
|
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 August 31, 2019)
|
Communication
Services
|
2.9
|
Consumer
Discretionary
|
11.2
|
Consumer
Staples
|
3.3
|
Energy
|
3.2
|
Financials
|
17.9
|
Health
Care
|
16.3
|
Industrials
|
16.0
|
Information
Technology
|
14.1
|
Materials
|
3.4
|
Real
Estate
|
7.8
|
Utilities
|
3.9
|
Total
|
100.0
|
Percentages indicated are based
upon total equity investments. The Fund’s portfolio composition is subject to change.
4
|
Columbia Disciplined Small
Core Fund | Annual Report 2019
|
Manager Discussion of Fund Performance
For the
12-month period that ended August 31, 2019, the Fund’s Class A shares returned -19.21% excluding sales charges. The Fund underperformed the Russell 2000 Index, which returned -12.89%, and the S&P SmallCap 600 Index, which returned -15.06%,
for the same period. Stock selection detracted from the Fund’s relative results, while sector allocation contributed positively, albeit modestly.
Small-cap U.S. equity markets declined amid heightened
volatility
The period began in September 2018 with
U.S. equity markets continuing their climb from earlier in the year, supported by a growing U.S. economy and strong corporate earnings, each, in turn, fueled in large part by December 2017’s tax reform legislation. The U.S. equity market rally
came to an end in the fourth quarter of 2018, as investors grappled with the U.S. Federal Reserve (Fed) continuing to raise interest rates, the sharp slowdown in eurozone business confidence, weaker economic growth in China and heightened
geopolitical concerns, including trade and tariff tensions. Long dormant volatility spiked, and U.S. equity markets declined precipitously in the final weeks of the calendar year. This sharp sell-off then set the stage for the nearly equally
dramatic rally in the first quarter of 2019, as much of the ground lost in December 2018 was retraced. Following a relative calm in ongoing U.S.-China trade negotiations, volatility then returned in the second quarter of 2019 amid signs that trade
talks had soured. Offsetting this disappointment was the apparent change in the stance of the Fed, which had adopted a more dovish posture with respect to the direction of interest rates — a shift much applauded by the U.S. equity markets. On
July 31, 2019, the Fed lowered interest rates for the first time since 2008 to help stave off the possibility of an economic downturn. August 2019 headlines were dominated by trade tensions, as the U.S. administration announced its intention to
impose tariffs on Chinese goods not yet subject to tariffs, causing increased market volatility. Economic data was largely mixed, with manufacturing data and consumer confidence showing signs of weakness, but domestic demand steady in the context of
a strong labor market and rising wages. Against this increasingly uncertain backdrop, wherein longer term U.S. Treasury yields declined significantly, small-cap equities struggled significantly more than their larger cap counterparts.
Growth stocks outperformed value stocks
Risk-off sentiment impacted the performance of companies
with varying quantitative factors differently. Stocks characterized by low beta, low volatility, high momentum, larger capitalization and higher dividend yields were generally in favor during the period. Conversely, high growth stocks and stocks
with lower valuations were out of favor.
Our stock
selection model generated mixed results during the period. We divide the metrics for our stock selection model into three broad categories: valuation, catalyst and quality. We then rank the securities within a sector/industry from “1”
(most attractive) to “5” (least attractive) based upon the metrics within these categories. During the period, our quality and catalyst models outperformed the Russell 2000 Index, becoming especially potent due to market trends toward
low volatility and high momentum stocks, respectively. The value model, however, materially underperformed the Russell 2000 Index, as the divergence in performance between growth stocks and value stocks amplified. For the period overall, growth
strategies significantly outperformed value strategies across the capitalization spectrum.
A persistently low interest rate environment has historically
promoted financing and shifted investor sentiment toward growth-oriented companies. This was immediately apparent following the 2008 financial crisis when the effective federal funds rate fell and the returns of value stocks and growth stocks
diverged. The margin between these equity segments increased during the last decade and widened at an elevated pace as interest rate cuts resumed this past summer. Consequently, the value component of our quantitative stock selection model
corresponded to disappointing returns, as effective rates fell and growth remained aligned with momentum. In other words, the value and catalyst model categories operated in opposition due to the extremity of the market’s bias toward momentum
amid falling rates.
Stock selection overall detracted
from returns
As usual, the Fund maintained a
relatively neutral stance on sector allocation, though sector allocation did contribute positively, albeit modestly, to relative performance during the period. Stock selection overall, in eight of the 11 sectors of the Russell 2000 Index, detracted
from the Fund’s performance relative to the Russell 2000 Index. Stock selection in the consumer discretionary, industrials and communication services sectors were the primary detractors from the Fund’s relative performance.
Columbia
Disciplined Small Core Fund | Annual Report 2019
|
5
|
Manager Discussion of Fund Performance (continued)
Among the individual stocks detracting most from relative
performance were Endo International, Weight Watchers International and Tailored Brands. Pharmaceutical company Endo International focuses on developing, manufacturing and distributing branded and generic pharmaceutical products. Its shares declined
during the period due to reputational damage around a class action lawsuit. Weight Watchers International is a wellness company and commercial weight management program. During the period, the company’s management acknowledged its rebranding
from a focus on weight loss to wellness may have cost it some momentum, but defended the move, stating it maintained conviction in its shift. Its shares were also pressured on weak subscriber growth and we exited the position. Tailored Brands
engages in the retail of men’s suits and the provision of tuxedo rental under various brands, including Men’s Wearhouse and Joseph A. Bank. Both of these brands faced weakness in late 2018 that extended into 2019, causing negative
comparative guidance, which, in turn, drove the company’s shares to decline significantly. We sold our position in Tailored Brands.
Health care and energy stock selection boosted returns
Stock selection in the health care and energy sectors
contributed most positively to the Fund’s performance relative to the Russell 2000 Index during the period, followed at some distance by stock selection in the utilities sector.
Among the Fund’s greatest individual positive
contributors were TESARO, Medpace Holdings and EVERTEC. TESARO, an out-of-benchmark holding, is an oncology-focused biopharmaceutical company. It posted a triple-digit positive return in anticipation of its acquisition by GlaxoSmithKline, which was
completed in January 2019. (As a result of its acquisition, we no longer own TESARO.) Medpace Holdings is a contract research organization that engages in the provision of outsourced clinical development services to the biotechnology, pharmaceutical
and medical device industries. Its shares gained, as long-term trends in the life science and biotechnology industries appeared intact and the funding environment appeared robust. EVERTEC is a full-service transaction processing business in Latin
America, providing a broad range of merchant acquiring, payment processing and business solutions services. During the period, EVERTEC executed well and benefited from the long-term secular shift toward electronic forms of payment.
Portfolio construction process guided investment
changes
While there were some changes in sector
allocations and individual security positions during the period as a result of the Fund’s bottom-up stock selection process, all changes were quite modest, as we maintained our sector neutral investment approach. Within our stock selection
model, we replaced the Credit Suisse HOLT Adjusted Value Target signal in all 11 sector models with other value factors and bolstered many investment themes with complementary and efficacious indicators. We believe that the updated models are more
diversified and may exhibit better consistency of performance in different market regimes. We also completed a comprehensive review of our utilities sector models and put more emphasis on forward-looking valuation multiples, dividend growth, cash
flow generation and business momentum. Finally, we adjusted factors to handle inconsistency in the quarterly cash flow numbers for managed care companies due to misaligned monthly premium payments, which improved stability and comparability.
Market risk may affect a single
issuer, sector of the economy, industry or the market as a whole. 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. Investments in small-cap companies involve risks and volatility greater than
investments in larger, more established companies. 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. Investments selected using quantitative methods may perform differently from the market as a whole and may not enable the Fund to achieve its
objective. 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 Disciplined Small
Core 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 $1,000
= 8.6), then multiply the results by the expenses paid during the period under the “Actual” column. The amount listed in the “Hypothetical” column assumes a 5% annual rate of return before expenses (which is not the
Fund’s actual return) and then applies the Fund’s actual expense ratio for the period to the hypothetical return. You should not use the hypothetical account values and expenses to estimate either your actual account balance at the end
of the period or the expenses you paid during the period. See “Compare with other funds” below for details on how to use the hypothetical data.
Compare with other funds
Since all mutual funds are required to include the same
hypothetical calculations about expenses in shareholder reports, you can use this information to compare the ongoing cost of investing in the Fund with other funds. To do so, compare the hypothetical example with the 5% hypothetical examples that
appear in the shareholder reports of other funds. As you compare hypothetical examples of other funds, it is important to note that hypothetical examples are meant to highlight the ongoing costs of investing in a fund only and do not reflect any
transaction costs, such as sales charges, or redemption or exchange fees. Therefore, the hypothetical calculations are useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. If
transaction costs were included in these calculations, your costs would be higher.
March
1, 2019 — August 31, 2019
|
|
Account
value at the
beginning of the
period ($)
|
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
|
901.30
|
1,018.40
|
6.34
|
6.73
|
1.33
|
Advisor
Class
|
1,000.00
|
1,000.00
|
902.70
|
1,019.65
|
5.15
|
5.47
|
1.08
|
Class
C
|
1,000.00
|
1,000.00
|
897.80
|
1,014.64
|
9.90
|
10.50
|
2.08
|
Institutional
Class
|
1,000.00
|
1,000.00
|
902.90
|
1,019.65
|
5.15
|
5.47
|
1.08
|
Institutional
2 Class
|
1,000.00
|
1,000.00
|
903.90
|
1,020.26
|
4.58
|
4.86
|
0.96
|
Institutional
3 Class
|
1,000.00
|
1,000.00
|
903.80
|
1,020.51
|
4.34
|
4.61
|
0.91
|
Class
V
|
1,000.00
|
1,000.00
|
900.40
|
1,018.40
|
6.34
|
6.73
|
1.33
|
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
Disciplined Small Core Fund | Annual Report 2019
|
7
|
Portfolio of Investments
August 31, 2019
(Percentages represent value of investments compared to net
assets)
Investments in securities
Common
Stocks 97.0%
|
Issuer
|
Shares
|
Value
($)
|
Communication
Services 2.8%
|
Entertainment
0.3%
|
Glu
Mobile, Inc.(a)
|
64,400
|
285,936
|
Interactive
Media & Services 0.5%
|
Meet
Group, Inc. (The)(a)
|
120,000
|
414,000
|
Media
1.6%
|
Entravision
Communications Corp., Class A
|
56,800
|
173,808
|
EW
Scripps Co. (The), Class A
|
5,400
|
66,744
|
Gray
Television, Inc.(a)
|
11,900
|
182,070
|
MSG
Networks, Inc., Class A(a)
|
17,700
|
290,280
|
National
CineMedia, Inc.
|
56,100
|
460,020
|
TEGNA,
Inc.
|
11,000
|
157,410
|
Total
|
|
1,330,332
|
Wireless
Telecommunication Services 0.4%
|
Shenandoah
Telecommunications Co.
|
11,900
|
375,326
|
Total
Communication Services
|
2,405,594
|
Consumer
Discretionary 10.9%
|
Auto
Components 0.4%
|
Dana,
Inc.
|
8,300
|
105,659
|
Modine
Manufacturing Co.(a)
|
24,100
|
246,061
|
Total
|
|
351,720
|
Distributors
0.6%
|
Core-Mark
Holding Co., Inc.
|
4,800
|
155,472
|
Funko,
Inc., Class A(a)
|
15,600
|
374,244
|
Total
|
|
529,716
|
Diversified
Consumer Services 0.7%
|
Collectors
Universe, Inc.
|
6,300
|
163,296
|
K12,
Inc.(a)
|
16,300
|
429,505
|
Total
|
|
592,801
|
Hotels,
Restaurants & Leisure 3.1%
|
Boyd
Gaming Corp.
|
2,300
|
55,292
|
Brinker
International, Inc.
|
12,400
|
471,200
|
Dave
& Buster’s Entertainment, Inc.
|
11,000
|
473,550
|
Dine
Brands Global, Inc.
|
6,250
|
440,937
|
Everi
Holdings, Inc.(a)
|
45,800
|
409,452
|
Common
Stocks (continued)
|
Issuer
|
Shares
|
Value
($)
|
Penn
National Gaming, Inc.(a)
|
15,200
|
291,384
|
SeaWorld
Entertainment, Inc.(a)
|
18,000
|
522,180
|
Total
|
|
2,663,995
|
Household
Durables 0.9%
|
Ethan
Allen Interiors, Inc.
|
4,500
|
77,400
|
M/I
Homes, Inc.(a)
|
3,300
|
119,262
|
Taylor
Morrison Home Corp., Class A(a)
|
22,700
|
541,622
|
Total
|
|
738,284
|
Internet
& Direct Marketing Retail 0.3%
|
Stamps.com,
Inc.(a)
|
4,350
|
279,966
|
Leisure
Products 1.0%
|
Malibu
Boats, Inc., Class A(a)
|
16,000
|
445,120
|
MasterCraft
Boat Holdings, Inc.(a)
|
11,000
|
166,650
|
Sturm
Ruger & Co., Inc.
|
5,400
|
221,454
|
Total
|
|
833,224
|
Specialty
Retail 2.6%
|
Bed
Bath & Beyond, Inc.
|
29,700
|
287,199
|
Genesco,
Inc.(a)
|
9,700
|
346,096
|
Hibbett
Sports, Inc.(a)
|
19,600
|
324,184
|
Lithia
Motors, Inc., Class A
|
3,550
|
465,298
|
Office
Depot, Inc.
|
169,800
|
220,740
|
Rent-A-Center,
Inc.(a)
|
15,850
|
404,651
|
Shoe
Carnival, Inc.
|
6,100
|
187,514
|
Total
|
|
2,235,682
|
Textiles,
Apparel & Luxury Goods 1.3%
|
Crocs,
Inc.(a)
|
2,400
|
53,520
|
Deckers
Outdoor Corp.(a)
|
3,450
|
508,703
|
Fossil
Group, Inc.(a)
|
30,800
|
394,240
|
Movado
Group, Inc.
|
5,200
|
111,904
|
Vera
Bradley, Inc.(a)
|
6,000
|
63,540
|
Total
|
|
1,131,907
|
Total
Consumer Discretionary
|
9,357,295
|
The accompanying Notes to Financial Statements are an integral part
of this statement.
8
|
Columbia Disciplined Small
Core Fund | Annual Report 2019
|
Portfolio of Investments
(continued)
August 31, 2019
Common
Stocks (continued)
|
Issuer
|
Shares
|
Value
($)
|
Consumer
Staples 3.2%
|
Food
& Staples Retailing 0.8%
|
Ingles
Markets, Inc., Class A
|
9,700
|
377,136
|
SpartanNash
Co.
|
30,300
|
326,331
|
Total
|
|
703,467
|
Food
Products 0.6%
|
John
B. Sanfilippo & Son, Inc.
|
5,600
|
518,560
|
Personal
Products 1.3%
|
Edgewell
Personal Care Co.(a)
|
9,500
|
264,480
|
Medifast,
Inc.
|
4,350
|
434,826
|
Usana
Health Sciences, Inc.(a)
|
5,980
|
406,461
|
Total
|
|
1,105,767
|
Tobacco
0.5%
|
Universal
Corp.
|
5,300
|
265,318
|
Vector
Group Ltd.
|
9,900
|
115,632
|
Total
|
|
380,950
|
Total
Consumer Staples
|
2,708,744
|
Energy
3.1%
|
Energy
Equipment & Services 1.4%
|
C&J
Energy Services, Inc.(a)
|
13,500
|
129,060
|
Keane
Group, Inc.(a)
|
78,200
|
414,460
|
Liberty
Oilfield Services, Inc., Class A
|
12,800
|
137,856
|
Matrix
Service Co.(a)
|
24,800
|
492,776
|
Total
|
|
1,174,152
|
Oil,
Gas & Consumable Fuels 1.7%
|
California
Resources Corp.(a)
|
20,400
|
199,716
|
CVR
Energy, Inc.
|
11,000
|
437,580
|
Delek
U.S. Holdings, Inc.
|
12,000
|
393,000
|
Denbury
Resources, Inc.(a)
|
73,200
|
79,056
|
REX
American Resources Corp.(a)
|
1,850
|
127,058
|
Southwestern
Energy Co.(a)
|
49,000
|
77,420
|
W&T
Offshore, Inc.(a)
|
7,800
|
34,164
|
World
Fuel Services Corp.
|
4,000
|
153,600
|
Total
|
|
1,501,594
|
Total
Energy
|
2,675,746
|
Common
Stocks (continued)
|
Issuer
|
Shares
|
Value
($)
|
Financials
17.3%
|
Banks
7.8%
|
Bancorp,
Inc. (The)(a)
|
53,500
|
488,455
|
Bank
of NT Butterfield & Son Ltd. (The)
|
8,600
|
237,016
|
Cadence
BanCorp
|
12,000
|
184,440
|
Cathay
General Bancorp
|
16,600
|
550,954
|
Customers
Bancorp, Inc.(a)
|
22,450
|
424,081
|
Enterprise
Financial Services Corp.
|
3,900
|
153,738
|
First
BanCorp
|
53,800
|
515,404
|
Fulton
Financial Corp.
|
24,100
|
384,395
|
Hancock
Whitney Corp.
|
15,000
|
526,650
|
Hilltop
Holdings, Inc.
|
22,100
|
524,875
|
Hope
Bancorp, Inc.
|
19,400
|
260,154
|
Iberiabank
Corp.
|
8,550
|
589,864
|
International
Bancshares Corp.
|
14,300
|
508,937
|
Metropolitan
Bank Holding Corp.(a)
|
1,500
|
54,300
|
OFG
Bancorp
|
24,300
|
498,636
|
Preferred
Bank
|
10,100
|
504,596
|
United
Community Banks, Inc.
|
11,300
|
298,433
|
Total
|
|
6,704,928
|
Capital
Markets 1.8%
|
Cohen
& Steers, Inc.
|
8,800
|
474,584
|
Federated
Investors, Inc., Class B
|
18,800
|
602,352
|
Waddell
& Reed Financial, Inc., Class A
|
29,200
|
472,164
|
Total
|
|
1,549,100
|
Consumer
Finance 1.2%
|
Enova
International, Inc.(a)
|
19,300
|
461,270
|
Nelnet,
Inc., Class A
|
8,350
|
559,868
|
Total
|
|
1,021,138
|
Insurance
1.8%
|
American
Equity Investment Life Holding Co.
|
16,300
|
351,265
|
Employers
Holdings, Inc.
|
12,600
|
543,438
|
Genworth
Financial, Inc., Class A(a)
|
56,200
|
248,966
|
Selective
Insurance Group, Inc.
|
1,450
|
115,463
|
Universal
Insurance Holdings, Inc.
|
12,100
|
302,500
|
Total
|
|
1,561,632
|
The accompanying Notes to Financial Statements are an integral part
of this statement.
Columbia
Disciplined Small Core Fund | Annual Report 2019
|
9
|
Portfolio of Investments (continued)
August 31, 2019
Common
Stocks (continued)
|
Issuer
|
Shares
|
Value
($)
|
Mortgage
Real Estate Investment Trusts (REITS) 1.3%
|
Ellington
Financial, Inc.
|
22,200
|
387,834
|
New
York Mortgage Trust, Inc.
|
16,500
|
101,475
|
PennyMac
Mortgage Investment Trust
|
22,600
|
491,776
|
Western
Asset Mortgage Capital Corp.
|
17,100
|
160,740
|
Total
|
|
1,141,825
|
Thrifts
& Mortgage Finance 3.4%
|
Essent
Group Ltd.(a)
|
14,300
|
693,550
|
Federal
Agricultural Mortgage Corp.
|
6,650
|
547,627
|
Merchants
Bancorp
|
5,800
|
91,988
|
NMI
Holdings, Inc., Class A(a)
|
19,000
|
538,460
|
Radian
Group, Inc.
|
31,000
|
699,050
|
Washington
Federal, Inc.
|
9,200
|
327,520
|
Total
|
|
2,898,195
|
Total
Financials
|
14,876,818
|
Health
Care 15.8%
|
Biotechnology
6.2%
|
ACADIA
Pharmaceuticals, Inc.(a)
|
8,280
|
229,025
|
Alder
Biopharmaceuticals, Inc.(a)
|
25,011
|
223,849
|
Apellis
Pharmaceuticals, Inc.(a)
|
7,530
|
219,123
|
Arena
Pharmaceuticals, Inc.(a)
|
4,650
|
245,939
|
ArQule,
Inc.(a)
|
8,400
|
75,264
|
Arrowhead
Pharmaceuticals, Inc.(a)
|
4,290
|
146,589
|
Atara
Biotherapeutics, Inc.(a)
|
8,630
|
116,505
|
bluebird
bio, Inc.(a)
|
2,040
|
210,752
|
Blueprint
Medicines Corp.(a)
|
3,860
|
295,946
|
Clovis
Oncology, Inc.(a)
|
5,925
|
33,239
|
Dynavax
Technologies Corp.(a)
|
16,565
|
68,579
|
FibroGen,
Inc.(a)
|
3,470
|
154,970
|
Gossamer
Bio, Inc.(a)
|
8,271
|
173,360
|
Immunomedics,
Inc.(a)
|
33,010
|
422,528
|
Insmed,
Inc.(a)
|
14,340
|
235,750
|
Medicines
Co. (The)(a)
|
7,230
|
303,371
|
Mirati
Therapeutics, Inc.(a)
|
3,510
|
287,715
|
Precision
BioSciences, Inc.(a)
|
15,414
|
131,327
|
Repligen
Corp.(a)
|
2,130
|
197,685
|
Rubius
Therapeutics, Inc.(a)
|
12,210
|
113,309
|
Sage
Therapeutics, Inc.(a)
|
1,800
|
309,006
|
Common
Stocks (continued)
|
Issuer
|
Shares
|
Value
($)
|
Sarepta
Therapeutics, Inc.(a)
|
2,275
|
205,091
|
TCR2
Therapeutics, Inc.(a)
|
15,290
|
257,790
|
Turning
Point Therapeutics, Inc.(a)
|
5,008
|
273,086
|
Ultragenyx
Pharmaceutical, Inc.(a)
|
2,390
|
130,183
|
uniQure
NV(a)
|
4,620
|
250,635
|
Total
|
|
5,310,616
|
Health
Care Equipment & Supplies 3.6%
|
CryoLife,
Inc.(a)
|
11,500
|
308,200
|
Integer
Holdings Corp.(a)
|
7,350
|
532,140
|
Lantheus
Holdings, Inc.(a)
|
18,700
|
406,912
|
Meridian
Bioscience, Inc.
|
39,500
|
364,585
|
Natus
Medical, Inc.(a)
|
5,000
|
138,400
|
NuVasive,
Inc.(a)
|
3,800
|
241,376
|
Quidel
Corp.(a)
|
9,250
|
583,212
|
Varex
Imaging Corp.(a)
|
15,200
|
400,520
|
Zynex,
Inc.
|
9,800
|
87,612
|
Total
|
|
3,062,957
|
Health
Care Providers & Services 2.1%
|
Amedisys,
Inc.(a)
|
800
|
102,968
|
AMN
Healthcare Services, Inc.(a)
|
3,700
|
216,080
|
Corvel
Corp.(a)
|
5,500
|
463,265
|
Ensign
Group, Inc. (The)
|
3,600
|
179,640
|
Magellan
Health, Inc.(a)
|
7,300
|
459,973
|
Tenet
Healthcare Corp.(a)
|
10,700
|
231,655
|
Triple-S
Management Corp., Class B(a)
|
8,873
|
182,074
|
Total
|
|
1,835,655
|
Health
Care Technology 0.3%
|
HealthStream,
Inc.(a)
|
11,200
|
283,024
|
Life
Sciences Tools & Services 1.4%
|
Medpace
Holdings, Inc.(a)
|
7,450
|
602,780
|
Syneos
Health, Inc.(a)
|
12,100
|
635,613
|
Total
|
|
1,238,393
|
Pharmaceuticals
2.2%
|
Aerie
Pharmaceuticals, Inc.(a)
|
7,760
|
168,081
|
Amphastar
Pharmaceuticals, Inc.(a)
|
4,200
|
94,332
|
ANI
Pharmaceuticals, Inc.(a)
|
5,450
|
356,975
|
Endo
International PLC(a)
|
53,900
|
127,743
|
GW
Pharmaceuticals PLC, ADR(a)
|
1,795
|
255,626
|
The accompanying Notes to Financial Statements are an integral part
of this statement.
10
|
Columbia Disciplined Small
Core Fund | Annual Report 2019
|
Portfolio of Investments (continued)
August 31, 2019
Common
Stocks (continued)
|
Issuer
|
Shares
|
Value
($)
|
Horizon
Therapeutics PLC(a)
|
5,590
|
154,452
|
Odonate
Therapeutics, Inc.(a)
|
9,700
|
298,857
|
Reata
Pharmaceuticals, Inc., Class A(a)
|
3,080
|
237,468
|
Supernus
Pharmaceuticals, Inc.(a)
|
6,455
|
174,479
|
Total
|
|
1,868,013
|
Total
Health Care
|
13,598,658
|
Industrials
15.6%
|
Aerospace
& Defense 0.1%
|
Vectrus,
Inc.(a)
|
1,400
|
56,644
|
Air
Freight & Logistics 0.3%
|
Echo
Global Logistics, Inc.(a)
|
13,200
|
264,528
|
Building
Products 3.8%
|
Advanced
Drainage Systems, Inc.
|
16,400
|
514,796
|
American
Woodmark Corp.(a)
|
6,050
|
498,338
|
Builders
FirstSource, Inc.(a)
|
29,400
|
571,830
|
Continental
Building Product(a)
|
10,300
|
258,942
|
CSW
Industrials, Inc.
|
4,250
|
289,893
|
Gibraltar
Industries, Inc.(a)
|
11,320
|
455,856
|
Masonite
International Corp.(a)
|
3,300
|
176,187
|
Quanex
Building Products Corp.
|
25,600
|
440,832
|
Total
|
|
3,206,674
|
Commercial
Services & Supplies 1.7%
|
Deluxe
Corp.
|
5,800
|
267,264
|
Ennis,
Inc.
|
11,600
|
233,276
|
Herman
Miller, Inc.
|
12,600
|
532,728
|
HNI
Corp.
|
13,000
|
405,470
|
Total
|
|
1,438,738
|
Construction
& Engineering 1.8%
|
EMCOR
Group, Inc.
|
4,850
|
424,084
|
Great
Lakes Dredge & Dock Corp.(a)
|
50,170
|
543,843
|
MasTec,
Inc.(a)
|
9,500
|
597,265
|
Total
|
|
1,565,192
|
Electrical
Equipment 0.6%
|
Atkore
International Group, Inc.(a)
|
18,800
|
545,388
|
Machinery
2.7%
|
Barnes
Group, Inc.
|
5,100
|
228,735
|
EnPro
Industries, Inc.
|
7,750
|
482,670
|
Federal
Signal Corp.
|
5,000
|
148,550
|
Common
Stocks (continued)
|
Issuer
|
Shares
|
Value
($)
|
Gorman-Rupp
Co.
|
3,100
|
92,597
|
Hillenbrand,
Inc.
|
2,500
|
68,600
|
Mueller
Industries, Inc.
|
10,900
|
287,324
|
Rexnord
Corp.(a)
|
22,400
|
586,432
|
Wabash
National Corp.
|
31,600
|
431,024
|
Total
|
|
2,325,932
|
Professional
Services 2.6%
|
Barrett
Business Services, Inc.
|
4,250
|
370,302
|
Heidrick
& Struggles International, Inc.
|
14,900
|
395,595
|
Insperity,
Inc.
|
575
|
56,960
|
Kforce,
Inc.
|
14,700
|
478,338
|
Korn/Ferry
International
|
10,100
|
394,708
|
TriNet
Group, Inc.(a)
|
8,000
|
537,040
|
Total
|
|
2,232,943
|
Road
& Rail 0.4%
|
ArcBest
Corp.
|
8,800
|
260,568
|
YRC
Worldwide, Inc.(a)
|
42,400
|
92,432
|
Total
|
|
353,000
|
Trading
Companies & Distributors 1.6%
|
Applied
Industrial Technologies, Inc.
|
9,230
|
492,790
|
BMC
Stock Holdings, Inc.(a)
|
22,200
|
564,546
|
Foundation
Building Materials, Inc.(a)
|
8,300
|
142,179
|
Titan
Machinery, Inc.(a)
|
11,400
|
171,684
|
Total
|
|
1,371,199
|
Total
Industrials
|
13,360,238
|
Information
Technology 13.7%
|
Communications
Equipment 0.9%
|
Acacia
Communications, Inc.(a)
|
4,200
|
264,810
|
ADTRAN,
Inc.
|
22,510
|
231,178
|
Extreme
Networks, Inc.(a)
|
39,900
|
266,532
|
Total
|
|
762,520
|
Electronic
Equipment, Instruments & Components 3.0%
|
AVX
Corp.
|
13,900
|
188,345
|
Badger
Meter, Inc.
|
1,200
|
61,896
|
Belden,
Inc.
|
6,800
|
310,148
|
Benchmark
Electronics, Inc.
|
6,500
|
172,120
|
Fabrinet
(a)
|
11,300
|
570,537
|
PC
Connection, Inc.
|
12,700
|
447,421
|
The accompanying Notes to Financial Statements are an integral part
of this statement.
Columbia
Disciplined Small Core Fund | Annual Report 2019
|
11
|
Portfolio of Investments (continued)
August 31, 2019
Common
Stocks (continued)
|
Issuer
|
Shares
|
Value
($)
|
Tech
Data Corp.(a)
|
4,750
|
440,467
|
Vishay
Intertechnology, Inc.
|
25,300
|
400,499
|
Total
|
|
2,591,433
|
IT
Services 3.4%
|
Cardtronics
PLC, Class A(a)
|
16,500
|
488,730
|
Cass
Information Systems, Inc.
|
1,960
|
99,176
|
EVERTEC,
Inc.
|
16,500
|
575,190
|
KBR,
Inc.
|
18,900
|
482,328
|
MAXIMUS,
Inc.
|
4,800
|
369,312
|
Perspecta,
Inc.
|
15,300
|
397,035
|
TTEC
Holdings, Inc.
|
10,500
|
492,555
|
Total
|
|
2,904,326
|
Semiconductors
& Semiconductor Equipment 2.6%
|
Amkor
Technology, Inc.(a)
|
59,000
|
516,250
|
Cirrus
Logic, Inc.(a)
|
11,600
|
622,224
|
Diodes,
Inc.(a)
|
11,100
|
405,705
|
MACOM
Technology Solutions Holdings, Inc.(a)
|
12,400
|
243,536
|
Synaptics,
Inc.(a)
|
14,900
|
477,098
|
Total
|
|
2,264,813
|
Software
3.8%
|
Bottomline
Technologies de, Inc.(a)
|
3,100
|
127,844
|
CommVault
Systems, Inc.(a)
|
11,300
|
490,081
|
Intelligent
Systems Corp.(a)
|
3,600
|
190,404
|
j2
Global, Inc.
|
7,775
|
657,765
|
Progress
Software Corp.
|
13,600
|
513,808
|
Qualys,
Inc.(a)
|
3,350
|
266,727
|
SPS
Commerce, Inc.(a)
|
9,600
|
485,184
|
Tenable
Holdings, Inc.(a)
|
5,400
|
123,120
|
TiVo
Corp.
|
52,700
|
396,831
|
Total
|
|
3,251,764
|
Total
Information Technology
|
11,774,856
|
Materials
3.3%
|
Chemicals
1.4%
|
Chase
Corp.
|
1,800
|
180,396
|
Ingevity
Corp.(a)
|
6,200
|
472,254
|
Quaker
Chemical Corp.
|
875
|
139,002
|
Stepan
Co.
|
4,000
|
381,560
|
Total
|
|
1,173,212
|
Common
Stocks (continued)
|
Issuer
|
Shares
|
Value
($)
|
Construction
Materials 0.2%
|
U.S.
Concrete, Inc.(a)
|
3,400
|
137,768
|
Metals
& Mining 1.1%
|
Materion
Corp.
|
8,500
|
500,140
|
Schnitzer
Steel Industries, Inc., Class A
|
20,300
|
449,442
|
Total
|
|
949,582
|
Paper
& Forest Products 0.6%
|
Louisiana-Pacific
Corp.
|
18,900
|
454,356
|
Verso
Corp., Class A(a)
|
9,500
|
96,995
|
Total
|
|
551,351
|
Total
Materials
|
2,811,913
|
Real
Estate 7.6%
|
Equity
Real Estate Investment Trusts (REITS) 7.0%
|
American
Assets Trust, Inc.
|
11,100
|
520,146
|
Braemar
Hotels & Resorts, Inc.
|
15,600
|
143,052
|
CareTrust
REIT, Inc.
|
9,100
|
216,489
|
CoreCivic,
Inc.
|
27,000
|
457,650
|
CorEnergy
Infrastructure Trust, Inc.
|
11,006
|
496,481
|
EastGroup
Properties, Inc.
|
4,675
|
582,131
|
GEO
Group, Inc. (The)
|
26,300
|
451,308
|
Investors
Real Estate Trust
|
7,698
|
533,086
|
Lexington
Realty Trust
|
50,300
|
522,617
|
Piedmont
Office Realty Trust, Inc.
|
10,700
|
211,218
|
PS
Business Parks, Inc.
|
3,655
|
656,475
|
Ryman
Hospitality Properties, Inc.
|
1,550
|
123,473
|
Uniti
Group, Inc.
|
60,600
|
447,834
|
Washington
Prime Group, Inc.
|
89,600
|
289,408
|
Xenia
Hotels & Resorts, Inc.
|
18,600
|
375,906
|
Total
|
|
6,027,274
|
Real
Estate Management & Development 0.6%
|
RE/MAX
Holdings, Inc., Class A
|
1,900
|
48,773
|
RMR
Group, Inc. (The), Class A
|
9,000
|
419,310
|
Total
|
|
468,083
|
Total
Real Estate
|
6,495,357
|
The accompanying Notes to Financial Statements are an integral part
of this statement.
12
|
Columbia Disciplined Small
Core Fund | Annual Report 2019
|
Portfolio of Investments
(continued)
August 31, 2019
Common
Stocks (continued)
|
Issuer
|
Shares
|
Value
($)
|
Utilities
3.7%
|
Electric
Utilities 1.4%
|
Otter
Tail Corp.
|
1,100
|
55,682
|
PNM
Resources, Inc.
|
8,900
|
453,989
|
Portland
General Electric Co.
|
12,450
|
708,281
|
Total
|
|
1,217,952
|
Gas
Utilities 1.4%
|
Chesapeake
Utilities Corp.
|
5,625
|
532,012
|
Southwest
Gas Holdings, Inc.
|
7,600
|
693,348
|
Total
|
|
1,225,360
|
Multi-Utilities
0.9%
|
Avista
Corp.
|
5,500
|
257,950
|
NorthWestern
Corp.
|
7,150
|
517,946
|
Total
|
|
775,896
|
Total
Utilities
|
3,219,208
|
Total
Common Stocks
(Cost $84,005,552)
|
83,284,427
|
Total
Investments in Securities
(Cost: $84,005,552)(b)
|
83,284,427
|
Other
Assets & Liabilities, Net
|
|
2,549,108
|
Net
Assets
|
85,833,535
|
At August 31, 2019, securities and/or cash totaling $52,000
were pledged as collateral.
Investments in
derivatives
Long
futures contracts
|
Description
|
Number
of
contracts
|
Expiration
date
|
Trading
currency
|
Notional
amount
|
Value/Unrealized
appreciation ($)
|
Value/Unrealized
depreciation ($)
|
Russell
2000 E-mini
|
36
|
09/2019
|
USD
|
2,689,560
|
—
|
(29,472)
|
Notes to Portfolio of
Investments
(a)
|
Non-income
producing investment.
|
(b)
|
As
defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. Holdings and
transactions in these affiliated companies during the year ended August 31, 2019 are as follows:
|
Issuer
|
Beginning
shares
|
Shares
purchased
|
Shares
sold
|
Ending
shares
|
Realized
gain
(loss) —
affiliated
issuers ($)
|
Net
change in
unrealized
appreciation
(depreciation) —
affiliated
issuers ($)
|
Dividends
—
affiliated
issuers ($)
|
Value
—
affiliated
issuers
at end of
period ($)
|
Columbia
Short-Term Cash Fund, 2.208%
|
|
2,838,511
|
23,140,643
|
(25,979,154)
|
—
|
88
|
—
|
38,640
|
—
|
The accompanying Notes to Financial Statements are an integral part of this
statement.
Columbia
Disciplined Small Core Fund | Annual Report 2019
|
13
|
Portfolio of Investments (continued)
August 31, 2019
Abbreviation Legend
ADR
|
American
Depositary Receipt
|
Currency
Legend
Fair value measurements
The Fund categorizes its fair value measurements according to
a three-level hierarchy that maximizes the use of observable inputs and minimizes the use of unobservable inputs by prioritizing that the most observable input be used when available. Observable inputs are those that market participants would use in
pricing an investment based on market data obtained from sources independent of the reporting entity. Unobservable inputs are those that reflect the Fund’s assumptions about the information market participants would use in pricing an
investment. An investment’s level within the fair value hierarchy is based on the lowest level of any input that is deemed significant to the asset’s or liability’s fair value measurement. The input levels are not necessarily an
indication of the risk or liquidity associated with investments at that level. For example, certain U.S. government securities are generally high quality and liquid, however, they are reflected as Level 2 because the inputs used to determine fair
value may not always be quoted prices in an active market.
Fair value inputs are summarized in the three broad levels
listed below:
■
|
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.
The following table is a summary of
the inputs used to value the Fund’s investments at August 31, 2019:
|
Level
1 ($)
|
Level
2 ($)
|
Level
3 ($)
|
Total
($)
|
Investments
in Securities
|
|
|
|
|
Common
Stocks
|
|
|
|
|
Communication
Services
|
2,405,594
|
—
|
—
|
2,405,594
|
Consumer
Discretionary
|
9,357,295
|
—
|
—
|
9,357,295
|
Consumer
Staples
|
2,708,744
|
—
|
—
|
2,708,744
|
Energy
|
2,675,746
|
—
|
—
|
2,675,746
|
Financials
|
14,876,818
|
—
|
—
|
14,876,818
|
Health
Care
|
13,598,658
|
—
|
—
|
13,598,658
|
Industrials
|
13,360,238
|
—
|
—
|
13,360,238
|
Information
Technology
|
11,774,856
|
—
|
—
|
11,774,856
|
Materials
|
2,811,913
|
—
|
—
|
2,811,913
|
Real
Estate
|
6,495,357
|
—
|
—
|
6,495,357
|
Utilities
|
3,219,208
|
—
|
—
|
3,219,208
|
Total
Common Stocks
|
83,284,427
|
—
|
—
|
83,284,427
|
Total
Investments in Securities
|
83,284,427
|
—
|
—
|
83,284,427
|
The accompanying Notes to Financial Statements are an integral part of this
statement.
14
|
Columbia Disciplined Small
Core Fund | Annual Report 2019
|
Portfolio of Investments (continued)
August 31, 2019
Fair value
measurements (continued)
|
Level
1 ($)
|
Level
2 ($)
|
Level
3 ($)
|
Total
($)
|
Investments
in Derivatives
|
|
|
|
|
Liability
|
|
|
|
|
Futures
Contracts
|
(29,472)
|
—
|
—
|
(29,472)
|
Total
|
83,254,955
|
—
|
—
|
83,254,955
|
See the Portfolio of Investments for
all investment classifications not indicated in the table.
Derivative instruments are valued at unrealized appreciation
(depreciation).
The accompanying Notes to Financial Statements are an integral part of this
statement.
Columbia
Disciplined Small Core Fund | Annual Report 2019
|
15
|
Statement of Assets and Liabilities
August 31, 2019
Assets
|
|
Investments
in securities, at value
|
|
Unaffiliated
issuers (cost $84,005,552)
|
$83,284,427
|
Margin
deposits on:
|
|
Futures
contracts
|
52,000
|
Receivable
for:
|
|
Investments
sold
|
2,532,772
|
Capital
shares sold
|
4,963
|
Dividends
|
78,720
|
Prepaid
expenses
|
602
|
Trustees’
deferred compensation plan
|
129,108
|
Total
assets
|
86,082,592
|
Liabilities
|
|
Due
to custodian
|
19,676
|
Payable
for:
|
|
Capital
shares purchased
|
38,814
|
Variation
margin for futures contracts
|
11,705
|
Management
services fees
|
2,028
|
Distribution
and/or service fees
|
546
|
Transfer
agent fees
|
13,975
|
Compensation
of chief compliance officer
|
7
|
Audit
fees
|
18,050
|
Other
expenses
|
15,148
|
Trustees’
deferred compensation plan
|
129,108
|
Total
liabilities
|
249,057
|
Net
assets applicable to outstanding capital stock
|
$85,833,535
|
Represented
by
|
|
Paid
in capital
|
91,252,372
|
Total
distributable earnings (loss) (Note 2)
|
(5,418,837)
|
Total
- representing net assets applicable to outstanding capital stock
|
$85,833,535
|
The accompanying Notes to Financial Statements are an integral part of this
statement.
16
|
Columbia Disciplined Small
Core Fund | Annual Report 2019
|
Statement of Assets and Liabilities (continued)
August 31, 2019
Class
A
|
|
Net
assets
|
$27,782,296
|
Shares
outstanding
|
5,847,126
|
Net
asset value per share
|
$4.75
|
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)
|
$5.04
|
Advisor
Class
|
|
Net
assets
|
$991,157
|
Shares
outstanding
|
172,236
|
Net
asset value per share
|
$5.75
|
Class
C
|
|
Net
assets
|
$2,685,103
|
Shares
outstanding
|
1,603,683
|
Net
asset value per share
|
$1.67
|
Institutional
Class
|
|
Net
assets
|
$12,772,353
|
Shares
outstanding
|
2,290,121
|
Net
asset value per share
|
$5.58
|
Institutional
2 Class
|
|
Net
assets
|
$418,736
|
Shares
outstanding
|
71,847
|
Net
asset value per share
|
$5.83
|
Institutional
3 Class
|
|
Net
assets
|
$258,538
|
Shares
outstanding
|
43,668
|
Net
asset value per share
|
$5.92
|
Class
V
|
|
Net
assets
|
$40,925,352
|
Shares
outstanding
|
9,418,993
|
Net
asset value per share
|
$4.34
|
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)
|
$4.60
|
The accompanying Notes to Financial Statements are an integral part of this
statement.
Columbia
Disciplined Small Core Fund | Annual Report 2019
|
17
|
Statement of Operations
Year Ended August 31, 2019
Net
investment income
|
|
Income:
|
|
Dividends
— unaffiliated issuers
|
$1,731,611
|
Dividends
— affiliated issuers
|
38,640
|
Foreign
taxes withheld
|
(1,708)
|
Total
income
|
1,768,543
|
Expenses:
|
|
Management
services fees
|
884,008
|
Distribution
and/or service fees
|
|
Class
A
|
81,576
|
Class
C
|
41,004
|
Class
T
|
69
|
Class
V
|
115,569
|
Transfer
agent fees
|
|
Class
A
|
64,226
|
Advisor
Class
|
2,418
|
Class
C
|
8,135
|
Institutional
Class
|
37,438
|
Institutional
2 Class
|
307
|
Institutional
3 Class
|
63
|
Class
T
|
54
|
Class
V
|
90,894
|
Compensation
of board members
|
15,079
|
Custodian
fees
|
14,026
|
Printing
and postage fees
|
22,984
|
Registration
fees
|
101,876
|
Audit
fees
|
33,013
|
Legal
fees
|
2,093
|
Compensation
of chief compliance officer
|
40
|
Other
|
14,199
|
Total
expenses
|
1,529,071
|
Fees
waived or expenses reimbursed by Investment Manager and its affiliates
|
(150,693)
|
Total
net expenses
|
1,378,378
|
Net
investment income
|
390,165
|
Realized
and unrealized gain (loss) — net
|
|
Net
realized gain (loss) on:
|
|
Investments
— unaffiliated issuers
|
(1,428,930)
|
Investments
— affiliated issuers
|
88
|
Futures
contracts
|
(175,391)
|
Net
realized loss
|
(1,604,233)
|
Net
change in unrealized appreciation (depreciation) on:
|
|
Investments
— unaffiliated issuers
|
(23,609,719)
|
Futures
contracts
|
(150,896)
|
Net
change in unrealized appreciation (depreciation)
|
(23,760,615)
|
Net
realized and unrealized loss
|
(25,364,848)
|
Net
decrease in net assets resulting from operations
|
$(24,974,683)
|
The accompanying Notes to Financial Statements are an
integral part of this statement.
18
|
Columbia Disciplined Small
Core Fund | Annual Report 2019
|
Statement of Changes in Net Assets
|
Year
Ended
August 31, 2019
|
Year
Ended
August 31, 2018
|
Operations
|
|
|
Net
investment income
|
$390,165
|
$217,933
|
Net
realized gain (loss)
|
(1,604,233)
|
29,489,716
|
Net
change in unrealized appreciation (depreciation)
|
(23,760,615)
|
(1,134,216)
|
Net
increase (decrease) in net assets resulting from operations
|
(24,974,683)
|
28,573,433
|
Distributions
to shareholders
|
|
|
Net
investment income and net realized gains
|
|
|
Class
A
|
(8,732,915)
|
|
Advisor
Class
|
(298,122)
|
|
Class
C
|
(2,286,002)
|
|
Institutional
Class
|
(4,509,687)
|
|
Institutional
2 Class
|
(100,346)
|
|
Institutional
3 Class
|
(70,786)
|
|
Class
T
|
(23,229)
|
|
Class
V
|
(13,199,232)
|
|
Net
investment income
|
|
|
Class
A
|
|
(117,801)
|
Advisor
Class
|
|
(3,861)
|
Institutional
Class
|
|
(157,929)
|
Institutional
2 Class
|
|
(2,701)
|
Institutional
3 Class
|
|
(288,519)
|
Class
T
|
|
(368)
|
Class
V
|
|
(150,990)
|
Net
realized gains
|
|
|
Class
A
|
|
(8,786,999)
|
Advisor
Class
|
|
(147,372)
|
Class
C
|
|
(3,194,732)
|
Institutional
Class
|
|
(6,027,157)
|
Institutional
2 Class
|
|
(84,852)
|
Institutional
3 Class
|
|
(8,389,930)
|
Class
T
|
|
(27,419)
|
Class
V
|
|
(11,262,638)
|
Total
distributions to shareholders (Note 2)
|
(29,220,319)
|
(38,643,268)
|
Increase
(decrease) in net assets from capital stock activity
|
649,238
|
(59,793,571)
|
Total
decrease in net assets
|
(53,545,764)
|
(69,863,406)
|
Net
assets at beginning of year
|
139,379,299
|
209,242,705
|
Net
assets at end of year
|
$85,833,535
|
$139,379,299
|
Excess
of distributions over net investment income
|
$(129,108)
|
$(226,427)
|
The accompanying Notes to Financial Statements are an
integral part of this statement.
Columbia
Disciplined Small Core Fund | Annual Report 2019
|
19
|
Statement of Changes in Net Assets (continued)
|
Year
Ended
|
Year
Ended
|
|
August
31, 2019
|
August
31, 2018
|
|
Shares
|
Dollars
($)
|
Shares
|
Dollars
($)
|
Capital
stock activity
|
Class
A
|
|
|
|
|
Subscriptions
|
888,655
|
4,698,564
|
1,003,977
|
7,828,959
|
Distributions
reinvested
|
1,529,127
|
7,553,890
|
962,296
|
7,082,498
|
Redemptions
|
(1,818,328)
|
(10,141,615)
|
(2,418,383)
|
(19,062,523)
|
Net
increase (decrease)
|
599,454
|
2,110,839
|
(452,110)
|
(4,151,066)
|
Advisor
Class
|
|
|
|
|
Subscriptions
|
31,081
|
212,866
|
118,622
|
1,046,725
|
Distributions
reinvested
|
49,937
|
298,121
|
17,855
|
151,233
|
Redemptions
|
(74,472)
|
(466,700)
|
(41,088)
|
(359,090)
|
Net
increase
|
6,546
|
44,287
|
95,389
|
838,868
|
Class
C
|
|
|
|
|
Subscriptions
|
344,092
|
628,573
|
238,410
|
996,761
|
Distributions
reinvested
|
1,084,924
|
1,898,617
|
725,953
|
2,831,219
|
Redemptions
|
(1,157,717)
|
(2,152,318)
|
(1,653,648)
|
(7,002,867)
|
Net
increase (decrease)
|
271,299
|
374,872
|
(689,285)
|
(3,174,887)
|
Institutional
Class
|
|
|
|
|
Subscriptions
|
267,867
|
1,692,305
|
427,057
|
3,736,189
|
Distributions
reinvested
|
652,638
|
3,778,774
|
610,617
|
5,049,807
|
Redemptions
|
(2,209,170)
|
(15,135,793)
|
(2,125,619)
|
(19,952,608)
|
Net
decrease
|
(1,288,665)
|
(9,664,714)
|
(1,087,945)
|
(11,166,612)
|
Institutional
2 Class
|
|
|
|
|
Subscriptions
|
33,987
|
214,869
|
27,494
|
260,982
|
Distributions
reinvested
|
16,614
|
100,346
|
10,252
|
87,553
|
Redemptions
|
(33,406)
|
(210,168)
|
(270,793)
|
(2,696,793)
|
Net
increase (decrease)
|
17,195
|
105,047
|
(233,047)
|
(2,348,258)
|
Institutional
3 Class
|
|
|
|
|
Subscriptions
|
11,643
|
76,191
|
104,501
|
962,885
|
Distributions
reinvested
|
11,347
|
69,674
|
991,424
|
8,565,902
|
Redemptions
|
(37,567)
|
(282,957)
|
(6,079,741)
|
(53,906,097)
|
Net
decrease
|
(14,577)
|
(137,092)
|
(4,983,816)
|
(44,377,310)
|
Class
T
|
|
|
|
|
Distributions
reinvested
|
4,656
|
23,001
|
3,746
|
27,567
|
Redemptions
|
(17,980)
|
(85,412)
|
(7,342)
|
(56,483)
|
Net
decrease
|
(13,324)
|
(62,411)
|
(3,596)
|
(28,916)
|
Class
V
|
|
|
|
|
Subscriptions
|
705,670
|
3,193,461
|
422,269
|
2,927,131
|
Distributions
reinvested
|
2,145,976
|
9,699,811
|
1,197,764
|
8,264,569
|
Redemptions
|
(1,016,835)
|
(5,014,862)
|
(887,544)
|
(6,577,090)
|
Net
increase
|
1,834,811
|
7,878,410
|
732,489
|
4,614,610
|
Total
net increase (decrease)
|
1,412,739
|
649,238
|
(6,621,921)
|
(59,793,571)
|
The accompanying Notes to Financial Statements are an integral part of this
statement.
20
|
Columbia Disciplined Small
Core Fund | Annual Report 2019
|
[THIS PAGE INTENTIONALLY LEFT BLANK]
Columbia
Disciplined Small Core 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 8/31/2019
|
$8.00
|
0.02
|
(1.49)
|
—
|
(1.47)
|
(0.08)
|
(1.70)
|
(1.78)
|
Year
Ended 8/31/2018
|
$8.45
|
(0.00)
(c)
|
1.26
|
0.00
(c)
|
1.26
|
(0.02)
|
(1.69)
|
(1.71)
|
Year
Ended 8/31/2017
|
$11.81
|
0.02
|
0.94
|
—
|
0.96
|
(0.03)
|
(4.29)
|
(4.32)
|
Year
Ended 8/31/2016
|
$16.72
|
0.00
(c)
|
0.65
|
—
|
0.65
|
(0.01)
|
(5.55)
|
(5.56)
|
Year
Ended 8/31/2015
|
$19.57
|
(0.06)
|
(1.21)
|
—
|
(1.27)
|
(0.01)
|
(1.57)
|
(1.58)
|
Advisor
Class
|
Year
Ended 8/31/2019
|
$9.23
|
0.04
|
(1.74)
|
—
|
(1.70)
|
(0.08)
|
(1.70)
|
(1.78)
|
Year
Ended 8/31/2018
|
$9.49
|
0.02
|
1.45
|
0.00
(c)
|
1.47
|
(0.04)
|
(1.69)
|
(1.73)
|
Year
Ended 8/31/2017
|
$12.79
|
0.05
|
0.99
|
—
|
1.04
|
(0.05)
|
(4.29)
|
(4.34)
|
Year
Ended 8/31/2016
|
$17.63
|
0.03
|
0.70
|
—
|
0.73
|
(0.02)
|
(5.55)
|
(5.57)
|
Year
Ended 8/31/2015
|
$20.51
|
(0.02)
|
(1.26)
|
—
|
(1.28)
|
(0.03)
|
(1.57)
|
(1.60)
|
Class
C
|
Year
Ended 8/31/2019
|
$4.21
|
(0.01)
|
(0.75)
|
—
|
(0.76)
|
(0.08)
|
(1.70)
|
(1.78)
|
Year
Ended 8/31/2018
|
$5.21
|
(0.03)
|
0.72
|
0.00
(c)
|
0.69
|
—
|
(1.69)
|
(1.69)
|
Year
Ended 8/31/2017
|
$8.84
|
(0.03)
|
0.69
|
—
|
0.66
|
—
|
(4.29)
|
(4.29)
|
Year
Ended 8/31/2016
|
$13.93
|
(0.07)
|
0.53
|
—
|
0.46
|
—
|
(5.55)
|
(5.55)
|
Year
Ended 8/31/2015
|
$16.68
|
(0.17)
|
(1.01)
|
—
|
(1.18)
|
—
|
(1.57)
|
(1.57)
|
Institutional
Class
|
Year
Ended 8/31/2019
|
$9.00
|
0.04
|
(1.68)
|
—
|
(1.64)
|
(0.08)
|
(1.70)
|
(1.78)
|
Year
Ended 8/31/2018
|
$9.30
|
0.02
|
1.41
|
0.00
(c)
|
1.43
|
(0.04)
|
(1.69)
|
(1.73)
|
Year
Ended 8/31/2017
|
$12.61
|
0.05
|
0.98
|
—
|
1.03
|
(0.05)
|
(4.29)
|
(4.34)
|
Year
Ended 8/31/2016
|
$17.46
|
0.03
|
0.69
|
—
|
0.72
|
(0.02)
|
(5.55)
|
(5.57)
|
Year
Ended 8/31/2015
|
$20.33
|
(0.02)
|
(1.25)
|
—
|
(1.27)
|
(0.03)
|
(1.57)
|
(1.60)
|
Institutional
2 Class
|
Year
Ended 8/31/2019
|
$9.31
|
0.05
|
(1.75)
|
—
|
(1.70)
|
(0.08)
|
(1.70)
|
(1.78)
|
Year
Ended 8/31/2018
|
$9.56
|
0.02
|
1.47
|
0.00
(c)
|
1.49
|
(0.05)
|
(1.69)
|
(1.74)
|
Year
Ended 8/31/2017
|
$12.85
|
0.06
|
1.01
|
—
|
1.07
|
(0.07)
|
(4.29)
|
(4.36)
|
Year
Ended 8/31/2016
|
$17.68
|
0.05
|
0.70
|
—
|
0.75
|
(0.03)
|
(5.55)
|
(5.58)
|
Year
Ended 8/31/2015
|
$20.55
|
0.02
|
(1.28)
|
—
|
(1.26)
|
(0.04)
|
(1.57)
|
(1.61)
|
The accompanying Notes to Financial Statements are an
integral part of this statement.
22
|
Columbia Disciplined Small
Core 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 8/31/2019
|
$4.75
|
(19.21%)
|
1.49%
|
1.35%
|
0.36%
|
87%
|
$27,782
|
Year
Ended 8/31/2018
|
$8.00
|
16.70%
(d)
|
1.43%
(e)
|
1.37%
(e),(f)
|
(0.00%)
(c)
|
87%
|
$41,991
|
Year
Ended 8/31/2017
|
$8.45
|
8.22%
|
1.42%
(g)
|
1.37%
(f),(g)
|
0.26%
|
87%
|
$48,138
|
Year
Ended 8/31/2016
|
$11.81
|
4.32%
|
1.39%
|
1.38%
(f)
|
0.01%
|
112%
|
$74,434
|
Year
Ended 8/31/2015
|
$16.72
|
(6.81%)
|
1.36%
|
1.36%
(f)
|
(0.35%)
|
23%
|
$137,486
|
Advisor
Class
|
Year
Ended 8/31/2019
|
$5.75
|
(19.11%)
|
1.24%
|
1.10%
|
0.61%
|
87%
|
$991
|
Year
Ended 8/31/2018
|
$9.23
|
17.17%
(d)
|
1.19%
(e)
|
1.12%
(e),(f)
|
0.20%
|
87%
|
$1,529
|
Year
Ended 8/31/2017
|
$9.49
|
8.30%
|
1.16%
(g)
|
1.12%
(f),(g)
|
0.47%
|
87%
|
$667
|
Year
Ended 8/31/2016
|
$12.79
|
4.64%
|
1.14%
|
1.13%
(f)
|
0.26%
|
112%
|
$2,926
|
Year
Ended 8/31/2015
|
$17.63
|
(6.56%)
|
1.11%
|
1.11%
(f)
|
(0.09%)
|
23%
|
$6,123
|
Class
C
|
Year
Ended 8/31/2019
|
$1.67
|
(19.95%)
|
2.24%
|
2.10%
|
(0.39%)
|
87%
|
$2,685
|
Year
Ended 8/31/2018
|
$4.21
|
15.81%
(d)
|
2.18%
(e)
|
2.12%
(e),(f)
|
(0.73%)
|
87%
|
$5,613
|
Year
Ended 8/31/2017
|
$5.21
|
7.34%
|
2.17%
(g)
|
2.12%
(f),(g)
|
(0.49%)
|
87%
|
$10,530
|
Year
Ended 8/31/2016
|
$8.84
|
3.62%
|
2.14%
|
2.13%
(f)
|
(0.73%)
|
112%
|
$15,654
|
Year
Ended 8/31/2015
|
$13.93
|
(7.53%)
|
2.11%
|
2.11%
(f)
|
(1.09%)
|
23%
|
$22,625
|
Institutional
Class
|
Year
Ended 8/31/2019
|
$5.58
|
(18.92%)
|
1.24%
|
1.10%
|
0.57%
|
87%
|
$12,772
|
Year
Ended 8/31/2018
|
$9.00
|
17.06%
(d)
|
1.18%
(e)
|
1.12%
(e),(f)
|
0.27%
|
87%
|
$32,221
|
Year
Ended 8/31/2017
|
$9.30
|
8.34%
|
1.18%
(g)
|
1.12%
(f),(g)
|
0.50%
|
87%
|
$43,415
|
Year
Ended 8/31/2016
|
$12.61
|
4.64%
|
1.14%
|
1.13%
(f)
|
0.22%
|
112%
|
$58,911
|
Year
Ended 8/31/2015
|
$17.46
|
(6.56%)
|
1.11%
|
1.11%
(f)
|
(0.09%)
|
23%
|
$239,255
|
Institutional
2 Class
|
Year
Ended 8/31/2019
|
$5.83
|
(18.91%)
|
1.12%
|
0.97%
|
0.75%
|
87%
|
$419
|
Year
Ended 8/31/2018
|
$9.31
|
17.26%
(d)
|
1.04%
(e)
|
1.00%
(e)
|
0.17%
|
87%
|
$509
|
Year
Ended 8/31/2017
|
$9.56
|
8.47%
|
1.04%
(g)
|
1.02%
(g)
|
0.57%
|
87%
|
$2,751
|
Year
Ended 8/31/2016
|
$12.85
|
4.76%
|
0.98%
|
0.98%
|
0.35%
|
112%
|
$2,876
|
Year
Ended 8/31/2015
|
$17.68
|
(6.43%)
|
0.93%
|
0.93%
|
0.10%
|
23%
|
$12,955
|
The accompanying Notes to Financial Statements are an
integral part of this statement.
Columbia
Disciplined Small Core 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 8/31/2019
|
$9.42
|
0.05
|
(1.77)
|
—
|
(1.72)
|
(0.08)
|
(1.70)
|
(1.78)
|
Year
Ended 8/31/2018
|
$9.66
|
0.05
|
1.46
|
0.00
(c)
|
1.51
|
(0.06)
|
(1.69)
|
(1.75)
|
Year
Ended 8/31/2017
|
$12.94
|
0.06
|
1.02
|
—
|
1.08
|
(0.07)
|
(4.29)
|
(4.36)
|
Year
Ended 8/31/2016
|
$17.76
|
0.06
|
0.70
|
—
|
0.76
|
(0.03)
|
(5.55)
|
(5.58)
|
Year
Ended 8/31/2015
|
$20.63
|
0.03
|
(1.29)
|
—
|
(1.26)
|
(0.04)
|
(1.57)
|
(1.61)
|
Class
V
|
Year
Ended 8/31/2019
|
$7.50
|
0.02
|
(1.40)
|
—
|
(1.38)
|
(0.08)
|
(1.70)
|
(1.78)
|
Year
Ended 8/31/2018
|
$8.01
|
(0.00)
(c)
|
1.20
|
0.00
(c)
|
1.20
|
(0.02)
|
(1.69)
|
(1.71)
|
Year
Ended 8/31/2017
|
$11.41
|
0.02
|
0.90
|
—
|
0.92
|
(0.03)
|
(4.29)
|
(4.32)
|
Year
Ended 8/31/2016
|
$16.33
|
0.00
(c)
|
0.64
|
—
|
0.64
|
(0.01)
|
(5.55)
|
(5.56)
|
Year
Ended 8/31/2015
|
$19.16
|
(0.06)
|
(1.19)
|
—
|
(1.25)
|
(0.01)
|
(1.57)
|
(1.58)
|
Notes
to Financial Highlights
|
(a)
|
In
addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense
ratios.
|
(b)
|
Total net
expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable.
|
(c)
|
Rounds to
zero.
|
(d)
|
The Fund
received a payment from an affiliate. Had the Fund not received this payment, the total return would have been lower by 0.04%.
|
(e)
|
Ratios
include line of credit interest expense which is less than 0.01%.
|
(f)
|
The
benefits derived from expense reductions had an impact of less than 0.01%.
|
(g)
|
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
|
Class
V
|
08/31/2017
|
0.01%
|
0.01%
|
0.01%
|
0.01%
|
0.01%
|
0.01%
|
The accompanying Notes to Financial Statements are an
integral part of this statement.
24
|
Columbia Disciplined Small
Core 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 8/31/2019
|
$5.92
|
(18.92%)
|
1.06%
|
0.92%
|
0.76%
|
87%
|
$259
|
Year
Ended 8/31/2018
|
$9.42
|
17.24%
(d)
|
0.98%
(e)
|
0.95%
(e)
|
0.55%
|
87%
|
$548
|
Year
Ended 8/31/2017
|
$9.66
|
8.57%
|
1.00%
|
0.98%
|
0.57%
|
87%
|
$48,689
|
Year
Ended 8/31/2016
|
$12.94
|
4.83%
|
0.94%
|
0.94%
|
0.49%
|
112%
|
$6,736
|
Year
Ended 8/31/2015
|
$17.76
|
(6.39%)
|
0.88%
|
0.88%
|
0.17%
|
23%
|
$3,024
|
Class
V
|
Year
Ended 8/31/2019
|
$4.34
|
(19.32%)
|
1.49%
|
1.35%
|
0.36%
|
87%
|
$40,925
|
Year
Ended 8/31/2018
|
$7.50
|
16.87%
(d)
|
1.43%
(e)
|
1.37%
(e),(f)
|
(0.01%)
|
87%
|
$56,862
|
Year
Ended 8/31/2017
|
$8.01
|
8.12%
|
1.43%
(g)
|
1.37%
(f),(g)
|
0.25%
|
87%
|
$54,908
|
Year
Ended 8/31/2016
|
$11.41
|
4.35%
|
1.39%
|
1.38%
(f)
|
0.03%
|
112%
|
$60,071
|
Year
Ended 8/31/2015
|
$16.33
|
(6.87%)
|
1.38%
|
1.38%
(f)
|
(0.36%)
|
23%
|
$65,184
|
The accompanying Notes to Financial Statements are an integral part of this
statement.
Columbia
Disciplined Small Core Fund | Annual Report 2019
|
25
|
Notes to Financial Statements
August 31, 2019
Note 1. Organization
Columbia Disciplined Small Core Fund (the Fund), a series of
Columbia Funds Series Trust I (the Trust), is a diversified fund. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Massachusetts business
trust.
Fund shares
The Trust may issue an unlimited number of shares (without par
value). The Fund offers each of the share classes listed in the Statement of Assets and Liabilities. Although all share classes generally have identical voting, dividend and liquidation rights, each share class votes separately when required by the
Trust’s organizational documents or by law. Each share class has its own expense and sales charge structure. Different share classes may have different minimum initial investment amounts and pay different distribution amounts to the extent the
expenses of distributing such share classes vary. Distributions to shareholders in a liquidation will be proportional to the net asset value of each share class.
As described in the Fund’s prospectus, Class A and Class
C shares are offered to the general public for investment. Advisor Class, Institutional Class, Institutional 2 Class and Institutional 3 Class are available for purchase through authorized investment professionals to omnibus retirement plans or to
institutional and to certain other investors as also described in the Fund’s prospectus. Class C shares automatically convert to Class A shares after 10 years. Effective 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 available only to investors who received (and who continuously held) Class V shares in connection with previous fund reorganizations.
Note 2. Summary of significant accounting
policies
Basis of preparation
The Fund is an investment company that applies the accounting
and reporting guidance in the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946, Financial Services - Investment Companies (ASC 946). The financial statements are prepared
in accordance with U.S. generally accepted accounting principles (GAAP), which requires management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities, the disclosure of contingent assets and
liabilities at the date of the financial statements and the reported amounts of income and expenses during the reporting period. Actual results could differ from those estimates.
The following is a summary of significant accounting policies
followed by the Fund in the preparation of its financial statements.
Security valuation
All equity securities are valued at the close of business of
the New York Stock Exchange. Equity securities are valued at the official closing price on the principal exchange or market on which they trade. 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 determined at the scheduled closing time of the New York Stock Exchange. Many securities markets and exchanges outside the U.S. close prior to the close of the New York Stock Exchange; therefore, the
closing prices for securities in such markets or on such exchanges may not fully reflect events that occur after such close but before the close of the New York Stock Exchange. In those situations, foreign securities will be fair valued pursuant to
a policy adopted by the Board of Trustees. Under the policy, the Fund may utilize a third party pricing service to determine these fair values. The third-party pricing service takes into account multiple factors, including, but not limited to,
movements in the U.S. securities markets, certain depositary receipts, futures contracts and foreign exchange rates that have occurred subsequent to the close of the foreign exchange or market, to determine a good faith estimate that reasonably
reflects the current market conditions as of the close of the New York Stock Exchange. The fair value of a security is likely to be different from the quoted or published price, if available.
26
|
Columbia Disciplined Small
Core Fund | Annual Report 2019
|
Notes to Financial Statements (continued)
August 31, 2019
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.
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.
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 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.
Columbia
Disciplined Small Core Fund | Annual Report 2019
|
27
|
Notes to Financial Statements (continued)
August 31, 2019
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.
Futures contracts
Futures contracts are exchange-traded and represent
commitments for the future purchase or sale of an asset at a specified price on a specified date. The Fund bought and sold futures contracts to maintain appropriate equity market exposure while keeping sufficient cash to accommodate daily
redemptions. These instruments may be used for other purposes in future periods. Upon entering into futures contracts, the Fund bears risks that it may not achieve the anticipated benefits of the futures contracts and may realize a loss. Additional
risks include counterparty credit risk, the possibility of an illiquid market, and that a change in the value of the contract or option may not correlate with changes in the value of the underlying asset.
Upon entering into a futures contract, the Fund deposits cash
or securities with the broker, known as a futures commission merchant (FCM), in an amount sufficient to meet the initial margin requirement. The initial margin deposit must be maintained at an established level over the life of the contract. Cash
deposited as initial margin is recorded in the Statement of Assets and Liabilities as margin deposits. Securities deposited as initial margin are designated in the Portfolio of Investments. Subsequent payments (variation margin) are made or received
by the Fund each day. The variation margin payments are equal to the daily change in the contract value and are recorded as variation margin receivable or payable and are offset in unrealized gains or losses. The Fund recognizes a realized gain or
loss when the contract is closed or expires. Futures contracts involve, to varying degrees, risk of loss in excess of the variation margin disclosed in the Statement of Assets and Liabilities.
Effects of derivative transactions in the financial
statements
The following tables are intended to provide
additional information about the effect of derivatives on the financial statements of the Fund, including: the fair value of derivatives by risk category and the location of those fair values in the Statement of Assets and Liabilities; and the
impact of derivative transactions over the period in the Statement of Operations, including realized and unrealized gains (losses). The derivative instrument schedules following the Portfolio of Investments present additional information regarding
derivative instruments outstanding at the end of the period, if any.
28
|
Columbia Disciplined Small
Core Fund | Annual Report 2019
|
Notes to Financial Statements (continued)
August 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 August 31, 2019:
|
Liability
derivatives
|
|
Risk
exposure
category
|
Statement
of assets and liabilities
location
|
Fair
value ($)
|
Equity
risk
|
Component
of total distributable earnings (loss) — unrealized depreciation on futures contracts
|
29,472*
|
*
|
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 August 31, 2019:
Amount
of realized gain (loss) on derivatives recognized in income
|
Risk
exposure category
|
|
|
|
|
|
Futures
contracts
($)
|
Equity
risk
|
|
|
|
|
|
(175,391)
|
Total
|
|
|
|
|
|
(175,391)
|
|
Change
in unrealized appreciation (depreciation) on derivatives recognized in income
|
Risk
exposure category
|
|
|
|
|
|
Futures
contracts
($)
|
Equity
risk
|
|
|
|
|
|
(150,896)
|
The following table is a summary
of the average outstanding volume by derivative instrument for the year ended August 31, 2019:
Derivative
instrument
|
Average
notional
amounts ($)*
|
Futures
contracts — long
|
2,337,540
|
*
|
Based on
the ending quarterly outstanding amounts for the year ended August 31, 2019.
|
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.
Columbia
Disciplined Small Core Fund | Annual Report 2019
|
29
|
Notes to Financial Statements (continued)
August 31, 2019
Expenses
General expenses of the Trust are allocated to the Fund and
other funds of the Trust based upon relative net assets or other expense allocation methodologies determined by the nature of the expense. Expenses directly attributable to the Fund are charged to the Fund. Expenses directly attributable to a
specific class of shares are charged to that share class.
Determination of class net asset value
All income, expenses (other than class-specific expenses,
which are charged to that share class, as shown in the Statement of Operations) and realized and unrealized gains (losses) are allocated to each class of the Fund on a daily basis, based on the relative net assets of each class, for purposes of
determining the net asset value of each class.
Federal
income tax status
The Fund intends to qualify each year
as a regulated investment company under Subchapter M of the Internal Revenue Code, as amended, and will distribute substantially all of its investment company taxable income and net capital gain, if any, for its tax year, and as such will not be
subject to federal income taxes. In addition, the Fund intends to distribute in each calendar year substantially all of its ordinary income, capital gain net income and certain other amounts, if any, such that the Fund should not be subject to
federal excise tax. Therefore, no federal income or excise tax provision is recorded.
Foreign taxes
The Fund may be subject to foreign taxes on income, gains on
investments or currency repatriation, a portion of which may be recoverable. The Fund will accrue such taxes and recoveries, as applicable, based upon its current interpretation of tax rules and regulations that exist in the markets in which it
invests.
Realized gains in certain countries may be
subject to foreign taxes at the Fund level, based on statutory rates. The Fund accrues for such foreign taxes on realized and unrealized gains at the appropriate rate for each jurisdiction, as applicable. The amount, if any, is disclosed as a
liability on the Statement of Assets and Liabilities.
Distributions to shareholders
Distributions from net investment income, if any, are declared
and paid annually. Net realized capital gains, if any, are distributed at least annually. Income distributions and capital gain distributions are determined in accordance with federal income tax regulations, which may differ from GAAP.
Guarantees and indemnifications
Under the Trust’s organizational documents and, in some
cases, by contract, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Trust or its funds. In addition, certain of the Fund’s contracts with its service providers contain
general indemnification clauses. The Fund’s maximum exposure under these arrangements is unknown since the amount of any future claims that may be made against the Fund cannot be determined, and the Fund has no historical basis for predicting
the likelihood of any such claims.
Recent accounting
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
30
|
Columbia Disciplined Small
Core Fund | Annual Report 2019
|
Notes to Financial Statements (continued)
August 31, 2019
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. The standard is effective for annual periods
beginning after December 15, 2019 and interim periods within those fiscal years, with early adoption permitted. After evaluation, management determined to adopt the ASU effective for the period ended August 31, 2019 and all subsequent periods. As a
result of the amendments, management implemented disclosure changes which include removal of the amount and reasons for transfers between Level 1 and Level 2 of the fair value hierarchy, removal of the policy for the timing of transfers between
levels, removal of the description of the Level 3 valuation processes, as well as modifications to the measurement uncertainty disclosure.
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 0.85% to 0.73% as the Fund’s net assets increase. The
effective management services fee rate for the year ended August 31, 2019 was 0.85% 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.
Transactions with affiliates
For the year ended August 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 $63,310, respectively. The sale transactions resulted in a net realized loss of $114,474.
Columbia
Disciplined Small Core Fund | Annual Report 2019
|
31
|
Notes to Financial Statements (continued)
August 31, 2019
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 August 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
|
0.20
|
Advisor
Class
|
0.20
|
Class
C
|
0.20
|
Institutional
Class
|
0.20
|
Institutional
2 Class
|
0.07
|
Institutional
3 Class
|
0.02
|
Class
T
|
0.06
(a)
|
Class
V
|
0.20
|
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 August 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 0.10%, 0.75% and 0.25% of the average daily net assets attributable to Class A, Class C 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 service fee or distribution fee for Class T shares.
32
|
Columbia Disciplined Small
Core Fund | Annual Report 2019
|
Notes to Financial Statements (continued)
August 31, 2019
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.
Sales charges
(unaudited)
Sales charges, including front-end charges
and contingent deferred sales charges (CDSC), received by the Distributor for distributing Fund shares for the year ended August 31, 2019, if any, are listed below:
|
Front
End (%)
|
CDSC
(%)
|
Amount
($)
|
Class
A
|
5.75
|
0.50 - 1.00
(a)
|
11,694
|
Class
C
|
—
|
1.00
(b)
|
34
|
Class
T
|
2.50
|
—
|
—
|
Class
V
|
5.75
|
0.50 - 1.00
(a)
|
1,903
|
(a)
|
This
charge is imposed on certain investments of between $1 million and $50 million redeemed within 18 months after purchase, as follows: 1.00% if redeemed within 12 months after purchase, and 0.50% if redeemed more than 12, but less than 18, months
after purchase, with certain limited exceptions.
|
(b)
|
This
charge applies to redemptions within 12 months after purchase, with certain limited exceptions.
|
The Fund’s other share classes are not subject to sales
charges.
Expenses waived/reimbursed by the Investment
Manager and its affiliates
The Investment Manager and
certain of its affiliates have contractually agreed to waive fees and/or reimburse expenses (excluding certain fees and expenses described below) for the period(s) disclosed below, unless sooner terminated at the sole discretion of the Board of
Trustees, so that the Fund’s net operating expenses, after giving effect to fees waived/expenses reimbursed and any balance credits and/or overdraft charges from the Fund’s custodian, do not exceed the following annual rate(s) as a
percentage of the class’ average daily net assets:
|
January
1, 2019
through
December 31, 2019
|
Prior
to
January 1, 2019
|
Class
A
|
1.33%
|
1.38%
|
Advisor
Class
|
1.08
|
1.13
|
Class
C
|
2.08
|
2.13
|
Institutional
Class
|
1.08
|
1.13
|
Institutional
2 Class
|
0.96
|
1.00
|
Institutional
3 Class
|
0.91
|
0.94
|
Class
V
|
1.33
|
1.38
|
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,
Columbia
Disciplined Small Core Fund | Annual Report 2019
|
33
|
Notes to Financial Statements (continued)
August 31, 2019
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 August 31, 2019, these differences were primarily due to
differing treatment for deferral/reversal of wash sale losses, trustees’ deferred compensation, derivative investments, post-October capital losses, re-characterization of distributions for investments, distribution reclassifications, passive
foreign investment company (PFIC) holdings and excess distributions. 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) ($)
|
Paid
in
capital ($)
|
(292,846)
|
1,133,690
|
(840,844)
|
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 August 31, 2019
|
Year
Ended August 31, 2018
|
Ordinary
income ($)
|
Long-term
capital gains ($)
|
Total
($)
|
Ordinary
income ($)
|
Long-term
capital gains ($)
|
Total
($)
|
3,073,510
|
26,146,809
|
29,220,319
|
10,740,732
|
27,902,536
|
38,643,268
|
Short-term capital gain
distributions, if any, are considered ordinary income distributions for tax purposes.
At August 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 ($)
|
Net
unrealized
(depreciation) ($)
|
—
|
—
|
—
|
(1,357,692)
|
At August 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) ($)
|
Net
unrealized
(depreciation) ($)
|
84,612,647
|
9,710,231
|
(11,067,923)
|
(1,357,692)
|
Tax cost of investments and
unrealized appreciation/(depreciation) may also include timing differences that do not constitute adjustments to tax basis.
Under current tax rules, regulated investment companies can
elect to treat certain late-year ordinary losses incurred and post-October capital losses (capital losses realized after October 31) as arising on the first day of the following taxable year. As of August 31, 2019, the Fund will elect to treat the
following late-year ordinary losses and post-October capital losses as arising on September 1, 2019.
34
|
Columbia Disciplined Small
Core Fund | Annual Report 2019
|
Notes to Financial Statements (continued)
August 31, 2019
Late
year
ordinary losses ($)
|
Post-October
capital losses ($)
|
—
|
3,932,037
|
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 $90,114,002 and $118,159,069, respectively, for the year ended August 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 August 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 August 31,
2019.
Note 8. Significant risks
Shareholder concentration risk
At August 31, 2019, one unaffiliated shareholder of record
owned 17.3% of the outstanding shares of the Fund in one or more accounts. The Fund has no knowledge about whether any portion of those shares was owned beneficially. Affiliated shareholders of record owned 11.7% 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.
Columbia
Disciplined Small Core Fund | Annual Report 2019
|
35
|
Notes to Financial Statements (continued)
August 31, 2019
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.
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.
36
|
Columbia Disciplined Small
Core 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 Disciplined Small Core Fund
Opinion on the Financial Statements
We have audited the accompanying statement of assets and
liabilities, including the portfolio of investments, of Columbia Disciplined Small Core Fund (one of the funds constituting Columbia Funds Series Trust I, hereafter referred to as the “Fund”) as of August 31, 2019, the related statement
of operations for the year ended August 31, 2019, the statement of changes in net assets for each of the two years in the period ended August 31, 2019, including the related notes, and the financial highlights for each of the five years in the
period ended August 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 August 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 August 31, 2019 and the financial highlights for each of the five years in the period ended August 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 August 31, 2019, by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other audit procedures. We believe that our audits provide a reasonable basis for our
opinion.
/s/PricewaterhouseCoopers LLP
Minneapolis, Minnesota
October 24, 2019
We have served as the auditor of one or more investment
companies within the Columbia Funds Complex since 1977.
Columbia
Disciplined Small Core Fund | Annual Report 2019
|
37
|
Federal Income Tax Information
(Unaudited)
The Fund hereby designates the following tax attributes for
the fiscal year ended August 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
|
81.85%
|
80.36%
|
$2,081,545
|
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.
TRUSTEES AND OFFICERS
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), September 2007-October 2018
|
70
|
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, December 2002-May 2006; President of UAL Loyalty Services (airline marketing company), September 2001-December 2002; Executive Vice President and Chief
Financial Officer of United Airlines, July 1999-September 2001
|
70
|
Spartan
Nash Company, (food distributor); former Director, Nash Finch Company (food distributor), 2005-2013; Aircastle Limited (aircraft leasing); former Director, SeaCube Container Leasing Ltd. (container leasing), 2010-2013; and Travelport Worldwide
Limited (travel information technology)
|
38
|
Columbia Disciplined Small
Core 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
|
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), 1997-2010; Chair, Wellington Management Portfolios (commingled non-U.S. investment pools), 2007-2010; Director, Wellington Trust Company, NA
and other Wellington affiliates, 1997-2010
|
70
|
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
|
70
|
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
|
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, August 2007-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, August 1999-October 2005;
University Professor, Boston College, November 2005-August 2007
|
70
|
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, 1988-2014
|
70
|
Former
Director, M Fund, Inc. (M Funds mutual fund family), July 2018-July 2019
|
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, 1994-1997, President – Application Systems Division, 1991-1994, Chief Financial Officer – US Marketing & Services, 1988-1991, and Chief Information Officer, 1987-1988, IBM Corporation
(computer and technology)
|
70
|
Former
Director, Enesco Group, Inc. (producer of giftware and home and garden decor products), 2001-2006
|
Columbia
Disciplined Small Core Fund | Annual Report 2019
|
39
|
TRUSTEES AND OFFICERS (continued)
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, May
2010-February 2015; President, Columbia Funds, 2009-2015; and senior officer of Columbia Funds and affiliated funds, 2003-2015
|
70
|
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
|
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, 2004-2010; Senior Partner, McKinsey & Company, 2001-2004
|
70
|
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, April 2016-September
2016; Senior Vice President and Chief Investment Officer, Calvert Investments, August 2008-January 2016; Section Head and Portfolio Manager, General Motors Asset Management, June 1997-August 2008
|
70
|
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
|
192
|
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, August 2006 - January 2013
|
40
|
Columbia Disciplined Small
Core Fund | Annual Report 2019
|
TRUSTEES AND OFFICERS (continued)
*
|
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.
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 as of the printing of this report, 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.
|
Columbia
Disciplined Small Core Fund | Annual Report 2019
|
41
|
TRUSTEES AND OFFICERS (continued)
Fund officers (continued)
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
|
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.
|
Board Consideration and Approval of
Management
Agreement
On June 12, 2019, the Board of Trustees (the Board) and the
Trustees who are not interested persons (as defined in the Investment Company Act of 1940) (the Independent Trustees) of Columbia Funds Series Trust I (the Trust) unanimously approved the continuation of the Management Agreement (the Management
Agreement) with Columbia Management Investment Advisers, LLC (the Investment Manager) with respect to Columbia Disciplined Small Core Fund (the Fund), a series of the Trust. As detailed below, the Board’s Advisory Fees and Expenses Committee
(the Committee) and the Board met on multiple occasions to review and discuss, among themselves, with the management team of the Investment Manager and with an independent fee consultant, materials provided by the Investment Manager, the independent
fee consultant and others before determining to approve the continuation of the Management Agreement.
In connection with their deliberations regarding the
continuation of the Management Agreement, the Committee and the Board evaluated materials requested from the Investment Manager regarding the Fund and the Management Agreement, and discussed these materials with representatives of the Investment
Manager at Committee meetings held on March 5, 2019, April 25, 2019 and June 11, 2019 and at Board meetings held on March 6, 2019 and June 12, 2019. In addition, the Board and its various committees consider matters bearing on the Management
Agreement at other meetings throughout the year and in prior years and meet regularly with senior management of the Trust and the Investment Manager. Through the Board’s Investment Oversight Committees, Trustees also meet with selected
portfolio managers of the funds the Trustees oversee and with other investment personnel at various times throughout the year. The Committee and the Board also consulted with the independent fee consultant, Fund counsel and the Independent
Trustees’ independent legal counsel, who advised on various matters with respect to the Committee’s and the Board’s considerations and otherwise assisted the Committee and the Board in their deliberations. On June 11, 2019, the
Committee recommended that the Board approve the continuation of the Management Agreement. On June 12, 2019, the Board, including the Independent Trustees, voting separately, unanimously approved the continuation of the Management Agreement for the
Fund.
The Committee and the Board considered all
information that they, their legal counsel or the Investment Manager believed reasonably necessary to evaluate and to determine whether to recommend for approval or approve the continuation of the Management Agreement. The information and factors
considered by the Committee and the Board in recommending for approval or approving the continuation of the Management Agreement for the Fund included the following:
•
|
Information on the
investment performance of the Fund relative to the performance of a group of mutual funds determined to be comparable to the Fund by an independent third-party data provider, as well as performance relative to benchmarks;
|
•
|
Information on the
Fund’s management fees and total expenses, including information comparing the Fund’s expenses to those of a group of comparable mutual funds, as determined by the independent third-party data provider;
|
42
|
Columbia Disciplined Small
Core Fund | Annual Report 2019
|
Board Consideration and Approval of Management
Agreement (continued)
•
|
The Investment
Manager’s agreement to contractually limit or cap total operating expenses for the Fund through December 31, 2020 so that total operating expenses (excluding certain fees and expenses, such as transaction costs and certain other investment
related expenses, interest, taxes, acquired fund fees and expenses, and infrequent and/or unusual expenses) would not exceed a specified annual rate, as a percentage of the Fund’s net assets;
|
•
|
The terms and conditions of
the Management Agreement;
|
•
|
The current and proposed
terms and conditions of other agreements and arrangements with affiliates of the Investment Manager relating to the operations of the Fund, including agreements with respect to the provision of distribution, transfer agency and shareholder services
to the Fund;
|
•
|
Descriptions of various
functions performed by the Investment Manager under the Management Agreement, including portfolio management and portfolio trading practices;
|
•
|
Information regarding the
management fees of similarly-managed portfolios of other clients of the Investment Manager, including institutional accounts and collective trusts;
|
•
|
Information regarding the
reputation, regulatory history and resources of the Investment Manager, including information regarding senior management, portfolio managers and other personnel;
|
•
|
Information regarding the
capabilities of the Investment Manager with respect to compliance monitoring services, including an assessment of the Investment Manager’s compliance system by the Fund’s Chief Compliance Officer; and
|
•
|
The profitability to the
Investment Manager and its affiliates from their relationships with the Fund.
|
Nature, extent and quality of services provided under the
Management Agreement
The Committee and the Board
considered the nature, extent and quality of services provided to the Fund by the Investment Manager and its affiliates under the Management Agreement and under separate agreements for the provision of transfer agency and shareholder services, and
the resources dedicated to the Fund and the other Columbia Funds by the Investment Manager and its affiliates. The Committee and the Board considered, among other things, the Investment Manager’s ability to attract, motivate and retain highly
qualified research, advisory and supervisory investment professionals (including compensation programs for personnel involved in fund management, reputation and other attributes), the portfolio management services provided by those investment
professionals, and the quality of the Investment Manager’s investment research capabilities and trade execution services. The Committee and the Board also considered the potential benefits to shareholders of investing in a mutual fund that is
part of a fund complex offering exposure to a variety of asset classes and investment disciplines and providing a variety of fund and shareholder services.
The Committee and the Board also considered the professional
experience and qualifications of the senior personnel of the Investment Manager, which included consideration of the Investment Manager’s experience with funds using an investment strategy similar to that used by the Investment Manager for the
Fund. The Committee and the Board noted the compliance programs of and the compliance-related resources provided to the Fund by the Investment Manager and its affiliates and the resources dedicated by the Investment Manager and its affiliates to
risk management, and considered the Investment Manager’s ability to provide administrative services to the Fund and coordinate the activities of the Fund’s other service providers. After reviewing these and related factors, the Committee
and the Board concluded, within the context of their overall conclusions, that the nature, extent and quality of the services provided to the Fund under the Management Agreement supported the continuation of the Management Agreement.
Investment performance
The Committee and the Board reviewed information about the
performance of the Fund over various time periods, including performance information relative to benchmarks, information that compared the performance of the Fund to the performance of a group of comparable mutual funds as determined by the
independent third-party data provider, and information and analysis provided by the independent fee consultant. The Committee and the Board also reviewed a description of the third party’s methodology for identifying the Fund’s peer
groups for purposes of performance and expense comparisons. Although the Fund’s performance lagged that of a relevant peer group for certain (although not necessarily all) periods, the Committee
Columbia
Disciplined Small Core Fund | Annual Report 2019
|
43
|
Board Consideration and Approval of Management
Agreement (continued)
and the Board concluded that other factors relevant to performance were
sufficient, in light of other considerations, to support continuation of the Management Agreement. Those factors included one or more of the following: (i) that the Fund’s performance, although lagging in certain recent periods, was stronger
over the longer term; (ii) that the underperformance was attributable, to a significant extent, to investment decisions that were reasonable and consistent with the Fund’s investment strategy and policies and that the Fund was performing
within a reasonable range of expectations, given those investment decisions, market conditions and the Fund’s investment strategy; (iii) that the Fund’s performance was competitive when compared to other relevant performance benchmarks
or peer groups; and (iv) that the Investment Manager had taken or was taking steps designed to help improve the Fund’s investment performance, including, but not limited to, replacing portfolio managers, enhancing the resources supporting the
portfolio managers, or modifying investment strategies.
The Committee and the Board noted that, through December 31,
2018, the Fund’s performance was in the ninety-first, ninety-ninth and ninety-seventh percentile (where the best performance would be in the first percentile) of its category selected by the independent third-party data provider for the
purposes of performance comparisons for the one-, three- and five-year periods, respectively.
The Committee and the Board also considered the Investment
Manager’s performance and reputation generally, the Investment Manager’s historical responsiveness to Board concerns about performance, and the Investment Manager’s willingness to take steps intended to improve performance. After
reviewing these and related factors, the Committee and the Board concluded, within the context of their overall conclusions, that the performance of the Fund and the Investment Manager was sufficient, in light of other considerations, to support the
continuation of the Management Agreement.
Investment
management fee rates and other expenses
The Committee
and the Board considered the management fees charged to the Fund under the Management Agreement as well as the total expenses incurred by the Fund. In assessing the reasonableness of the fees under the Management Agreement, the Committee and the
Board considered, among other information, the Fund’s total expense ratio as a percentage of average daily net assets. The Committee and the Board considered data provided by the independent third-party data provider and the independent fee
consultant. The Committee and the Board noted that, as of December 31, 2018, the Fund’s actual management fee and net total expense ratio were both ranked in the third quintiles, respectively, (where the lowest fees and expenses would be in
the first quintile) against the Fund’s expense universe as determined by the independent third-party data provider for purposes of expense comparison. The Committee and the Board also took into account the fee waiver and expense limitation
arrangements agreed to by the Investment Manager, as noted above.
The Committee and the Board also received and considered
information about the management fees charged by the Investment Manager to institutional accounts. In considering the fees charged to those accounts, the Committee and the Board took into account, among other things, the Investment Manager’s
representations about the differences between managing mutual funds as compared to other types of accounts, including differences in the services provided, differences in the risk profile of such business for the Investment Manager and the
additional resources required to manage mutual funds effectively. The Committee and the Board also received and considered information about the fees charged by the Investment Manager for sub-advisory services it provides to comparable unaffiliated
funds. In evaluating the Fund’s management fees, the Committee and the Board also took into account the demands, complexity and quality of the investment management of the Fund.
After reviewing these and related factors, the Committee and
the Board concluded, within the context of their overall conclusions, that the management fee rates and expenses of the Fund, in light of other considerations, supported the continuation of the Management Agreement.
Costs of services provided and profitability
The Committee and the Board also took note of the costs the
Investment Manager and its affiliates incur in connection with the services provided and the profitability to the Investment Manager and its affiliates from their relationships with the Fund, and the efforts undertaken by the Investment Manager and
its affiliates to manage efficiently their costs to provide such services.
44
|
Columbia Disciplined Small
Core Fund | Annual Report 2019
|
Board Consideration and Approval of Management
Agreement (continued)
The Committee and the Board also considered the compensation directly or
indirectly received by the Investment Manager’s affiliates in connection with their relationships with the Fund. The Committee and the Board reviewed information provided by management as to the profitability to the Investment Manager and its
affiliates of their relationships with the Fund, information about the allocation of expenses used to calculate profitability, and comparisons of profitability levels realized in 2018 to profitability levels realized in 2017. When reviewing
profitability, the Committee and the Board also considered court cases in which adviser profitability was an issue in whole or in part, the performance of similarly managed funds, the performance of the Fund, and the expense ratio of the Fund. In
addition, the Committee and the Board considered information provided by the Investment Manager regarding the Investment Manager’s financial condition and comparing its profitability to that of other asset management firms that are, or are
subsidiaries of, publicly traded companies. In this regard, the Committee and the Board also considered data provided by the independent fee consultant.
After reviewing these and related factors, the Committee and
the Board concluded, within the context of their overall conclusions, that the costs of services provided and the profitability to the Investment Manager and its affiliates from their relationships with the Fund supported the continuation of the
Management Agreement.
Economies of scale
The Committee and the Board considered the potential
existence of economies of scale in the provision by the Investment Manager of services to the Fund, to groups of related funds, and to the Investment Manager’s investment advisory clients as a whole, and whether those economies of scale were
shared with the Fund through breakpoints in investment management fees or other means, such as expense limitation arrangements and additional investments by the Investment Manager in investment, trading, compliance and other resources. The Committee
and the Board noted that the management fee schedules for the Fund contained breakpoints that would reduce the fee rate on assets above specified threshold levels.
In considering these matters, the Committee and the Board also
considered the costs of the services provided and the profitability to the Investment Manager and its affiliates from their relationships with the Fund, as noted above. After reviewing these and related factors, the Committee and the Board
concluded, within the context of their overall conclusions, that the extent to which any economies of scale were expected to be shared with the Fund supported the continuation of the Management Agreement.
Other benefits to the Investment Manager
The Committee and the Board received and considered
information regarding “fall-out” or ancillary benefits received by the Investment Manager and its affiliates as a result of their relationships with the Fund, such as the engagement of the Investment Manager’s affiliates to provide
distribution, transfer agency and shareholder services to the Fund. In this regard, among other matters, the Committee and the Board considered that the Fund’s distributor retains a portion of the distribution fees from the Fund and receives a
portion of the sales charges on sales or redemptions of certain classes of shares of the Fund. The Committee and the Board also considered the benefits of research made available to the Investment Manager by reason of brokerage commissions generated
by the Fund’s securities transactions, and reviewed information about the Investment Manager’s practices with respect to considering brokerage and research services when allocating portfolio transactions. In this connection, the Board
also noted that the amount of research made available to the Investment Manager by reason of brokerage commissions had been declining over time, and may decline further. The Committee and the Board recognized that the Investment Manager’s
profitability would be somewhat lower without these benefits.
Conclusion
The Committee and the Board reviewed all of the above
considerations in reaching their decisions to recommend or approve the continuation of the Management Agreement. In their deliberations, the Trustees did not identify any particular information that was all-important or controlling, and individual
Trustees may have attributed different weights to the various factors. Based on their evaluation of all factors that they deemed to be material, including those factors described above, and assisted by the advice of independent legal counsel, the
Board, including the Independent Trustees, voting separately, unanimously approved the continuation of the Management Agreement.
Columbia
Disciplined Small Core Fund | Annual Report 2019
|
45
|
[THIS PAGE INTENTIONALLY LEFT BLANK]
[THIS PAGE INTENTIONALLY LEFT BLANK]
Columbia Disciplined Small Core Fund
P.O. Box 219104
Kansas City, MO 64121-9104
Please read and consider the investment objectives, risks,
charges and expenses for any fund carefully before investing. For a prospectus and summary prospectus, which contains this and other important information about the Fund, go to
columbiathreadneedleus.com/investor/. The Fund is distributed by Columbia Management Investment Distributors, Inc., member FINRA, and managed by Columbia Management Investment Advisers, LLC.
Columbia Threadneedle Investments (Columbia Threadneedle) is
the global brand name of the Columbia and Threadneedle group of companies. All rights reserved.
© 2019 Columbia Management Investment Advisers, LLC.
columbiathreadneedleus.com/investor/
Annual
Report
August 31, 2019
Columbia Small Cap Growth Fund I
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
|
|
12
|
|
14
|
|
15
|
|
18
|
|
22
|
|
31
|
|
32
|
|
32
|
|
36
|
Columbia Small Cap Growth Fund I (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-PORT, and for reporting periods ended prior to March 31, 2019, on Form N-Q. The Fund’s Form N-Q and Form N-PORT filings are available on the SEC’s website at sec.gov.
The Fund’s complete schedule of portfolio holdings, as filed on Form N-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 (the Investment Manager)
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 Small Cap
Growth Fund I | Annual Report 2019
Investment objective
The Fund seeks capital appreciation,
by investing, under normal market conditions, at least 80% of its net assets (plus any borrowings for investment purposes) in stocks of companies with a market capitalization, at the time of initial purchase, equal to or less than, the largest stock
in the Standard & Poor’s (S&P) SmallCap 600® Index.
Portfolio
management
Daniel Cole,
CFA
Co-Portfolio
Manager
Managed Fund
since 2015
Wayne Collette,
CFA
Co-Portfolio
Manager
Managed Fund
since 2006
Lawrence Lin,
CFA
Co-Portfolio
Manager
Managed Fund
since 2007
Morningstar
style boxTM
The Morningstar
Style Box is based on a fund’s portfolio holdings. For equity funds, the vertical axis shows the market capitalization of the stocks owned, and the horizontal axis shows investment style (value, blend, or growth). Information shown is based on
the most recent data provided by Morningstar.
© 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 August 31, 2019)
|
|
|
Inception
|
1
Year
|
5
Years
|
10
Years
|
Class
A
|
Excluding
sales charges
|
11/01/05
|
7.76
|
15.20
|
15.17
|
|
Including
sales charges
|
|
1.55
|
13.84
|
14.49
|
Advisor
Class*
|
11/08/12
|
8.05
|
15.49
|
15.46
|
Class
C
|
Excluding
sales charges
|
11/01/05
|
6.93
|
14.33
|
14.30
|
|
Including
sales charges
|
|
6.08
|
14.33
|
14.30
|
Institutional
Class
|
10/01/96
|
8.08
|
15.49
|
15.46
|
Institutional
2 Class*
|
02/28/13
|
8.16
|
15.62
|
15.58
|
Institutional
3 Class
|
07/15/09
|
8.26
|
15.69
|
15.66
|
Class
R*
|
09/27/10
|
7.53
|
14.92
|
14.88
|
Russell
2000 Growth Index
|
|
-11.02
|
8.06
|
13.06
|
Russell
2000 Index
|
|
-12.89
|
6.41
|
11.59
|
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. These returns are adjusted to reflect any higher class-related
operating expenses of the newer share classes, as applicable. Please visit columbiathreadneedleus.com/investor/investment-products/mutual-funds/appended-performance for more information.
|
The Russell 2000 Growth Index, an unmanaged index, measures the
performance of those Russell 2000 Index companies with higher price-to-book ratios and higher forecasted growth values.
The Russell 2000 Index measures the performance of the
small-cap segment of the U.S. equity universe. The Russell 2000 is a subset of the Russell 3000 Index representing approximately 10% of the total market capitalization of that index. It includes approximately 2,000 of the smallest securities based
on a combination of their market capitalization and current index membership.
Indices are not available for investment, are not
professionally managed and do not reflect sales charges, fees, brokerage commissions, taxes or other expenses of investing. Securities in the Fund may not match those in an index.
Columbia
Small Cap Growth Fund I | Annual Report 2019
|
3
|
Fund at a Glance (continued)
Performance of a
hypothetical $10,000 investment (August 31, 2009 — August 31, 2019)
The chart above shows the
change in value of a hypothetical $10,000 investment in Class A shares of Columbia Small Cap Growth Fund I 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 August 31, 2019)
|
World
Wrestling Entertainment, Inc., Class A
|
3.2
|
Bio-Techne
Corp.
|
3.2
|
Quidel
Corp.
|
2.6
|
Cantel
Medical Corp.
|
2.6
|
Everbridge,
Inc.
|
2.5
|
Planet
Fitness, Inc., Class A
|
2.5
|
Trex
Company, Inc.
|
2.3
|
Neogen
Corp.
|
2.3
|
Chemed
Corp.
|
2.3
|
Five
Below, Inc.
|
2.2
|
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.
Portfolio
breakdown (%) (at August 31, 2019)
|
Common
Stocks
|
98.3
|
Limited
Partnerships
|
0.7
|
Money
Market Funds
|
1.0
|
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 August 31, 2019)
|
Communication
Services
|
3.2
|
Consumer
Discretionary
|
12.7
|
Consumer
Staples
|
1.9
|
Energy
|
1.0
|
Financials
|
2.8
|
Health
Care
|
35.0
|
Industrials
|
14.3
|
Information
Technology
|
23.7
|
Materials
|
2.3
|
Real
Estate
|
3.1
|
Total
|
100.0
|
Percentages indicated are based
upon total equity investments. The Fund’s portfolio composition is subject to change.
4
|
Columbia Small Cap Growth
Fund I | Annual Report 2019
|
Manager Discussion of Fund Performance
For the
12-month period that ended August 31, 2019, the Fund’s Class A shares returned 7.76% excluding sales charges. The Fund solidly outperformed its benchmarks, the Russell 2000 Growth Index and the Russell 2000 Index, which lost 11.02% and 12.89%,
respectively. The Fund outperformed in all key sectors, including technology, health care, consumer discretionary and industrials. Our triangulated approach toward risk management served the Fund well in the difficult fourth calendar quarter of
2018, which positioned the Fund strongly entering calendar year 2019.
Trade concerns, interest rates drove financial markets
Optimism prevailed early in the 12-month period ended August
31, 2019, as positive global economic conditions, the impact of broad U.S. corporate tax cuts and moves to reduce regulation in a number of industries buoyed confidence. The labor markets added 173,000 jobs per month, on average, and manufacturing
activity remained solid. Unemployment fell to a 50-year low of 3.7%.
However, the economic backdrop looked less rosy as the period
wore on. U.S. growth slowed from above 3.0% to 2.1% (annualized). European economies transitioned to a slower pace of growth, struggling with rising interest rates, trade tensions and uncertainty surrounding Brexit (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 (Fed) backed away from additional rate hikes, then dipped again in the final months of the period as trade concerns amplified. Late in July, the Fed
lowered its key short-term borrowing rate by 25 basis points (a basis point is one hundredth of one percent).
Bonds solidly outperformed equities for the 12-month period.
The Bloomberg Barclays U.S. Aggregate Bond Index, a broad measure of investment-grade bonds, returned 10.17%. The S&P 500 Index, a broad measure of U.S. stock returns, gained 2.92%.
Contributors and detractors
As stocks fell broadly at the end of 2018, trading at or
below our average entry points of 70% of expected value, we added to many of the Fund’s software, health care and earlier stage companies. These areas of the portfolio contributed heavily to the Fund’s exceptional outperformance for the
12-month period.
In the technology sector, Coupa
Software was the Fund’s top contributor for the year. Cloud-based Coupa specializes in business-spending management. The company has revolutionized the business procurement process by providing visibility and cost savings to customers. Coupa
is both a transaction and an innovation platform and has multi-sided network effects, which is one of the core competitive advantages we look for in portfolio candidates. As Coupa adds customers, it increases the aggregate buying power of its
platform, which attracts suppliers and makes the platform more useful to customers. Through new offerings such as the “Community Intelligence” module and the “Business Spend Index” module, Coupa relays best practices to its
customer base, which incentivizes more users onto the network. The company is adding a “payments” module to aggregate buying as well as payments through its network. We continued to believe in Coupa’s long-term potential.
Healthcare Services Group (HCSG) was the Fund’s biggest
disappointment for the period. HCSG provides management, administrative and operating services to the housekeeping, laundry, linen, facility maintenance and dietary service departments of U.S. nursing homes, retirement complexes, rehabilitation
centers and hospitals. The Skilled Nursing Facility segment of the company’s customer base has been under considerable duress over the past couple of years, as contract renegotiations due to facility owner/operator changes have disrupted
business. However, we’ve seen similar cycles before and see the potential for improvement. HCSG provides essential services. The company’s market share and scale equate to niche dominance that we believe is unlikely to be overthrown over
the course of our investment time horizon. We believe that management has made positive economic value-added changes, such as reducing client billing periods and weeding out weaker players. Over the years, HCSG has created value by generating
earnings well in excess of its industry cost of capital and we have maintained our position in the stock.
Columbia
Small Cap Growth Fund I | Annual Report 2019
|
5
|
Manager Discussion of Fund Performance (continued)
At period’s end
Even though we harvested some gains in the last months of
the period as certain stocks approached our price targets, the Fund remained overweight in health care and technology. We keep a watchful eye on the risk exposure of the overall portfolio, and we are confident in the risk/reward tradeoffs of core
holdings. We expect sector rotations to result in occasional disappointments versus the Fund’s benchmark, and we have accounted for this possibility in the overall design of the process by which we allocate capital. We monitor risk at the
individual stock level, the portfolio level and the firm level, which has guided us well. The single most important aspect of risk that we control for is the correct analysis of our portfolio businesses and respective valuations, which gives us the
confidence to initiate or add to positions when entry points are attractive. We do not plan to deviate from this process.
Market risk may affect a single
issuer, sector of the economy, industry or the market as a whole. 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. Investments in small-cap companies involve risks and volatility greater than
investments in larger, more established companies. Growth securities, at times, may not perform as well as value securities or the stock market in general and may be out of favor with investors. 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 Small Cap Growth
Fund I | 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 $1,000
= 8.6), then multiply the results by the expenses paid during the period under the “Actual” column. The amount listed in the “Hypothetical” column assumes a 5% annual rate of return before expenses (which is not the
Fund’s actual return) and then applies the Fund’s actual expense ratio for the period to the hypothetical return. You should not use the hypothetical account values and expenses to estimate either your actual account balance at the end
of the period or the expenses you paid during the period. See “Compare with other funds” below for details on how to use the hypothetical data.
Compare with other funds
Since all mutual funds are required to include the same
hypothetical calculations about expenses in shareholder reports, you can use this information to compare the ongoing cost of investing in the Fund with other funds. To do so, compare the hypothetical example with the 5% hypothetical examples that
appear in the shareholder reports of other funds. As you compare hypothetical examples of other funds, it is important to note that hypothetical examples are meant to highlight the ongoing costs of investing in a fund only and do not reflect any
transaction costs, such as sales charges, or redemption or exchange fees. Therefore, the hypothetical calculations are useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. If
transaction costs were included in these calculations, your costs would be higher.
March
1, 2019 — August 31, 2019
|
|
Account
value at the
beginning of the
period ($)
|
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
|
1,089.50
|
1,018.50
|
6.86
|
6.63
|
1.31
|
Advisor
Class
|
1,000.00
|
1,000.00
|
1,090.70
|
1,019.75
|
5.56
|
5.37
|
1.06
|
Class
C
|
1,000.00
|
1,000.00
|
1,084.90
|
1,014.74
|
10.77
|
10.40
|
2.06
|
Institutional
Class
|
1,000.00
|
1,000.00
|
1,091.10
|
1,019.75
|
5.56
|
5.37
|
1.06
|
Institutional
2 Class
|
1,000.00
|
1,000.00
|
1,091.00
|
1,020.05
|
5.24
|
5.06
|
1.00
|
Institutional
3 Class
|
1,000.00
|
1,000.00
|
1,091.90
|
1,020.51
|
4.77
|
4.61
|
0.91
|
Class
R
|
1,000.00
|
1,000.00
|
1,088.30
|
1,017.25
|
8.17
|
7.89
|
1.56
|
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
Small Cap Growth Fund I | Annual Report 2019
|
7
|
Portfolio of Investments
August 31, 2019
(Percentages represent value of investments compared to net
assets)
Investments in securities
Common
Stocks 97.8%
|
Issuer
|
Shares
|
Value
($)
|
Communication
Services 3.2%
|
Entertainment
3.2%
|
World
Wrestling Entertainment, Inc., Class A
|
301,692
|
21,549,860
|
Total
Communication Services
|
21,549,860
|
Consumer
Discretionary 12.6%
|
Hotels,
Restaurants & Leisure 5.1%
|
Planet
Fitness, Inc., Class A(a)
|
232,900
|
16,445,069
|
Six
Flags Entertainment Corp.
|
87,500
|
5,177,375
|
Texas
Roadhouse, Inc.
|
248,900
|
12,808,394
|
Total
|
|
34,430,838
|
Internet
& Direct Marketing Retail 1.8%
|
Etsy,
Inc.(a)
|
161,700
|
8,536,143
|
Revolve
Group, Inc.(a)
|
138,900
|
3,148,863
|
Total
|
|
11,685,006
|
Multiline
Retail 0.7%
|
Ollie’s
Bargain Outlet Holdings, Inc.(a)
|
87,607
|
4,857,808
|
Specialty
Retail 5.0%
|
Five
Below, Inc.(a)
|
121,200
|
14,891,844
|
Floor
& Decor Holdings, Inc.(a)
|
223,400
|
10,995,748
|
Monro,
Inc.
|
99,000
|
7,694,280
|
Total
|
|
33,581,872
|
Total
Consumer Discretionary
|
84,555,524
|
Consumer
Staples 1.9%
|
Food
& Staples Retailing 1.0%
|
BJ’s
Wholesale Club Holdings, Inc.(a)
|
248,530
|
6,526,398
|
Food
Products 0.9%
|
Freshpet,
Inc.(a)
|
124,200
|
6,095,736
|
Total
Consumer Staples
|
12,622,134
|
Energy
0.3%
|
Energy
Equipment & Services 0.3%
|
Frank’s
International NV(a)
|
480,300
|
2,089,305
|
Total
Energy
|
2,089,305
|
Financials
2.7%
|
Insurance
0.6%
|
Goosehead
Insurance, Inc., Class A
|
92,500
|
4,277,200
|
Common
Stocks (continued)
|
Issuer
|
Shares
|
Value
($)
|
Thrifts
& Mortgage Finance 2.1%
|
LendingTree,
Inc.(a)
|
45,200
|
14,016,068
|
Total
Financials
|
18,293,268
|
Health
Care 34.5%
|
Biotechnology
3.8%
|
Adamas
Pharmaceuticals, Inc.(a)
|
321,523
|
2,028,810
|
bluebird
bio, Inc.(a)
|
11,022
|
1,138,683
|
Immunomedics,
Inc.(a)
|
234,700
|
3,004,160
|
Invitae
Corp.(a)
|
250,800
|
6,084,408
|
Ligand
Pharmaceuticals, Inc.(a)
|
57,100
|
5,190,961
|
Mirati
Therapeutics, Inc.(a)
|
12,900
|
1,057,413
|
Precision
BioSciences, Inc.(a)
|
165,089
|
1,406,559
|
Sarepta
Therapeutics, Inc.(a)
|
42,200
|
3,804,330
|
uniQure
NV(a)
|
29,200
|
1,584,100
|
Total
|
|
25,299,424
|
Health
Care Equipment & Supplies 16.5%
|
BioLife
Solutions, Inc.(a)
|
369,700
|
7,649,093
|
Cantel
Medical Corp.
|
186,400
|
17,135,752
|
Glaukos
Corp.(a)
|
105,400
|
6,778,274
|
Heska
Corp.(a)
|
128,600
|
9,026,434
|
Insulet
Corp.(a)
|
96,300
|
14,846,571
|
Neogen
Corp.(a)
|
212,700
|
14,999,604
|
Quidel
Corp.(a)
|
272,700
|
17,193,735
|
Quotient
Ltd.(a)
|
569,600
|
5,137,792
|
Tactile
Systems Technology, Inc.(a)
|
82,600
|
4,166,344
|
West
Pharmaceutical Services, Inc.
|
95,700
|
13,920,522
|
Total
|
|
110,854,121
|
Health
Care Providers & Services 5.1%
|
Addus
HomeCare Corp.(a)
|
51,700
|
4,548,566
|
Amedisys,
Inc.(a)
|
53,000
|
6,821,630
|
Chemed
Corp.
|
34,883
|
14,979,807
|
Guardant
Health, Inc.(a)
|
90,414
|
7,913,937
|
Total
|
|
34,263,940
|
Health
Care Technology 1.3%
|
Teladoc
Health, Inc.(a)
|
149,065
|
8,627,882
|
The accompanying Notes to Financial Statements are an integral part
of this statement.
8
|
Columbia Small Cap Growth
Fund I | Annual Report 2019
|
Portfolio of Investments (continued)
August 31, 2019
Common
Stocks (continued)
|
Issuer
|
Shares
|
Value
($)
|
Life
Sciences Tools & Services 7.3%
|
Adaptive
Biotechnologies Corp.(a)
|
143,806
|
7,312,535
|
Bio-Techne
Corp.
|
111,100
|
21,283,427
|
Charles
River Laboratories International, Inc.(a)
|
74,400
|
9,761,280
|
Codexis,
Inc.(a)
|
169,900
|
2,383,697
|
Quanterix
Corp.(a)
|
318,500
|
8,386,105
|
Total
|
|
49,127,044
|
Pharmaceuticals
0.5%
|
Reata
Pharmaceuticals, Inc., Class A(a)
|
46,200
|
3,562,020
|
Total
Health Care
|
231,734,431
|
Industrials
14.1%
|
Aerospace
& Defense 1.3%
|
Aerojet
Rocketdyne Holdings, Inc.(a)
|
163,600
|
8,544,828
|
Building
Products 4.1%
|
Simpson
Manufacturing Co., Inc.
|
188,800
|
12,120,960
|
Trex
Company, Inc.(a)
|
178,302
|
15,250,170
|
Total
|
|
27,371,130
|
Commercial
Services & Supplies 2.0%
|
Casella
Waste Systems, Inc., Class A(a)
|
71,648
|
3,259,984
|
Healthcare
Services Group, Inc.
|
471,800
|
10,639,090
|
Total
|
|
13,899,074
|
Machinery
2.6%
|
John
Bean Technologies Corp.
|
48,500
|
4,962,520
|
Proto
Labs, Inc.(a)
|
133,600
|
12,657,264
|
Total
|
|
17,619,784
|
Professional
Services 0.8%
|
Insperity,
Inc.
|
53,100
|
5,260,086
|
Road
& Rail 3.3%
|
Knight-Swift
Transportation Holdings, Inc.
|
248,400
|
8,480,376
|
Saia,
Inc.(a)
|
160,700
|
13,746,278
|
Total
|
|
22,226,654
|
Total
Industrials
|
94,921,556
|
Information
Technology 23.3%
|
Electronic
Equipment, Instruments & Components 1.1%
|
Littelfuse,
Inc.
|
48,900
|
7,631,823
|
IT
Services 0.4%
|
Paysign,
Inc.(a)
|
222,400
|
2,955,696
|
Common
Stocks (continued)
|
Issuer
|
Shares
|
Value
($)
|
Semiconductors
& Semiconductor Equipment 2.3%
|
Cabot
Microelectronics Corp.
|
35,700
|
4,450,005
|
MKS
Instruments, Inc.
|
44,500
|
3,483,905
|
Monolithic
Power Systems, Inc.
|
48,500
|
7,302,160
|
Total
|
|
15,236,070
|
Software
19.5%
|
Alteryx,
Inc., Class A(a)
|
38,300
|
5,455,835
|
Anaplan,
Inc.(a)
|
73,000
|
3,966,090
|
Avalara,
Inc.(a)
|
118,900
|
10,028,026
|
Coupa
Software, Inc.(a)
|
78,200
|
10,864,326
|
Everbridge,
Inc.(a)
|
195,100
|
16,817,620
|
Five9,
Inc.(a)
|
186,700
|
11,801,307
|
ForeScout
Technologies, Inc.(a)
|
137,100
|
4,912,293
|
HubSpot,
Inc.(a)
|
40,070
|
8,001,177
|
Medallia,
Inc.(a)
|
217,024
|
7,730,395
|
Mimecast
Ltd.(a)
|
171,500
|
7,019,495
|
Paylocity
Holding Corp.(a)
|
97,700
|
10,670,794
|
RingCentral,
Inc., Class A(a)
|
43,700
|
6,167,381
|
SailPoint
Technologies Holding, Inc.(a)
|
316,000
|
7,119,480
|
Smartsheet,
Inc., Class A(a)
|
290,700
|
14,128,020
|
Trade
Desk, Inc. (The), Class A(a)
|
26,000
|
6,390,020
|
Total
|
|
131,072,259
|
Total
Information Technology
|
156,895,848
|
Materials
2.2%
|
Chemicals
2.2%
|
Balchem
Corp.
|
120,400
|
10,690,316
|
Livent
Corp.(a)
|
710,500
|
4,369,575
|
Total
|
|
15,059,891
|
Total
Materials
|
15,059,891
|
Real
Estate 3.0%
|
Equity
Real Estate Investment Trusts (REITS) 3.0%
|
Coresite
Realty Corp.
|
108,900
|
12,652,002
|
STORE
Capital Corp.
|
205,604
|
7,763,607
|
Total
|
|
20,415,609
|
Total
Real Estate
|
20,415,609
|
Total
Common Stocks
(Cost $568,505,278)
|
658,137,426
|
|
The accompanying Notes to Financial Statements are an integral part
of this statement.
Columbia
Small Cap Growth Fund I | Annual Report 2019
|
9
|
Portfolio of Investments (continued)
August 31, 2019
Limited
Partnerships 0.7%
|
Issuer
|
Shares
|
Value
($)
|
Energy
0.7%
|
Oil,
Gas & Consumable Fuels 0.7%
|
Viper
Energy Partners LP
|
160,100
|
4,638,097
|
Total
Energy
|
4,638,097
|
Total
Limited Partnerships
(Cost $5,273,740)
|
4,638,097
|
|
Money
Market Funds 1.0%
|
|
Shares
|
Value
($)
|
Columbia
Short-Term Cash Fund, 2.208%(b),(c)
|
6,715,537
|
6,714,865
|
Total
Money Market Funds
(Cost $6,714,865)
|
6,714,865
|
Total
Investments in Securities
(Cost: $580,493,883)
|
669,490,388
|
Other
Assets & Liabilities, Net
|
|
3,239,765
|
Net
Assets
|
672,730,153
|
Notes to Portfolio of Investments
(a)
|
Non-income
producing investment.
|
(b)
|
The rate
shown is the seven-day current annualized yield at August 31, 2019.
|
(c)
|
As
defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. Holdings and
transactions in these affiliated companies during the year ended August 31, 2019 are as follows:
|
Issuer
|
Beginning
shares
|
Shares
purchased
|
Shares
sold
|
Ending
shares
|
Realized
gain
(loss) —
affiliated
issuers ($)
|
Net
change in
unrealized
appreciation
(depreciation) —
affiliated
issuers ($)
|
Dividends
—
affiliated
issuers ($)
|
Value
—
affiliated
issuers
at end of
period ($)
|
Columbia
Short-Term Cash Fund, 2.208%
|
|
3,659,207
|
359,584,321
|
(356,527,991)
|
6,715,537
|
1,509
|
—
|
521,789
|
6,714,865
|
Fair value measurements
The Fund categorizes its fair value measurements according to
a three-level hierarchy that maximizes the use of observable inputs and minimizes the use of unobservable inputs by prioritizing that the most observable input be used when available. Observable inputs are those that market participants would use in
pricing an investment based on market data obtained from sources independent of the reporting entity. Unobservable inputs are those that reflect the Fund’s assumptions about the information market participants would use in pricing an
investment. An investment’s level within the fair value hierarchy is based on the lowest level of any input that is deemed significant to the asset’s or liability’s fair value measurement. The input levels are not necessarily an
indication of the risk or liquidity associated with investments at that level. For example, certain U.S. government securities are generally high quality and liquid, however, they are reflected as Level 2 because the inputs used to determine fair
value may not always be quoted prices in an active market.
Fair value inputs are summarized in the three broad levels
listed below:
■
|
Level 1 — Valuations
based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments.
|
■
|
Level 2 — Valuations
based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.).
|
■
|
Level 3 — Valuations
based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments).
|
Inputs that are used in determining fair value of an investment
may include price information, credit data, volatility statistics, and other factors. These inputs can be either observable or unobservable. The availability of observable inputs can vary between investments, and is affected by various factors such
as the type of investment, and the volume and level of activity for that investment or similar investments in the marketplace. The inputs will be considered by the Investment Manager, along with any other relevant factors in the calculation of an
investment’s fair value. The Fund uses prices and inputs that are current as of the measurement date, which may include periods of market dislocations. During these periods, the availability of prices and inputs may be reduced for many
investments. This condition could cause an investment to be reclassified between the various levels within the hierarchy.
The accompanying Notes to Financial Statements are an integral part of this
statement.
10
|
Columbia Small Cap Growth
Fund I | Annual Report 2019
|
Portfolio of Investments (continued)
August 31, 2019
Fair value
measurements (continued)
Investments falling into the Level 3 category are primarily supported by quoted prices from brokers and dealers participating in the market for those investments.
However, these may be classified as Level 3 investments due to lack of market transparency and corroboration to support these quoted prices. Additionally, valuation models may be used as the pricing source for any remaining investments classified as
Level 3. These models may rely on one or more significant unobservable inputs and/or significant assumptions by the Investment Manager. Inputs used in valuations may include, but are not limited to, financial statement analysis, capital account
balances, discount rates and estimated cash flows, and comparable company data.
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.
The following table is a summary of the
inputs used to value the Fund’s investments at August 31, 2019:
|
Level
1 ($)
|
Level
2 ($)
|
Level
3 ($)
|
Total
($)
|
Investments
in Securities
|
|
|
|
|
Common
Stocks
|
|
|
|
|
Communication
Services
|
21,549,860
|
—
|
—
|
21,549,860
|
Consumer
Discretionary
|
84,555,524
|
—
|
—
|
84,555,524
|
Consumer
Staples
|
12,622,134
|
—
|
—
|
12,622,134
|
Energy
|
2,089,305
|
—
|
—
|
2,089,305
|
Financials
|
18,293,268
|
—
|
—
|
18,293,268
|
Health
Care
|
231,734,431
|
—
|
—
|
231,734,431
|
Industrials
|
94,921,556
|
—
|
—
|
94,921,556
|
Information
Technology
|
156,895,848
|
—
|
—
|
156,895,848
|
Materials
|
15,059,891
|
—
|
—
|
15,059,891
|
Real
Estate
|
20,415,609
|
—
|
—
|
20,415,609
|
Total
Common Stocks
|
658,137,426
|
—
|
—
|
658,137,426
|
Limited
Partnerships
|
|
|
|
|
Energy
|
4,638,097
|
—
|
—
|
4,638,097
|
Total
Limited Partnerships
|
4,638,097
|
—
|
—
|
4,638,097
|
Money
Market Funds
|
6,714,865
|
—
|
—
|
6,714,865
|
Total
Investments in Securities
|
669,490,388
|
—
|
—
|
669,490,388
|
See the Portfolio of Investments for
all investment classifications not indicated in the table.
The accompanying Notes to Financial Statements are an integral part of this
statement.
Columbia
Small Cap Growth Fund I | Annual Report 2019
|
11
|
Statement of Assets and Liabilities
August 31, 2019
Assets
|
|
Investments
in securities, at value
|
|
Unaffiliated
issuers (cost $573,779,018)
|
$662,775,523
|
Affiliated
issuers (cost $6,714,865)
|
6,714,865
|
Receivable
for:
|
|
Investments
sold
|
44,020
|
Capital
shares sold
|
3,550,592
|
Dividends
|
231,772
|
Prepaid
expenses
|
3,924
|
Trustees’
deferred compensation plan
|
127,137
|
Total
assets
|
673,447,833
|
Liabilities
|
|
Payable
for:
|
|
Capital
shares purchased
|
425,863
|
Management
services fees
|
15,803
|
Distribution
and/or service fees
|
2,090
|
Transfer
agent fees
|
84,005
|
Compensation
of board members
|
17,388
|
Compensation
of chief compliance officer
|
38
|
Other
expenses
|
45,356
|
Trustees’
deferred compensation plan
|
127,137
|
Total
liabilities
|
717,680
|
Net
assets applicable to outstanding capital stock
|
$672,730,153
|
Represented
by
|
|
Paid
in capital
|
522,582,184
|
Total
distributable earnings (loss) (Note 2)
|
150,147,969
|
Total
- representing net assets applicable to outstanding capital stock
|
$672,730,153
|
The accompanying Notes to Financial Statements are an integral part of this
statement.
12
|
Columbia Small Cap Growth
Fund I | Annual Report 2019
|
Statement of Assets and Liabilities (continued)
August 31, 2019
Class
A
|
|
Net
assets
|
$265,472,544
|
Shares
outstanding
|
13,459,873
|
Net
asset value per share
|
$19.72
|
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)
|
$20.92
|
Advisor
Class
|
|
Net
assets
|
$20,203,345
|
Shares
outstanding
|
898,545
|
Net
asset value per share
|
$22.48
|
Class
C
|
|
Net
assets
|
$8,886,916
|
Shares
outstanding
|
579,150
|
Net
asset value per share
|
$15.34
|
Institutional
Class
|
|
Net
assets
|
$283,780,831
|
Shares
outstanding
|
13,387,507
|
Net
asset value per share
|
$21.20
|
Institutional
2 Class
|
|
Net
assets
|
$26,190,262
|
Shares
outstanding
|
1,219,706
|
Net
asset value per share
|
$21.47
|
Institutional
3 Class
|
|
Net
assets
|
$66,684,998
|
Shares
outstanding
|
3,066,329
|
Net
asset value per share
|
$21.75
|
Class
R
|
|
Net
assets
|
$1,511,257
|
Shares
outstanding
|
78,639
|
Net
asset value per share
|
$19.22
|
The accompanying Notes to Financial Statements are an integral part of this
statement.
Columbia
Small Cap Growth Fund I | Annual Report 2019
|
13
|
Statement of Operations
Year Ended August 31, 2019
Net
investment income
|
|
Income:
|
|
Dividends
— unaffiliated issuers
|
$2,495,846
|
Dividends
— affiliated issuers
|
521,789
|
Interfund
lending
|
138
|
Total
income
|
3,017,773
|
Expenses:
|
|
Management
services fees
|
4,852,998
|
Distribution
and/or service fees
|
|
Class
A
|
592,770
|
Class
C
|
77,499
|
Class
R
|
7,128
|
Transfer
agent fees
|
|
Class
A
|
387,816
|
Advisor
Class
|
18,838
|
Class
C
|
12,684
|
Institutional
Class
|
359,786
|
Institutional
2 Class
|
13,506
|
Institutional
3 Class
|
4,651
|
Class
R
|
2,339
|
Compensation
of board members
|
21,944
|
Custodian
fees
|
14,232
|
Printing
and postage fees
|
49,078
|
Registration
fees
|
113,609
|
Audit
fees
|
33,013
|
Legal
fees
|
11,348
|
Interest
on interfund lending
|
663
|
Compensation
of chief compliance officer
|
219
|
Other
|
26,341
|
Total
expenses
|
6,600,462
|
Fees
waived or expenses reimbursed by Investment Manager and its affiliates
|
(1,078)
|
Total
net expenses
|
6,599,384
|
Net
investment loss
|
(3,581,611)
|
Realized
and unrealized gain (loss) — net
|
|
Net
realized gain (loss) on:
|
|
Investments
— unaffiliated issuers
|
86,651,647
|
Investments
— affiliated issuers
|
1,509
|
Foreign
currency translations
|
1,320
|
Net
realized gain
|
86,654,476
|
Net
change in unrealized appreciation (depreciation) on:
|
|
Investments
— unaffiliated issuers
|
(38,072,232)
|
Foreign
currency translations
|
(27)
|
Net
change in unrealized appreciation (depreciation)
|
(38,072,259)
|
Net
realized and unrealized gain
|
48,582,217
|
Net
increase in net assets resulting from operations
|
$45,000,606
|
The accompanying Notes to Financial Statements are an
integral part of this statement.
14
|
Columbia Small Cap Growth
Fund I | Annual Report 2019
|
Statement of Changes in Net Assets
|
Year
Ended
August 31, 2019
|
Year
Ended
August 31, 2018
|
Operations
|
|
|
Net
investment loss
|
$(3,581,611)
|
$(3,208,002)
|
Net
realized gain
|
86,654,476
|
80,013,273
|
Net
change in unrealized appreciation (depreciation)
|
(38,072,259)
|
68,934,559
|
Net
increase in net assets resulting from operations
|
45,000,606
|
145,739,830
|
Distributions
to shareholders
|
|
|
Net
investment income and net realized gains
|
|
|
Class
A
|
(36,731,171)
|
|
Advisor
Class
|
(1,694,946)
|
|
Class
C
|
(1,393,865)
|
|
Institutional
Class
|
(30,338,730)
|
|
Institutional
2 Class
|
(2,996,770)
|
|
Institutional
3 Class
|
(9,102,033)
|
|
Class
R
|
(247,105)
|
|
Net
realized gains
|
|
|
Class
A
|
|
(30,755,838)
|
Advisor
Class
|
|
(658,517)
|
Class
C
|
|
(2,144,127)
|
Institutional
Class
|
|
(24,892,211)
|
Institutional
2 Class
|
|
(2,219,843)
|
Institutional
3 Class
|
|
(8,099,292)
|
Class
K
|
|
(7,567)
|
Class
R
|
|
(214,788)
|
Total
distributions to shareholders (Note 2)
|
(82,504,620)
|
(68,992,183)
|
Increase
in net assets from capital stock activity
|
130,755,178
|
68,865,412
|
Total
increase in net assets
|
93,251,164
|
145,613,059
|
Net
assets at beginning of year
|
579,478,989
|
433,865,930
|
Net
assets at end of year
|
$672,730,153
|
$579,478,989
|
Excess
of distributions over net investment income
|
$(145,320)
|
$(699,076)
|
The accompanying Notes to Financial Statements are an
integral part of this statement.
Columbia
Small Cap Growth Fund I | Annual Report 2019
|
15
|
Statement of Changes in Net Assets (continued)
|
Year
Ended
|
Year
Ended
|
|
August
31, 2019
|
August
31, 2018
|
|
Shares
|
Dollars
($)
|
Shares
|
Dollars
($)
|
Capital
stock activity
|
Class
A
|
|
|
|
|
Subscriptions
|
2,031,906
|
36,814,367
|
1,797,326
|
35,428,984
|
Distributions
reinvested
|
1,982,814
|
31,943,124
|
1,506,195
|
26,328,292
|
Redemptions
|
(1,856,347)
|
(34,113,050)
|
(1,713,663)
|
(33,470,462)
|
Net
increase
|
2,158,373
|
34,644,441
|
1,589,858
|
28,286,814
|
Advisor
Class
|
|
|
|
|
Subscriptions
|
765,805
|
16,468,112
|
337,404
|
7,486,300
|
Distributions
reinvested
|
92,455
|
1,694,701
|
33,793
|
658,285
|
Redemptions
|
(321,820)
|
(6,401,435)
|
(90,216)
|
(1,903,391)
|
Net
increase
|
536,440
|
11,761,378
|
280,981
|
6,241,194
|
Class
C
|
|
|
|
|
Subscriptions
|
367,095
|
5,136,467
|
220,813
|
3,492,513
|
Distributions
reinvested
|
106,019
|
1,335,841
|
145,159
|
2,075,777
|
Redemptions
|
(362,548)
|
(5,101,535)
|
(648,507)
|
(10,712,615)
|
Net
increase (decrease)
|
110,566
|
1,370,773
|
(282,535)
|
(5,144,325)
|
Institutional
Class
|
|
|
|
|
Subscriptions
|
4,799,308
|
95,316,410
|
2,370,671
|
49,045,174
|
Distributions
reinvested
|
1,626,644
|
28,108,415
|
1,236,081
|
22,916,948
|
Redemptions
|
(2,693,174)
|
(53,588,623)
|
(1,727,964)
|
(35,613,868)
|
Net
increase
|
3,732,778
|
69,836,202
|
1,878,788
|
36,348,254
|
Institutional
2 Class
|
|
|
|
|
Subscriptions
|
755,042
|
15,675,077
|
368,410
|
7,872,631
|
Distributions
reinvested
|
171,328
|
2,996,518
|
118,506
|
2,219,604
|
Redemptions
|
(594,595)
|
(12,184,911)
|
(347,447)
|
(7,431,467)
|
Net
increase
|
331,775
|
6,486,684
|
139,469
|
2,660,768
|
Institutional
3 Class
|
|
|
|
|
Subscriptions
|
542,455
|
11,380,908
|
342,976
|
7,370,900
|
Distributions
reinvested
|
513,934
|
9,101,773
|
428,068
|
8,099,045
|
Redemptions
|
(673,127)
|
(13,849,671)
|
(702,720)
|
(15,017,161)
|
Net
increase
|
383,262
|
6,633,010
|
68,324
|
452,784
|
Class
K
|
|
|
|
|
Distributions
reinvested
|
—
|
—
|
399
|
7,344
|
Redemptions
|
—
|
—
|
(2,800)
|
(57,962)
|
Net
decrease
|
—
|
—
|
(2,401)
|
(50,618)
|
Class
R
|
|
|
|
|
Subscriptions
|
26,392
|
481,566
|
26,914
|
518,546
|
Distributions
reinvested
|
14,470
|
227,460
|
11,736
|
201,152
|
Redemptions
|
(38,773)
|
(686,336)
|
(34,714)
|
(649,157)
|
Net
increase
|
2,089
|
22,690
|
3,936
|
70,541
|
Total
net increase
|
7,255,283
|
130,755,178
|
3,676,420
|
68,865,412
|
The accompanying Notes to Financial Statements are an integral part of this
statement.
16
|
Columbia Small Cap Growth
Fund I | Annual Report 2019
|
[THIS PAGE INTENTIONALLY LEFT BLANK]
Columbia
Small Cap Growth Fund I | 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
(loss)
|
Net
realized
and
unrealized
gain
|
Total
from
investment
operations
|
Distributions
from net
realized
gains
|
Total
distributions to
shareholders
|
Class
A
|
Year
Ended 8/31/2019
|
$22.05
|
(0.15)
|
1.12
|
0.97
|
(3.30)
|
(3.30)
|
Year
Ended 8/31/2018
|
$19.46
|
(0.15)
|
5.87
|
5.72
|
(3.13)
|
(3.13)
|
Year
Ended 8/31/2017
|
$17.29
|
(0.13)
|
3.78
|
3.65
|
(1.48)
|
(1.48)
|
Year
Ended 8/31/2016
|
$27.22
|
(0.11)
(g)
|
0.40
|
0.29
|
(10.22)
|
(10.22)
|
Year
Ended 8/31/2015
|
$29.40
|
(0.27)
|
3.09
|
2.82
|
(5.11)
|
(5.11)
|
Advisor
Class
|
Year
Ended 8/31/2019
|
$24.61
|
(0.11)
|
1.33
|
1.22
|
(3.35)
|
(3.35)
|
Year
Ended 8/31/2018
|
$21.38
|
(0.12)
|
6.53
|
6.41
|
(3.18)
|
(3.18)
|
Year
Ended 8/31/2017
|
$18.86
|
(0.09)
|
4.13
|
4.04
|
(1.52)
|
(1.52)
|
Year
Ended 8/31/2016
|
$28.69
|
(0.03)
(g)
|
0.42
|
0.39
|
(10.22)
|
(10.22)
|
Year
Ended 8/31/2015
|
$30.64
|
(0.20)
|
3.24
|
3.04
|
(5.11)
|
(5.11)
|
Class
C
|
Year
Ended 8/31/2019
|
$17.93
|
(0.22)
|
0.78
|
0.56
|
(3.15)
|
(3.15)
|
Year
Ended 8/31/2018
|
$16.35
|
(0.25)
|
4.82
|
4.57
|
(2.99)
|
(2.99)
|
Year
Ended 8/31/2017
|
$14.74
|
(0.23)
|
3.20
|
2.97
|
(1.36)
|
(1.36)
|
Year
Ended 8/31/2016
|
$24.87
|
(0.21)
(g)
|
0.30
|
0.09
|
(10.22)
|
(10.22)
|
Year
Ended 8/31/2015
|
$27.47
|
(0.44)
|
2.85
|
2.41
|
(5.11)
|
(5.11)
|
Institutional
Class
|
Year
Ended 8/31/2019
|
$23.42
|
(0.11)
|
1.24
|
1.13
|
(3.35)
|
(3.35)
|
Year
Ended 8/31/2018
|
$20.49
|
(0.11)
|
6.22
|
6.11
|
(3.18)
|
(3.18)
|
Year
Ended 8/31/2017
|
$18.13
|
(0.09)
|
3.97
|
3.88
|
(1.52)
|
(1.52)
|
Year
Ended 8/31/2016
|
$27.98
|
(0.07)
(g)
|
0.44
|
0.37
|
(10.22)
|
(10.22)
|
Year
Ended 8/31/2015
|
$30.01
|
(0.20)
|
3.16
|
2.96
|
(5.11)
|
(5.11)
|
Institutional
2 Class
|
Year
Ended 8/31/2019
|
$23.68
|
(0.09)
|
1.26
|
1.17
|
(3.38)
|
(3.38)
|
Year
Ended 8/31/2018
|
$20.68
|
(0.09)
|
6.29
|
6.20
|
(3.20)
|
(3.20)
|
Year
Ended 8/31/2017
|
$18.28
|
(0.07)
|
4.01
|
3.94
|
(1.54)
|
(1.54)
|
Year
Ended 8/31/2016
|
$28.11
|
(0.04)
(g)
|
0.43
|
0.39
|
(10.22)
|
(10.22)
|
Year
Ended 8/31/2015
|
$30.09
|
(0.16)
|
3.17
|
3.01
|
(5.11)
|
(5.11)
|
The accompanying Notes to Financial Statements are an
integral part of this statement.
18
|
Columbia Small Cap Growth
Fund I | Annual Report 2019
|
Financial Highlights (continued)
|
Proceeds
from
regulatory
settlements
|
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 8/31/2019
|
—
|
$19.72
|
7.76%
|
1.33%
(c)
|
1.33%
(c)
|
(0.79%)
|
113%
|
$265,473
|
Year
Ended 8/31/2018
|
—
|
$22.05
|
33.62%
|
1.35%
(d)
|
1.34%
(d),(e)
|
(0.79%)
|
156%
|
$249,156
|
Year
Ended 8/31/2017
|
—
|
$19.46
|
22.42%
|
1.39%
(f)
|
1.34%
(e),(f)
|
(0.74%)
|
174%
|
$189,019
|
Year
Ended 8/31/2016
|
—
|
$17.29
|
2.88%
|
1.41%
(d)
|
1.36%
(d),(e)
|
(0.62%)
|
142%
|
$174,183
|
Year
Ended 8/31/2015
|
0.11
|
$27.22
|
11.87%
(h)
|
1.36%
|
1.36%
(e)
|
(0.98%)
|
117%
|
$202,566
|
Advisor
Class
|
Year
Ended 8/31/2019
|
—
|
$22.48
|
8.05%
|
1.07%
(c)
|
1.07%
(c)
|
(0.54%)
|
113%
|
$20,203
|
Year
Ended 8/31/2018
|
—
|
$24.61
|
33.91%
|
1.10%
(d)
|
1.09%
(d),(e)
|
(0.53%)
|
156%
|
$8,913
|
Year
Ended 8/31/2017
|
—
|
$21.38
|
22.68%
|
1.12%
(f)
|
1.09%
(e),(f)
|
(0.46%)
|
174%
|
$1,734
|
Year
Ended 8/31/2016
|
—
|
$18.86
|
3.15%
|
1.16%
(d)
|
1.10%
(d),(e)
|
(0.16%)
|
142%
|
$1,283
|
Year
Ended 8/31/2015
|
0.12
|
$28.69
|
12.18%
(h)
|
1.10%
|
1.10%
(e)
|
(0.68%)
|
117%
|
$69
|
Class
C
|
Year
Ended 8/31/2019
|
—
|
$15.34
|
6.93%
|
2.08%
(c)
|
2.08%
(c)
|
(1.54%)
|
113%
|
$8,887
|
Year
Ended 8/31/2018
|
—
|
$17.93
|
32.58%
|
2.10%
(d)
|
2.09%
(d),(e)
|
(1.54%)
|
156%
|
$8,401
|
Year
Ended 8/31/2017
|
—
|
$16.35
|
21.48%
|
2.14%
(f)
|
2.09%
(e),(f)
|
(1.49%)
|
174%
|
$12,281
|
Year
Ended 8/31/2016
|
—
|
$14.74
|
2.12%
|
2.16%
(d)
|
2.12%
(d),(e)
|
(1.37%)
|
142%
|
$13,187
|
Year
Ended 8/31/2015
|
0.10
|
$24.87
|
11.07%
(h)
|
2.11%
|
2.11%
(e)
|
(1.72%)
|
117%
|
$16,810
|
Institutional
Class
|
Year
Ended 8/31/2019
|
—
|
$21.20
|
8.08%
|
1.08%
(c)
|
1.08%
(c)
|
(0.54%)
|
113%
|
$283,781
|
Year
Ended 8/31/2018
|
—
|
$23.42
|
33.91%
|
1.10%
(d)
|
1.09%
(d),(e)
|
(0.54%)
|
156%
|
$226,120
|
Year
Ended 8/31/2017
|
—
|
$20.49
|
22.72%
|
1.14%
(f)
|
1.09%
(e),(f)
|
(0.49%)
|
174%
|
$159,344
|
Year
Ended 8/31/2016
|
—
|
$18.13
|
3.15%
|
1.15%
(d)
|
1.12%
(d),(e)
|
(0.38%)
|
142%
|
$157,826
|
Year
Ended 8/31/2015
|
0.12
|
$27.98
|
12.16%
(h)
|
1.11%
|
1.11%
(e)
|
(0.69%)
|
117%
|
$215,938
|
Institutional
2 Class
|
Year
Ended 8/31/2019
|
—
|
$21.47
|
8.16%
|
0.97%
(c)
|
0.97%
(c)
|
(0.45%)
|
113%
|
$26,190
|
Year
Ended 8/31/2018
|
—
|
$23.68
|
34.07%
|
0.99%
(d)
|
0.98%
(d)
|
(0.43%)
|
156%
|
$21,024
|
Year
Ended 8/31/2017
|
—
|
$20.68
|
22.87%
|
1.00%
(f)
|
0.99%
(f)
|
(0.39%)
|
174%
|
$15,478
|
Year
Ended 8/31/2016
|
—
|
$18.28
|
3.24%
|
0.99%
(d)
|
0.99%
(d)
|
(0.23%)
|
142%
|
$11,704
|
Year
Ended 8/31/2015
|
0.12
|
$28.11
|
12.33%
(h)
|
0.96%
|
0.96%
|
(0.58%)
|
117%
|
$11,990
|
The accompanying Notes to Financial Statements are an
integral part of this statement.
Columbia
Small Cap Growth Fund I | Annual Report 2019
|
19
|
Financial Highlights (continued)
|
Net
asset value,
beginning of
period
|
Net
investment
income
(loss)
|
Net
realized
and
unrealized
gain
|
Total
from
investment
operations
|
Distributions
from net
realized
gains
|
Total
distributions to
shareholders
|
Institutional
3 Class
|
Year
Ended 8/31/2019
|
$23.93
|
(0.08)
|
1.29
|
1.21
|
(3.39)
|
(3.39)
|
Year
Ended 8/31/2018
|
$20.87
|
(0.08)
|
6.35
|
6.27
|
(3.21)
|
(3.21)
|
Year
Ended 8/31/2017
|
$18.43
|
(0.07)
|
4.06
|
3.99
|
(1.55)
|
(1.55)
|
Year
Ended 8/31/2016
|
$28.24
|
(0.03)
(g)
|
0.44
|
0.41
|
(10.22)
|
(10.22)
|
Year
Ended 8/31/2015
|
$30.19
|
(0.14)
|
3.18
|
3.04
|
(5.11)
|
(5.11)
|
Class
R
|
Year
Ended 8/31/2019
|
$21.57
|
(0.19)
|
1.09
|
0.90
|
(3.25)
|
(3.25)
|
Year
Ended 8/31/2018
|
$19.10
|
(0.20)
|
5.75
|
5.55
|
(3.08)
|
(3.08)
|
Year
Ended 8/31/2017
|
$17.00
|
(0.17)
|
3.71
|
3.54
|
(1.44)
|
(1.44)
|
Year
Ended 8/31/2016
|
$26.99
|
(0.16)
(g)
|
0.39
|
0.23
|
(10.22)
|
(10.22)
|
Year
Ended 8/31/2015
|
$29.25
|
(0.33)
|
3.07
|
2.74
|
(5.11)
|
(5.11)
|
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)
|
Ratios
include interfund lending expense which is less than 0.01%.
|
(d)
|
Ratios
include line of credit interest expense which is less than 0.01%.
|
(e)
|
The
benefits derived from expense reductions had an impact of less than 0.01%.
|
(f)
|
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
|
Class
R
|
08/31/2017
|
0.01%
|
0.01%
|
0.01%
|
0.01%
|
0.01%
|
0.01%
|
(g)
|
Net
investment income per share includes special dividends. The per share effect of these dividends amounted to:
|
Year
Ended
|
Class
A
|
Advisor
Class
|
Class
C
|
Institutional
Class
|
Institutional
2
Class
|
Institutional
3
Class
|
Class
R
|
08/31/2016
|
$0.04
|
$0.07
|
$0.03
|
$0.04
|
$0.05
|
$0.05
|
$0.04
|
(h)
|
The Fund
received proceeds from regulatory settlements. Had the Fund not received these proceeds, the total return would have been lower by 0.39%.
|
The accompanying Notes to Financial Statements are an
integral part of this statement.
20
|
Columbia Small Cap Growth
Fund I | Annual Report 2019
|
Financial Highlights (continued)
|
Proceeds
from
regulatory
settlements
|
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 8/31/2019
|
—
|
$21.75
|
8.26%
|
0.92%
(c)
|
0.92%
(c)
|
(0.38%)
|
113%
|
$66,685
|
Year
Ended 8/31/2018
|
—
|
$23.93
|
34.12%
|
0.94%
(d)
|
0.93%
(d)
|
(0.38%)
|
156%
|
$64,214
|
Year
Ended 8/31/2017
|
—
|
$20.87
|
22.96%
|
0.96%
|
0.94%
|
(0.38%)
|
174%
|
$54,574
|
Year
Ended 8/31/2016
|
—
|
$18.43
|
3.30%
|
0.94%
(d)
|
0.94%
(d)
|
(0.14%)
|
142%
|
$6,562
|
Year
Ended 8/31/2015
|
0.12
|
$28.24
|
12.38%
(h)
|
0.90%
|
0.90%
|
(0.50%)
|
117%
|
$3,823
|
Class
R
|
Year
Ended 8/31/2019
|
—
|
$19.22
|
7.53%
|
1.58%
(c)
|
1.58%
(c)
|
(1.03%)
|
113%
|
$1,511
|
Year
Ended 8/31/2018
|
—
|
$21.57
|
33.26%
|
1.60%
(d)
|
1.59%
(d),(e)
|
(1.04%)
|
156%
|
$1,651
|
Year
Ended 8/31/2017
|
—
|
$19.10
|
22.10%
|
1.64%
(f)
|
1.59%
(e),(f)
|
(0.99%)
|
174%
|
$1,387
|
Year
Ended 8/31/2016
|
—
|
$17.00
|
2.61%
|
1.66%
(d)
|
1.62%
(d),(e)
|
(0.88%)
|
142%
|
$1,356
|
Year
Ended 8/31/2015
|
0.11
|
$26.99
|
11.63%
(h)
|
1.61%
|
1.61%
(e)
|
(1.22%)
|
117%
|
$1,706
|
The accompanying Notes to Financial Statements are an integral part of this
statement.
Columbia
Small Cap Growth Fund I | Annual Report 2019
|
21
|
Notes to Financial Statements
August 31, 2019
Note 1. Organization
Columbia Small Cap Growth Fund I (the Fund), a series of
Columbia Funds Series Trust I (the Trust), is a diversified fund. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Massachusetts business
trust.
Fund shares
The Trust may issue an unlimited number of shares (without par
value). The Fund offers each of the share classes listed in the Statement of Assets and Liabilities. Although all share classes generally have identical voting, dividend and liquidation rights, each share class votes separately when required by the
Trust’s organizational documents or by law. Each share class has its own expense and sales charge structure. Different share classes may have different minimum initial investment amounts and pay different distribution amounts to the extent the
expenses of distributing such share classes vary. Distributions to shareholders in a liquidation will be proportional to the net asset value of each share class.
As described in the Fund’s prospectus, Class A and Class
C shares are offered to the general public for investment. Advisor Class, Institutional Class, Institutional 2 Class, Institutional 3 Class and Class R shares are available for purchase through authorized investment professionals to omnibus
retirement plans or to institutional and to certain other investors as also described in the Fund’s prospectus. Class C shares automatically convert to Class A shares after 10 years.
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 are valued at the close of business of
the New York Stock Exchange. Equity securities are valued at the official closing price on the principal exchange or market on which they trade. 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 determined at the scheduled closing time of the New York Stock Exchange. Many securities markets and exchanges outside the U.S. close prior to the close of the New York Stock Exchange; therefore, the
closing prices for securities in such markets or on such exchanges may not fully reflect events that occur after such close but before the close of the New York Stock Exchange. In those situations, foreign securities will be fair valued pursuant to
a policy adopted by the Board of Trustees. Under the policy, the Fund may utilize a third party pricing service to determine these fair values. The third-party pricing service takes into account multiple factors, including, but not limited to,
movements in the U.S. securities markets, certain depositary receipts, futures contracts and foreign exchange rates that have occurred subsequent to the close of the foreign exchange or market, to determine a good faith estimate that reasonably
reflects the current market conditions as of the close of the New York Stock Exchange. The fair value of a security is likely to be different from the quoted or published price, if available.
Investments in open-end investment companies, including money
market funds, are valued at their latest net asset value.
22
|
Columbia Small Cap Growth
Fund I | Annual Report 2019
|
Notes to Financial Statements (continued)
August 31, 2019
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 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.
Columbia
Small Cap Growth Fund I | Annual Report 2019
|
23
|
Notes to Financial Statements (continued)
August 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. The standard is effective for annual periods beginning after December 15, 2019 and interim periods within
those fiscal years, with early adoption permitted. After evaluation, management determined to adopt the ASU effective for the period ended August 31, 2019 and all subsequent periods. As a result of the amendments, management implemented disclosure
changes which include removal of the amount and reasons for transfers between Level 1 and Level 2 of the fair value hierarchy, removal of the policy for the timing of transfers between levels, removal of the description of the Level 3 valuation
processes, as well as modifications to the measurement uncertainty disclosure.
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
24
|
Columbia Small Cap Growth
Fund I | Annual Report 2019
|
Notes to Financial Statements (continued)
August 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), a wholly-owned subsidiary of Ameriprise Financial, Inc. (Ameriprise Financial). Under the Management Agreement, the Investment Manager provides the Fund with investment research and
advice, as well as administrative and accounting services. The management services fee is an annual fee that is equal to a percentage of the Fund’s daily net assets that declines from 0.87% to 0.75% as the Fund’s net assets increase. The
effective management services fee rate for the year ended August 31, 2019 was 0.86% 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.
Columbia
Small Cap Growth Fund I | Annual Report 2019
|
25
|
Notes to Financial Statements (continued)
August 31, 2019
For
the year ended August 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
|
0.16
|
Class
C
|
0.16
|
Institutional
Class
|
0.16
|
Institutional
2 Class
|
0.06
|
Institutional
3 Class
|
0.01
|
Class
R
|
0.16
|
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 August 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 and Class C shares of the Fund. Also under the Plans, the Fund pays a monthly distribution fee to the Distributor at the maximum annual
rates of 0.10%, 0.75% and 0.50% of the average daily net assets attributable to Class A, Class C and Class R shares of the Fund, respectively.
Although the Fund may pay distribution and service fees up to
a maximum annual rate of 0.35% of the Fund’s average daily net assets attributable to Class A shares (comprised of up to 0.10% for distribution services and up to 0.25% for shareholder 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.
Sales charges (unaudited)
Sales charges, including front-end charges and contingent
deferred sales charges (CDSC), received by the Distributor for distributing Fund shares for the year ended August 31, 2019, if any, are listed below:
|
Front
End (%)
|
CDSC
(%)
|
Amount
($)
|
Class
A
|
5.75
|
0.50 - 1.00
(a)
|
267,554
|
Class
C
|
—
|
1.00
(b)
|
1,230
|
(a)
|
This
charge is imposed on certain investments of between $1 million and $50 million redeemed within 18 months after purchase, as follows: 1.00% if redeemed within 12 months after purchase, and 0.50% if redeemed more than 12, but less than 18, months
after purchase, with certain limited exceptions.
|
(b)
|
This
charge applies to redemptions within 12 months after purchase, with certain limited exceptions.
|
The Fund’s other share classes are not subject to sales
charges.
26
|
Columbia Small Cap Growth
Fund I | Annual Report 2019
|
Notes to Financial Statements (continued)
August 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:
|
January
1, 2019
through
December 31, 2019
|
Prior
to
January 1, 2019
|
Class
A
|
1.35%
|
1.35%
|
Advisor
Class
|
1.10
|
1.10
|
Class
C
|
2.10
|
2.10
|
Institutional
Class
|
1.10
|
1.10
|
Institutional
2 Class
|
1.00
|
0.98
|
Institutional
3 Class
|
0.95
|
0.93
|
Class
R
|
1.60
|
1.60
|
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.
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 August 31, 2019, these differences were primarily due to
differing treatment for deferral/reversal of wash sale losses, trustees’ deferred compensation, re-characterization of distributions for investments, net operating loss reclassification, investments in partnerships, foreign currency
transactions, and passive foreign investment company (PFIC) holdings. 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
gain ($)
|
Paid
in
capital ($)
|
4,135,367
|
(4,135,367)
|
—
|
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.
Columbia
Small Cap Growth Fund I | Annual Report 2019
|
27
|
Notes to Financial Statements (continued)
August 31, 2019
The
tax character of distributions paid during the years indicated was as follows:
Year
Ended August 31, 2019
|
Year
Ended August 31, 2018
|
Ordinary
income ($)
|
Long-term
capital gains ($)
|
Total
($)
|
Ordinary
income ($)
|
Long-term
capital gains ($)
|
Total
($)
|
42,023,297
|
40,481,323
|
82,504,620
|
47,718,358
|
21,273,825
|
68,992,183
|
Short-term capital gain
distributions, if any, are considered ordinary income distributions for tax purposes.
At August 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 ($)
|
Net
unrealized
appreciation ($)
|
22,766,705
|
40,185,015
|
—
|
87,341,569
|
At August 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) ($)
|
Net
unrealized
appreciation ($)
|
582,148,819
|
118,449,982
|
(31,108,413)
|
87,341,569
|
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 $658,831,384 and $622,940,792, respectively, for the year ended August 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.
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.
28
|
Columbia Small Cap Growth
Fund I | Annual Report 2019
|
Notes to Financial Statements (continued)
August 31, 2019
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 August 31, 2019 was as follows:
Borrower
or lender
|
Average
loan
balance ($)
|
Weighted
average
interest rate (%)
|
Days
outstanding
|
Borrower
|
2,800,000
|
2.84
|
3
|
Lender
|
225,000
|
2.74
|
8
|
Interest income earned and
interest expense incurred by the Fund is recorded as Interfund lending in the Statement of Operations. The Fund had no outstanding interfund loans at August 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 August 31,
2019.
Note 9. Significant risks
Health care sector risk
The Fund may be more susceptible to the particular risks that
may affect companies in the health care sector than if it were invested in a wider variety of companies in unrelated sectors. Companies in the health care sector are subject to certain risks, including restrictions on government reimbursement for
medical expenses, government approval of medical products and services, competitive pricing pressures, and the rising cost of medical products and services (especially for companies dependent upon a relatively limited number of products or
services). Performance of such companies may be affected by factors including, government regulation, obtaining and protecting patents (or the failure to do so), product liability and other similar litigation as well as product obsolescence.
Shareholder concentration risk
At August 31, 2019, affiliated shareholders of record owned
19.2% of the outstanding shares of the Fund in one or more accounts. Subscription and redemption activity by concentrated accounts may have a significant effect on the operations of the Fund. In the case of a large redemption, the Fund may be forced
to sell investments at inopportune times, including its liquid positions, which may result in Fund losses and the Fund holding a higher percentage of less liquid positions. Large redemptions could result in decreased economies of scale and increased
operating expenses for non-redeeming Fund shareholders.
Technology and technology-related investment risk
The Fund may be more susceptible to the particular risks that
may affect companies in the information technology sector, as well as other technology-related sectors (collectively, the technology sectors) than if it were invested in a wider variety of companies in unrelated sectors. Companies in the technology
sectors are subject to certain risks, including the risk that new services, equipment or technologies will not be accepted by consumers and businesses or will become rapidly obsolete.
Columbia
Small Cap Growth Fund I | Annual Report 2019
|
29
|
Notes to Financial Statements (continued)
August 31, 2019
Performance of such
companies may be affected by factors including obtaining and protecting patents (or the failure to do so) and significant competitive pressures, including aggressive pricing of their products or services, new market entrants, competition for market
share and short product cycles due to an accelerated rate of technological developments. Such competitive pressures may lead to limited earnings and/or falling profit margins. As a result, the value of their securities may fall or fail to rise. In
addition, many technology sector companies have limited operating histories and prices of these companies’ securities historically have been more volatile than other securities, especially over the short term.
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.
30
|
Columbia Small Cap Growth
Fund I | 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 Small Cap Growth Fund I
Opinion on the Financial Statements
We have audited the accompanying statement of assets and
liabilities, including the portfolio of investments, of Columbia Small Cap Growth Fund I (one of the funds constituting Columbia Funds Series Trust I, hereafter referred to as the “Fund”) as of August 31, 2019, the related statement of
operations for the year ended August 31, 2019, the statement of changes in net assets for each of the two years in the period ended August 31, 2019, including the related notes, and the financial highlights for each of the five years in the period
ended August 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 August 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 August 31, 2019 and the financial highlights for each of the five years in the period ended August 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 August 31, 2019, by correspondence with the custodian, transfer agent and brokers; when replies were not received from brokers, we performed other audit procedures. We believe that our audits provide a reasonable basis for
our opinion.
/s/PricewaterhouseCoopers LLP
Minneapolis, Minnesota
October 24, 2019
We have served as the auditor of one or more investment
companies within the Columbia Funds Complex since 1977.
Columbia
Small Cap Growth Fund I | Annual Report 2019
|
31
|
Federal Income Tax Information
(Unaudited)
The Fund hereby designates the following tax attributes for
the fiscal year ended August 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
|
4.90%
|
4.90%
|
$54,837,145
|
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.
TRUSTEES AND OFFICERS
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), September 2007-October 2018
|
70
|
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, December 2002-May 2006; President of UAL Loyalty Services (airline marketing company), September 2001-December 2002; Executive Vice President and Chief
Financial Officer of United Airlines, July 1999-September 2001
|
70
|
Spartan
Nash Company, (food distributor); former Director, Nash Finch Company (food distributor), 2005-2013; Aircastle Limited (aircraft leasing); former Director, SeaCube Container Leasing Ltd. (container leasing), 2010-2013; and Travelport Worldwide
Limited (travel information technology)
|
32
|
Columbia Small Cap Growth
Fund I | 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
|
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), 1997-2010; Chair, Wellington Management Portfolios (commingled non-U.S. investment pools), 2007-2010; Director, Wellington Trust Company, NA
and other Wellington affiliates, 1997-2010
|
70
|
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
|
70
|
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
|
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, August 2007-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, August 1999-October 2005;
University Professor, Boston College, November 2005-August 2007
|
70
|
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, 1988-2014
|
70
|
Former
Director, M Fund, Inc. (M Funds mutual fund family), July 2018-July 2019
|
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, 1994-1997, President – Application Systems Division, 1991-1994, Chief Financial Officer – US Marketing & Services, 1988-1991, and Chief Information Officer, 1987-1988, IBM Corporation
(computer and technology)
|
70
|
Former
Director, Enesco Group, Inc. (producer of giftware and home and garden decor products), 2001-2006
|
Columbia
Small Cap Growth Fund I | Annual Report 2019
|
33
|
TRUSTEES AND OFFICERS (continued)
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, May
2010-February 2015; President, Columbia Funds, 2009-2015; and senior officer of Columbia Funds and affiliated funds, 2003-2015
|
70
|
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
|
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, 2004-2010; Senior Partner, McKinsey & Company, 2001-2004
|
70
|
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, April 2016-September
2016; Senior Vice President and Chief Investment Officer, Calvert Investments, August 2008-January 2016; Section Head and Portfolio Manager, General Motors Asset Management, June 1997-August 2008
|
70
|
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
|
192
|
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, August 2006 - January 2013
|
34
|
Columbia Small Cap Growth
Fund I | Annual Report 2019
|
TRUSTEES AND OFFICERS (continued)
*
|
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.
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 as of the printing of this report, 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.
|
Columbia
Small Cap Growth Fund I | Annual Report 2019
|
35
|
TRUSTEES AND OFFICERS (continued)
Fund officers (continued)
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
|
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.
|
Board Consideration and Approval of
Management
Agreement
On June 12, 2019, the Board of Trustees (the Board) and the
Trustees who are not interested persons (as defined in the Investment Company Act of 1940) (the Independent Trustees) of Columbia Funds Series Trust I (the Trust) unanimously approved the continuation of the Management Agreement (the Management
Agreement) with Columbia Management Investment Advisers, LLC (the Investment Manager) with respect to Columbia Small Cap Growth Fund I (the Fund), a series of the Trust. As detailed below, the Board’s Advisory Fees and Expenses Committee (the
Committee) and the Board met on multiple occasions to review and discuss, among themselves, with the management team of the Investment Manager and with an independent fee consultant, materials provided by the Investment Manager, the independent fee
consultant and others before determining to approve the continuation of the Management Agreement.
In connection with their deliberations regarding the
continuation of the Management Agreement, the Committee and the Board evaluated materials requested from the Investment Manager regarding the Fund and the Management Agreement, and discussed these materials with representatives of the Investment
Manager at Committee meetings held on March 5, 2019, April 25, 2019 and June 11, 2019 and at Board meetings held on March 6, 2019 and June 12, 2019. In addition, the Board and its various committees consider matters bearing on the Management
Agreement at other meetings throughout the year and in prior years and meet regularly with senior management of the Trust and the Investment Manager. Through the Board’s Investment Oversight Committees, Trustees also meet with selected
portfolio managers of the funds the Trustees oversee and with other investment personnel at various times throughout the year. The Committee and the Board also consulted with the independent fee consultant, Fund counsel and the Independent
Trustees’ independent legal counsel, who advised on various matters with respect to the Committee’s and the Board’s considerations and otherwise assisted the Committee and the Board in their deliberations. On June 11, 2019, the
Committee recommended that the Board approve the continuation of the Management Agreement. On June 12, 2019, the Board, including the Independent Trustees, voting separately, unanimously approved the continuation of the Management Agreement for the
Fund.
The Committee and the Board considered all
information that they, their legal counsel or the Investment Manager believed reasonably necessary to evaluate and to determine whether to recommend for approval or approve the continuation of the Management Agreement. The information and factors
considered by the Committee and the Board in recommending for approval or approving the continuation of the Management Agreement for the Fund included the following:
•
|
Information on the
investment performance of the Fund relative to the performance of a group of mutual funds determined to be comparable to the Fund by an independent third-party data provider, as well as performance relative to benchmarks;
|
•
|
Information on the
Fund’s management fees and total expenses, including information comparing the Fund’s expenses to those of a group of comparable mutual funds, as determined by the independent third-party data provider;
|
36
|
Columbia Small Cap Growth
Fund I | Annual Report 2019
|
Board Consideration and Approval of Management
Agreement (continued)
•
|
The Investment
Manager’s agreement to contractually limit or cap total operating expenses for the Fund through December 31, 2020 so that total operating expenses (excluding certain fees and expenses, such as transaction costs and certain other investment
related expenses, interest, taxes, acquired fund fees and expenses, and infrequent and/or unusual expenses) would not exceed a specified annual rate, as a percentage of the Fund’s net assets;
|
•
|
The terms and conditions of
the Management Agreement;
|
•
|
The current and proposed
terms and conditions of other agreements and arrangements with affiliates of the Investment Manager relating to the operations of the Fund, including agreements with respect to the provision of distribution, transfer agency and shareholder services
to the Fund;
|
•
|
Descriptions of various
functions performed by the Investment Manager under the Management Agreement, including portfolio management and portfolio trading practices;
|
•
|
Information regarding the
management fees of similarly-managed portfolios of other clients of the Investment Manager, including institutional accounts and collective trusts;
|
•
|
Information regarding the
reputation, regulatory history and resources of the Investment Manager, including information regarding senior management, portfolio managers and other personnel;
|
•
|
Information regarding the
capabilities of the Investment Manager with respect to compliance monitoring services, including an assessment of the Investment Manager’s compliance system by the Fund’s Chief Compliance Officer; and
|
•
|
The profitability to the
Investment Manager and its affiliates from their relationships with the Fund.
|
Nature, extent and quality of services provided under the
Management Agreement
The Committee and the Board
considered the nature, extent and quality of services provided to the Fund by the Investment Manager and its affiliates under the Management Agreement and under separate agreements for the provision of transfer agency and shareholder services, and
the resources dedicated to the Fund and the other Columbia Funds by the Investment Manager and its affiliates. The Committee and the Board considered, among other things, the Investment Manager’s ability to attract, motivate and retain highly
qualified research, advisory and supervisory investment professionals (including compensation programs for personnel involved in fund management, reputation and other attributes), the portfolio management services provided by those investment
professionals, and the quality of the Investment Manager’s investment research capabilities and trade execution services. The Committee and the Board also considered the potential benefits to shareholders of investing in a mutual fund that is
part of a fund complex offering exposure to a variety of asset classes and investment disciplines and providing a variety of fund and shareholder services.
The Committee and the Board also considered the professional
experience and qualifications of the senior personnel of the Investment Manager, which included consideration of the Investment Manager’s experience with funds using an investment strategy similar to that used by the Investment Manager for the
Fund. The Committee and the Board noted the compliance programs of and the compliance-related resources provided to the Fund by the Investment Manager and its affiliates and the resources dedicated by the Investment Manager and its affiliates to
risk management, and considered the Investment Manager’s ability to provide administrative services to the Fund and coordinate the activities of the Fund’s other service providers. After reviewing these and related factors, the Committee
and the Board concluded, within the context of their overall conclusions, that the nature, extent and quality of the services provided to the Fund under the Management Agreement supported the continuation of the Management Agreement.
Investment performance
The Committee and the Board reviewed information about the
performance of the Fund over various time periods, including performance information relative to benchmarks, information that compared the performance of the Fund to the performance of a group of comparable mutual funds as determined by the
independent third-party data provider, and information and analysis provided by the independent fee consultant. The Committee and the Board also reviewed a description of the third party’s methodology for identifying the Fund’s peer
groups for purposes of performance and expense comparisons.
Columbia
Small Cap Growth Fund I | Annual Report 2019
|
37
|
Board Consideration and Approval of Management
Agreement (continued)
The Committee and the Board noted that, through December 31, 2018, the
Fund’s performance was in the thirtieth, sixteenth and twenty-sixth percentile (where the best performance would be in the first percentile) of its category selected by the independent third-party data provider for the purposes of performance
comparisons for the one-, three- and five-year periods, respectively.
The Committee and the Board also considered the Investment
Manager’s performance and reputation generally, the Investment Manager’s historical responsiveness to Board concerns about performance, and the Investment Manager’s willingness to take steps intended to improve performance. After
reviewing these and related factors, the Committee and the Board concluded, within the context of their overall conclusions, that the performance of the Fund and the Investment Manager was sufficient, in light of other considerations, to support the
continuation of the Management Agreement.
Investment
management fee rates and other expenses
The Committee
and the Board considered the management fees charged to the Fund under the Management Agreement as well as the total expenses incurred by the Fund. In assessing the reasonableness of the fees under the Management Agreement, the Committee and the
Board considered, among other information, the Fund’s total expense ratio as a percentage of average daily net assets. The Committee and the Board considered data provided by the independent third-party data provider and the independent fee
consultant. The Committee and the Board noted that, as of December 31, 2018, the Fund’s actual management fee and net total expense ratio were both ranked in the fourth quintile (where the lowest fees and expenses would be in the first
quintile) against the Fund’s expense universe as determined by the independent third-party data provider for purposes of expense comparison. The Committee and the Board also took into account the fee waiver and expense limitation arrangements
agreed to by the Investment Manager, as noted above.
The
Committee and the Board also received and considered information about the management fees charged by the Investment Manager to institutional accounts. In considering the fees charged to those accounts, the Committee and the Board took into account,
among other things, the Investment Manager’s representations about the differences between managing mutual funds as compared to other types of accounts, including differences in the services provided, differences in the risk profile of such
business for the Investment Manager and the additional resources required to manage mutual funds effectively. The Committee and the Board also received and considered information about the fees charged by the Investment Manager for sub-advisory
services it provides to comparable unaffiliated funds. In evaluating the Fund’s management fees, the Committee and the Board also took into account the demands, complexity and quality of the investment management of the Fund.
After reviewing these and related factors, the Committee and
the Board concluded, within the context of their overall conclusions, that the management fee rates and expenses of the Fund, in light of other considerations, supported the continuation of the Management Agreement.
Costs of services provided and profitability
The Committee and the Board also took note of the costs the
Investment Manager and its affiliates incur in connection with the services provided and the profitability to the Investment Manager and its affiliates from their relationships with the Fund, and the efforts undertaken by the Investment Manager and
its affiliates to manage efficiently their costs to provide such services.
The Committee and the Board also considered the compensation
directly or indirectly received by the Investment Manager’s affiliates in connection with their relationships with the Fund. The Committee and the Board reviewed information provided by management as to the profitability to the Investment
Manager and its affiliates of their relationships with the Fund, information about the allocation of expenses used to calculate profitability, and comparisons of profitability levels realized in 2018 to profitability levels realized in 2017. When
reviewing profitability, the Committee and the Board also considered court cases in which adviser profitability was an issue in whole or in part, the performance of similarly managed funds, the performance of the Fund, and the expense ratio of the
Fund. In addition, the Committee and the Board considered information provided by the Investment Manager regarding the Investment Manager’s financial condition and comparing its profitability to that of other asset management firms that are,
or are subsidiaries of, publicly traded companies. In this regard, the Committee and the Board also considered data provided by the independent fee consultant.
38
|
Columbia Small Cap Growth
Fund I | Annual Report 2019
|
Board Consideration and Approval of Management
Agreement (continued)
After reviewing these and related factors, the Committee and the Board
concluded, within the context of their overall conclusions, that the costs of services provided and the profitability to the Investment Manager and its affiliates from their relationships with the Fund supported the continuation of the Management
Agreement.
Economies of scale
The Committee and the Board considered the potential
existence of economies of scale in the provision by the Investment Manager of services to the Fund, to groups of related funds, and to the Investment Manager’s investment advisory clients as a whole, and whether those economies of scale were
shared with the Fund through breakpoints in investment management fees or other means, such as expense limitation arrangements and additional investments by the Investment Manager in investment, trading, compliance and other resources. The Committee
and the Board noted that the management fee schedules for the Fund contained breakpoints that would reduce the fee rate on assets above specified threshold levels.
In considering these matters, the Committee and the Board also
considered the costs of the services provided and the profitability to the Investment Manager and its affiliates from their relationships with the Fund, as noted above. After reviewing these and related factors, the Committee and the Board
concluded, within the context of their overall conclusions, that the extent to which any economies of scale were expected to be shared with the Fund supported the continuation of the Management Agreement.
Other benefits to the Investment Manager
The Committee and the Board received and considered
information regarding “fall-out” or ancillary benefits received by the Investment Manager and its affiliates as a result of their relationships with the Fund, such as the engagement of the Investment Manager’s affiliates to provide
distribution, transfer agency and shareholder services to the Fund. In this regard, among other matters, the Committee and the Board considered that the Fund’s distributor retains a portion of the distribution fees from the Fund and receives a
portion of the sales charges on sales or redemptions of certain classes of shares of the Fund. The Committee and the Board also considered the benefits of research made available to the Investment Manager by reason of brokerage commissions generated
by the Fund’s securities transactions, and reviewed information about the Investment Manager’s practices with respect to considering brokerage and research services when allocating portfolio transactions. In this connection, the Board
also noted that the amount of research made available to the Investment Manager by reason of brokerage commissions had been declining over time, and may decline further. The Committee and the Board recognized that the Investment Manager’s
profitability would be somewhat lower without these benefits.
Conclusion
The Committee and the Board reviewed all of the above
considerations in reaching their decisions to recommend or approve the continuation of the Management Agreement. In their deliberations, the Trustees did not identify any particular information that was all-important or controlling, and individual
Trustees may have attributed different weights to the various factors. Based on their evaluation of all factors that they deemed to be material, including those factors described above, and assisted by the advice of independent legal counsel, the
Board, including the Independent Trustees, voting separately, unanimously approved the continuation of the Management Agreement.
Columbia
Small Cap Growth Fund I | Annual Report 2019
|
39
|
Columbia Small Cap Growth Fund I
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
August 31, 2019
Columbia Global Dividend Opportunity
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
|
|
6
|
|
9
|
|
10
|
|
14
|
|
16
|
|
17
|
|
20
|
|
24
|
|
33
|
|
34
|
|
34
|
|
38
|
Columbia Global Dividend Opportunity Fund (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-PORT, and for reporting periods ended prior to March 31, 2019, on Form N-Q. The Fund’s Form N-Q and Form N-PORT filings are available on the SEC’s website at sec.gov.
The Fund’s complete schedule of portfolio holdings, as filed on Form N-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 (the Investment Manager)
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 Global
Dividend Opportunity Fund | Annual Report 2019
Investment objective
The Fund seeks total return,
consisting of current income and capital appreciation.
Portfolio
management
Jonathan Crown
Lead Portfolio
Manager
Managed Fund
since 2016
Georgina Hellyer,
CFA
Portfolio
Manager
Managed Fund
since 2018
Morningstar
style boxTM
The Morningstar
Style Box is based on a fund’s portfolio holdings. For equity funds, the vertical axis shows the market capitalization of the stocks owned, and the horizontal axis shows investment style (value, blend, or growth). Information shown is based on
the most recent data provided by Morningstar.
© 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 August 31, 2019)
|
|
|
Inception
|
1
Year
|
5
Years
|
10
Years
|
Class
A
|
Excluding
sales charges
|
11/01/02
|
-0.16
|
1.81
|
6.82
|
|
Including
sales charges
|
|
-5.90
|
0.62
|
6.19
|
Advisor
Class*
|
03/19/13
|
0.10
|
2.07
|
7.09
|
Class
C
|
Excluding
sales charges
|
10/13/03
|
-0.86
|
1.07
|
6.03
|
|
Including
sales charges
|
|
-1.81
|
1.07
|
6.03
|
Institutional
Class
|
11/09/00
|
0.10
|
2.08
|
7.09
|
Institutional
2 Class*
|
01/08/14
|
0.23
|
2.22
|
7.18
|
Institutional
3 Class
|
07/15/09
|
0.29
|
2.30
|
7.30
|
Class
R*
|
09/27/10
|
-0.41
|
1.55
|
6.55
|
MSCI
ACWI High Dividend Yield Index (Net)
|
|
2.40
|
3.69
|
7.39
|
MSCI
ACWI (Net)
|
|
-0.28
|
5.51
|
8.61
|
Returns for Class A shares are shown
with and without the maximum initial sales charge of 5.75%. Returns for Class C shares are shown with and without the 1.00% contingent deferred sales charge for the first year only. The Fund’s other share classes are not subject to sales
charges and have limited eligibility. Please see the Fund’s prospectus for details. Performance for different share classes will vary based on differences in sales charges and fees associated with each share class. All results shown assume
reinvestment of distributions during the period. Returns do not reflect the deduction of taxes that a shareholder may pay on Fund distributions or on the redemption of Fund shares. Performance results reflect the effect of any fee waivers or
reimbursements of Fund expenses by Columbia Management Investment Advisers, LLC and/or any of its affiliates. Absent these fee waivers or expense reimbursement arrangements, performance results would have been lower.
The performance information shown represents past performance and
is not a guarantee of future results. The investment return and principal value of your investment will fluctuate so that your shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than
the performance information shown. You may obtain performance information current to the most recent month-end by contacting your financial intermediary, visiting columbiathreadneedleus.com/investor/ or calling 800.345.6611.
*
|
The returns shown for periods
prior to the share class inception date (including returns for the Life of the Fund, if shown, which are since Fund inception) include the returns of the Fund’s oldest share class. These returns are adjusted to reflect any higher class-related
operating expenses of the newer share classes, as applicable. Please visit columbiathreadneedleus.com/investor/investment-products/mutual-funds/appended-performance for more information.
|
The MSCI ACWI High Dividend Yield Index (Net) includes large
and mid-cap stocks across 23 developed market countries. The index is designed to reflect the performance of equities selected from the MSCI World Index with higher than average dividend yields that are both sustainable and persistent.
The MSCI ACWI (Net) is a free float-adjusted market
capitalization weighted index that is designed to measure the equity market performance of developed and emerging markets. The index consists of 45 country indices comprising 24 developed and 21 emerging market country indices.
Indices are not available for investment, are not
professionally managed and do not reflect sales charges, fees, brokerage commissions, taxes (except the MSCI ACWI High Dividend Yield Index (Net) and the MSCI ACWI (Net) which reflect reinvested dividends net of withholding taxes) or other expenses
of investing. Securities in the Fund may not match those in an index.
Columbia
Global Dividend Opportunity Fund | Annual Report 2019
|
3
|
Fund at a Glance (continued)
Performance of a
hypothetical $10,000 investment (August 31, 2009 — August 31, 2019)
The chart above shows the
change in value of a hypothetical $10,000 investment in Class A shares of Columbia Global Dividend Opportunity 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 August 31, 2019)
|
Samsung
Electronics Co., Ltd. (South Korea)
|
3.8
|
PepsiCo,
Inc. (United States)
|
3.4
|
Unilever
NV (Netherlands)
|
3.3
|
Pfizer,
Inc. (United States)
|
3.3
|
Novartis
AG, ADR (Switzerland)
|
3.3
|
Verizon
Communications, Inc. (United States)
|
3.1
|
CME
Group, Inc. (United States)
|
2.9
|
Wells
Fargo & Co. (United States)
|
2.8
|
Lockheed
Martin Corp. (United States)
|
2.8
|
Deutsche
Telekom AG, Registered Shares (Germany)
|
2.4
|
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.
Equity
sector breakdown (%) (at August 31, 2019)
|
Communication
Services
|
10.4
|
Consumer
Discretionary
|
4.0
|
Consumer
Staples
|
14.2
|
Energy
|
7.9
|
Financials
|
15.5
|
Health
Care
|
14.7
|
Industrials
|
10.3
|
Information
Technology
|
11.4
|
Materials
|
6.8
|
Real
Estate
|
1.2
|
Utilities
|
3.6
|
Total
|
100.0
|
Percentages indicated are based
upon total equity investments. The Fund’s portfolio composition is subject to change.
4
|
Columbia Global Dividend
Opportunity Fund | Annual Report 2019
|
Fund at a Glance (continued)
Country
breakdown (%) (at August 31, 2019)
|
Australia
|
1.0
|
Austria
|
1.0
|
Brazil
|
1.3
|
Canada
|
6.3
|
China
|
0.5
|
Finland
|
1.8
|
France
|
0.8
|
Germany
|
4.4
|
Hong
Kong
|
1.5
|
Indonesia
|
1.2
|
Isle
of Man
|
0.4
|
Japan
|
3.9
|
Jersey
|
1.2
|
Netherlands
|
3.3
|
South
Korea
|
3.7
|
Spain
|
2.2
|
Switzerland
|
4.3
|
Taiwan
|
1.8
|
United
Kingdom
|
13.6
|
United
States(a)
|
45.8
|
Total
|
100.0
|
(a)
|
Includes
investments in Money Market Funds.
|
Country breakdown is based primarily on issuer’s place
of organization/incorporation. Percentages indicated are based upon total investments excluding investments in derivatives, if any. The Fund’s portfolio composition is subject to change.
Columbia
Global Dividend Opportunity Fund | Annual Report 2019
|
5
|
Manager Discussion of Fund Performance
For the
12-month period that ended August 31, 2019, the Fund’s Class A shares returned -0.16% excluding sales charges. The Fund underperformed its primary benchmark, the MSCI ACWI High Dividend Yield Index (Net), which returned 2.40%, but outperformed
its secondary benchmark, the MSCI ACWI (Net), which returned -0.28%, for the same period. The Fund’s underperformance of the primary benchmark can be attributed primarily to sector allocation and country allocation overall, which more than
offset the positive contribution of effective stock selection as a whole.
Global equity markets gained despite persistent trade
tensions
Global equities gained for the period despite
an initial decline between September and December 2018 caused by persisting trade tensions, unrest in the Middle East and investor concerns around the outlook for global economic growth. The four months that followed saw these losses fully recouped.
Investors welcomed the dovish pivot by the U.S. Federal Reserve, plans for economic stimulus in Europe and Asia, and seeming progress in trade talks between the U.S. and China. Equity market rotations in the last four months of the period continued
to reflect rhetoric from the U.S. President and his Chinese counterparts regarding additional tariffs and, alternately, calls for calm from Beijing, swinging investor sentiment. In Europe, the formation of a Euro-sceptic Italian government prompted
caution. Initial concerns around the expansionary nature of the country’s budget receded when the European Union adopted a more conciliatory tone, having first warned of disciplinary action for breaching its rules. In the U.K., the
sterling’s decline benefited overseas investors but reflected fears that a Brexit (the U.K.’s departure from the European Union) deadline may be hit without any agreement on the nation’s future relationship with the European Union.
Elsewhere, Japanese stocks were among the hardest hit by ongoing global economic growth concerns, while emerging markets fell away as resurgent trade tensions prompted a flight to “safe haven” assets at the start of August 2019.
Against a backdrop of declining bond yields and bouts of risk
aversion, defensive sectors generally outperformed sources of cyclical growth. Utilities and consumer staples were the best performers in the primary benchmark by a wide margin during the period. Conversely, materials and energy were the weakest
sectors in the primary benchmark during the period, weighed on by the subdued outlook for global economic growth. Fears around a crude supply glut and OPEC’s struggles to agree to an output cut also applied significant downward pressure on the
energy sector between October and December 2018. From a country perspective, Russia, Brazil, Denmark, Spain and New Zealand performed best within the primary benchmark for the period overall. The U.S. posted single-digit positive absolute returns
that outpaced the primary benchmark but lagged these other nations’ markets. The weakest performers within the primary benchmark during the period were Austria, Pakistan, Belgium, Chile and Egypt.
Sector allocation overall dampened Fund results most
Sector allocation decisions overall dampened Fund results
most. More specifically, having underweights to utilities and consumer staples, the two best performing sectors in the primary benchmark during the period, especially hurt. Having overweights to materials and industrials, which each significantly
lagged the primary benchmark during the period, further detracted. Stock selection in financials, consumer staples and energy also detracted from performance during the period as did having a position in cash, albeit a modest one, during an period
when the primary benchmark advanced. From a country perspective, stock selection in the U.S. detracted most. Having an underweight to Switzerland, which strongly outpaced the primary benchmark during the period, and having an overweight to the U.K.,
which underperformed the primary benchmark during the period, also hurt as did stock selection in each of these countries.
Among the individual holdings that detracted most from
relative results during the period were U.K. tobacco company British American Tobacco, U.S. oilfield services provider Schlumberger and Finland-based insurance company Sampo. British American Tobacco detracted from the Fund’s relative results
owing to concerns around tobacco industry sales volumes, regulations and the company’s share in combustibles (cigarettes, cigars and loose roll-your-own and pipe tobacco). Shares of Schlumberger declined along with the broad energy sector amid
a backdrop of falling crude oil prices. The pullback in Sampo’s shares largely reflected investor concerns about the outlook for its dividend, as Finnish bank Nordea Bank — in which Sampo has a significant stake — proposed a review
of its capital and dividend policy.
6
|
Columbia Global Dividend
Opportunity Fund | Annual Report 2019
|
Manager Discussion of Fund Performance (continued)
Stock selection as a whole boosted Fund results
Stock selection as a whole boosted Fund results during the
period, especially in the industrials, communication services, consumer discretionary, materials and real estate sectors. From a country perspective, stock selection in China, Germany and Indonesia, along with an underweight to the weakly performing
China equity market and an overweight to the stronger performing Indonesia equity market, contributed positively to Fund results.
During the period, U.S. derivatives exchange operator CME
Group, Hong Kong-based telecommunications services provider HKT Trust and HKT (HKT) and China-based sportswear manufacturer ANTA Sports Products were among the top contributors to Fund results. CME Group benefited during the period from an increase
in market volatility. HKT performed well based on both effective execution in the mobile industry and on subscriber gains in broadband. Shares of ANTA Sports Products gained, buoyed by compelling sales guidance, upcoming sporting events and
e-commerce potential. The company also benefited from investor optimism around its multi-brand strategy, which has enabled it to access a wide customer base.
Stock selection strategy drove weighting changes
In implementing our bottom-up selection strategy during the
period, the Fund’s allocation to utilities increased relative to the primary benchmark, mainly via purchases of U.S. companies where we felt a shift to renewables could help their medium-term growth prospects. We shifted to an overweight in
consumer staples, though we reduced the Fund’s exposure to the food and staples retailing industry within the sector. We decreased the Fund’s exposure to the consumer discretionary sector, primarily the result of a reduction in exposure
to the auto industry. We also decreased the Fund’s allocation to financials, reducing exposure to banks and diversified financials though increasing exposure to the insurance industry.
Among the most significant purchases for the Fund during the
period were U.K.-based consumer health, hygiene and home products manufacturer Reckitt Benckiser. Following significant reinvestment, we expect the company’s operational performance to improve. A new Chief Executive Officer also brought
renewed investor optimism and prospects of a more clearly delineated strategic focus. We also initiated a Fund position in U.S. electric utilities company American Electric Power, which operates across multiple U.S. states and boasts one of the
nation’s largest generation portfolios. In our view, its diversified asset base produces stable cash flows and helps mitigate exposure to changing regulatory or customer usage trends. We further believe the company is well positioned to meet
pending environmental standards. Conversely, we sold the Fund’s position in U.S. regional theme park operator Six Flags Entertainment based on concerns about the effect of construction delays and slower U.S. economic growth on its future
earnings. We also exited the Fund’s position in Thai full-service bank Siam Commercial Bank. The bank’s results had demonstrated solid trends in loan growth but also showed, in our view, that its transformation program, designed to
enhance its digital capabilities, drove its costs higher relative to its peers. Though its stock’s valuation was supportive, in our opinion, this lack of cost control led us to believe better investment opportunities were available
elsewhere.
From a country perspective, we increased the
Fund’s exposure to the U.S. and the Netherlands and reduced its exposure to Japan and Australia relative to the primary benchmark.
At the end of the period, the Fund was most overweight the
information technology, materials, communication services and industrials sectors and most underweight the consumer discretionary, utilities and health care sectors relative to the primary benchmark. By country, the Fund was most overweight the
U.K., the U.S., the Netherlands, South Korea and Finland and was most underweight Switzerland, France, China, Japan and Taiwan relative to the primary benchmark.
Market risk may affect a single
issuer, sector of the economy, industry or the market as a whole. 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. Value securities may be unprofitable if the market fails to recognize their
intrinsic worth or the portfolio manager misgauged that worth. 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
Columbia
Global Dividend Opportunity Fund | Annual Report 2019
|
7
|
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.
8
|
Columbia Global Dividend
Opportunity 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 $1,000
= 8.6), then multiply the results by the expenses paid during the period under the “Actual” column. The amount listed in the “Hypothetical” column assumes a 5% annual rate of return before expenses (which is not the
Fund’s actual return) and then applies the Fund’s actual expense ratio for the period to the hypothetical return. You should not use the hypothetical account values and expenses to estimate either your actual account balance at the end
of the period or the expenses you paid during the period. See “Compare with other funds” below for details on how to use the hypothetical data.
Compare with other funds
Since all mutual funds are required to include the same
hypothetical calculations about expenses in shareholder reports, you can use this information to compare the ongoing cost of investing in the Fund with other funds. To do so, compare the hypothetical example with the 5% hypothetical examples that
appear in the shareholder reports of other funds. As you compare hypothetical examples of other funds, it is important to note that hypothetical examples are meant to highlight the ongoing costs of investing in a fund only and do not reflect any
transaction costs, such as sales charges, or redemption or exchange fees. Therefore, the hypothetical calculations are useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. If
transaction costs were included in these calculations, your costs would be higher.
March
1, 2019 — August 31, 2019
|
|
Account
value at the
beginning of the
period ($)
|
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
|
1,024.00
|
1,018.80
|
6.34
|
6.33
|
1.25
|
Advisor
Class
|
1,000.00
|
1,000.00
|
1,025.60
|
1,020.05
|
5.08
|
5.06
|
1.00
|
Class
C
|
1,000.00
|
1,000.00
|
1,020.50
|
1,015.04
|
10.13
|
10.10
|
2.00
|
Institutional
Class
|
1,000.00
|
1,000.00
|
1,025.70
|
1,020.05
|
5.08
|
5.06
|
1.00
|
Institutional
2 Class
|
1,000.00
|
1,000.00
|
1,025.90
|
1,020.76
|
4.37
|
4.36
|
0.86
|
Institutional
3 Class
|
1,000.00
|
1,000.00
|
1,026.70
|
1,021.01
|
4.12
|
4.10
|
0.81
|
Class
R
|
1,000.00
|
1,000.00
|
1,022.20
|
1,017.55
|
7.60
|
7.59
|
1.50
|
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
Global Dividend Opportunity Fund | Annual Report 2019
|
9
|
Portfolio of Investments
August 31, 2019
(Percentages represent value of investments compared to net
assets)
Investments in securities
Common
Stocks 97.1%
|
Issuer
|
Shares
|
Value
($)
|
Australia
1.0%
|
Transurban
Group
|
498,753
|
5,020,371
|
Austria
1.0%
|
Erste
Group Bank AG
|
153,025
|
4,921,971
|
Brazil
1.2%
|
Ambev
SA
|
1,326,800
|
6,033,239
|
Canada
6.3%
|
Manulife
Financial Corp.
|
354,709
|
5,885,175
|
Nutrien
Ltd.
|
227,705
|
11,467,224
|
Suncor
Energy, Inc.
|
265,920
|
7,777,471
|
TC
Energy Corp.
|
102,442
|
5,249,056
|
Total
|
30,378,926
|
China
0.5%
|
Ping
An Insurance Group Co. of China Ltd., Class H
|
213,500
|
2,449,488
|
Finland
1.8%
|
Nordea
Bank
|
21,772
|
135,848
|
Sampo
OYJ, Class A
|
217,721
|
8,650,289
|
Total
|
8,786,137
|
France
0.8%
|
BNP
Paribas SA
|
85,649
|
3,860,705
|
Germany
4.4%
|
Axel
Springer SE(a)
|
73,796
|
5,069,092
|
Deutsche
Telekom AG, Registered Shares
|
694,468
|
11,593,892
|
Evonik
Industries AG
|
183,430
|
4,689,340
|
Total
|
21,352,324
|
Hong
Kong 1.5%
|
HKT
Trust & HKT Ltd.
|
2,415,000
|
3,772,558
|
Hong
Kong Exchanges and Clearing Ltd.
|
109,400
|
3,338,761
|
Total
|
7,111,319
|
Indonesia
1.2%
|
PT
Telekomunikasi Indonesia Persero Tbk
|
18,203,100
|
5,723,268
|
Isle
of Man 0.4%
|
GVC
Holdings PLC
|
266,148
|
2,042,098
|
Common
Stocks (continued)
|
Issuer
|
Shares
|
Value
($)
|
Japan
3.9%
|
Bridgestone
Corp.
|
129,000
|
4,885,422
|
Nintendo
Co., Ltd.
|
23,400
|
8,854,576
|
Tokyo
Electron Ltd.
|
28,700
|
5,117,549
|
Total
|
18,857,547
|
Jersey
1.2%
|
Amcor
PLC
|
601,750
|
5,860,185
|
Netherlands
3.3%
|
Unilever
NV(a)
|
254,637
|
15,799,789
|
South
Korea 3.7%
|
Samsung
Electronics Co., Ltd.
|
492,227
|
17,921,483
|
Spain
2.2%
|
Ferrovial
SA
|
366,782
|
10,439,958
|
Switzerland
4.3%
|
Nestlé
SA, Registered Shares
|
14,834
|
1,666,963
|
Novartis
AG, ADR
|
172,036
|
15,502,164
|
UBS
AG(a)
|
330,316
|
3,507,191
|
Total
|
20,676,318
|
Taiwan
1.8%
|
Taiwan
Semiconductor Manufacturing Co., Ltd.
|
1,081,000
|
8,882,177
|
United
Kingdom 13.5%
|
Anglo
American PLC
|
138,526
|
3,001,790
|
BAE
Systems PLC
|
1,100,438
|
7,318,054
|
British
American Tobacco PLC
|
216,801
|
7,605,017
|
GlaxoSmithKline
PLC
|
480,778
|
10,019,110
|
Legal
& General Group PLC
|
1,685,184
|
4,514,946
|
Prudential
PLC
|
277,982
|
4,633,427
|
Reckitt
Benckiser Group PLC
|
88,816
|
6,941,054
|
RELX
PLC
|
288,870
|
6,907,171
|
Rio
Tinto PLC
|
143,428
|
7,269,762
|
Royal
Dutch Shell PLC, Class A
|
269,628
|
7,491,131
|
Total
|
65,701,462
|
The accompanying Notes to Financial Statements are an integral part
of this statement.
10
|
Columbia Global Dividend
Opportunity Fund | Annual Report 2019
|
Portfolio of Investments (continued)
August 31, 2019
Common
Stocks (continued)
|
Issuer
|
Shares
|
Value
($)
|
United
States 43.1%
|
American
Electric Power Co., Inc.
|
92,600
|
8,440,490
|
BB&T
Corp.
|
103,104
|
4,912,906
|
Cisco
Systems, Inc.
|
111,879
|
5,237,056
|
CME
Group, Inc.
|
63,651
|
13,830,726
|
Crown
Castle International Corp.
|
39,309
|
5,706,488
|
Emerson
Electric Co.
|
107,529
|
6,407,653
|
General
Motors Co.
|
197,769
|
7,335,252
|
Gilead
Sciences, Inc.
|
168,369
|
10,698,166
|
International
Business Machines Corp.
|
82,467
|
11,176,752
|
Johnson
& Johnson
|
53,782
|
6,903,458
|
Las
Vegas Sands Corp.
|
84,660
|
4,696,090
|
Lockheed
Martin Corp.
|
34,188
|
13,131,953
|
Maxim
Integrated Products, Inc.
|
108,341
|
5,908,918
|
Merck
& Co., Inc.
|
132,809
|
11,483,994
|
Occidental
Petroleum Corp.
|
69,624
|
3,027,252
|
PepsiCo,
Inc.
|
119,838
|
16,385,450
|
Pfizer,
Inc.
|
436,839
|
15,529,626
|
Philip
Morris International, Inc.
|
112,857
|
8,135,861
|
Procter
& Gamble Co. (The)
|
42,778
|
5,143,199
|
Valero
Energy Corp.
|
109,676
|
8,256,409
|
Common
Stocks (continued)
|
Issuer
|
Shares
|
Value
($)
|
Verizon
Communications, Inc.
|
251,494
|
14,626,891
|
Wells
Fargo & Co.
|
289,416
|
13,478,103
|
Xcel
Energy, Inc.
|
133,307
|
8,560,976
|
Total
|
209,013,669
|
Total
Common Stocks
(Cost $444,171,258)
|
470,832,434
|
|
Limited
Partnerships 1.2%
|
|
|
|
United
States 1.2%
|
Enterprise
Products Partners LP
|
200,271
|
5,709,726
|
Total
Limited Partnerships
(Cost $4,333,744)
|
5,709,726
|
|
Money
Market Funds 1.2%
|
|
Shares
|
Value
($)
|
Columbia
Short-Term Cash Fund, 2.208%(b),(c)
|
6,045,551
|
6,044,947
|
Total
Money Market Funds
(Cost $6,044,947)
|
6,044,947
|
Total
Investments in Securities
(Cost $454,549,949)
|
482,587,107
|
Other
Assets & Liabilities, Net
|
|
2,283,869
|
Net
Assets
|
$484,870,976
|
Notes to Portfolio of Investments
(a)
|
Non-income
producing investment.
|
(b)
|
The rate
shown is the seven-day current annualized yield at August 31, 2019.
|
(c)
|
As
defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. Holdings and
transactions in these affiliated companies during the year ended August 31, 2019 are as follows:
|
Issuer
|
Beginning
shares
|
Shares
purchased
|
Shares
sold
|
Ending
shares
|
Realized
gain
(loss) —
affiliated
issuers ($)
|
Net
change in
unrealized
appreciation
(depreciation) —
affiliated
issuers ($)
|
Dividends
—
affiliated
issuers ($)
|
Value
—
affiliated
issuers
at end of
period ($)
|
Columbia
Short-Term Cash Fund, 2.208%
|
|
10,000,767
|
116,127,279
|
(120,082,495)
|
6,045,551
|
13
|
—
|
180,840
|
6,044,947
|
Abbreviation
Legend
ADR
|
American
Depositary Receipt
|
Fair
value measurements
The Fund categorizes its
fair value measurements according to a three-level hierarchy that maximizes the use of observable inputs and minimizes the use of unobservable inputs by prioritizing that the most observable input be used when available. Observable inputs are those
that market participants would use in pricing an investment based on market data obtained from sources independent of the reporting entity. Unobservable inputs are those that reflect the Fund’s assumptions about the information market
participants would use in
The accompanying Notes to Financial Statements are an integral part of this
statement.
Columbia
Global Dividend Opportunity Fund | Annual Report 2019
|
11
|
Portfolio of Investments (continued)
August 31, 2019
Fair value
measurements (continued)
pricing an investment. An investment’s level within the fair value hierarchy is based on the lowest level of any input that is deemed significant to the
asset’s or liability’s fair value measurement. The input levels are not necessarily an indication of the risk or liquidity associated with investments at that level. For example, certain U.S. government securities are generally high
quality and liquid, however, they are reflected as Level 2 because the inputs used to determine fair value may not always be quoted prices in an active market.
Fair value inputs are summarized in the three broad levels listed
below:
■
|
Level 1 — Valuations
based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments.
|
■
|
Level 2 — Valuations
based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.).
|
■
|
Level 3 — Valuations
based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments).
|
Inputs that are used in determining fair value of an investment
may include price information, credit data, volatility statistics, and other factors. These inputs can be either observable or unobservable. The availability of observable inputs can vary between investments, and is affected by various factors such
as the type of investment, and the volume and level of activity for that investment or similar investments in the marketplace. The inputs will be considered by the Investment Manager, along with any other relevant factors in the calculation of an
investment’s fair value. The Fund uses prices and inputs that are current as of the measurement date, which may include periods of market dislocations. During these periods, the availability of prices and inputs may be reduced for many
investments. This condition could cause an investment to be reclassified between the various levels within the hierarchy.
Foreign equity securities actively traded in markets where there
is a significant delay in the local close relative to the New York Stock Exchange are classified as Level 2. The values of these securities may include an adjustment to reflect the impact of significant market movements following the close of local
trading, as described in Note 2 to the financial statements – Security valuation.
Investments falling into the Level 3 category are primarily
supported by quoted prices from brokers and dealers participating in the market for those investments. However, these may be classified as Level 3 investments due to lack of market transparency and corroboration to support these quoted prices.
Additionally, valuation models may be used as the pricing source for any remaining investments classified as Level 3. These models may rely on one or more significant unobservable inputs and/or significant assumptions by the Investment Manager.
Inputs used in valuations may include, but are not limited to, financial statement analysis, capital account balances, discount rates and estimated cash flows, and comparable company data.
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.
The following table is a summary of the
inputs used to value the Fund’s investments at August 31, 2019:
|
Level
1 ($)
|
Level
2 ($)
|
Level
3 ($)
|
Total
($)
|
Investments
in Securities
|
|
|
|
|
Common
Stocks
|
|
|
|
|
Australia
|
—
|
5,020,371
|
—
|
5,020,371
|
Austria
|
—
|
4,921,971
|
—
|
4,921,971
|
Brazil
|
6,033,239
|
—
|
—
|
6,033,239
|
Canada
|
30,378,926
|
—
|
—
|
30,378,926
|
China
|
—
|
2,449,488
|
—
|
2,449,488
|
Finland
|
—
|
8,786,137
|
—
|
8,786,137
|
France
|
—
|
3,860,705
|
—
|
3,860,705
|
Germany
|
—
|
21,352,324
|
—
|
21,352,324
|
Hong
Kong
|
—
|
7,111,319
|
—
|
7,111,319
|
Indonesia
|
—
|
5,723,268
|
—
|
5,723,268
|
Isle
of Man
|
—
|
2,042,098
|
—
|
2,042,098
|
Japan
|
—
|
18,857,547
|
—
|
18,857,547
|
Jersey
|
—
|
5,860,185
|
—
|
5,860,185
|
Netherlands
|
—
|
15,799,789
|
—
|
15,799,789
|
South
Korea
|
—
|
17,921,483
|
—
|
17,921,483
|
Spain
|
—
|
10,439,958
|
—
|
10,439,958
|
Switzerland
|
15,502,164
|
5,174,154
|
—
|
20,676,318
|
Taiwan
|
—
|
8,882,177
|
—
|
8,882,177
|
The accompanying Notes to Financial Statements are an integral part of this
statement.
12
|
Columbia Global Dividend
Opportunity Fund | Annual Report 2019
|
Portfolio of Investments (continued)
August 31, 2019
Fair value
measurements (continued)
|
Level
1 ($)
|
Level
2 ($)
|
Level
3 ($)
|
Total
($)
|
United
Kingdom
|
—
|
65,701,462
|
—
|
65,701,462
|
United
States
|
209,013,669
|
—
|
—
|
209,013,669
|
Total
Common Stocks
|
260,927,998
|
209,904,436
|
—
|
470,832,434
|
Limited
Partnerships
|
|
|
|
|
United
States
|
5,709,726
|
—
|
—
|
5,709,726
|
Total
Limited Partnerships
|
5,709,726
|
—
|
—
|
5,709,726
|
Money
Market Funds
|
6,044,947
|
—
|
—
|
6,044,947
|
Total
Investments in Securities
|
272,682,671
|
209,904,436
|
—
|
482,587,107
|
See the Portfolio of Investments for
all investment classifications not indicated in the table.
The Fund’s assets assigned to the Level 2 input category
are generally valued using the market approach, in which a security’s value is determined through reference to prices and information from market transactions for similar or identical assets. These assets include certain foreign securities for
which a third party statistical pricing service may be employed for purposes of fair market valuation. The model utilized by such third party statistical pricing service takes into account a security’s correlation to available market data
including, but not limited to, intraday index, ADR, and exchange-traded fund movements.
The following table is a reconciliation of Level 3 assets for
which significant observable and unobservable inputs were used to determine fair value:
|
Balance
as of
08/31/2018
($)
|
Increase
(decrease)
in accrued
discounts/
premiums
($)
|
Realized
gain (loss)
($)
|
Change
in unrealized
appreciation
(depreciation)
($)
|
Purchases
($)
|
Sales
($)
|
Transfers
into
Level 3
($)
|
Transfers
out of
Level 3
($)
|
Balance
as of
08/31/2019
($)
|
Common
Stocks
|
6,269,975
|
—
|
—
|
—
|
—
|
—
|
—
|
(6,269,975)
|
—
|
Financial assets were transferred
from Level 3 to Level 2 as observable market inputs were utilized and management determined that there was sufficient, reliable and observable market data to value these assets as of period end.
The accompanying Notes
to Financial Statements are an integral part of this statement.
Columbia
Global Dividend Opportunity Fund | Annual Report 2019
|
13
|
Statement of Assets and Liabilities
August 31, 2019
Assets
|
|
Investments
in securities, at value
|
|
Unaffiliated
issuers (cost $448,505,002)
|
$476,542,160
|
Affiliated
issuers (cost $6,044,947)
|
6,044,947
|
Receivable
for:
|
|
Capital
shares sold
|
19,671
|
Dividends
|
2,171,435
|
Foreign
tax reclaims
|
449,218
|
Expense
reimbursement due from Investment Manager
|
761
|
Prepaid
expenses
|
3,259
|
Trustees’
deferred compensation plan
|
199,643
|
Total
assets
|
485,431,094
|
Liabilities
|
|
Payable
for:
|
|
Capital
shares purchased
|
213,195
|
Foreign
capital gains taxes deferred
|
1
|
Management
services fees
|
10,205
|
Distribution
and/or service fees
|
588
|
Transfer
agent fees
|
44,035
|
Compensation
of chief compliance officer
|
33
|
Custodian
fees
|
47,574
|
Other
expenses
|
44,844
|
Trustees’
deferred compensation plan
|
199,643
|
Total
liabilities
|
560,118
|
Net
assets applicable to outstanding capital stock
|
$484,870,976
|
Represented
by
|
|
Paid
in capital
|
451,476,027
|
Total
distributable earnings (loss) (Note 2)
|
33,394,949
|
Total
- representing net assets applicable to outstanding capital stock
|
$484,870,976
|
The accompanying Notes to Financial Statements are an integral part of this
statement.
14
|
Columbia Global Dividend
Opportunity Fund | Annual Report 2019
|
Statement of Assets and Liabilities (continued)
August 31, 2019
Class
A
|
|
Net
assets
|
$78,887,314
|
Shares
outstanding
|
4,411,459
|
Net
asset value per share
|
$17.88
|
Maximum
sales charge
|
5.75%
|
Maximum
offering price per share (calculated by dividing the net asset value per share by 1.0 minus the maximum sales charge for Class A shares)
|
$18.97
|
Advisor
Class
|
|
Net
assets
|
$1,026,939
|
Shares
outstanding
|
56,925
|
Net
asset value per share
|
$18.04
|
Class
C
|
|
Net
assets
|
$1,745,371
|
Shares
outstanding
|
104,524
|
Net
asset value per share
|
$16.70
|
Institutional
Class
|
|
Net
assets
|
$354,127,357
|
Shares
outstanding
|
19,729,859
|
Net
asset value per share
|
$17.95
|
Institutional
2 Class
|
|
Net
assets
|
$1,337,190
|
Shares
outstanding
|
74,692
|
Net
asset value per share
|
$17.90
|
Institutional
3 Class
|
|
Net
assets
|
$47,630,052
|
Shares
outstanding
|
2,655,277
|
Net
asset value per share
|
$17.94
|
Class
R
|
|
Net
assets
|
$116,753
|
Shares
outstanding
|
6,540
|
Net
asset value per share
|
$17.85
|
The accompanying Notes to Financial Statements are an integral part of this
statement.
Columbia
Global Dividend Opportunity Fund | Annual Report 2019
|
15
|
Statement of Operations
Year Ended August 31, 2019
Net
investment income
|
|
Income:
|
|
Dividends
— unaffiliated issuers
|
$20,085,015
|
Dividends
— affiliated issuers
|
180,840
|
Interfund
lending
|
76
|
Foreign
taxes withheld
|
(931,005)
|
Total
income
|
19,334,926
|
Expenses:
|
|
Management
services fees
|
3,905,665
|
Distribution
and/or service fees
|
|
Class
A
|
208,667
|
Class
C
|
24,242
|
Class
R
|
4,256
|
Class
T
|
1
|
Transfer
agent fees
|
|
Class
A
|
290,126
|
Advisor
Class
|
3,569
|
Class
C
|
8,497
|
Institutional
Class
|
1,267,408
|
Institutional
2 Class
|
540
|
Institutional
3 Class
|
4,062
|
Class
R
|
3,082
|
Class
T
|
2
|
Compensation
of board members
|
21,025
|
Custodian
fees
|
72,173
|
Printing
and postage fees
|
77,501
|
Registration
fees
|
100,086
|
Audit
fees
|
54,874
|
Legal
fees
|
10,361
|
Compensation
of chief compliance officer
|
200
|
Other
|
25,125
|
Total
expenses
|
6,081,462
|
Fees
waived or expenses reimbursed by Investment Manager and its affiliates
|
(869,672)
|
Total
net expenses
|
5,211,790
|
Net
investment income
|
14,123,136
|
Realized
and unrealized gain (loss) — net
|
|
Net
realized gain (loss) on:
|
|
Investments
— unaffiliated issuers
|
5,544,214
|
Investments
— affiliated issuers
|
13
|
Foreign
currency translations
|
(76,807)
|
Net
realized gain
|
5,467,420
|
Net
change in unrealized appreciation (depreciation) on:
|
|
Investments
— unaffiliated issuers
|
(21,071,840)
|
Foreign
currency translations
|
(34,365)
|
Foreign
capital gains tax
|
(1)
|
Net
change in unrealized appreciation (depreciation)
|
(21,106,206)
|
Net
realized and unrealized loss
|
(15,638,786)
|
Net
decrease in net assets resulting from operations
|
$(1,515,650)
|
The accompanying Notes to Financial Statements are an
integral part of this statement.
16
|
Columbia Global Dividend
Opportunity Fund | Annual Report 2019
|
Statement of Changes in Net Assets
|
Year
Ended
August 31, 2019
|
Year
Ended
August 31, 2018
|
Operations
|
|
|
Net
investment income
|
$14,123,136
|
$16,259,303
|
Net
realized gain
|
5,467,420
|
25,852,333
|
Net
change in unrealized appreciation (depreciation)
|
(21,106,206)
|
(4,000,961)
|
Net
increase (decrease) in net assets resulting from operations
|
(1,515,650)
|
38,110,675
|
Distributions
to shareholders
|
|
|
Net
investment income and net realized gains
|
|
|
Class
A
|
(4,106,392)
|
|
Advisor
Class
|
(49,857)
|
|
Class
C
|
(109,117)
|
|
Institutional
Class
|
(18,590,879)
|
|
Institutional
2 Class
|
(35,286)
|
|
Institutional
3 Class
|
(3,062,005)
|
|
Class
R
|
(55,785)
|
|
Class
T
|
(16)
|
|
Net
investment income
|
|
|
Class
A
|
|
(2,790,164)
|
Advisor
Class
|
|
(32,632)
|
Class
C
|
|
(164,543)
|
Institutional
Class
|
|
(12,899,186)
|
Institutional
2 Class
|
|
(16,467)
|
Institutional
3 Class
|
|
(2,123,203)
|
Class
R
|
|
(46,263)
|
Class
T
|
|
(64)
|
Total
distributions to shareholders (Note 2)
|
(26,009,337)
|
(18,072,522)
|
Decrease
in net assets from capital stock activity
|
(45,761,542)
|
(55,488,120)
|
Total
decrease in net assets
|
(73,286,529)
|
(35,449,967)
|
Net
assets at beginning of year
|
558,157,505
|
593,607,472
|
Net
assets at end of year
|
$484,870,976
|
$558,157,505
|
Undistributed
net investment income
|
$3,160,791
|
$4,845,224
|
The accompanying Notes to Financial Statements are an
integral part of this statement.
Columbia
Global Dividend Opportunity Fund | Annual Report 2019
|
17
|
Statement of Changes in Net Assets (continued)
|
Year
Ended
|
Year
Ended
|
|
August
31, 2019
|
August
31, 2018
|
|
Shares
|
Dollars
($)
|
Shares
|
Dollars
($)
|
Capital
stock activity
|
Class
A
|
|
|
|
|
Subscriptions
|
111,509
|
1,971,268
|
301,751
|
5,672,608
|
Distributions
reinvested
|
219,091
|
3,734,517
|
134,471
|
2,538,124
|
Redemptions
|
(867,654)
|
(15,385,037)
|
(979,090)
|
(18,745,306)
|
Net
decrease
|
(537,054)
|
(9,679,252)
|
(542,868)
|
(10,534,574)
|
Advisor
Class
|
|
|
|
|
Subscriptions
|
7,898
|
138,814
|
11,591
|
224,578
|
Distributions
reinvested
|
2,878
|
49,746
|
1,714
|
32,560
|
Redemptions
|
(13,940)
|
(250,895)
|
(6,662)
|
(126,921)
|
Net
increase (decrease)
|
(3,164)
|
(62,335)
|
6,643
|
130,217
|
Class
C
|
|
|
|
|
Subscriptions
|
10,742
|
179,331
|
11,582
|
206,921
|
Distributions
reinvested
|
6,444
|
102,281
|
8,968
|
159,104
|
Redemptions
|
(98,038)
|
(1,620,218)
|
(291,033)
|
(5,111,690)
|
Net
decrease
|
(80,852)
|
(1,338,606)
|
(270,483)
|
(4,745,665)
|
Institutional
Class
|
|
|
|
|
Subscriptions
|
290,985
|
5,174,112
|
361,156
|
6,897,051
|
Distributions
reinvested
|
1,058,880
|
18,141,803
|
663,386
|
12,552,315
|
Redemptions
|
(2,531,926)
|
(45,149,225)
|
(2,937,324)
|
(55,959,813)
|
Net
decrease
|
(1,182,061)
|
(21,833,310)
|
(1,912,782)
|
(36,510,447)
|
Institutional
2 Class
|
|
|
|
|
Subscriptions
|
48,563
|
876,720
|
3,423
|
64,093
|
Distributions
reinvested
|
2,040
|
35,172
|
869
|
16,393
|
Redemptions
|
(5,231)
|
(94,111)
|
(2,700)
|
(50,958)
|
Net
increase
|
45,372
|
817,781
|
1,592
|
29,528
|
Institutional
3 Class
|
|
|
|
|
Subscriptions
|
392,600
|
6,962,056
|
103,378
|
1,981,411
|
Distributions
reinvested
|
179,538
|
3,061,275
|
112,334
|
2,123,127
|
Redemptions
|
(1,260,542)
|
(22,199,948)
|
(410,212)
|
(7,848,185)
|
Net
decrease
|
(688,404)
|
(12,176,617)
|
(194,500)
|
(3,743,647)
|
Class
R
|
|
|
|
|
Subscriptions
|
3,116
|
57,102
|
2,429
|
45,845
|
Distributions
reinvested
|
3,343
|
55,785
|
2,452
|
46,263
|
Redemptions
|
(90,619)
|
(1,600,082)
|
(10,460)
|
(205,640)
|
Net
decrease
|
(84,160)
|
(1,487,195)
|
(5,579)
|
(113,532)
|
Class
T
|
|
|
|
|
Redemptions
|
(119)
|
(2,008)
|
—
|
—
|
Net
decrease
|
(119)
|
(2,008)
|
—
|
—
|
Total
net decrease
|
(2,530,442)
|
(45,761,542)
|
(2,917,977)
|
(55,488,120)
|
The accompanying Notes to Financial Statements are an integral part of this
statement.
18
|
Columbia Global Dividend
Opportunity Fund | Annual Report 2019
|
[THIS PAGE INTENTIONALLY LEFT BLANK]
Columbia
Global Dividend Opportunity Fund | Annual Report 2019
|
19
|
The
following table is intended to help you understand the Fund’s financial performance. Certain information reflects financial results for a single share of a class held for the periods shown. Per share net investment income (loss) amounts are
calculated based on average shares outstanding during the period. Total return assumes reinvestment of all dividends and distributions, if any. Total return does not reflect payment of sales charges, if any. Total return and portfolio turnover are
not annualized for periods of less than one year. The portfolio turnover rate is calculated without regard to purchase and sales transactions of short-term instruments and certain derivatives, if any. If such transactions were included, the
Fund’s portfolio turnover rate may be higher.
|
Net
asset value,
beginning of
period
|
Net
investment
income
|
Net
realized
and
unrealized
gain (loss)
|
Total
from
investment
operations
|
Distributions
from net
investment
income
|
Distributions
from net
realized
gains
|
Total
distributions to
shareholders
|
Class
A
|
Year
Ended 8/31/2019
|
$18.83
|
0.45
|
(0.54)
|
(0.09)
|
(0.49)
|
(0.37)
|
(0.86)
|
Year
Ended 8/31/2018
|
$18.24
|
0.48
|
0.65
|
1.13
|
(0.54)
|
—
|
(0.54)
|
Year
Ended 8/31/2017
|
$17.05
|
0.49
|
1.26
|
1.75
|
(0.56)
|
—
|
(0.56)
|
Year
Ended 8/31/2016
|
$16.56
|
0.47
|
0.42
|
0.89
|
(0.40)
|
—
|
(0.40)
|
Year
Ended 8/31/2015
|
$21.63
|
0.58
|
(2.93)
|
(2.35)
|
(0.70)
|
(2.02)
|
(2.72)
|
Advisor
Class
|
Year
Ended 8/31/2019
|
$18.99
|
0.51
|
(0.55)
|
(0.04)
|
(0.54)
|
(0.37)
|
(0.91)
|
Year
Ended 8/31/2018
|
$18.39
|
0.54
|
0.64
|
1.18
|
(0.58)
|
—
|
(0.58)
|
Year
Ended 8/31/2017
|
$17.19
|
0.54
|
1.26
|
1.80
|
(0.60)
|
—
|
(0.60)
|
Year
Ended 8/31/2016
|
$16.69
|
0.52
|
0.43
|
0.95
|
(0.45)
|
—
|
(0.45)
|
Year
Ended 8/31/2015
|
$21.78
|
0.67
|
(2.99)
|
(2.32)
|
(0.75)
|
(2.02)
|
(2.77)
|
Class
C
|
Year
Ended 8/31/2019
|
$17.63
|
0.29
|
(0.49)
|
(0.20)
|
(0.36)
|
(0.37)
|
(0.73)
|
Year
Ended 8/31/2018
|
$17.10
|
0.31
|
0.62
|
0.93
|
(0.40)
|
—
|
(0.40)
|
Year
Ended 8/31/2017
|
$16.02
|
0.33
|
1.18
|
1.51
|
(0.43)
|
—
|
(0.43)
|
Year
Ended 8/31/2016
|
$15.56
|
0.32
|
0.42
|
0.74
|
(0.28)
|
—
|
(0.28)
|
Year
Ended 8/31/2015
|
$20.49
|
0.41
|
(2.77)
|
(2.36)
|
(0.55)
|
(2.02)
|
(2.57)
|
Institutional
Class
|
Year
Ended 8/31/2019
|
$18.90
|
0.50
|
(0.54)
|
(0.04)
|
(0.54)
|
(0.37)
|
(0.91)
|
Year
Ended 8/31/2018
|
$18.30
|
0.53
|
0.65
|
1.18
|
(0.58)
|
—
|
(0.58)
|
Year
Ended 8/31/2017
|
$17.11
|
0.54
|
1.25
|
1.79
|
(0.60)
|
—
|
(0.60)
|
Year
Ended 8/31/2016
|
$16.61
|
0.51
|
0.43
|
0.94
|
(0.44)
|
—
|
(0.44)
|
Year
Ended 8/31/2015
|
$21.69
|
0.63
|
(2.94)
|
(2.31)
|
(0.75)
|
(2.02)
|
(2.77)
|
Institutional
2 Class
|
Year
Ended 8/31/2019
|
$18.85
|
0.56
|
(0.58)
|
(0.02)
|
(0.56)
|
(0.37)
|
(0.93)
|
Year
Ended 8/31/2018
|
$18.26
|
0.56
|
0.64
|
1.20
|
(0.61)
|
—
|
(0.61)
|
Year
Ended 8/31/2017
|
$17.07
|
0.60
|
1.22
|
1.82
|
(0.63)
|
—
|
(0.63)
|
Year
Ended 8/31/2016
|
$16.58
|
0.54
|
0.42
|
0.96
|
(0.47)
|
—
|
(0.47)
|
Year
Ended 8/31/2015
|
$21.66
|
0.64
|
(2.92)
|
(2.28)
|
(0.78)
|
(2.02)
|
(2.80)
|
The accompanying Notes to Financial Statements are an
integral part of this statement.
20
|
Columbia Global Dividend
Opportunity 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 8/31/2019
|
$17.88
|
(0.16%)
|
1.44%
|
1.25%
|
2.56%
|
56%
|
$78,887
|
Year
Ended 8/31/2018
|
$18.83
|
6.21%
|
1.44%
|
1.26%
(c)
|
2.52%
|
39%
|
$93,177
|
Year
Ended 8/31/2017
|
$18.24
|
10.48%
|
1.46%
(d)
|
1.29%
(c),(d)
|
2.79%
|
43%
|
$100,146
|
Year
Ended 8/31/2016
|
$17.05
|
5.51%
|
1.45%
|
1.30%
(c)
|
2.85%
|
115%
|
$108,978
|
Year
Ended 8/31/2015
|
$16.56
|
(11.49%)
|
1.38%
|
1.31%
(c)
|
3.05%
|
63%
|
$118,275
|
Advisor
Class
|
Year
Ended 8/31/2019
|
$18.04
|
0.10%
|
1.19%
|
1.00%
|
2.84%
|
56%
|
$1,027
|
Year
Ended 8/31/2018
|
$18.99
|
6.47%
|
1.19%
|
1.01%
(c)
|
2.82%
|
39%
|
$1,141
|
Year
Ended 8/31/2017
|
$18.39
|
10.73%
|
1.21%
(d)
|
1.04%
(c),(d)
|
3.08%
|
43%
|
$983
|
Year
Ended 8/31/2016
|
$17.19
|
5.80%
|
1.20%
|
1.05%
(c)
|
3.12%
|
115%
|
$853
|
Year
Ended 8/31/2015
|
$16.69
|
(11.27%)
|
1.16%
|
1.04%
(c)
|
3.68%
|
63%
|
$782
|
Class
C
|
Year
Ended 8/31/2019
|
$16.70
|
(0.86%)
|
2.19%
|
2.00%
|
1.72%
|
56%
|
$1,745
|
Year
Ended 8/31/2018
|
$17.63
|
5.42%
|
2.19%
|
2.01%
(c)
|
1.76%
|
39%
|
$3,268
|
Year
Ended 8/31/2017
|
$17.10
|
9.60%
|
2.20%
(d)
|
2.04%
(c),(d)
|
2.03%
|
43%
|
$7,795
|
Year
Ended 8/31/2016
|
$16.02
|
4.82%
|
2.20%
|
2.05%
(c)
|
2.07%
|
115%
|
$10,164
|
Year
Ended 8/31/2015
|
$15.56
|
(12.18%)
|
2.13%
|
2.06%
(c)
|
2.30%
|
63%
|
$12,440
|
Institutional
Class
|
Year
Ended 8/31/2019
|
$17.95
|
0.10%
|
1.19%
|
1.00%
|
2.83%
|
56%
|
$354,127
|
Year
Ended 8/31/2018
|
$18.90
|
6.51%
|
1.19%
|
1.01%
(c)
|
2.78%
|
39%
|
$395,163
|
Year
Ended 8/31/2017
|
$18.30
|
10.72%
|
1.21%
(d)
|
1.04%
(c),(d)
|
3.06%
|
43%
|
$417,705
|
Year
Ended 8/31/2016
|
$17.11
|
5.82%
|
1.20%
|
1.05%
(c)
|
3.10%
|
115%
|
$424,724
|
Year
Ended 8/31/2015
|
$16.61
|
(11.28%)
|
1.13%
|
1.06%
(c)
|
3.30%
|
63%
|
$457,640
|
Institutional
2 Class
|
Year
Ended 8/31/2019
|
$17.90
|
0.23%
|
0.91%
|
0.87%
|
3.13%
|
56%
|
$1,337
|
Year
Ended 8/31/2018
|
$18.85
|
6.62%
|
0.91%
|
0.88%
|
2.93%
|
39%
|
$553
|
Year
Ended 8/31/2017
|
$18.26
|
10.92%
|
0.91%
|
0.91%
|
3.37%
|
43%
|
$506
|
Year
Ended 8/31/2016
|
$17.07
|
5.96%
|
0.88%
|
0.88%
|
3.26%
|
115%
|
$175
|
Year
Ended 8/31/2015
|
$16.58
|
(11.13%)
|
0.87%
|
0.87%
|
3.52%
|
63%
|
$178
|
The accompanying Notes to Financial Statements are an
integral part of this statement.
Columbia
Global Dividend Opportunity Fund | Annual Report 2019
|
21
|
Financial Highlights (continued)
|
Net
asset value,
beginning of
period
|
Net
investment
income
|
Net
realized
and
unrealized
gain (loss)
|
Total
from
investment
operations
|
Distributions
from net
investment
income
|
Distributions
from net
realized
gains
|
Total
distributions to
shareholders
|
Institutional
3 Class
|
Year
Ended 8/31/2019
|
$18.89
|
0.51
|
(0.52)
|
(0.01)
|
(0.57)
|
(0.37)
|
(0.94)
|
Year
Ended 8/31/2018
|
$18.29
|
0.57
|
0.65
|
1.22
|
(0.62)
|
—
|
(0.62)
|
Year
Ended 8/31/2017
|
$17.10
|
0.68
|
1.15
|
1.83
|
(0.64)
|
—
|
(0.64)
|
Year
Ended 8/31/2016
|
$16.60
|
0.53
|
0.45
|
0.98
|
(0.48)
|
—
|
(0.48)
|
Year
Ended 8/31/2015
|
$21.68
|
0.70
|
(2.96)
|
(2.26)
|
(0.80)
|
(2.02)
|
(2.82)
|
Class
R
|
Year
Ended 8/31/2019
|
$18.80
|
0.25
|
(0.38)
|
(0.13)
|
(0.45)
|
(0.37)
|
(0.82)
|
Year
Ended 8/31/2018
|
$18.21
|
0.43
|
0.65
|
1.08
|
(0.49)
|
—
|
(0.49)
|
Year
Ended 8/31/2017
|
$17.03
|
0.45
|
1.24
|
1.69
|
(0.51)
|
—
|
(0.51)
|
Year
Ended 8/31/2016
|
$16.53
|
0.42
|
0.44
|
0.86
|
(0.36)
|
—
|
(0.36)
|
Year
Ended 8/31/2015
|
$21.61
|
0.53
|
(2.94)
|
(2.41)
|
(0.65)
|
(2.02)
|
(2.67)
|
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:
|
Class
|
8/31/2019
|
8/31/2018
|
8/31/2017
|
8/31/2016
|
8/31/2015
|
Class
A
|
—%
|
0.01%
|
0.02%
|
0.01%
|
0.01%
|
Advisor
Class
|
—%
|
0.02%
|
0.02%
|
0.01%
|
0.02%
|
Class
C
|
—%
|
0.02%
|
0.02%
|
0.01%
|
0.01%
|
Institutional
Class
|
—%
|
0.02%
|
0.02%
|
0.01%
|
0.01%
|
Class
R
|
—%
|
0.01%
|
0.02%
|
0.01%
|
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
|
Class
R
|
08/31/2017
|
0.01%
|
0.01%
|
0.01%
|
0.01%
|
0.01%
|
The accompanying Notes to Financial Statements are an
integral part of this statement.
22
|
Columbia Global Dividend
Opportunity 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 8/31/2019
|
$17.94
|
0.29%
|
0.85%
|
0.81%
|
2.87%
|
56%
|
$47,630
|
Year
Ended 8/31/2018
|
$18.89
|
6.72%
|
0.85%
|
0.82%
|
2.98%
|
39%
|
$63,148
|
Year
Ended 8/31/2017
|
$18.29
|
10.95%
|
0.85%
|
0.85%
|
3.77%
|
43%
|
$64,718
|
Year
Ended 8/31/2016
|
$17.10
|
6.07%
|
0.83%
|
0.83%
|
3.23%
|
115%
|
$790
|
Year
Ended 8/31/2015
|
$16.60
|
(11.04%)
|
0.82%
|
0.82%
|
3.89%
|
63%
|
$1,149
|
Class
R
|
Year
Ended 8/31/2019
|
$17.85
|
(0.41%)
|
1.70%
|
1.50%
|
1.41%
|
56%
|
$117
|
Year
Ended 8/31/2018
|
$18.80
|
5.95%
|
1.69%
|
1.51%
(c)
|
2.27%
|
39%
|
$1,705
|
Year
Ended 8/31/2017
|
$18.21
|
10.16%
|
1.71%
(d)
|
1.54%
(c),(d)
|
2.57%
|
43%
|
$1,753
|
Year
Ended 8/31/2016
|
$17.03
|
5.32%
|
1.70%
|
1.55%
(c)
|
2.57%
|
115%
|
$1,533
|
Year
Ended 8/31/2015
|
$16.53
|
(11.78%)
|
1.62%
|
1.55%
(c)
|
2.77%
|
63%
|
$671
|
The accompanying Notes to Financial Statements are an integral part of this
statement.
Columbia
Global Dividend Opportunity Fund | Annual Report 2019
|
23
|
Notes to Financial Statements
August 31, 2019
Note 1. Organization
Columbia Global Dividend Opportunity Fund (the Fund), a
series of Columbia Funds Series Trust I (the Trust), is a diversified fund. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Massachusetts
business trust.
Fund shares
The Trust may issue an unlimited number of shares (without par
value). The Fund offers each of the share classes listed in the Statement of Assets and Liabilities. Although all share classes generally have identical voting, dividend and liquidation rights, each share class votes separately when required by the
Trust’s organizational documents or by law. Each share class has its own expense and sales charge structure. Different share classes may have different minimum initial investment amounts and pay different distribution amounts to the extent the
expenses of distributing such share classes vary. Distributions to shareholders in a liquidation will be proportional to the net asset value of each share class.
As described in the Fund’s prospectus, Class A and Class
C shares are offered to the general public for investment. Advisor Class, Institutional Class, Institutional 2 Class, Institutional 3 Class and Class R shares are available for purchase through authorized investment professionals to omnibus
retirement plans or to institutional and to certain other investors as also described in the Fund’s prospectus. Class C shares automatically convert to Class A shares after 10 years. Effective 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
All equity securities are valued at the close of business of
the New York Stock Exchange. Equity securities are valued at the official closing price on the principal exchange or market on which they trade. 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 determined at the scheduled closing time of the New York Stock Exchange. Many securities markets and exchanges outside the U.S. close prior to the close of the New York Stock Exchange; therefore, the
closing prices for securities in such markets or on such exchanges may not fully reflect events that occur after such close but before the close of the New York Stock Exchange. In those situations, foreign securities will be fair valued pursuant to
a policy adopted by the Board of Trustees. Under the policy, the Fund may utilize a third party pricing service to determine these fair values. The third-party pricing service takes into account multiple factors, including, but not limited to,
movements in the U.S. securities markets, certain depositary receipts, futures contracts and foreign exchange rates that have occurred subsequent to the close of the foreign exchange or market, to determine a good faith estimate that reasonably
reflects the current market conditions as of the close of the New York Stock Exchange. The fair value of a security is likely to be different from the quoted or published price, if available.
Investments in open-end investment companies, including money
market funds, are valued at their latest net asset value.
24
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Columbia Global Dividend
Opportunity Fund | Annual Report 2019
|
Notes to Financial Statements (continued)
August 31, 2019
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 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.
Columbia
Global Dividend Opportunity Fund | Annual Report 2019
|
25
|
Notes to Financial Statements (continued)
August 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.
Foreign taxes
The Fund may be subject to foreign taxes on income, gains on
investments or currency repatriation, a portion of which may be recoverable. The Fund will accrue such taxes and recoveries, as applicable, based upon its current interpretation of tax rules and regulations that exist in the markets in which it
invests.
Realized gains in certain countries may be
subject to foreign taxes at the Fund level, based on statutory rates. The Fund accrues for such foreign taxes on realized and unrealized gains at the appropriate rate for each jurisdiction, as applicable. The amount, if any, is disclosed as a
liability 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. The standard is effective for annual periods beginning after December 15, 2019 and interim periods within
those fiscal years, with early adoption permitted. After evaluation, management determined to adopt the ASU effective for the period ended August 31, 2019 and all subsequent periods. As a result of the amendments, management implemented disclosure
changes which include removal
26
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Columbia Global Dividend
Opportunity Fund | Annual Report 2019
|
Notes to Financial Statements (continued)
August 31, 2019
of the amount and
reasons for transfers between Level 1 and Level 2 of the fair value hierarchy, removal of the policy for the timing of transfers between levels, removal of the description of the Level 3 valuation processes, as well as modifications to the
measurement uncertainty disclosure.
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 0.77% to 0.57% as the Fund’s net assets increase. The
effective management services fee rate for the year ended August 31, 2019 was 0.77% of the Fund’s average daily net assets.
Participating Affiliates
The Investment Manager and its investment advisory affiliates
(Participating Affiliates) around the world may coordinate in providing services to their clients. From time to time the Investment Manager (or any affiliated investment subadviser to the Fund, as the case may be) may engage its Participating
Affiliates to provide a variety of services such as investment research, investment monitoring, trading and discretionary investment management (including portfolio management) to certain accounts managed by the Investment Manager, including the
Fund. These Participating Affiliates will provide services to the Investment Manager (or any affiliated investment subadviser to the Fund as the case may be) either pursuant to subadvisory agreements, personnel-sharing agreements or similar
inter-company arrangements and the Fund will pay no additional fees and expenses as a result of any such arrangements.
These Participating Affiliates, like the Investment Manager,
are direct or indirect subsidiaries of Ameriprise Financial and are registered with appropriate respective regulators in their home jurisdictions and, where required, the Securities and Exchange Commission and the Commodity Futures Trading
Commission in the United States.
Pursuant to some of
these arrangements, certain employees of these Participating Affiliates may serve as "associated persons" of the Investment Manager and, in this capacity, subject to the oversight and supervision of the Investment Manager and consistent with the
investment objectives, policies and limitations set forth in the Fund’s prospectus and Statement of Additional Information (SAI), may provide such services to the Fund on behalf of the Investment Manager.
Compensation of board members
Members of the Board of Trustees who are not officers or
employees of the Investment Manager or Ameriprise Financial are compensated for their services to the Fund as disclosed in the Statement of Operations. 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.
Columbia
Global Dividend Opportunity Fund | Annual Report 2019
|
27
|
Notes to Financial Statements (continued)
August 31, 2019
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 August 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
|
0.35
|
Advisor
Class
|
0.35
|
Class
C
|
0.35
|
Institutional
Class
|
0.35
|
Institutional
2 Class
|
0.07
|
Institutional
3 Class
|
0.01
|
Class
R
|
0.36
|
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 Statement of Operations. For the year ended August 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.
28
|
Columbia Global Dividend
Opportunity Fund | Annual Report 2019
|
Notes to Financial Statements (continued)
August 31, 2019
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 contingent
deferred sales charges (CDSC), received by the Distributor for distributing Fund shares for the year ended August 31, 2019, if any, are listed below:
|
Front
End (%)
|
CDSC
(%)
|
Amount
($)
|
Class
A
|
5.75
|
0.50 - 1.00
(a)
|
24,864
|
Class
C
|
—
|
1.00
(b)
|
393
|
Class
T
|
2.50
|
—
|
—
|
(a)
|
This
charge is imposed on certain investments of between $1 million and $50 million redeemed within 18 months after purchase, as follows: 1.00% if redeemed within 12 months after purchase, and 0.50% if redeemed more than 12, but less than 18, months
after purchase, with certain limited exceptions.
|
(b)
|
This
charge applies to redemptions within 12 months after purchase, with certain limited exceptions.
|
The Fund’s other share classes are not subject to sales
charges.
Expenses waived/reimbursed by the Investment
Manager and its affiliates
The Investment Manager and
certain of its affiliates have contractually agreed to waive fees and/or reimburse expenses (excluding certain fees and expenses described below) for the period(s) disclosed below, unless sooner terminated at the sole discretion of the Board of
Trustees, so that the Fund’s net operating expenses, after giving effect to fees waived/expenses reimbursed and any balance credits and/or overdraft charges from the Fund’s custodian, do not exceed the following annual rate(s) as a
percentage of the class’ average daily net assets:
|
Fee
rate(s) contractual
through
December 31, 2019
|
Class
A
|
1.25%
|
Advisor
Class
|
1.00
|
Class
C
|
2.00
|
Institutional
Class
|
1.00
|
Institutional
2 Class
|
0.87
|
Institutional
3 Class
|
0.81
|
Class
R
|
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),
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.
Columbia
Global Dividend Opportunity Fund | Annual Report 2019
|
29
|
Notes to Financial Statements (continued)
August 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 August 31, 2019, these differences were primarily due to
differing treatment for deferral/reversal of wash sale losses, trustees’ deferred compensation, re-characterization of distributions for investments, investments in partnerships, foreign currency transactions and passive foreign investment
company (PFIC) holdings. 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
gain ($)
|
Paid
in
capital ($)
|
(505,729)
|
505,956
|
(227)
|
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 August 31, 2019
|
Year
Ended August 31, 2018
|
Ordinary
income ($)
|
Long-term
capital gains ($)
|
Total
($)
|
Ordinary
income ($)
|
Long-term
capital gains ($)
|
Total
($)
|
15,301,840
|
10,707,497
|
26,009,337
|
18,072,522
|
—
|
18,072,522
|
Short-term capital gain
distributions, if any, are considered ordinary income distributions for tax purposes.
At August 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 ($)
|
Net
unrealized
appreciation ($)
|
3,360,434
|
2,153,821
|
—
|
28,102,253
|
At August 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) ($)
|
Net
unrealized
appreciation ($)
|
454,484,854
|
54,399,362
|
(26,297,109)
|
28,102,253
|
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 $280,038,767 and $335,779,057, respectively, for the year ended August 31, 2019. The amount of purchase and sale activity impacts the portfolio turnover rate reported in the
Financial Highlights.
30
|
Columbia Global Dividend
Opportunity Fund | Annual Report 2019
|
Notes to Financial Statements (continued)
August 31, 2019
Note 6. Affiliated money market fund
The Fund invests in Columbia Short-Term Cash Fund, an
affiliated money market fund established for the exclusive use by the Fund and other affiliated funds (the Affiliated MMF). The income earned by the Fund from such investments is included as Dividends - affiliated issuers in the Statement of
Operations. As an investing fund, the Fund indirectly bears its proportionate share of the expenses of the Affiliated MMF. The Affiliated MMF prices its shares with a floating net asset value. In addition, the Board of Trustees of the Affiliated MMF
may impose a fee on redemptions (sometimes referred to as a liquidity fee) or temporarily suspend redemptions (sometimes referred to as imposing a redemption gate) in the event its liquidity falls below regulatory limits.
Note 7. Interfund lending
Pursuant to an exemptive order granted by the Securities and
Exchange Commission, the Fund participates in a program (the Interfund Program) allowing each participating Columbia Fund (each, a Participating Fund) to lend money directly to and, except for closed-end funds and money market funds, borrow money
directly from other Participating Funds for temporary purposes. The amounts eligible for borrowing and lending under the Interfund Program are subject to certain restrictions.
Interfund loans are subject to the risk that the borrowing
fund could be unable to repay the loan when due, and a delay in repayment to the lending fund could result in lost opportunities and/or additional lending costs. The exemptive order is subject to conditions intended to mitigate conflicts of interest
arising from the Investment Manager’s relationship with each Participating Fund.
The Fund’s activity in the Interfund Program during the
year ended August 31, 2019 was as follows:
Borrower
or lender
|
Average
loan
balance ($)
|
Weighted
average
interest rate (%)
|
Days
outstanding
|
Lender
|
1,000,000
|
2.75
|
1
|
Interest income earned by the Fund
is recorded as Interfund lending in the Statement of Operations. The Fund had no outstanding interfund loans at August 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 August 31,
2019.
Note 9. Significant risks
Foreign securities and emerging market countries risk
Investing in foreign securities may involve certain risks not
typically associated with investing in U.S. securities, such as increased currency volatility and risks associated with political, regulatory, economic, social, diplomatic and other conditions or events occurring in the country or region, which may
result in significant market volatility. In addition, certain foreign securities may not be as liquid as U.S. securities. Investing in emerging markets may increase these risks and expose the Fund to elevated risks associated with increased
inflation, deflation or currency devaluation. To the extent that the Fund
Columbia
Global Dividend Opportunity Fund | Annual Report 2019
|
31
|
Notes to Financial Statements (continued)
August 31, 2019
concentrates its
investment exposure to any one or a few specific countries, the Fund will be particularly susceptible to the risks associated with the conditions, events or other factors impacting those countries or regions and may, therefore, have a greater risk
than that of a fund that is more geographically diversified.
Shareholder concentration risk
At August 31, 2019, affiliated shareholders of record owned
10.7% 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.
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.
32
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Columbia Global Dividend
Opportunity 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 Global Dividend Opportunity Fund
Opinion on the Financial Statements
We have audited the accompanying statement of assets and
liabilities, including the portfolio of investments, of Columbia Global Dividend Opportunity Fund (one of the funds constituting Columbia Funds Series Trust I, hereafter referred to as the “Fund”) as of August 31, 2019, the related
statement of operations for the year ended August 31, 2019, the statement of changes in net assets for each of the two years in the period ended August 31, 2019, including the related notes, and the financial highlights for each of the five years in
the period ended August 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 August 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 August 31, 2019 and the financial highlights for each of the five years in the period ended August 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 August 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
October 24, 2019
We have served as the auditor of one or more investment
companies within the Columbia Funds Complex since 1977.
Columbia
Global Dividend Opportunity Fund | Annual Report 2019
|
33
|
Federal Income Tax Information
(Unaudited)
The Fund hereby designates the following tax attributes for
the fiscal year ended August 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
|
Foreign
taxes paid
to foreign
countries
|
Foreign
taxes paid
per share
to foreign
countries
|
Foreign
source
income
|
Foreign
source
income per
share
|
100.00%
|
42.40%
|
$5,303,302
|
$850,314
|
$0.03
|
$13,152,306
|
$0.49
|
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.
Foreign taxes. The Fund makes the election to pass through to
shareholders the foreign taxes paid. Eligible shareholders may claim a foreign tax credit. These taxes, and the corresponding foreign source income, are provided.
TRUSTEES AND OFFICERS
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), September 2007-October 2018
|
70
|
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, December 2002-May 2006; President of UAL Loyalty Services (airline marketing company), September 2001-December 2002; Executive Vice President and Chief
Financial Officer of United Airlines, July 1999-September 2001
|
70
|
Spartan
Nash Company, (food distributor); former Director, Nash Finch Company (food distributor), 2005-2013; Aircastle Limited (aircraft leasing); former Director, SeaCube Container Leasing Ltd. (container leasing), 2010-2013; and Travelport Worldwide
Limited (travel information technology)
|
34
|
Columbia Global Dividend
Opportunity 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
|
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), 1997-2010; Chair, Wellington Management Portfolios (commingled non-U.S. investment pools), 2007-2010; Director, Wellington Trust Company, NA
and other Wellington affiliates, 1997-2010
|
70
|
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
|
70
|
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
|
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, August 2007-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, August 1999-October 2005;
University Professor, Boston College, November 2005-August 2007
|
70
|
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, 1988-2014
|
70
|
Former
Director, M Fund, Inc. (M Funds mutual fund family), July 2018-July 2019
|
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, 1994-1997, President – Application Systems Division, 1991-1994, Chief Financial Officer – US Marketing & Services, 1988-1991, and Chief Information Officer, 1987-1988, IBM Corporation
(computer and technology)
|
70
|
Former
Director, Enesco Group, Inc. (producer of giftware and home and garden decor products), 2001-2006
|
Columbia
Global Dividend Opportunity Fund | Annual Report 2019
|
35
|
TRUSTEES AND OFFICERS (continued)
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, May
2010-February 2015; President, Columbia Funds, 2009-2015; and senior officer of Columbia Funds and affiliated funds, 2003-2015
|
70
|
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
|
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, 2004-2010; Senior Partner, McKinsey & Company, 2001-2004
|
70
|
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, April 2016-September
2016; Senior Vice President and Chief Investment Officer, Calvert Investments, August 2008-January 2016; Section Head and Portfolio Manager, General Motors Asset Management, June 1997-August 2008
|
70
|
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
|
192
|
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, August 2006 - January 2013
|
36
|
Columbia Global Dividend
Opportunity Fund | Annual Report 2019
|
TRUSTEES AND OFFICERS (continued)
*
|
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.
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 as of the printing of this report, 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.
|
Columbia
Global Dividend Opportunity Fund | Annual Report 2019
|
37
|
TRUSTEES AND OFFICERS (continued)
Fund officers (continued)
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
|
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.
|
Board Consideration and Approval of
Management
Agreement
On June 12, 2019, the Board of Trustees (the Board) and the
Trustees who are not interested persons (as defined in the Investment Company Act of 1940) (the Independent Trustees) of Columbia Funds Series Trust I (the Trust) unanimously approved the continuation of the Management Agreement (the Management
Agreement) with Columbia Management Investment Advisers, LLC (the Investment Manager) with respect to Columbia Global Dividend Opportunity Fund (the Fund), a series of the Trust. As detailed below, the Board’s Advisory Fees and Expenses
Committee (the Committee) and the Board met on multiple occasions to review and discuss, among themselves, with the management team of the Investment Manager and with an independent fee consultant, materials provided by the Investment Manager, the
independent fee consultant and others before determining to approve the continuation of the Management Agreement.
In connection with their deliberations regarding the
continuation of the Management Agreement, the Committee and the Board evaluated materials requested from the Investment Manager regarding the Fund and the Management Agreement, and discussed these materials with representatives of the Investment
Manager at Committee meetings held on March 5, 2019, April 25, 2019 and June 11, 2019 and at Board meetings held on March 6, 2019 and June 12, 2019. In addition, the Board and its various committees consider matters bearing on the Management
Agreement at other meetings throughout the year and in prior years and meet regularly with senior management of the Trust and the Investment Manager. Through the Board’s Investment Oversight Committees, Trustees also meet with selected
portfolio managers of the funds the Trustees oversee and with other investment personnel at various times throughout the year. The Committee and the Board also consulted with the independent fee consultant, Fund counsel and the Independent
Trustees’ independent legal counsel, who advised on various matters with respect to the Committee’s and the Board’s considerations and otherwise assisted the Committee and the Board in their deliberations. On June 11, 2019, the
Committee recommended that the Board approve the continuation of the Management Agreement. On June 12, 2019, the Board, including the Independent Trustees, voting separately, unanimously approved the continuation of the Management Agreement for the
Fund.
The Committee and the Board considered all
information that they, their legal counsel or the Investment Manager believed reasonably necessary to evaluate and to determine whether to recommend for approval or approve the continuation of the Management Agreement. The information and factors
considered by the Committee and the Board in recommending for approval or approving the continuation of the Management Agreement for the Fund included the following:
•
|
Information on the
investment performance of the Fund relative to the performance of a group of mutual funds determined to be comparable to the Fund by an independent third-party data provider, as well as performance relative to benchmarks;
|
•
|
Information on the
Fund’s management fees and total expenses, including information comparing the Fund’s expenses to those of a group of comparable mutual funds, as determined by the independent third-party data provider;
|
38
|
Columbia Global Dividend
Opportunity Fund | Annual Report 2019
|
Board Consideration and Approval of Management
Agreement (continued)
•
|
The Investment
Manager’s agreement to contractually limit or cap total operating expenses for the Fund through December 31, 2020 so that total operating expenses (excluding certain fees and expenses, such as transaction costs and certain other investment
related expenses, interest, taxes, acquired fund fees and expenses, and infrequent and/or unusual expenses) would not exceed a specified annual rate, as a percentage of the Fund’s net assets;
|
•
|
The terms and conditions of
the Management Agreement;
|
•
|
The current and proposed
terms and conditions of other agreements and arrangements with affiliates of the Investment Manager relating to the operations of the Fund, including agreements with respect to the provision of distribution, transfer agency and shareholder services
to the Fund;
|
•
|
Descriptions of various
functions performed by the Investment Manager under the Management Agreement, including portfolio management and portfolio trading practices;
|
•
|
Information regarding the
management fees of similarly-managed portfolios of other clients of the Investment Manager, including institutional accounts and collective trusts;
|
•
|
Information regarding the
reputation, regulatory history and resources of the Investment Manager, including information regarding senior management, portfolio managers and other personnel;
|
•
|
Information regarding the
capabilities of the Investment Manager with respect to compliance monitoring services, including an assessment of the Investment Manager’s compliance system by the Fund’s Chief Compliance Officer; and
|
•
|
The profitability to the
Investment Manager and its affiliates from their relationships with the Fund.
|
Nature, extent and quality of services provided under the
Management Agreement
The Committee and the Board
considered the nature, extent and quality of services provided to the Fund by the Investment Manager and its affiliates under the Management Agreement and under separate agreements for the provision of transfer agency and shareholder services, and
the resources dedicated to the Fund and the other Columbia Funds by the Investment Manager and its affiliates. The Committee and the Board considered, among other things, the Investment Manager’s ability to attract, motivate and retain highly
qualified research, advisory and supervisory investment professionals (including compensation programs for personnel involved in fund management, reputation and other attributes), the portfolio management services provided by those investment
professionals, and the quality of the Investment Manager’s investment research capabilities and trade execution services. The Committee and the Board also considered the potential benefits to shareholders of investing in a mutual fund that is
part of a fund complex offering exposure to a variety of asset classes and investment disciplines and providing a variety of fund and shareholder services.
The Committee and the Board also considered the professional
experience and qualifications of the senior personnel of the Investment Manager, which included consideration of the Investment Manager’s experience with funds using an investment strategy similar to that used by the Investment Manager for the
Fund. The Committee and the Board noted the compliance programs of and the compliance-related resources provided to the Fund by the Investment Manager and its affiliates and the resources dedicated by the Investment Manager and its affiliates to
risk management, and considered the Investment Manager’s ability to provide administrative services to the Fund and coordinate the activities of the Fund’s other service providers. After reviewing these and related factors, the Committee
and the Board concluded, within the context of their overall conclusions, that the nature, extent and quality of the services provided to the Fund under the Management Agreement supported the continuation of the Management Agreement.
Investment performance
The Committee and the Board reviewed information about the
performance of the Fund over various time periods, including performance information relative to benchmarks, information that compared the performance of the Fund to the performance of a group of comparable mutual funds as determined by the
independent third-party data provider, and information and analysis provided by the independent fee consultant. The Committee and the Board also reviewed a description of the third party’s methodology for identifying the Fund’s peer
groups for purposes of performance and expense comparisons. Although the Fund’s performance lagged that of a relevant peer group for certain (although not necessarily all) periods, the Committee
Columbia
Global Dividend Opportunity Fund | Annual Report 2019
|
39
|
Board Consideration and Approval of Management
Agreement (continued)
and the Board concluded that other factors relevant to performance were
sufficient, in light of other considerations, to support continuation of the Management Agreement. Those factors included one or more of the following: (i) that the Fund’s performance, although lagging in certain recent periods, was stronger
over the longer term; (ii) that the underperformance was attributable, to a significant extent, to investment decisions that were reasonable and consistent with the Fund’s investment strategy and policies and that the Fund was performing
within a reasonable range of expectations, given those investment decisions, market conditions and the Fund’s investment strategy; (iii) that the Fund’s performance was competitive when compared to other relevant performance benchmarks
or peer groups; and (iv) that the Investment Manager had taken or was taking steps designed to help improve the Fund’s investment performance, including, but not limited to, replacing portfolio managers, enhancing the resources supporting the
portfolio managers, or modifying investment strategies.
The Committee and the Board noted that, through December 31,
2018, the Fund’s performance was in the eighty-fourth, seventy-fifth and eighty-ninth percentile (where the best performance would be in the first percentile) of its category selected by the independent third-party data provider for the
purposes of performance comparisons for the one-, three- and five-year periods, respectively.
The Committee and the Board also considered the Investment
Manager’s performance and reputation generally, the Investment Manager’s historical responsiveness to Board concerns about performance, and the Investment Manager’s willingness to take steps intended to improve performance. After
reviewing these and related factors, the Committee and the Board concluded, within the context of their overall conclusions, that the performance of the Fund and the Investment Manager was sufficient, in light of other considerations, to support the
continuation of the Management Agreement.
Investment
management fee rates and other expenses
The Committee
and the Board considered the management fees charged to the Fund under the Management Agreement as well as the total expenses incurred by the Fund. In assessing the reasonableness of the fees under the Management Agreement, the Committee and the
Board considered, among other information, the Fund’s total expense ratio as a percentage of average daily net assets. The Committee and the Board considered data provided by the independent third-party data provider and the independent fee
consultant. The Committee and the Board noted that, as of December 31, 2018, the Fund’s actual management fee and net total expense ratio were ranked in the first and third quintiles, respectively, (where the lowest fees and expenses would be
in the first quintile) against the Fund’s expense universe as determined by the independent third-party data provider for purposes of expense comparison. The Committee and the Board also took into account the fee waiver and expense limitation
arrangements agreed to by the Investment Manager, as noted above.
The Committee and the Board also received and considered
information about the management fees charged by the Investment Manager to institutional accounts. In considering the fees charged to those accounts, the Committee and the Board took into account, among other things, the Investment Manager’s
representations about the differences between managing mutual funds as compared to other types of accounts, including differences in the services provided, differences in the risk profile of such business for the Investment Manager and the
additional resources required to manage mutual funds effectively. The Committee and the Board also received and considered information about the fees charged by the Investment Manager for sub-advisory services it provides to comparable unaffiliated
funds. In evaluating the Fund’s management fees, the Committee and the Board also took into account the demands, complexity and quality of the investment management of the Fund.
After reviewing these and related factors, the Committee and
the Board concluded, within the context of their overall conclusions, that the management fee rates and expenses of the Fund, in light of other considerations, supported the continuation of the Management Agreement.
Costs of services provided and profitability
The Committee and the Board also took note of the costs the
Investment Manager and its affiliates incur in connection with the services provided and the profitability to the Investment Manager and its affiliates from their relationships with the Fund, and the efforts undertaken by the Investment Manager and
its affiliates to manage efficiently their costs to provide such services.
40
|
Columbia Global Dividend
Opportunity Fund | Annual Report 2019
|
Board Consideration and Approval of Management
Agreement (continued)
The Committee and the Board also considered the compensation directly or
indirectly received by the Investment Manager’s affiliates in connection with their relationships with the Fund. The Committee and the Board reviewed information provided by management as to the profitability to the Investment Manager and its
affiliates of their relationships with the Fund, information about the allocation of expenses used to calculate profitability, and comparisons of profitability levels realized in 2018 to profitability levels realized in 2017. When reviewing
profitability, the Committee and the Board also considered court cases in which adviser profitability was an issue in whole or in part, the performance of similarly managed funds, the performance of the Fund, and the expense ratio of the Fund. In
addition, the Committee and the Board considered information provided by the Investment Manager regarding the Investment Manager’s financial condition and comparing its profitability to that of other asset management firms that are, or are
subsidiaries of, publicly traded companies. In this regard, the Committee and the Board also considered data provided by the independent fee consultant.
After reviewing these and related factors, the Committee and
the Board concluded, within the context of their overall conclusions, that the costs of services provided and the profitability to the Investment Manager and its affiliates from their relationships with the Fund supported the continuation of the
Management Agreement.
Economies of scale
The Committee and the Board considered the potential
existence of economies of scale in the provision by the Investment Manager of services to the Fund, to groups of related funds, and to the Investment Manager’s investment advisory clients as a whole, and whether those economies of scale were
shared with the Fund through breakpoints in investment management fees or other means, such as expense limitation arrangements and additional investments by the Investment Manager in investment, trading, compliance and other resources. The Committee
and the Board noted that the management fee schedules for the Fund contained breakpoints that would reduce the fee rate on assets above specified threshold levels.
In considering these matters, the Committee and the Board also
considered the costs of the services provided and the profitability to the Investment Manager and its affiliates from their relationships with the Fund, as noted above. After reviewing these and related factors, the Committee and the Board
concluded, within the context of their overall conclusions, that the extent to which any economies of scale were expected to be shared with the Fund supported the continuation of the Management Agreement.
Other benefits to the Investment Manager
The Committee and the Board received and considered
information regarding “fall-out” or ancillary benefits received by the Investment Manager and its affiliates as a result of their relationships with the Fund, such as the engagement of the Investment Manager’s affiliates to provide
distribution, transfer agency and shareholder services to the Fund. In this regard, among other matters, the Committee and the Board considered that the Fund’s distributor retains a portion of the distribution fees from the Fund and receives a
portion of the sales charges on sales or redemptions of certain classes of shares of the Fund. The Committee and the Board also considered the benefits of research made available to the Investment Manager by reason of brokerage commissions generated
by the Fund’s securities transactions, and reviewed information about the Investment Manager’s practices with respect to considering brokerage and research services when allocating portfolio transactions. In this connection, the Board
also noted that the amount of research made available to the Investment Manager by reason of brokerage commissions had been declining over time, and may decline further. The Committee and the Board recognized that the Investment Manager’s
profitability would be somewhat lower without these benefits.
Conclusion
The Committee and the Board reviewed all of the above
considerations in reaching their decisions to recommend or approve the continuation of the Management Agreement. In their deliberations, the Trustees did not identify any particular information that was all-important or controlling, and individual
Trustees may have attributed different weights to the various factors. Based on their evaluation of all factors that they deemed to be material, including those factors described above, and assisted by the advice of independent legal counsel, the
Board, including the Independent Trustees, voting separately, unanimously approved the continuation of the Management Agreement.
Columbia
Global Dividend Opportunity Fund | Annual Report 2019
|
41
|
[THIS PAGE INTENTIONALLY LEFT BLANK]
[THIS PAGE INTENTIONALLY LEFT BLANK]
Columbia Global Dividend Opportunity 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
August 31, 2019
Columbia Global Technology Growth 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
|
|
6
|
|
8
|
|
9
|
|
13
|
|
14
|
|
15
|
|
18
|
|
22
|
|
31
|
|
32
|
|
32
|
|
36
|
Columbia Global Technology Growth Fund (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-PORT, and for reporting periods ended prior to March 31, 2019, on Form N-Q. The Fund’s Form N-Q and Form N-PORT filings are available on the SEC’s website at sec.gov.
The Fund’s complete schedule of portfolio holdings, as filed on Form N-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 (the Investment Manager)
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 Global
Technology Growth Fund | Annual Report 2019
Investment objective
The Fund seeks capital appreciation
by investing, under normal market conditions, at least 80% of its total net assets (plus any borrowings for investment purposes) in stocks of technology companies that may benefit from technological improvements, advancements or developments.
Portfolio
management
Rahul Narang
Portfolio
Manager
Managed Fund
since 2012
Morningstar
style boxTM
The Morningstar
Style Box is based on a fund’s portfolio holdings. For equity funds, the vertical axis shows the market capitalization of the stocks owned, and the horizontal axis shows investment style (value, blend, or growth). Information shown is based on
the most recent data provided by Morningstar.
© 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 August 31, 2019)
|
|
|
Inception
|
1
Year
|
5
Years
|
10
Years
|
Class
A
|
Excluding
sales charges
|
11/01/02
|
4.08
|
18.12
|
18.62
|
|
Including
sales charges
|
|
-1.90
|
16.72
|
17.92
|
Advisor
Class*
|
11/08/12
|
4.33
|
18.42
|
18.92
|
Class
C
|
Excluding
sales charges
|
10/13/03
|
3.31
|
17.23
|
17.75
|
|
Including
sales charges
|
|
2.33
|
17.23
|
17.75
|
Institutional
Class
|
11/09/00
|
4.32
|
18.42
|
18.92
|
Institutional
2 Class*
|
11/08/12
|
4.42
|
18.53
|
19.01
|
Institutional
3 Class*
|
03/01/16
|
4.47
|
18.53
|
18.98
|
S&P
Global 1200 Information Technology Index (Net)
|
|
3.57
|
15.62
|
15.15
|
Returns for Class A shares are shown
with and without the maximum initial sales charge of 5.75%. Returns for Class C shares are shown with and without the 1.00% contingent deferred sales charge for the first year only. The Fund’s other share classes are not subject to sales
charges and have limited eligibility. Please see the Fund’s prospectus for details. Performance for different share classes will vary based on differences in sales charges and fees associated with each share class. All results shown assume
reinvestment of distributions during the period. Returns do not reflect the deduction of taxes that a shareholder may pay on Fund distributions or on the redemption of Fund shares. Performance results reflect the effect of any fee waivers or
reimbursements of Fund expenses by Columbia Management Investment Advisers, LLC and/or any of its affiliates. Absent these fee waivers or expense reimbursement arrangements, performance results would have been lower.
The performance information shown represents past performance and
is not a guarantee of future results. The investment return and principal value of your investment will fluctuate so that your shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than
the performance information shown. You may obtain performance information current to the most recent month-end by contacting your financial intermediary, visiting columbiathreadneedleus.com/investor/ or calling 800.345.6611.
*
|
The returns shown for periods
prior to the share class inception date (including returns for the Life of the Fund, if shown, which are since Fund inception) include the returns of the Fund’s oldest share class. These returns are adjusted to reflect any higher class-related
operating expenses of the newer share classes, as applicable. Please visit columbiathreadneedleus.com/investor/investment-products/mutual-funds/appended-performance for more information.
|
The Fund’s performance prior to July 2014 reflects
returns achieved pursuant to different principal investment strategies. If the Fund’s current strategies had been in place for the prior periods, results shown may have been different.
The S&P Global 1200 Information Technology Index (Net) is a
float-adjusted, market-cap-weighted index consisting of all members of the S&P Global 1200 that are classified within the GICS Information Technology sector.
Indices are not available for investment, are not
professionally managed and do not reflect sales charges, fees, brokerage commissions, taxes or other expenses of investing. Securities in the Fund may not match those in an index.
Columbia
Global Technology Growth Fund | Annual Report 2019
|
3
|
Fund at a Glance (continued)
Performance of a
hypothetical $10,000 investment (August 31, 2009 — August 31, 2019)
The chart above shows the
change in value of a hypothetical $10,000 investment in Class A shares of Columbia Global Technology Growth 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 August 31, 2019)
|
Microsoft
Corp. (United States)
|
7.4
|
Alphabet,
Inc., Class A (United States)
|
4.9
|
Apple,
Inc. (United States)
|
4.7
|
Visa,
Inc., Class A (United States)
|
4.3
|
Amazon.com,
Inc. (United States)
|
4.2
|
MasterCard,
Inc., Class A (United States)
|
3.3
|
Broadcom,
Inc. (United States)
|
2.5
|
Salesforce.com,
Inc. (United States)
|
2.1
|
Alibaba
Group Holding Ltd., ADR (China)
|
2.1
|
Cisco
Systems, Inc. (United States)
|
2.0
|
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.
Equity
sector breakdown (%) (at August 31, 2019)
|
Communication
Services
|
12.0
|
Consumer
Discretionary
|
7.5
|
Financials
|
0.1
|
Health
Care
|
0.2
|
Industrials
|
0.5
|
Information
Technology
|
79.2
|
Materials
|
0.1
|
Real
Estate
|
0.4
|
Total
|
100.0
|
Percentages indicated are based
upon total equity investments. The Fund’s portfolio composition is subject to change.
4
|
Columbia Global Technology
Growth Fund | Annual Report 2019
|
Fund at a Glance (continued)
Equity
sub-industry breakdown (%) (at August 31, 2019)
|
Information
Technology
|
|
Application
Software
|
13.1
|
Communications
Equipment
|
3.7
|
Data
Processing & Outsourced Services
|
15.1
|
Electronic
Components
|
1.3
|
Electronic
Equipment & Instruments
|
1.1
|
Electronic
Manufacturing Services
|
0.5
|
Internet
Services & Infrastructure
|
2.9
|
IT
Consulting & Other Services
|
3.4
|
Semiconductor
Equipment
|
4.5
|
Semiconductors
|
14.8
|
Systems
Software
|
11.0
|
Technology
Distributors
|
0.5
|
Technology
Hardware, Storage & Peripherals
|
7.3
|
Total
|
79.2
|
Percentages indicated are based
upon total equity investments. The Fund’s portfolio composition is subject to change.
Country
breakdown (%) (at August 31, 2019)
|
Brazil
|
0.6
|
China
|
3.3
|
Finland
|
0.2
|
France
|
0.3
|
Germany
|
0.9
|
Guernsey
|
0.2
|
Hong
Kong
|
0.1
|
Japan
|
1.0
|
Netherlands
|
3.2
|
Russian
Federation
|
0.2
|
South
Korea
|
1.1
|
Spain
|
0.2
|
Sweden
|
0.3
|
Switzerland
|
0.6
|
Taiwan
|
1.5
|
United
Kingdom
|
0.7
|
United
States(a)
|
85.6
|
Total
|
100.0
|
(a)
|
Includes
investments in Money Market Funds.
|
Country breakdown is based primarily on issuer’s place
of organization/incorporation. Percentages indicated are based upon total investments excluding investments in derivatives, if any. The Fund’s portfolio composition is subject to change.
The Fund may use place of organization/incorporation or other
factors in determining whether an issuer is domestic (U.S.) or foreign for purposes of its investment policies. At August 31, 2019, the Fund invested at least 40% of its net assets in foreign companies in accordance with its principal investment
strategy.
Columbia
Global Technology Growth Fund | Annual Report 2019
|
5
|
Manager Discussion of Fund Performance
For the
12-month period ended August 31, 2019, the Fund’s Class A shares returned 4.08% excluding sales charges. The Fund modestly outperformed its benchmark, the S&P Global 1200 Information Technology Index (Net), which returned 3.57%. Security
selection drove the Fund’s performance advantage over the benchmark.
Trade concerns, interest rates weighed on financial
markets
Optimism prevailed early in the 12-month
period ended August 31, 2019, as positive global economic conditions buoyed investor confidence. However, the global economic backdrop looked less rosy as the period wore on. U.S. growth slowed from above 3.0% to 2.1% (annualized) and is expected to
slow further in 2020. European economies transitioned to a slower pace of growth, struggling with rising interest rates, trade tensions and uncertainty surrounding the U.K.’s departure from the European Union (Brexit). 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 (Fed) backed away from additional rate hikes and central banks around the world stood poised to loosen monetary policy — the Bank of England the
lone outlier. Even though the Fed lowered its key short-term borrowing rate in July 2019, stocks dipped again in the final month of the period as trade concerns amplified.
Against this backdrop, the S&P 500 Index, a broad measure
of U.S. stock returns, gained 2.92%. The MSCI ACWI ex USA Index (Net), a broad measure of stock markets outside the United States, returned -3.27%.
Contributors and detractors
Heightened geopolitical tensions between China and the
United States rippled across global technology supply chains, especially for those companies with outsized exposure to China. As a result, IT services and software — with the majority of their revenues derived from the developed world —
were the best performing segments of technology. Technology hardware was the worst performing segment, in part the result of significant exposure to China.
> MongoDB
was the best performing stock within the portfolio’s IT services holdings during the period, as the market re-rated MongoDB, significantly raising its valuations. MongoDB is a provider of next-generation database software, with market
penetration of less than one percent of a total market opportunity estimated at over $60 billion as of the writing of this report. The company rapidly won customers and disrupted decades-old and inflexible legacy database architectures.
MongoDB’s cloud-agnostic approach, combined with a lower priced offering for smaller customers, drove steady organic growth during the period.
> On the
other side of the Atlantic Ocean, investors cheered Trainline’s debut in the public markets. London-based Trainline is a leading online ticket aggregator for selling train tickets throughout the United Kingdom and parts of Europe. With more
than 400 rail carriers and 27,000 train stations across Europe, rail infrastructure is complex, pricing lacks transparency, and online penetration of ticket sales significantly lags compared to other modes of transportation. Trainline held a
dominant position in that market and had added value by simplifying the booking process for passengers. We believed the company had the potential to continue to grow faster than the market through a combination of pricing power, increased scale and
a continued shift from offline to online ticket purchases.
> Shares of
semiconductor manufacturer Marvell Technology generated double-digit gains for the period, as the market rewarded the company’s emerging growth profile and market consolidation. Marvell designs integrated circuits for storage, network
infrastructure and connectivity applications. During the reporting period the company acquired two semiconductor companies to help balance its portfolio, while divesting non-core assets. More important to investors, the company continued to secure
“design wins” — selection to design customized components — from manufacturers of products related to the next generation of mobile Internet connectivity, known as 5G. As continued innovation and easing regulatory standards
allow the 5G network to expand globally and enable connectivity for new applications such as smart cities, factory automation and the “Internet of Things,” we believed that Marvell remained a compelling investment for its long-term
growth potential.
> Amazon,
one of the Fund’s top performers for the prior 12-month period, detracted from performance in 2019. Amazon shares fell by double digits on mounting allegations that its dominant position resulted in anti-competitive behavior. Any potential
resolution is likely to take years. Amazon remained a core position within the Fund.
6
|
Columbia Global Technology
Growth Fund | Annual Report 2019
|
Manager Discussion of Fund Performance (continued)
> Finally,
Chinese internet giant TenCent underperformed the market, the result of slowing growth within its core lines of business. The company has a broad collection of high quality assets, with leading content in video, music and games, plus a premier user
ecosystem that includes messaging, e-commerce assets, financial technology and cloud services. The pervasive use of the company’s messaging, e-commerce and payment applications remained robust throughout the period. However, the overall growth
profile was compressed by increased regulatory scrutiny of video game content, as well as an unfavorable environment for advertising growth.
At period’s end
The Fund generated solid gains, maintaining its strategy of
constructing a diversified global portfolio of both growth and value opportunities. As the Fund is global in nature and technology is pervasive throughout the world, we intend to remain true to our process and continue to monitor geo-political
risks. Central to this is the belief that unlike hardware-centric technology companies of the past, many of today’s companies have used new forms of technology such as the cloud to shift toward capital-light business models. The resulting
increase in cash flow generation has resulted in some of the best balance sheets across the economy, which has resulted in favorable capital returns to shareholders. We believe that increased regulation of market leaders and the imposition of
tariffs are the primary risks to the technology sector. We continue to view market pullbacks as an opportunity to deploy capital to ideas where our conviction is the highest.
Market risk may affect a single
issuer, sector of the economy, industry or the market as a whole. The products of technology companies may be subject to severe competition and rapid obsolescence, and technology stocks may be subject to
greater price fluctuations. Growth securities, at times, may not perform as well as value securities or the stock market in general and may be out of favor with investors. 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. Risks are enhanced for emerging market issuers. 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.
Columbia
Global Technology Growth 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 $1,000
= 8.6), then multiply the results by the expenses paid during the period under the “Actual” column. The amount listed in the “Hypothetical” column assumes a 5% annual rate of return before expenses (which is not the
Fund’s actual return) and then applies the Fund’s actual expense ratio for the period to the hypothetical return. You should not use the hypothetical account values and expenses to estimate either your actual account balance at the end
of the period or the expenses you paid during the period. See “Compare with other funds” below for details on how to use the hypothetical data.
Compare with other funds
Since all mutual funds are required to include the same
hypothetical calculations about expenses in shareholder reports, you can use this information to compare the ongoing cost of investing in the Fund with other funds. To do so, compare the hypothetical example with the 5% hypothetical examples that
appear in the shareholder reports of other funds. As you compare hypothetical examples of other funds, it is important to note that hypothetical examples are meant to highlight the ongoing costs of investing in a fund only and do not reflect any
transaction costs, such as sales charges, or redemption or exchange fees. Therefore, the hypothetical calculations are useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. If
transaction costs were included in these calculations, your costs would be higher.
March
1, 2019 — August 31, 2019
|
|
Account
value at the
beginning of the
period ($)
|
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
|
1,099.50
|
1,018.85
|
6.53
|
6.28
|
1.24
|
Advisor
Class
|
1,000.00
|
1,000.00
|
1,100.80
|
1,020.10
|
5.21
|
5.01
|
0.99
|
Class
C
|
1,000.00
|
1,000.00
|
1,095.20
|
1,015.09
|
10.45
|
10.05
|
1.99
|
Institutional
Class
|
1,000.00
|
1,000.00
|
1,100.70
|
1,020.10
|
5.21
|
5.01
|
0.99
|
Institutional
2 Class
|
1,000.00
|
1,000.00
|
1,101.30
|
1,020.46
|
4.85
|
4.66
|
0.92
|
Institutional
3 Class
|
1,000.00
|
1,000.00
|
1,101.30
|
1,020.76
|
4.53
|
4.36
|
0.86
|
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 Global Technology
Growth Fund | Annual Report 2019
|
Portfolio of Investments
August 31, 2019
(Percentages represent value of investments compared to net
assets)
Investments in securities
Common
Stocks 98.1%
|
Issuer
|
Shares
|
Value
($)
|
Brazil
0.6%
|
Afya
Ltd., Class A(a)
|
90,297
|
1,977,504
|
Arco
Platform Ltd., Class A(a)
|
60,381
|
2,918,818
|
Stone
Co., Ltd., Class A(a)
|
128,365
|
3,861,219
|
Total
|
8,757,541
|
China
3.3%
|
Alibaba
Group Holding Ltd., ADR(a)
|
177,947
|
31,146,063
|
HUYA,
Inc. ADR(a)
|
88,939
|
2,241,263
|
Tencent
Holdings Ltd.
|
413,420
|
17,068,265
|
Total
|
50,455,591
|
Finland
0.2%
|
Nokia
OYJ, ADR
|
679,499
|
3,370,315
|
France
0.3%
|
Capgemini
SE
|
33,532
|
4,023,420
|
Germany
0.9%
|
SAP
SE, ADR
|
113,307
|
13,500,529
|
Guernsey
0.2%
|
Amdocs
Ltd.
|
51,300
|
3,321,162
|
Hong
Kong 0.1%
|
Wanda
Sports Group Co., Ltd., ADR(a)
|
406,126
|
2,128,100
|
Japan
1.0%
|
Keyence
Corp.
|
12,400
|
7,327,158
|
Kyocera
Corp.
|
28,600
|
1,697,478
|
Murata
Manufacturing Co., Ltd.
|
96,600
|
4,015,944
|
TDK
Corp.
|
27,200
|
2,157,863
|
Total
|
15,198,443
|
Netherlands
3.2%
|
ASML
Holding NV
|
90,364
|
20,115,930
|
Elastic
NV(a)
|
57,370
|
5,042,249
|
NXP
Semiconductors NV
|
162,548
|
16,602,653
|
STMicroelectronics
NV, Registered Shares
|
381,079
|
6,745,098
|
Total
|
48,505,930
|
Russian
Federation 0.2%
|
Yandex
NV, Class A(a)
|
81,966
|
3,040,939
|
Common
Stocks (continued)
|
Issuer
|
Shares
|
Value
($)
|
South
Korea 1.1%
|
Samsung
Electronics Co., Ltd.
|
482,593
|
17,570,719
|
Spain
0.2%
|
Amadeus
IT Group SA, Class A
|
45,364
|
3,382,831
|
Sweden
0.3%
|
Telefonaktiebolaget
LM Ericsson, ADR
|
647,156
|
5,073,703
|
Switzerland
0.6%
|
Logitech
International SA
|
73,743
|
3,002,588
|
TE
Connectivity Ltd.
|
69,305
|
6,322,002
|
Total
|
9,324,590
|
Taiwan
1.5%
|
Taiwan
Semiconductor Manufacturing Co., Ltd., ADR
|
555,420
|
23,677,555
|
United
Kingdom 0.7%
|
Finablr
PLC(a)
|
650,481
|
1,407,296
|
Network
International Holdings PLC(a)
|
642,977
|
4,739,047
|
Trainline
PLC(a)
|
676,479
|
3,914,028
|
Total
|
10,060,371
|
United
States 83.7%
|
Accenture
PLC, Class A
|
97,199
|
19,261,926
|
ACM
Research, Inc., Class A(a)
|
90,217
|
1,290,103
|
Activision
Blizzard, Inc.
|
233,232
|
11,801,539
|
Adobe,
Inc.(a)
|
86,279
|
24,547,238
|
Advanced
Micro Devices, Inc.(a)
|
193,487
|
6,085,166
|
Alphabet,
Inc., Class A(a)
|
61,817
|
73,594,993
|
Alteryx,
Inc., Class A(a)
|
33,989
|
4,841,733
|
Amazon.com,
Inc.(a)
|
35,912
|
63,790,127
|
Amphenol
Corp., Class A
|
77,613
|
6,794,242
|
Analog
Devices, Inc.
|
102,028
|
11,205,735
|
ANSYS,
Inc.(a)
|
56,944
|
11,762,353
|
Apple,
Inc.
|
338,213
|
70,598,582
|
Applied
Materials, Inc.
|
192,593
|
9,248,316
|
Arista
Networks, Inc.(a)
|
29,639
|
6,716,790
|
Autodesk,
Inc.(a)
|
52,712
|
7,528,328
|
Automatic
Data Processing, Inc.
|
112,714
|
19,143,346
|
Avaya
Holdings Corp.(a)
|
124,113
|
1,752,476
|
Booking
Holdings, Inc.(a)
|
2,907
|
5,716,354
|
The accompanying Notes to Financial Statements are an integral part
of this statement.
Columbia
Global Technology Growth Fund | Annual Report 2019
|
9
|
Portfolio of Investments (continued)
August 31, 2019
Common
Stocks (continued)
|
Issuer
|
Shares
|
Value
($)
|
Broadcom,
Inc.
|
130,513
|
36,888,194
|
Cadence
Design Systems, Inc.(a)
|
96,609
|
6,615,784
|
CDW
Corp.
|
61,013
|
7,047,002
|
Cisco
Systems, Inc.
|
632,319
|
29,598,852
|
Cognizant
Technology Solutions Corp., Class A
|
60,156
|
3,692,977
|
Comcast
Corp., Class A
|
125,102
|
5,537,015
|
Corning,
Inc.
|
148,610
|
4,138,789
|
Coupa
Software, Inc.(a)
|
57,072
|
7,929,013
|
Crowdstrike
Holdings, Inc., Class A(a)
|
22,255
|
1,808,886
|
DXC
Technology Co.
|
123,224
|
4,093,501
|
Electronic
Arts, Inc.(a)
|
63,621
|
5,960,015
|
Expedia
Group, Inc.
|
17,431
|
2,267,773
|
Facebook,
Inc., Class A(a)
|
156,826
|
29,117,883
|
Fidelity
National Information Services, Inc.
|
170,600
|
23,239,132
|
Fiserv,
Inc.(a)
|
91,128
|
9,745,228
|
FleetCor
Technologies, Inc.(a)
|
27,106
|
8,088,430
|
ForeScout
Technologies, Inc.(a)
|
120,926
|
4,332,779
|
Green
Dot Corp., Class A(a)
|
62,671
|
1,916,479
|
Guidewire
Software, Inc.(a)
|
73,535
|
7,072,596
|
Health
Catalyst, Inc.(a)
|
32,979
|
1,314,543
|
HP,
Inc.
|
340,753
|
6,232,372
|
Intel
Corp.
|
454,067
|
21,527,316
|
International
Business Machines Corp.
|
93,030
|
12,608,356
|
Intuit,
Inc.
|
78,901
|
22,751,892
|
IPG
Photonics Corp.(a)
|
11,278
|
1,395,427
|
Keysight
Technologies, Inc.(a)
|
90,743
|
8,789,367
|
KLA
Corp.
|
62,120
|
9,187,548
|
Lam
Research Corp.
|
131,837
|
27,753,007
|
Livent
Corp.(a)
|
199,637
|
1,227,768
|
Lyft,
Inc., Class A(a)
|
56,572
|
2,770,331
|
Marvell
Technology Group Ltd.
|
624,979
|
14,980,747
|
MasterCard,
Inc., Class A
|
178,980
|
50,359,603
|
Maxim
Integrated Products, Inc.
|
63,143
|
3,443,819
|
Microchip
Technology, Inc.
|
85,761
|
7,403,747
|
Micron
Technology, Inc.(a)
|
301,846
|
13,664,568
|
Microsoft
Corp.
|
809,999
|
111,666,462
|
MongoDB,
Inc.(a)
|
43,035
|
6,554,661
|
Motorola
Solutions, Inc.
|
64,066
|
11,590,180
|
NetApp,
Inc.
|
65,776
|
3,161,195
|
Common
Stocks (continued)
|
Issuer
|
Shares
|
Value
($)
|
Netflix,
Inc.(a)
|
42,138
|
12,378,038
|
NVIDIA
Corp.
|
133,827
|
22,417,361
|
Okta,
Inc.(a)
|
42,390
|
5,362,335
|
Oracle
Corp.
|
208,587
|
10,859,039
|
Palo
Alto Networks, Inc.(a)
|
49,047
|
9,986,950
|
Parsons
Corp.(a)
|
144,190
|
4,905,344
|
PayPal
Holdings, Inc.(a)
|
181,229
|
19,763,022
|
Perspecta,
Inc.
|
154,858
|
4,018,565
|
Phreesia,
Inc.(a)
|
62,778
|
1,680,567
|
PTC,
Inc.(a)
|
52,833
|
3,458,977
|
QUALCOMM,
Inc.
|
157,096
|
12,217,356
|
SailPoint
Technologies Holding, Inc.(a)
|
204,407
|
4,605,290
|
Salesforce.com,
Inc.(a)
|
199,995
|
31,213,220
|
SBA
Communications Corp.
|
23,303
|
6,115,406
|
ServiceNow,
Inc.(a)
|
52,281
|
13,689,257
|
SMART
Global Holdings, Inc.(a)
|
134,036
|
3,807,963
|
Smartsheet,
Inc., Class A(a)
|
106,777
|
5,189,362
|
Splunk,
Inc.(a)
|
52,085
|
5,824,145
|
Square,
Inc., Class A(a)
|
165,266
|
10,220,049
|
Synopsys,
Inc.(a)
|
195,648
|
27,744,843
|
Take-Two
Interactive Software, Inc.(a)
|
31,509
|
4,158,243
|
Tesla
Motors, Inc.(a)
|
6,068
|
1,369,001
|
Texas
Instruments, Inc.
|
153,343
|
18,976,196
|
T-Mobile
U.S.A., Inc.(a)
|
63,664
|
4,968,975
|
Total
System Services, Inc.
|
64,143
|
8,609,273
|
Twilio,
Inc., Class A(a)
|
120,115
|
15,671,404
|
Universal
Display Corp.
|
11,424
|
2,347,289
|
Varonis
Systems, Inc.(a)
|
42,900
|
2,930,928
|
VeriSign,
Inc.(a)
|
77,390
|
15,775,952
|
Visa,
Inc., Class A
|
360,958
|
65,268,426
|
VMware,
Inc., Class A
|
39,435
|
5,577,686
|
Walt
Disney Co. (The)
|
61,493
|
8,440,529
|
Western
Digital Corp.
|
172,567
|
9,882,912
|
Workday,
Inc., Class A(a)
|
35,599
|
6,310,991
|
Xilinx,
Inc.
|
14,650
|
1,524,479
|
Zendesk,
Inc.(a)
|
42,604
|
3,416,841
|
Total
|
1,283,838,798
|
Total
Common Stocks
(Cost $958,367,033)
|
1,505,230,537
|
|
The accompanying Notes to Financial Statements are an integral part
of this statement.
10
|
Columbia Global Technology
Growth Fund | Annual Report 2019
|
Portfolio of Investments (continued)
August 31, 2019
Money
Market Funds 1.8%
|
|
Shares
|
Value
($)
|
Columbia
Short-Term Cash Fund, 2.208%(b),(c)
|
27,255,146
|
27,252,420
|
Total
Money Market Funds
(Cost $27,252,420)
|
27,252,420
|
Total
Investments in Securities
(Cost $985,619,453)
|
1,532,482,957
|
Other
Assets & Liabilities, Net
|
|
1,665,867
|
Net
Assets
|
$1,534,148,824
|
Notes to Portfolio of Investments
(a)
|
Non-income
producing investment.
|
(b)
|
The rate
shown is the seven-day current annualized yield at August 31, 2019.
|
(c)
|
As
defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. Holdings and
transactions in these affiliated companies during the year ended August 31, 2019 are as follows:
|
Issuer
|
Beginning
shares
|
Shares
purchased
|
Shares
sold
|
Ending
shares
|
Realized
gain
(loss) —
affiliated
issuers ($)
|
Net
change in
unrealized
appreciation
(depreciation) —
affiliated
issuers ($)
|
Dividends
—
affiliated
issuers ($)
|
Value
—
affiliated
issuers
at end of
period ($)
|
Columbia
Short-Term Cash Fund, 2.208%
|
|
40,804,024
|
303,456,652
|
(317,005,530)
|
27,255,146
|
(418)
|
—
|
674,726
|
27,252,420
|
Abbreviation Legend
ADR
|
American
Depositary Receipt
|
Fair value
measurements
The Fund categorizes its fair value
measurements according to a three-level hierarchy that maximizes the use of observable inputs and minimizes the use of unobservable inputs by prioritizing that the most observable input be used when available. Observable inputs are those that market
participants would use in pricing an investment based on market data obtained from sources independent of the reporting entity. Unobservable inputs are those that reflect the Fund’s assumptions about the information market participants would
use in pricing an investment. An investment’s level within the fair value hierarchy is based on the lowest level of any input that is deemed significant to the asset’s or liability’s fair value measurement. The input levels are not
necessarily an indication of the risk or liquidity associated with investments at that level. For example, certain U.S. government securities are generally high quality and liquid, however, they are reflected as Level 2 because the inputs used to
determine fair value may not always be quoted prices in an active market.
Fair value inputs are summarized in the three broad levels
listed below:
■
|
Level 1 — Valuations
based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments.
|
■
|
Level 2 — Valuations
based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.).
|
■
|
Level 3 — Valuations
based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments).
|
Inputs that are used in determining fair value of an investment
may include price information, credit data, volatility statistics, and other factors. These inputs can be either observable or unobservable. The availability of observable inputs can vary between investments, and is affected by various factors such
as the type of investment, and the volume and level of activity for that investment or similar investments in the marketplace. The inputs will be considered by the Investment Manager, along with any other relevant factors in the calculation of an
investment’s fair value. The Fund uses prices and inputs that are current as of the measurement date, which may include periods of market dislocations. During these periods, the availability of prices and inputs may be reduced for many
investments. This condition could cause an investment to be reclassified between the various levels within the hierarchy.
Foreign equity securities actively traded in markets where
there is a significant delay in the local close relative to the New York Stock Exchange are classified as Level 2. The values of these securities may include an adjustment to reflect the impact of significant market movements following the close of
local trading, as described in Note 2 to the financial statements – Security valuation.
Investments falling into the Level 3 category are primarily
supported by quoted prices from brokers and dealers participating in the market for those investments. However, these may be classified as Level 3 investments due to lack of market transparency and corroboration to support these quoted prices.
Additionally, valuation models may be used as the pricing source for any remaining investments classified as Level 3. These models may rely on one or more significant unobservable inputs and/or significant assumptions by the Investment Manager.
Inputs used in valuations may include, but are not limited to, financial statement analysis, capital account balances, discount rates and estimated cash flows, and comparable company data.
The accompanying Notes
to Financial Statements are an integral part of this statement.
Columbia
Global Technology Growth Fund | Annual Report 2019
|
11
|
Portfolio of Investments (continued)
August 31, 2019
Fair value
measurements (continued)
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.
The
following table is a summary of the inputs used to value the Fund’s investments at August 31, 2019:
|
Level
1 ($)
|
Level
2 ($)
|
Level
3 ($)
|
Total
($)
|
Investments
in Securities
|
|
|
|
|
Common
Stocks
|
|
|
|
|
Brazil
|
8,757,541
|
—
|
—
|
8,757,541
|
China
|
33,387,326
|
17,068,265
|
—
|
50,455,591
|
Finland
|
3,370,315
|
—
|
—
|
3,370,315
|
France
|
—
|
4,023,420
|
—
|
4,023,420
|
Germany
|
13,500,529
|
—
|
—
|
13,500,529
|
Guernsey
|
3,321,162
|
—
|
—
|
3,321,162
|
Hong
Kong
|
2,128,100
|
—
|
—
|
2,128,100
|
Japan
|
—
|
15,198,443
|
—
|
15,198,443
|
Netherlands
|
48,505,930
|
—
|
—
|
48,505,930
|
Russian
Federation
|
3,040,939
|
—
|
—
|
3,040,939
|
South
Korea
|
—
|
17,570,719
|
—
|
17,570,719
|
Spain
|
—
|
3,382,831
|
—
|
3,382,831
|
Sweden
|
5,073,703
|
—
|
—
|
5,073,703
|
Switzerland
|
6,322,002
|
3,002,588
|
—
|
9,324,590
|
Taiwan
|
23,677,555
|
—
|
—
|
23,677,555
|
United
Kingdom
|
—
|
10,060,371
|
—
|
10,060,371
|
United
States
|
1,283,838,798
|
—
|
—
|
1,283,838,798
|
Total
Common Stocks
|
1,434,923,900
|
70,306,637
|
—
|
1,505,230,537
|
Money
Market Funds
|
27,252,420
|
—
|
—
|
27,252,420
|
Total
Investments in Securities
|
1,462,176,320
|
70,306,637
|
—
|
1,532,482,957
|
See the Portfolio of Investments for
all investment classifications not indicated in the table.
The Fund’s assets assigned to the Level 2 input category
are generally valued using the market approach, in which a security’s value is determined through reference to prices and information from market transactions for similar or identical assets. These assets include certain foreign securities for
which a third party statistical pricing service may be employed for purposes of fair market valuation. The model utilized by such third party statistical pricing service takes into account a security’s correlation to available market data
including, but not limited to, intraday index, ADR, and exchange-traded fund movements.
The accompanying Notes to Financial Statements are an integral part of this
statement.
12
|
Columbia Global Technology
Growth Fund | Annual Report 2019
|
Statement of Assets and Liabilities
August 31, 2019
Assets
|
|
Investments
in securities, at value
|
|
Unaffiliated
issuers (cost $958,367,033)
|
$1,505,230,537
|
Affiliated
issuers (cost $27,252,420)
|
27,252,420
|
Receivable
for:
|
|
Investments
sold
|
1,101,646
|
Capital
shares sold
|
3,277,541
|
Dividends
|
1,120,279
|
Foreign
tax reclaims
|
42,703
|
Prepaid
expenses
|
9,492
|
Trustees’
deferred compensation plan
|
78,045
|
Total
assets
|
1,538,112,663
|
Liabilities
|
|
Payable
for:
|
|
Investments
purchased
|
1,262,246
|
Capital
shares purchased
|
2,328,871
|
Management
services fees
|
34,441
|
Distribution
and/or service fees
|
6,112
|
Transfer
agent fees
|
180,465
|
Compensation
of chief compliance officer
|
96
|
Other
expenses
|
73,563
|
Trustees’
deferred compensation plan
|
78,045
|
Total
liabilities
|
3,963,839
|
Net
assets applicable to outstanding capital stock
|
$1,534,148,824
|
Represented
by
|
|
Paid
in capital
|
979,123,248
|
Total
distributable earnings (loss) (Note 2)
|
555,025,576
|
Total
- representing net assets applicable to outstanding capital stock
|
$1,534,148,824
|
Class
A
|
|
Net
assets
|
$333,216,782
|
Shares
outstanding
|
9,336,545
|
Net
asset value per share
|
$35.69
|
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)
|
$37.87
|
Advisor
Class
|
|
Net
assets
|
$135,472,376
|
Shares
outstanding
|
3,594,345
|
Net
asset value per share
|
$37.69
|
Class
C
|
|
Net
assets
|
$139,366,078
|
Shares
outstanding
|
4,371,285
|
Net
asset value per share
|
$31.88
|
Institutional
Class
|
|
Net
assets
|
$693,232,290
|
Shares
outstanding
|
18,648,066
|
Net
asset value per share
|
$37.17
|
Institutional
2 Class
|
|
Net
assets
|
$130,114,847
|
Shares
outstanding
|
3,429,484
|
Net
asset value per share
|
$37.94
|
Institutional
3 Class
|
|
Net
assets
|
$102,746,451
|
Shares
outstanding
|
2,700,658
|
Net
asset value per share
|
$38.04
|
The accompanying Notes to Financial Statements are an integral part of this
statement.
Columbia
Global Technology Growth Fund | Annual Report 2019
|
13
|
Statement of Operations
Year Ended August 31, 2019
Net
investment income
|
|
Income:
|
|
Dividends
— unaffiliated issuers
|
$15,079,512
|
Dividends
— affiliated issuers
|
674,726
|
Interfund
lending
|
2,783
|
Foreign
taxes withheld
|
(436,283)
|
Total
income
|
15,320,738
|
Expenses:
|
|
Management
services fees
|
11,607,081
|
Distribution
and/or service fees
|
|
Class
A
|
823,154
|
Class
C
|
1,322,971
|
Transfer
agent fees
|
|
Class
A
|
442,593
|
Advisor
Class
|
159,292
|
Class
C
|
178,041
|
Institutional
Class
|
865,540
|
Institutional
2 Class
|
65,121
|
Institutional
3 Class
|
6,685
|
Compensation
of board members
|
33,551
|
Custodian
fees
|
42,004
|
Printing
and postage fees
|
95,623
|
Registration
fees
|
189,185
|
Audit
fees
|
37,699
|
Legal
fees
|
28,868
|
Compensation
of chief compliance officer
|
563
|
Other
|
70,584
|
Total
expenses
|
15,968,555
|
Net
investment loss
|
(647,817)
|
Realized
and unrealized gain (loss) — net
|
|
Net
realized gain (loss) on:
|
|
Investments
— unaffiliated issuers
|
22,362,021
|
Investments
— affiliated issuers
|
(418)
|
Foreign
currency translations
|
(10,549)
|
Net
realized gain
|
22,351,054
|
Net
change in unrealized appreciation (depreciation) on:
|
|
Investments
— unaffiliated issuers
|
28,484,911
|
Foreign
currency translations
|
(7,636)
|
Net
change in unrealized appreciation (depreciation)
|
28,477,275
|
Net
realized and unrealized gain
|
50,828,329
|
Net
increase in net assets resulting from operations
|
$50,180,512
|
The accompanying Notes to Financial Statements are an
integral part of this statement.
14
|
Columbia Global Technology
Growth Fund | Annual Report 2019
|
Statement of Changes in Net Assets
|
Year
Ended
August 31, 2019
|
Year
Ended
August 31, 2018
|
Operations
|
|
|
Net
investment loss
|
$(647,817)
|
$(2,720,228)
|
Net
realized gain
|
22,351,054
|
73,596,084
|
Net
change in unrealized appreciation (depreciation)
|
28,477,275
|
218,809,996
|
Net
increase in net assets resulting from operations
|
50,180,512
|
289,685,852
|
Distributions
to shareholders
|
|
|
Net
investment income and net realized gains
|
|
|
Class
A
|
(17,028,304)
|
|
Advisor
Class
|
(6,067,235)
|
|
Class
C
|
(5,809,230)
|
|
Institutional
Class
|
(30,637,503)
|
|
Institutional
2 Class
|
(4,987,412)
|
|
Institutional
3 Class
|
(3,371,906)
|
|
Net
realized gains
|
|
|
Class
A
|
|
(9,039,993)
|
Advisor
Class
|
|
(765,620)
|
Class
C
|
|
(3,335,038)
|
Institutional
Class
|
|
(15,778,111)
|
Institutional
2 Class
|
|
(2,022,287)
|
Institutional
3 Class
|
|
(1,724,744)
|
Total
distributions to shareholders (Note 2)
|
(67,901,590)
|
(32,665,793)
|
Increase
in net assets from capital stock activity
|
83,226,306
|
392,571,410
|
Total
increase in net assets
|
65,505,228
|
649,591,469
|
Net
assets at beginning of year
|
1,468,643,596
|
819,052,127
|
Net
assets at end of year
|
$1,534,148,824
|
$1,468,643,596
|
Excess
of distributions over net investment income
|
$(953,302)
|
$(60,368)
|
The accompanying Notes to Financial Statements are an
integral part of this statement.
Columbia
Global Technology Growth Fund | Annual Report 2019
|
15
|
Statement of Changes in Net Assets (continued)
|
Year
Ended
|
Year
Ended
|
|
August
31, 2019
|
August
31, 2018
|
|
Shares
|
Dollars
($)
|
Shares
|
Dollars
($)
|
Capital
stock activity
|
Class
A
|
|
|
|
|
Subscriptions
|
2,797,043
|
92,395,868
|
5,228,272
|
171,416,129
|
Distributions
reinvested
|
553,690
|
15,669,419
|
273,655
|
8,335,524
|
Redemptions
|
(4,288,596)
|
(137,119,082)
|
(3,223,158)
|
(105,707,338)
|
Net
increase (decrease)
|
(937,863)
|
(29,053,795)
|
2,278,769
|
74,044,315
|
Advisor
Class
|
|
|
|
|
Subscriptions
|
2,906,178
|
98,645,285
|
2,626,473
|
95,114,876
|
Distributions
reinvested
|
203,325
|
6,067,235
|
23,911
|
765,620
|
Redemptions
|
(2,238,829)
|
(75,509,145)
|
(380,288)
|
(12,748,446)
|
Net
increase
|
870,674
|
29,203,375
|
2,270,096
|
83,132,050
|
Class
C
|
|
|
|
|
Subscriptions
|
1,074,393
|
30,886,087
|
1,703,988
|
50,186,699
|
Distributions
reinvested
|
197,041
|
5,008,771
|
101,583
|
2,790,479
|
Redemptions
|
(1,189,609)
|
(34,897,882)
|
(1,091,125)
|
(32,625,945)
|
Net
increase
|
81,825
|
996,976
|
714,446
|
20,351,233
|
Institutional
Class
|
|
|
|
|
Subscriptions
|
6,271,021
|
214,054,919
|
7,685,998
|
263,957,209
|
Distributions
reinvested
|
719,120
|
21,163,729
|
343,383
|
10,854,349
|
Redemptions
|
(6,533,837)
|
(217,526,637)
|
(3,249,564)
|
(109,198,998)
|
Net
increase
|
456,304
|
17,692,011
|
4,779,817
|
165,612,560
|
Institutional
2 Class
|
|
|
|
|
Subscriptions
|
1,906,819
|
67,469,747
|
1,844,002
|
63,310,391
|
Distributions
reinvested
|
166,128
|
4,987,155
|
62,779
|
2,022,118
|
Redemptions
|
(1,273,627)
|
(44,147,478)
|
(789,834)
|
(27,030,387)
|
Net
increase
|
799,320
|
28,309,424
|
1,116,947
|
38,302,122
|
Institutional
3 Class
|
|
|
|
|
Subscriptions
|
1,375,078
|
49,596,390
|
669,830
|
22,877,348
|
Distributions
reinvested
|
112,053
|
3,371,677
|
53,409
|
1,724,593
|
Redemptions
|
(472,288)
|
(16,889,752)
|
(386,910)
|
(13,472,811)
|
Net
increase
|
1,014,843
|
36,078,315
|
336,329
|
11,129,130
|
Total
net increase
|
2,285,103
|
83,226,306
|
11,496,404
|
392,571,410
|
The accompanying Notes to Financial Statements are an integral part of this
statement.
16
|
Columbia Global Technology
Growth Fund | Annual Report 2019
|
[THIS PAGE INTENTIONALLY LEFT BLANK]
Columbia
Global Technology Growth 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
(loss)
|
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 8/31/2019
|
$36.28
|
(0.05)
|
1.10
|
1.05
|
—
|
(1.64)
|
(1.64)
|
Year
Ended 8/31/2018
|
$28.59
|
(0.11)
|
8.86
|
8.75
|
—
|
(1.06)
|
(1.06)
|
Year
Ended 8/31/2017
|
$21.19
|
(0.08)
|
7.56
|
7.48
|
—
|
(0.08)
|
(0.08)
|
Year
Ended 8/31/2016
|
$18.36
|
(0.04)
|
3.22
|
3.18
|
—
|
(0.35)
|
(0.35)
|
Year
Ended 8/31/2015
|
$18.18
|
(0.07)
|
1.10
|
1.03
|
(0.09)
|
(0.76)
|
(0.85)
|
Advisor
Class
|
Year
Ended 8/31/2019
|
$38.21
|
0.04
|
1.16
|
1.20
|
—
|
(1.72)
|
(1.72)
|
Year
Ended 8/31/2018
|
$30.05
|
(0.02)
|
9.31
|
9.29
|
—
|
(1.13)
|
(1.13)
|
Year
Ended 8/31/2017
|
$22.21
|
(0.02)
|
7.94
|
7.92
|
—
|
(0.08)
|
(0.08)
|
Year
Ended 8/31/2016
|
$19.19
|
0.01
|
3.36
|
3.37
|
—
|
(0.35)
|
(0.35)
|
Year
Ended 8/31/2015
|
$18.92
|
(0.04)
|
1.17
|
1.13
|
(0.10)
|
(0.76)
|
(0.86)
|
Class
C
|
Year
Ended 8/31/2019
|
$32.54
|
(0.27)
|
0.99
|
0.72
|
—
|
(1.38)
|
(1.38)
|
Year
Ended 8/31/2018
|
$25.78
|
(0.32)
|
7.97
|
7.65
|
—
|
(0.89)
|
(0.89)
|
Year
Ended 8/31/2017
|
$19.26
|
(0.24)
|
6.84
|
6.60
|
—
|
(0.08)
|
(0.08)
|
Year
Ended 8/31/2016
|
$16.84
|
(0.17)
|
2.94
|
2.77
|
—
|
(0.35)
|
(0.35)
|
Year
Ended 8/31/2015
|
$16.82
|
(0.20)
|
1.02
|
0.82
|
(0.04)
|
(0.76)
|
(0.80)
|
Institutional
Class
|
Year
Ended 8/31/2019
|
$37.72
|
0.03
|
1.15
|
1.18
|
—
|
(1.73)
|
(1.73)
|
Year
Ended 8/31/2018
|
$29.68
|
(0.03)
|
9.20
|
9.17
|
—
|
(1.13)
|
(1.13)
|
Year
Ended 8/31/2017
|
$21.94
|
(0.02)
|
7.84
|
7.82
|
—
|
(0.08)
|
(0.08)
|
Year
Ended 8/31/2016
|
$18.95
|
0.01
|
3.33
|
3.34
|
—
|
(0.35)
|
(0.35)
|
Year
Ended 8/31/2015
|
$18.70
|
(0.02)
|
1.13
|
1.11
|
(0.10)
|
(0.76)
|
(0.86)
|
The accompanying Notes to Financial Statements are an
integral part of this statement.
18
|
Columbia Global Technology
Growth 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 8/31/2019
|
$35.69
|
4.08%
|
1.24%
|
1.24%
|
(0.16%)
|
40%
|
$333,217
|
Year
Ended 8/31/2018
|
$36.28
|
31.32%
|
1.25%
|
1.25%
(c)
|
(0.33%)
|
28%
|
$372,730
|
Year
Ended 8/31/2017
|
$28.59
|
35.41%
|
1.32%
|
1.32%
(c)
|
(0.33%)
|
40%
|
$228,598
|
Year
Ended 8/31/2016
|
$21.19
|
17.52%
|
1.36%
|
1.36%
(c)
|
(0.21%)
|
55%
|
$165,271
|
Year
Ended 8/31/2015
|
$18.36
|
5.70%
|
1.40%
|
1.40%
(c)
|
(0.37%)
|
60%
|
$131,079
|
Advisor
Class
|
Year
Ended 8/31/2019
|
$37.69
|
4.33%
|
0.99%
|
0.99%
|
0.11%
|
40%
|
$135,472
|
Year
Ended 8/31/2018
|
$38.21
|
31.65%
|
1.01%
|
1.01%
(c)
|
(0.05%)
|
28%
|
$104,061
|
Year
Ended 8/31/2017
|
$30.05
|
35.77%
|
1.07%
|
1.07%
(c)
|
(0.06%)
|
40%
|
$13,629
|
Year
Ended 8/31/2016
|
$22.21
|
17.76%
|
1.11%
|
1.11%
(c)
|
0.07%
|
55%
|
$7,235
|
Year
Ended 8/31/2015
|
$19.19
|
6.04%
|
1.15%
|
1.15%
(c)
|
(0.23%)
|
60%
|
$8,345
|
Class
C
|
Year
Ended 8/31/2019
|
$31.88
|
3.31%
|
1.99%
|
1.99%
|
(0.90%)
|
40%
|
$139,366
|
Year
Ended 8/31/2018
|
$32.54
|
30.31%
|
2.00%
|
2.00%
(c)
|
(1.08%)
|
28%
|
$139,590
|
Year
Ended 8/31/2017
|
$25.78
|
34.39%
|
2.07%
|
2.07%
(c)
|
(1.08%)
|
40%
|
$92,158
|
Year
Ended 8/31/2016
|
$19.26
|
16.65%
|
2.12%
|
2.12%
(c)
|
(0.97%)
|
55%
|
$60,684
|
Year
Ended 8/31/2015
|
$16.84
|
4.91%
|
2.15%
|
2.15%
(c)
|
(1.13%)
|
60%
|
$39,660
|
Institutional
Class
|
Year
Ended 8/31/2019
|
$37.17
|
4.32%
|
0.99%
|
0.99%
|
0.09%
|
40%
|
$693,232
|
Year
Ended 8/31/2018
|
$37.72
|
31.64%
|
1.00%
|
1.00%
(c)
|
(0.09%)
|
28%
|
$686,134
|
Year
Ended 8/31/2017
|
$29.68
|
35.75%
|
1.07%
|
1.07%
(c)
|
(0.08%)
|
40%
|
$398,021
|
Year
Ended 8/31/2016
|
$21.94
|
17.82%
|
1.11%
|
1.11%
(c)
|
0.04%
|
55%
|
$233,750
|
Year
Ended 8/31/2015
|
$18.95
|
6.00%
|
1.15%
|
1.15%
(c)
|
(0.11%)
|
60%
|
$165,748
|
The accompanying Notes to Financial Statements are an
integral part of this statement.
Columbia
Global Technology Growth Fund | Annual Report 2019
|
19
|
Financial Highlights (continued)
|
Net
asset value,
beginning of
period
|
Net
investment
income
(loss)
|
Net
realized
and
unrealized
gain
|
Total
from
investment
operations
|
Distributions
from net
investment
income
|
Distributions
from net
realized
gains
|
Total
distributions to
shareholders
|
Institutional
2 Class
|
Year
Ended 8/31/2019
|
$38.45
|
0.06
|
1.18
|
1.24
|
—
|
(1.75)
|
(1.75)
|
Year
Ended 8/31/2018
|
$30.23
|
(0.00)
(d)
|
9.37
|
9.37
|
—
|
(1.15)
|
(1.15)
|
Year
Ended 8/31/2017
|
$22.33
|
0.01
|
7.97
|
7.98
|
—
|
(0.08)
|
(0.08)
|
Year
Ended 8/31/2016
|
$19.26
|
0.03
|
3.39
|
3.42
|
—
|
(0.35)
|
(0.35)
|
Year
Ended 8/31/2015
|
$18.98
|
(0.01)
|
1.16
|
1.15
|
(0.11)
|
(0.76)
|
(0.87)
|
Institutional
3 Class
|
Year
Ended 8/31/2019
|
$38.55
|
0.08
|
1.18
|
1.26
|
—
|
(1.77)
|
(1.77)
|
Year
Ended 8/31/2018
|
$30.31
|
0.01
|
9.39
|
9.40
|
—
|
(1.16)
|
(1.16)
|
Year
Ended 8/31/2017
|
$22.37
|
0.03
|
7.99
|
8.02
|
—
|
(0.08)
|
(0.08)
|
Year
Ended 8/31/2016(e)
|
$19.26
|
0.04
|
3.07
|
3.11
|
—
|
—
|
—
|
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)
|
Institutional
3 Class shares commenced operations on March 1, 2016. Per share data and total return reflect activity from that date.
|
(f)
|
Annualized.
|
The accompanying Notes to Financial Statements are an
integral part of this statement.
20
|
Columbia Global Technology
Growth 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
2 Class
|
Year
Ended 8/31/2019
|
$37.94
|
4.42%
|
0.92%
|
0.92%
|
0.17%
|
40%
|
$130,115
|
Year
Ended 8/31/2018
|
$38.45
|
31.73%
|
0.93%
|
0.93%
|
(0.00%)
(d)
|
28%
|
$101,134
|
Year
Ended 8/31/2017
|
$30.23
|
35.84%
|
0.98%
|
0.98%
|
0.02%
|
40%
|
$45,747
|
Year
Ended 8/31/2016
|
$22.33
|
17.95%
|
0.98%
|
0.98%
|
0.16%
|
55%
|
$18,492
|
Year
Ended 8/31/2015
|
$19.26
|
6.13%
|
1.00%
|
1.00%
|
(0.05%)
|
60%
|
$9,964
|
Institutional
3 Class
|
Year
Ended 8/31/2019
|
$38.04
|
4.47%
|
0.87%
|
0.87%
|
0.22%
|
40%
|
$102,746
|
Year
Ended 8/31/2018
|
$38.55
|
31.77%
|
0.88%
|
0.88%
|
0.03%
|
28%
|
$64,995
|
Year
Ended 8/31/2017
|
$30.31
|
35.96%
|
0.93%
|
0.93%
|
0.10%
|
40%
|
$40,899
|
Year
Ended 8/31/2016(e)
|
$22.37
|
16.15%
|
0.94%
(f)
|
0.94%
(f)
|
0.33%
(f)
|
55%
|
$675
|
The accompanying Notes to Financial Statements are an integral part of this
statement.
Columbia
Global Technology Growth Fund | Annual Report 2019
|
21
|
Notes to Financial Statements
August 31, 2019
Note 1. Organization
Columbia Global Technology Growth Fund (the Fund), a series
of Columbia Funds Series Trust I (the Trust), is a diversified fund. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Massachusetts business
trust.
Fund shares
The Trust may issue an unlimited number of shares (without par
value). The Fund offers each of the share classes listed in the Statement of Assets and Liabilities. Although all share classes generally have identical voting, dividend and liquidation rights, each share class votes separately when required by the
Trust’s organizational documents or by law. Each share class has its own expense and sales charge structure. Different share classes may have different minimum initial investment amounts and pay different distribution amounts to the extent the
expenses of distributing such share classes vary. Distributions to shareholders in a liquidation will be proportional to the net asset value of each share class.
As described in the Fund’s prospectus, Class A and Class
C shares are offered to the general public for investment. Advisor Class, Institutional Class, Institutional 2 Class and Institutional 3 Class shares are available for purchase through authorized investment professionals to omnibus retirement plans
or to institutional and to certain other investors as also described in the Fund’s prospectus. Class C shares automatically convert to Class A shares after 10 years.
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 are valued at the close of business of
the New York Stock Exchange. Equity securities are valued at the official closing price on the principal exchange or market on which they trade. 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 determined at the scheduled closing time of the New York Stock Exchange. Many securities markets and exchanges outside the U.S. close prior to the close of the New York Stock Exchange; therefore, the
closing prices for securities in such markets or on such exchanges may not fully reflect events that occur after such close but before the close of the New York Stock Exchange. In those situations, foreign securities will be fair valued pursuant to
a policy adopted by the Board of Trustees. Under the policy, the Fund may utilize a third party pricing service to determine these fair values. The third-party pricing service takes into account multiple factors, including, but not limited to,
movements in the U.S. securities markets, certain depositary receipts, futures contracts and foreign exchange rates that have occurred subsequent to the close of the foreign exchange or market, to determine a good faith estimate that reasonably
reflects the current market conditions as of the close of the New York Stock Exchange. The fair value of a security is likely to be different from the quoted or published price, if available.
Investments in open-end investment companies, including money
market funds, are valued at their latest net asset value.
22
|
Columbia Global Technology
Growth Fund | Annual Report 2019
|
Notes to Financial Statements (continued)
August 31, 2019
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 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.
Columbia
Global Technology Growth Fund | Annual Report 2019
|
23
|
Notes to Financial Statements (continued)
August 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.
Foreign taxes
The Fund may be subject to foreign taxes on income, gains on
investments or currency repatriation, a portion of which may be recoverable. The Fund will accrue such taxes and recoveries, as applicable, based upon its current interpretation of tax rules and regulations that exist in the markets in which it
invests.
Realized gains in certain countries may be
subject to foreign taxes at the Fund level, based on statutory rates. The Fund accrues for such foreign taxes on realized and unrealized gains at the appropriate rate for each jurisdiction, as applicable. The amount, if any, is disclosed as a
liability on the Statement of Assets and Liabilities.
Distributions to shareholders
Distributions from net investment income, if any, are declared
and paid annually. Net realized capital gains, if any, are distributed at least annually. Income distributions and capital gain distributions are determined in accordance with federal income tax regulations, which may differ from GAAP.
Guarantees and indemnifications
Under the Trust’s organizational documents and, in some
cases, by contract, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Trust or its funds. In addition, certain of the Fund’s contracts with its service providers contain
general indemnification clauses. The Fund’s maximum exposure under these arrangements is unknown since the amount of any future claims that may be made against the Fund cannot be determined, and the Fund has no historical basis for predicting
the likelihood of any such claims.
Recent accounting
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. The standard is effective for annual periods beginning after December 15, 2019 and interim periods within
those fiscal years, with early adoption permitted. After evaluation, management determined to adopt the ASU effective for the period ended August 31, 2019 and all subsequent periods. As a result of the amendments, management implemented disclosure
changes which include removal
24
|
Columbia Global Technology
Growth Fund | Annual Report 2019
|
Notes to Financial Statements (continued)
August 31, 2019
of the amount and
reasons for transfers between Level 1 and Level 2 of the fair value hierarchy, removal of the policy for the timing of transfers between levels, removal of the description of the Level 3 valuation processes, as well as modifications to the
measurement uncertainty disclosure.
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 0.87% to 0.77% as the Fund’s net assets increase. The
effective management services fee rate for the year ended August 31, 2019 was 0.82% of the Fund’s average daily net assets.
Compensation of board members
Members of the Board of Trustees who are not officers or
employees of the Investment Manager or Ameriprise Financial are compensated for their services to the Fund as disclosed in the Statement of Operations. 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.
Columbia
Global Technology Growth Fund | Annual Report 2019
|
25
|
Notes to Financial Statements (continued)
August 31, 2019
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 August 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
|
0.13
|
Advisor
Class
|
0.14
|
Class
C
|
0.13
|
Institutional
Class
|
0.13
|
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 August 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 and Class C shares of the Fund. Also under the Plans, the Fund pays a monthly distribution fee to the Distributor at the maximum annual
rates of 0.10% and 0.75% of the average daily net assets attributable to Class A and Class C shares of the Fund, respectively.
Although the Fund may pay distribution and service fees up to
a maximum annual rate of 0.35% of the Fund’s average daily net assets attributable to Class A shares (comprised of up to 0.10% for distribution services and up to 0.25% for shareholder 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.
Sales charges (unaudited)
Sales charges, including front-end charges and contingent
deferred sales charges (CDSC), received by the Distributor for distributing Fund shares for the year ended August 31, 2019, if any, are listed below:
|
Front
End (%)
|
CDSC
(%)
|
Amount
($)
|
Class
A
|
5.75
|
0.05 - 1.00
(a)
|
915,174
|
Class
C
|
—
|
1.00
(b)
|
29,642
|
(a)
|
This
charge is imposed on certain investments of between $1 million and $50 million redeemed within 18 months after purchase, as follows: 1.00% if redeemed within 12 months after purchase, and 0.50% if redeemed more than 12, but less than 18, months
after purchase, with certain limited exceptions.
|
(b)
|
This
charge applies to redemptions within 12 months after purchase, with certain limited exceptions.
|
The Fund’s other share classes are not subject to sales
charges.
26
|
Columbia Global Technology
Growth Fund | Annual Report 2019
|
Notes to Financial Statements (continued)
August 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:
|
January
1, 2019
through
December 31, 2019
|
Prior
to
January 1, 2019
|
Class
A
|
1.43%
|
1.43%
|
Advisor
Class
|
1.18
|
1.18
|
Class
C
|
2.18
|
2.18
|
Institutional
Class
|
1.18
|
1.18
|
Institutional
2 Class
|
1.12
|
1.11
|
Institutional
3 Class
|
1.07
|
1.07
|
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 August 31, 2019, these differences were primarily due to
differing treatment for deferral/reversal of wash sale losses, trustees’ deferred compensation, PY Post Tax Return update for EQ, late-year ordinary losses, distribution reclassifications, earnings and profits distributed to shareholders on
the redemption of shares, foreign currency transactions, and passive foreign investment company (PFIC) holdings. 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
gain ($)
|
Paid
in
capital ($)
|
(245,117)
|
(117,787)
|
362,904
|
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 August 31, 2019
|
Year
Ended August 31, 2018
|
Ordinary
income ($)
|
Long-term
capital gains ($)
|
Total
($)
|
Ordinary
income ($)
|
Long-term
capital gains ($)
|
Total
($)
|
21,632,647
|
46,268,943
|
67,901,590
|
5,842,954
|
26,822,839
|
32,665,793
|
Columbia
Global Technology Growth Fund | Annual Report 2019
|
27
|
Notes to Financial Statements (continued)
August 31, 2019
Short-term capital gain distributions, if any, are considered
ordinary income distributions for tax purposes.
At
August 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 ($)
|
Net
unrealized
appreciation ($)
|
—
|
14,111,339
|
—
|
541,867,618
|
At August 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) ($)
|
Net
unrealized
appreciation ($)
|
990,615,339
|
558,679,492
|
(16,811,874)
|
541,867,618
|
Tax cost of investments and
unrealized appreciation/(depreciation) may also include timing differences that do not constitute adjustments to tax basis.
Under current tax rules, regulated investment companies can
elect to treat certain late-year ordinary losses incurred and post-October capital losses (capital losses realized after October 31) as arising on the first day of the following taxable year. As of August 31, 2019, the Fund will elect to treat the
following late-year ordinary losses and post-October capital losses as arising on September 1, 2019.
Late
year
ordinary losses ($)
|
Post-October
capital losses ($)
|
875,257
|
—
|
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 $580,818,887 and $552,839,424, respectively, for the year ended August 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.
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.
28
|
Columbia Global Technology
Growth Fund | Annual Report 2019
|
Notes to Financial Statements (continued)
August 31, 2019
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 August 31, 2019 was as follows:
Borrower
or lender
|
Average
loan
balance ($)
|
Weighted
average
interest rate (%)
|
Days
outstanding
|
Lender
|
7,253,284
|
2.76
|
5
|
Interest income earned by the Fund
is recorded as Interfund lending in the Statement of Operations. The Fund had no outstanding interfund loans at August 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 August 31,
2019.
Note 9. Significant risks
Shareholder concentration risk
At August 31, 2019, three unaffiliated shareholders of record
owned 38.1% of the outstanding shares of the Fund in one or more accounts. The Fund has no knowledge about whether any portion of those shares was owned beneficially. Affiliated shareholders of record owned 17.3% 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.
Technology and
technology-related investment risk
The Fund may be more
susceptible to the particular risks that may affect companies in the information technology sector, as well as other technology-related sectors (collectively, the technology sectors) than if it were invested in a wider variety of companies in
unrelated sectors. Companies in the technology sectors are subject to certain risks, including the risk that new services, equipment or technologies will not be accepted by consumers and businesses or will become rapidly obsolete. Performance of
such companies may be affected by factors including obtaining and protecting patents (or the failure to do so) and significant competitive pressures, including aggressive pricing of their products or services, new market entrants, competition for
market share and short product cycles due to an accelerated rate of technological developments. Such competitive pressures may lead to limited earnings and/or falling profit margins. As a result, the value of their securities may fall or fail to
rise. In addition, many technology sector companies have limited operating histories and prices of these companies’ securities historically have been more volatile than other securities, especially over the short term.
Columbia
Global Technology Growth Fund | Annual Report 2019
|
29
|
Notes to Financial Statements (continued)
August 31, 2019
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.
30
|
Columbia Global Technology
Growth 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 Global Technology Growth Fund
Opinion on the Financial Statements
We have audited the accompanying statement of assets and
liabilities, including the portfolio of investments, of Columbia Technology Growth Fund (one of the funds constituting Columbia Funds Series Trust I, hereafter referred to as the “Fund”) as of August 31, 2019, the related statement of
operations for the year ended August 31, 2019, the statement of changes in net assets for each of the two years in the period ended August 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 August 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 August 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 August 31, 2019, by correspondence with the custodian, transfer agent, and brokers; when replies were not received from brokers, we performed other audit procedures. We believe that our audits provide a reasonable basis for
our opinion.
/s/PricewaterhouseCoopers LLP
Minneapolis, Minnesota
October 24, 2019
We have served as the auditor of one or more investment
companies within the Columbia Funds Complex since 1977.
Columbia
Global Technology Growth Fund | Annual Report 2019
|
31
|
Federal Income Tax Information
(Unaudited)
The Fund hereby designates the following tax attributes for
the fiscal year ended August 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
|
32.47%
|
24.75%
|
$26,500,150
|
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.
TRUSTEES AND OFFICERS
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), September 2007-October 2018
|
70
|
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, December 2002-May 2006; President of UAL Loyalty Services (airline marketing company), September 2001-December 2002; Executive Vice President and Chief
Financial Officer of United Airlines, July 1999-September 2001
|
70
|
Spartan
Nash Company, (food distributor); former Director, Nash Finch Company (food distributor), 2005-2013; Aircastle Limited (aircraft leasing); former Director, SeaCube Container Leasing Ltd. (container leasing), 2010-2013; and Travelport Worldwide
Limited (travel information technology)
|
32
|
Columbia Global Technology
Growth 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
|
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), 1997-2010; Chair, Wellington Management Portfolios (commingled non-U.S. investment pools), 2007-2010; Director, Wellington Trust Company, NA
and other Wellington affiliates, 1997-2010
|
70
|
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
|
70
|
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
|
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, August 2007-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, August 1999-October 2005;
University Professor, Boston College, November 2005-August 2007
|
70
|
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, 1988-2014
|
70
|
Former
Director, M Fund, Inc. (M Funds mutual fund family), July 2018-July 2019
|
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, 1994-1997, President – Application Systems Division, 1991-1994, Chief Financial Officer – US Marketing & Services, 1988-1991, and Chief Information Officer, 1987-1988, IBM Corporation
(computer and technology)
|
70
|
Former
Director, Enesco Group, Inc. (producer of giftware and home and garden decor products), 2001-2006
|
Columbia
Global Technology Growth Fund | Annual Report 2019
|
33
|
TRUSTEES AND OFFICERS (continued)
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, May
2010-February 2015; President, Columbia Funds, 2009-2015; and senior officer of Columbia Funds and affiliated funds, 2003-2015
|
70
|
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
|
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, 2004-2010; Senior Partner, McKinsey & Company, 2001-2004
|
70
|
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, April 2016-September
2016; Senior Vice President and Chief Investment Officer, Calvert Investments, August 2008-January 2016; Section Head and Portfolio Manager, General Motors Asset Management, June 1997-August 2008
|
70
|
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
|
192
|
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, August 2006 - January 2013
|
34
|
Columbia Global Technology
Growth Fund | Annual Report 2019
|
TRUSTEES AND OFFICERS (continued)
*
|
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.
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 as of the printing of this report, 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.
|
Columbia
Global Technology Growth Fund | Annual Report 2019
|
35
|
TRUSTEES AND OFFICERS (continued)
Fund officers (continued)
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
|
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.
|
Board Consideration and Approval of
Management
Agreement
On June 12, 2019, the Board of Trustees (the Board) and the
Trustees who are not interested persons (as defined in the Investment Company Act of 1940) (the Independent Trustees) of Columbia Funds Series Trust I (the Trust) unanimously approved the continuation of the Management Agreement (the Management
Agreement) with Columbia Management Investment Advisers, LLC (the Investment Manager) with respect to Columbia Global Technology Growth Fund (the Fund), a series of the Trust. As detailed below, the Board’s Advisory Fees and Expenses Committee
(the Committee) and the Board met on multiple occasions to review and discuss, among themselves, with the management team of the Investment Manager and with an independent fee consultant, materials provided by the Investment Manager, the independent
fee consultant and others before determining to approve the continuation of the Management Agreement.
In connection with their deliberations regarding the
continuation of the Management Agreement, the Committee and the Board evaluated materials requested from the Investment Manager regarding the Fund and the Management Agreement, and discussed these materials with representatives of the Investment
Manager at Committee meetings held on March 5, 2019, April 25, 2019 and June 11, 2019 and at Board meetings held on March 6, 2019 and June 12, 2019. In addition, the Board and its various committees consider matters bearing on the Management
Agreement at other meetings throughout the year and in prior years and meet regularly with senior management of the Trust and the Investment Manager. Through the Board’s Investment Oversight Committees, Trustees also meet with selected
portfolio managers of the funds the Trustees oversee and with other investment personnel at various times throughout the year. The Committee and the Board also consulted with the independent fee consultant, Fund counsel and the Independent
Trustees’ independent legal counsel, who advised on various matters with respect to the Committee’s and the Board’s considerations and otherwise assisted the Committee and the Board in their deliberations. On June 11, 2019, the
Committee recommended that the Board approve the continuation of the Management Agreement. On June 12, 2019, the Board, including the Independent Trustees, voting separately, unanimously approved the continuation of the Management Agreement for the
Fund.
The Committee and the Board considered all
information that they, their legal counsel or the Investment Manager believed reasonably necessary to evaluate and to determine whether to recommend for approval or approve the continuation of the Management Agreement. The information and factors
considered by the Committee and the Board in recommending for approval or approving the continuation of the Management Agreement for the Fund included the following:
•
|
Information on the
investment performance of the Fund relative to the performance of a group of mutual funds determined to be comparable to the Fund by an independent third-party data provider, as well as performance relative to benchmarks;
|
•
|
Information on the
Fund’s management fees and total expenses, including information comparing the Fund’s expenses to those of a group of comparable mutual funds, as determined by the independent third-party data provider;
|
36
|
Columbia Global Technology
Growth Fund | Annual Report 2019
|
Board Consideration and Approval of Management
Agreement (continued)
•
|
The Investment
Manager’s agreement to contractually limit or cap total operating expenses for the Fund through December 31, 2020 so that total operating expenses (excluding certain fees and expenses, such as transaction costs and certain other investment
related expenses, interest, taxes, acquired fund fees and expenses, and infrequent and/or unusual expenses) would not exceed a specified annual rate, as a percentage of the Fund’s net assets;
|
•
|
The terms and conditions of
the Management Agreement;
|
•
|
The current and proposed
terms and conditions of other agreements and arrangements with affiliates of the Investment Manager relating to the operations of the Fund, including agreements with respect to the provision of distribution, transfer agency and shareholder services
to the Fund;
|
•
|
Descriptions of various
functions performed by the Investment Manager under the Management Agreement, including portfolio management and portfolio trading practices;
|
•
|
Information regarding the
management fees of similarly-managed portfolios of other clients of the Investment Manager, including institutional accounts and collective trusts;
|
•
|
Information regarding the
reputation, regulatory history and resources of the Investment Manager, including information regarding senior management, portfolio managers and other personnel;
|
•
|
Information regarding the
capabilities of the Investment Manager with respect to compliance monitoring services, including an assessment of the Investment Manager’s compliance system by the Fund’s Chief Compliance Officer; and
|
•
|
The profitability to the
Investment Manager and its affiliates from their relationships with the Fund.
|
Nature, extent and quality of services provided under the
Management Agreement
The Committee and the Board
considered the nature, extent and quality of services provided to the Fund by the Investment Manager and its affiliates under the Management Agreement and under separate agreements for the provision of transfer agency and shareholder services, and
the resources dedicated to the Fund and the other Columbia Funds by the Investment Manager and its affiliates. The Committee and the Board considered, among other things, the Investment Manager’s ability to attract, motivate and retain highly
qualified research, advisory and supervisory investment professionals (including compensation programs for personnel involved in fund management, reputation and other attributes), the portfolio management services provided by those investment
professionals, and the quality of the Investment Manager’s investment research capabilities and trade execution services. The Committee and the Board also considered the potential benefits to shareholders of investing in a mutual fund that is
part of a fund complex offering exposure to a variety of asset classes and investment disciplines and providing a variety of fund and shareholder services.
The Committee and the Board also considered the professional
experience and qualifications of the senior personnel of the Investment Manager, which included consideration of the Investment Manager’s experience with funds using an investment strategy similar to that used by the Investment Manager for the
Fund. The Committee and the Board noted the compliance programs of and the compliance-related resources provided to the Fund by the Investment Manager and its affiliates and the resources dedicated by the Investment Manager and its affiliates to
risk management, and considered the Investment Manager’s ability to provide administrative services to the Fund and coordinate the activities of the Fund’s other service providers. After reviewing these and related factors, the Committee
and the Board concluded, within the context of their overall conclusions, that the nature, extent and quality of the services provided to the Fund under the Management Agreement supported the continuation of the Management Agreement.
Investment performance
The Committee and the Board reviewed information about the
performance of the Fund over various time periods, including performance information relative to benchmarks, information that compared the performance of the Fund to the performance of a group of comparable mutual funds as determined by the
independent third-party data provider, and information and analysis provided by the independent fee consultant. The Committee and the Board also reviewed a description of the third party’s methodology for identifying the Fund’s peer
groups for purposes of performance and expense comparisons.
Columbia
Global Technology Growth Fund | Annual Report 2019
|
37
|
Board Consideration and Approval of Management
Agreement (continued)
The Committee and the Board noted that, through December 31, 2018, the
Fund’s performance was in the forty-fifth, twelfth and twelfth percentile (where the best performance would be in the first percentile) of its category selected by the independent third-party data provider for the purposes of performance
comparisons for the one-, three- and five-year periods, respectively.
The Committee and the Board also considered the Investment
Manager’s performance and reputation generally, the Investment Manager’s historical responsiveness to Board concerns about performance, and the Investment Manager’s willingness to take steps intended to improve performance. After
reviewing these and related factors, the Committee and the Board concluded, within the context of their overall conclusions, that the performance of the Fund and the Investment Manager was sufficient, in light of other considerations, to support the
continuation of the Management Agreement.
Investment
management fee rates and other expenses
The Committee
and the Board considered the management fees charged to the Fund under the Management Agreement as well as the total expenses incurred by the Fund. In assessing the reasonableness of the fees under the Management Agreement, the Committee and the
Board considered, among other information, the Fund’s total expense ratio as a percentage of average daily net assets. The Committee and the Board considered data provided by the independent third-party data provider and the independent fee
consultant. The Committee and the Board noted that, as of December 31, 2018, the Fund’s actual management fee and net total expense ratio were ranked in the third and second quintiles, respectively, (where the lowest fees and expenses would be
in the first quintile) against the Fund’s expense universe as determined by the independent third-party data provider for purposes of expense comparison. The Committee and the Board also took into account the fee waiver and expense limitation
arrangements agreed to by the Investment Manager, as noted above.
The Committee and the Board also received and considered
information about the management fees charged by the Investment Manager to institutional accounts. In considering the fees charged to those accounts, the Committee and the Board took into account, among other things, the Investment Manager’s
representations about the differences between managing mutual funds as compared to other types of accounts, including differences in the services provided, differences in the risk profile of such business for the Investment Manager and the
additional resources required to manage mutual funds effectively. The Committee and the Board also received and considered information about the fees charged by the Investment Manager for sub-advisory services it provides to comparable unaffiliated
funds. In evaluating the Fund’s management fees, the Committee and the Board also took into account the demands, complexity and quality of the investment management of the Fund.
After reviewing these and related factors, the Committee and
the Board concluded, within the context of their overall conclusions, that the management fee rates and expenses of the Fund, in light of other considerations, supported the continuation of the Management Agreement.
Costs of services provided and profitability
The Committee and the Board also took note of the costs the
Investment Manager and its affiliates incur in connection with the services provided and the profitability to the Investment Manager and its affiliates from their relationships with the Fund, and the efforts undertaken by the Investment Manager and
its affiliates to manage efficiently their costs to provide such services.
The Committee and the Board also considered the compensation
directly or indirectly received by the Investment Manager’s affiliates in connection with their relationships with the Fund. The Committee and the Board reviewed information provided by management as to the profitability to the Investment
Manager and its affiliates of their relationships with the Fund, information about the allocation of expenses used to calculate profitability, and comparisons of profitability levels realized in 2018 to profitability levels realized in 2017. When
reviewing profitability, the Committee and the Board also considered court cases in which adviser profitability was an issue in whole or in part, the performance of similarly managed funds, the performance of the Fund, and the expense ratio of the
Fund. In addition, the Committee and the Board considered information provided by the Investment Manager regarding the Investment Manager’s financial condition and comparing its profitability to that of other asset management firms that are,
or are subsidiaries of, publicly traded companies. In this regard, the Committee and the Board also considered data provided by the independent fee consultant.
38
|
Columbia Global Technology
Growth Fund | Annual Report 2019
|
Board Consideration and Approval of Management
Agreement (continued)
After reviewing these and related factors, the Committee and the Board
concluded, within the context of their overall conclusions, that the costs of services provided and the profitability to the Investment Manager and its affiliates from their relationships with the Fund supported the continuation of the Management
Agreement.
Economies of scale
The Committee and the Board considered the potential
existence of economies of scale in the provision by the Investment Manager of services to the Fund, to groups of related funds, and to the Investment Manager’s investment advisory clients as a whole, and whether those economies of scale were
shared with the Fund through breakpoints in investment management fees or other means, such as expense limitation arrangements and additional investments by the Investment Manager in investment, trading, compliance and other resources. The Committee
and the Board noted that the management fee schedules for the Fund contained breakpoints that would reduce the fee rate on assets above specified threshold levels.
In considering these matters, the Committee and the Board also
considered the costs of the services provided and the profitability to the Investment Manager and its affiliates from their relationships with the Fund, as noted above. After reviewing these and related factors, the Committee and the Board
concluded, within the context of their overall conclusions, that the extent to which any economies of scale were expected to be shared with the Fund supported the continuation of the Management Agreement.
Other benefits to the Investment Manager
The Committee and the Board received and considered
information regarding “fall-out” or ancillary benefits received by the Investment Manager and its affiliates as a result of their relationships with the Fund, such as the engagement of the Investment Manager’s affiliates to provide
distribution, transfer agency and shareholder services to the Fund. In this regard, among other matters, the Committee and the Board considered that the Fund’s distributor retains a portion of the distribution fees from the Fund and receives a
portion of the sales charges on sales or redemptions of certain classes of shares of the Fund. The Committee and the Board also considered the benefits of research made available to the Investment Manager by reason of brokerage commissions generated
by the Fund’s securities transactions, and reviewed information about the Investment Manager’s practices with respect to considering brokerage and research services when allocating portfolio transactions. In this connection, the Board
also noted that the amount of research made available to the Investment Manager by reason of brokerage commissions had been declining over time, and may decline further. The Committee and the Board recognized that the Investment Manager’s
profitability would be somewhat lower without these benefits.
Conclusion
The Committee and the Board reviewed all of the above
considerations in reaching their decisions to recommend or approve the continuation of the Management Agreement. In their deliberations, the Trustees did not identify any particular information that was all-important or controlling, and individual
Trustees may have attributed different weights to the various factors. Based on their evaluation of all factors that they deemed to be material, including those factors described above, and assisted by the advice of independent legal counsel, the
Board, including the Independent Trustees, voting separately, unanimously approved the continuation of the Management Agreement.
Columbia
Global Technology Growth Fund | Annual Report 2019
|
39
|
Columbia Global Technology Growth Fund
P.O. Box 219104
Kansas City, MO 64121-9104
Please read and consider the investment objectives, risks,
charges and expenses for any fund carefully before investing. For a prospectus and summary prospectus, which contains this and other important information about the Fund, go to
columbiathreadneedleus.com/investor/. The Fund is distributed by Columbia Management Investment Distributors, Inc., member FINRA, and managed by Columbia Management Investment Advisers, LLC.
Columbia Threadneedle Investments (Columbia Threadneedle) is
the global brand name of the Columbia and Threadneedle group of companies. All rights reserved.
© 2019 Columbia Management Investment Advisers, LLC.
columbiathreadneedleus.com/investor/
Annual
Report
August 31, 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
|
|
8
|
|
9
|
|
31
|
|
33
|
|
34
|
|
36
|
|
40
|
|
54
|
|
55
|
|
55
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59
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Columbia Balanced Fund (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-PORT, and for reporting periods ended prior to March 31, 2019, on Form N-Q. The Fund’s Form N-Q and Form N-PORT filings are available on the SEC’s website at sec.gov.
The Fund’s complete schedule of portfolio holdings, as filed on Form N-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 (the Investment Manager)
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 Balanced
Fund | Annual Report 2019
Investment objective
The Fund seeks high total return by
investing in common stocks and debt securities.
Portfolio
management
Guy
Pope, CFA
Lead Portfolio
Manager
Managed Fund
since 1997
Jason Callan
Portfolio
Manager
Managed Fund
since 2018
Gregory
Liechty
Portfolio
Manager
Managed Fund
since 2011
Ronald Stahl,
CFA
Portfolio
Manager
Managed Fund
since 2005
Average
annual total returns (%) (for the period ended August 31, 2019)
|
|
|
Inception
|
1
Year
|
5
Years
|
10
Years
|
Class
A
|
Excluding
sales charges
|
11/01/02
|
4.79
|
6.35
|
9.42
|
|
Including
sales charges
|
|
-1.22
|
5.09
|
8.78
|
Advisor
Class*
|
11/08/12
|
5.04
|
6.60
|
9.70
|
Class
C
|
Excluding
sales charges
|
10/13/03
|
4.00
|
5.55
|
8.60
|
|
Including
sales charges
|
|
3.00
|
5.55
|
8.60
|
Institutional
Class
|
10/01/91
|
5.04
|
6.61
|
9.69
|
Institutional
2 Class*
|
03/07/11
|
5.09
|
6.69
|
9.78
|
Institutional
3 Class*
|
11/08/12
|
5.14
|
6.74
|
9.80
|
Class
R*
|
09/27/10
|
4.50
|
6.08
|
9.15
|
Blended
Benchmark
|
|
6.22
|
7.57
|
9.77
|
S&P
500 Index
|
|
2.92
|
10.11
|
13.45
|
Bloomberg
Barclays U.S. Aggregate Bond Index
|
|
10.17
|
3.35
|
3.91
|
Returns for Class A shares are shown
with and without the maximum initial sales charge of 5.75%. Returns for Class C shares are shown with and without the 1.00% contingent deferred sales charge for the first year only. The Fund’s other share classes are not subject to sales
charges and have limited eligibility. Please see the Fund’s prospectus for details. Performance for different share classes will vary based on differences in sales charges and fees associated with each share class. All results shown assume
reinvestment of distributions during the period. Returns do not reflect the deduction of taxes that a shareholder may pay on Fund distributions or on the redemption of Fund shares. Performance results reflect the effect of any fee waivers or
reimbursements of Fund expenses by Columbia Management Investment Advisers, LLC and/or any of its affiliates. Absent these fee waivers or expense reimbursement arrangements, performance results would have been lower.
The performance information shown represents past performance and
is not a guarantee of future results. The investment return and principal value of your investment will fluctuate so that your shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than
the performance information shown. You may obtain performance information current to the most recent month-end by contacting your financial intermediary, visiting columbiathreadneedle.com/investor/ or calling 800.345.6611.
*
|
The 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 investor.columbiathreadneedleus.com/investment-products/mutual-funds/appended-performance for more information.
|
The Blended Benchmark is a weighted custom composite consisting
of 60% S&P 500 Index and 40% Bloomberg Barclays U.S. Aggregate Bond Index.
The S&P 500 Index, an unmanaged index, measures the
performance of 500 widely held, large-capitalization U.S. stocks and is frequently used as a general measure of market performance.
The Bloomberg Barclays U.S. Aggregate Bond Index is a
broad-based benchmark that measures the investment-grade, U.S. dollar-denominated, fixed-rate taxable bond market, including Treasuries, government-related and corporate securities, mortgage-backed securities (agency fixed-rate and hybrid
adjustable-rate mortgage passthroughs), asset-backed securities, and commercial mortgage-backed securities.
Indices are not available for investment, are not
professionally managed and do not reflect sales charges, fees, brokerage commissions, taxes or other expenses of investing. Securities in the Fund may not match those in an index.
Columbia
Balanced Fund | Annual Report 2019
|
3
|
Fund at a Glance (continued)
Performance of a
hypothetical $10,000 investment (August 31, 2009 — August 31, 2019)
The chart above shows the
change in value of a hypothetical $10,000 investment in Class A shares of Columbia Balanced 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 August 31, 2019)
|
Microsoft
Corp.
|
3.5
|
Federal
National Mortgage Association
09/12/2049 4.000%
|
2.4
|
Berkshire
Hathaway, Inc., Class B
|
2.4
|
Apple,
Inc.
|
2.3
|
Federal
National Mortgage Association
09/12/2049 3.500%
|
2.2
|
Amazon.com,
Inc.
|
2.0
|
U.S.
Treasury
02/15/2045 2.500%
|
1.9
|
MasterCard,
Inc., Class A
|
1.8
|
Medtronic
PLC
|
1.8
|
JPMorgan
Chase & Co.
|
1.7
|
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 August 31, 2019)
|
Asset-Backed
Securities — Non-Agency
|
5.7
|
Commercial
Mortgage-Backed Securities - Agency
|
0.2
|
Commercial
Mortgage-Backed Securities - Non-Agency
|
2.7
|
Common
Stocks
|
56.2
|
Corporate
Bonds & Notes
|
8.5
|
Exchange-Traded
Funds
|
0.9
|
Foreign
Government Obligations
|
0.0
(a)
|
Inflation-Indexed
Bonds
|
0.6
|
Money
Market Funds
|
5.4
|
Residential
Mortgage-Backed Securities - Agency
|
9.3
|
Residential
Mortgage-Backed Securities - Non-Agency
|
8.4
|
Senior
Loans
|
0.0
(a)
|
U.S.
Government & Agency Obligations
|
0.3
|
U.S.
Treasury Obligations
|
1.8
|
Total
|
100.0
|
Percentages indicated are based
upon total investments excluding investments in derivatives, if any. The Fund’s portfolio composition is subject to change.
4
|
Columbia Balanced Fund
| Annual Report 2019
|
Manager Discussion of Fund Performance
For
the 12-month period that ended August 31, 2019, the Fund’s Class A shares returned 4.79% excluding sales charges. The Fund’s Blended Benchmark returned 6.22%. During the same 12-month period, the Fund’s equity benchmark, the
S&P 500 Index, returned 2.92% while the Fund’s fixed-income benchmark, the Bloomberg Barclays U.S. Aggregate Bond Index, returned 10.17%. An overweight in stocks weighed on results, as bonds outperformed stocks for the period. The equity
portion of the Fund performed in line with the equity benchmark while the fixed-income portion outperformed the Fund’s fixed-income benchmark.
Trade concerns, interest rates drove financial markets
Optimism prevailed early in the 12-month period ended August
31, 2019, as positive global economic conditions, the impact of broad U.S. corporate tax cuts and moves to reduce regulation in a number of industries buoyed confidence. The labor markets added 173,000 jobs per month, on average, and manufacturing
activity remained solid. Unemployment fell to a 50-year low of 3.7%.
However, the economic backdrop looked less rosy as the period
wore on. U.S. growth slowed from above 3.0% to 2.1% (annualized). European economies transitioned to a slower pace of growth, struggling with rising interest rates, trade tensions and uncertainty surrounding Brexit, 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 (Fed) backed away from additional rate hikes, then dipped again in the final months of the period as trade concerns amplified. Late in July, the Fed
lowered its key short-term borrowing rate by 25 basis points (a basis point is one hundredth of one percent).
Bonds solidly outperformed equities for the 12-month period.
The Bloomberg Barclays U.S. Aggregate Bond Index, a broad measure of investment-grade bonds, returned 10.17%. The S&P 500 Index, a broad measure of U.S. stock returns, gained 2.92%.
Stock selection drove equity portfolio performance
In a volatile period for equities, the Fund generated solid
gains through positive stock selection, especially in the information technology, real estate and communication services sectors. The Fund also benefited from a generally positive environment for growth stocks, which have been the beneficiaries of
solid economic growth and low interest rates.
In the
information technology sector, MasterCard, Microsoft and Fidelity National were standout performers for the Fund. Mastercard has chalked up phenomenal growth for such a large company. The company has benefited from the continued shift from cash to
card payments, especially for smaller purchases, and from the growth in online purchases, which by definition are card purchases. We believe that Mastercard has the potential for additional domestic growth as well as international growth over the
longer term. Microsoft continued to benefit from its shift to the Cloud. We believe CEO Satya Nadella has done a great job of focusing the company on its core software business, which has enabled productivity for clients. Revenues and earnings have
grown nicely, the valuation of the company has expanded and we believe investors have gained appreciation for the durability and growth potential of the franchise. Fidelity National is a financial processing and software company that provides
software primarily to financial institutions. The company acquired Worldpay, which the Fund also owns, in a transaction that closed near the end of the period. We believe the acquisition has the potential to drive complimentary synergies for the
combined organization. The move was broadly applauded by investors.
In the real estate sector, a position in global cell tower
company American Tower generated outstanding gains. Management has executed well, and investors anticipate a healthy runway of growth linked to the introduction of fifth generation cellular network technology, commonly known as 5G. We believe that
American Tower has the potential to see increased demand for its services as 5G technology is rolled out across the globe.
Columbia
Balanced Fund | Annual Report 2019
|
5
|
Manager Discussion of Fund Performance (continued)
In the communication services sector, Comcast was a solid
performer, with a double-digit rebound from the previous fiscal year. Early in 2018, Comcast announced that it would acquire U.K. media giant Sky, beefing up its international presence. However, investors took a dim view of the acquisition and
Comcast shares lost ground. Then, shares gained traction in 2019 as investors became more comfortable with the integration of the acquisition and strong broadband subscriber growth allayed concerns about weak video subscriber trends.
In the biotechnology industry within health care, Biogen was a
significant disappointment as the company’s high-expectation Alzheimer’s drug aducanumab failed in its phase 3 trial. We had decreased the Fund’s position in Biogen, which helped mitigate the
impact of its underperformance. American clothing company PVH, owner of Calvin Klein, Tommy Hilfiger and other recognized brands, was hurt by slowing global growth and the potential impact of tariffs on the business. We chose to exit the position.
In the financial sector, the Fund lost ground with Wells Fargo. The company’s issues have taken longer than expected to resolve and the board has been slow to identify a replacement for the CEO, who recently stepped down. In addition, Wells
Fargo has been hurt by declining interest rates, which have been a challenge for most banks. We reduced the Fund’s exposure but retained a position in Wells Fargo.
Portfolio positioning aided fixed-income
outperformance
Overweights in the wireline, media and
REIT segments of the corporate market and in BBB rated securities pushed the fixed-income portfolio’s return above its benchmark. Overweights in both asset-backed securities (ABS) and commercial mortgage-backed securities (CMBS) also aided
relative performance, as both outperformed U.S. Treasuries.
Within the corporate market, exposure to the electric utility
and energy segments had a negative impact on performance as they underperformed Treasuries for the year. Agency mortgage backed securities (MBS) also underperformed Treasuries. The Fund was mostly underweight in agency MBS and held a higher
weighted-average coupon than the benchmark. We moved closer to a neutral weight near the end of the reporting period. Within the securitized market, we continued to find particular value in ABS, CMBS and non-agency CMOs.
During the period, we reduced the portfolio’s exposure
to corporate bonds, because we saw more value in non-agency MBS and CMBS and in certain segments of the ABS sector. The portfolio’s largest overweight relative to the fixed-income benchmark was in non-agency CMOs, where we are constructive on
consumer fundamentals, while finding particular value in the pricing, structure and performance of a variety of non-agency CMO collateral types.
At period’s end
Mindful of the uncertainties of a slowing economy, the late
stage of the economic cycle, rising geopolitical tensions and the forthcoming elections, we believed that investors will have much to negotiate and evaluate in the months ahead. As always, we plan to use the contrarian process that has served us
well to find opportunities in the equity market and manage risk in the portfolio. We believe this discipline has also served our shareholders well over the long term.
Within the Fund’s fixed-income portfolio, we targeted
duration, a measure of interest-rate sensitivity, that is relatively neutral to that of the benchmark, as interest rates remained range bound. (We use Treasury future contracts to hedge the Fund’s duration.) We continued to watch employment
figures and monitored the impact of trade concerns on the global economy, even though we believed the risks of an escalating trade war have recently eased. Interest rate policy remained data dependent, with expectations leaning toward more cuts from
the Fed. Economic indicators continued to point towards weakness in global manufacturing with no signs of inflationary pressures.
At the end of the period, the portfolio remained underweight
in U.S. government securities relative to its fixed-income benchmark. We expect spread volatility but consider current risk premiums to be reasonably attractive in most sectors. We continued to like high quality non-agency CMOs, ABS and CMBS, as the
yields they offered remained attractive relative to similar-duration Treasuries. We also believed the corporate sector had the potential to outperform Treasuries, especially lower quality segments of the corporate bond market. With the overall
supply of corporate bonds lower than in the prior 12-month period, demand for corporate bonds remained strong.
6
|
Columbia Balanced Fund
| Annual Report 2019
|
Manager Discussion of Fund Performance (continued)
Market risk may affect a single
issuer, sector of the economy, industry or the market as a whole. There are risks associated with fixed-income investments, including credit risk, interest rate risk, and prepayment and extension risk. In
general, bond prices rise when interest rates fall and vice versa. This effect is usually more pronounced for longer term securities. 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. 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. 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. 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.
Columbia
Balanced 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 $1,000
= 8.6), then multiply the results by the expenses paid during the period under the “Actual” column. The amount listed in the “Hypothetical” column assumes a 5% annual rate of return before expenses (which is not the
Fund’s actual return) and then applies the Fund’s actual expense ratio for the period to the hypothetical return. You should not use the hypothetical account values and expenses to estimate either your actual account balance at the end
of the period or the expenses you paid during the period. See “Compare with other funds” below for details on how to use the hypothetical data.
Compare with other funds
Since all mutual funds are required to include the same
hypothetical calculations about expenses in shareholder reports, you can use this information to compare the ongoing cost of investing in the Fund with other funds. To do so, compare the hypothetical example with the 5% hypothetical examples that
appear in the shareholder reports of other funds. As you compare hypothetical examples of other funds, it is important to note that hypothetical examples are meant to highlight the ongoing costs of investing in a fund only and do not reflect any
transaction costs, such as sales charges, or redemption or exchange fees. Therefore, the hypothetical calculations are useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. If
transaction costs were included in these calculations, your costs would be higher.
March
1, 2019 — August 31, 2019
|
|
Account
value at the
beginning of the
period ($)
|
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
|
1,069.80
|
1,020.31
|
4.93
|
4.81
|
0.95
|
Advisor
Class
|
1,000.00
|
1,000.00
|
1,071.00
|
1,021.56
|
3.63
|
3.55
|
0.70
|
Class
C
|
1,000.00
|
1,000.00
|
1,065.60
|
1,016.55
|
8.80
|
8.59
|
1.70
|
Institutional
Class
|
1,000.00
|
1,000.00
|
1,071.20
|
1,021.56
|
3.63
|
3.55
|
0.70
|
Institutional
2 Class
|
1,000.00
|
1,000.00
|
1,071.40
|
1,021.81
|
3.38
|
3.29
|
0.65
|
Institutional
3 Class
|
1,000.00
|
1,000.00
|
1,071.70
|
1,022.01
|
3.17
|
3.09
|
0.61
|
Class
R
|
1,000.00
|
1,000.00
|
1,068.50
|
1,019.05
|
6.22
|
6.07
|
1.20
|
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 Balanced Fund
| Annual Report 2019
|
Portfolio of Investments
August 31, 2019
(Percentages represent value of investments compared to net
assets)
Investments in securities
Asset-Backed
Securities — Non-Agency 6.0%
|
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
American
Credit Acceptance Receivables Trust(a)
|
Subordinated,
Series 2018-3 Class C
|
10/15/2024
|
3.750%
|
|
5,600,000
|
5,664,771
|
Apidos
CLO XI(a),(b),(c),(d)
|
Series
2012-11A Class BRR
|
3-month
USD LIBOR + 1.700%
Floor 1.750%
10/17/2030
|
3.000%
|
|
12,575,000
|
12,575,000
|
Apidos
CLO XX(a),(c)
|
Series
2015-20A Class A1RA
|
3-month
USD LIBOR + 1.100%
07/16/2031
|
3.422%
|
|
15,245,000
|
15,151,777
|
Apidos
CLO XXVIII(a),(c)
|
Series
2017-28A Class A1B
|
3-month
USD LIBOR + 1.150%
Floor 1.150%
01/20/2031
|
3.428%
|
|
5,925,000
|
5,754,698
|
ARES
XLVII CLO Ltd.(a),(c)
|
Series
2018-47A Class B
|
3-month
USD LIBOR + 1.450%
Floor 1.450%
04/15/2030
|
3.753%
|
|
3,450,000
|
3,401,838
|
Avant
Loans Funding Trust(a)
|
Series
2019-A Class B
|
12/15/2022
|
3.800%
|
|
5,975,000
|
6,068,619
|
Avis
Budget Rental Car Funding AESOP LLC(a)
|
Series
2016-2A Class A
|
11/20/2022
|
2.720%
|
|
4,100,000
|
4,145,203
|
Series
2018-2A Class A
|
03/20/2025
|
4.000%
|
|
19,775,000
|
21,227,377
|
Barings
CLO Ltd.(a),(c)
|
Series
2018-4A Class B
|
3-month
USD LIBOR + 1.700%
Floor 1.700%
10/15/2030
|
4.003%
|
|
22,000,000
|
21,750,718
|
Carbone
CLO Ltd.(a),(c)
|
Series
2017-1A Class A1
|
3-month
USD LIBOR + 1.140%
01/20/2031
|
3.418%
|
|
12,000,000
|
11,941,788
|
Carlyle
Group LP(a),(c)
|
Series
2017-5A Class A2
|
3-month
USD LIBOR + 1.400%
01/20/2030
|
3.678%
|
|
2,000,000
|
1,949,104
|
Carlyle
US CLO Ltd.(a),(c)
|
Series
2016-4A Class A2R
|
3-month
USD LIBOR + 1.450%
Floor 1.450%
10/20/2027
|
3.728%
|
|
21,575,000
|
21,305,571
|
Asset-Backed
Securities — Non-Agency (continued)
|
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
Chesapeake
Funding II LLC(a)
|
Series
2016-2A Class A1
|
06/15/2028
|
1.880%
|
|
690,840
|
690,167
|
Conn’s
Receivables Funding LLC(a)
|
Series
2018-A Class A
|
01/15/2023
|
3.250%
|
|
1,056,922
|
1,060,971
|
Consumer
Loan Underlying Bond Credit Trust(a)
|
Series
2018-P2 Class A
|
10/15/2025
|
3.470%
|
|
7,595,492
|
7,638,719
|
Drive
Auto Receivables Trust
|
Series
2018-4 Class C
|
11/15/2024
|
3.660%
|
|
9,600,000
|
9,731,937
|
Series
2019-2 Class C
|
06/16/2025
|
3.420%
|
|
6,300,000
|
6,459,399
|
Subordinated
Series 2018-4 Class D
|
01/15/2026
|
4.090%
|
|
10,900,000
|
11,243,454
|
Subordinated
Series 2018-5 Class C
|
01/15/2025
|
3.990%
|
|
7,225,000
|
7,445,442
|
Dryden
33 Senior Loan Fund(a),(c)
|
Series
2014-33A Class AR2
|
3-month
USD LIBOR + 1.230%
Floor 1.230%
04/15/2029
|
3.533%
|
|
3,000,000
|
3,000,690
|
Series
2014-33A Class BR2
|
3-month
USD LIBOR + 1.750%
Floor 1.750%
04/15/2029
|
4.053%
|
|
3,450,000
|
3,444,825
|
Dryden
41 Senior Loan Fund(a),(c)
|
Series
2015-41A Class AR
|
3-month
USD LIBOR + 0.970%
Floor 0.970%
04/15/2031
|
3.273%
|
|
13,175,000
|
13,055,134
|
Dryden
42 Senior Loan Fund(a),(c)
|
Series
2016-42A Class BR
|
3-month
USD LIBOR + 1.550%
07/15/2030
|
3.853%
|
|
6,025,000
|
5,939,463
|
Dryden
55 CLO Ltd.(a),(c)
|
Series
2018-55A Class A1
|
3-month
USD LIBOR + 1.020%
04/15/2031
|
3.323%
|
|
8,450,000
|
8,394,610
|
DT
Auto Owner Trust(a)
|
Series
2019-1A Class C
|
11/15/2024
|
3.610%
|
|
5,000,000
|
5,097,498
|
Series
2019-3A Class D
|
04/15/2025
|
2.960%
|
|
10,025,000
|
10,137,944
|
Subordinated
Series 2018-3A Class B
|
09/15/2022
|
3.560%
|
|
6,575,000
|
6,665,723
|
The accompanying Notes to Financial Statements are an integral part
of this statement.
Columbia
Balanced Fund | Annual Report 2019
|
9
|
Portfolio of Investments (continued)
August 31, 2019
Asset-Backed
Securities — Non-Agency (continued)
|
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
Subordinated,
Series 2018-3A Class C
|
07/15/2024
|
3.790%
|
|
8,400,000
|
8,563,074
|
Foundation
Finance Trust(a),(b),(e)
|
Series
2019-1A Class A
|
11/15/2034
|
3.860%
|
|
5,986,643
|
6,004,603
|
Hilton
Grand Vacations Trust(a)
|
Series
2013-A Class A
|
01/25/2026
|
2.280%
|
|
204,492
|
204,455
|
Series
2014-AA Class A
|
11/25/2026
|
1.770%
|
|
422,846
|
421,156
|
Series
2018-AA Class A
|
02/25/2032
|
3.540%
|
|
3,400,509
|
3,534,351
|
Series
2019-AA Class A
|
07/25/2033
|
2.340%
|
|
7,760,000
|
7,778,981
|
Jay
Park CLO Ltd.(a),(c)
|
Series
2016-1A Class A2R
|
3-month
USD LIBOR + 1.450%
10/20/2027
|
3.728%
|
|
25,675,000
|
25,534,609
|
Magnetite
XII Ltd.(a),(c)
|
Series
2015-12A Class ARR
|
3-month
USD LIBOR + 1.100%
10/15/2031
|
3.403%
|
|
13,830,000
|
13,786,629
|
Marlette
Funding Trust(a)
|
Series
2018-4A Class A
|
12/15/2028
|
3.710%
|
|
4,483,638
|
4,529,252
|
Series
2019-1A Class A
|
04/16/2029
|
3.440%
|
|
3,899,076
|
3,937,221
|
Series
2019-3A Class B
|
09/17/2029
|
3.070%
|
|
10,780,000
|
10,902,102
|
Subordinated
Series 2019-2A Class B
|
07/16/2029
|
3.530%
|
|
4,550,000
|
4,644,999
|
MVW
Owner Trust(a)
|
Series
2015-1A Class A
|
12/20/2032
|
2.520%
|
|
1,023,329
|
1,025,094
|
Series
2016-1A Class A
|
12/20/2033
|
2.250%
|
|
1,716,394
|
1,711,591
|
New
York City Tax Lien Trust(a)
|
Series
2017-A Class A
|
11/10/2030
|
1.870%
|
|
416,366
|
417,469
|
Octagon
Investment Partners 39 Ltd.(a),(c)
|
Series
2018-3A Class B
|
3-month
USD LIBOR + 1.650%
Floor 1.650%
10/20/2030
|
4.128%
|
|
22,575,000
|
22,348,956
|
Ocwen
Master Advance Receivables Trust(a)
|
Series
2019-T1 Class AT1
|
08/15/2050
|
2.514%
|
|
1,725,000
|
1,727,230
|
Series
2019-T1 Class DT1
|
08/15/2050
|
3.107%
|
|
975,000
|
976,255
|
Asset-Backed
Securities — Non-Agency (continued)
|
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
Prosper
Marketplace Issuance Trust(a)
|
Series
2019-1A Class A
|
04/15/2025
|
3.540%
|
|
3,050,161
|
3,066,480
|
Series
2019-2A Class B
|
09/15/2025
|
3.690%
|
|
6,175,000
|
6,226,090
|
Series
2019-3A Class B
|
07/15/2025
|
3.590%
|
|
6,100,000
|
6,157,425
|
Redding
Ridge Asset Management Ltd.(a),(c)
|
Series
2018-4A Class A2
|
3-month
USD LIBOR + 1.550%
04/15/2030
|
3.803%
|
|
3,000,000
|
2,956,173
|
Sierra
Receivables Funding Co., LLC(a)
|
Series
2017-1A Class A
|
03/20/2034
|
2.910%
|
|
1,359,048
|
1,380,219
|
Sierra
Timeshare Receivables Funding LLC(a)
|
Series
2016-3A Class A
|
10/20/2033
|
2.430%
|
|
1,720,582
|
1,724,114
|
Series
2018-2A Class A
|
06/20/2035
|
3.500%
|
|
3,288,202
|
3,362,045
|
Series
2018-3A Class A
|
09/20/2035
|
3.690%
|
|
2,381,790
|
2,435,361
|
SoFi
Consumer Loan Program LLC(a)
|
Series
2017-4 Class A
|
05/26/2026
|
2.500%
|
|
1,908,198
|
1,911,297
|
SoFi
Consumer Loan Program Trust(a)
|
Series
2019-1 Class B
|
02/25/2028
|
3.450%
|
|
5,050,000
|
5,196,562
|
SPS
Servicer Advance Receivables Trust Advance Receivables Backed Notes(a)
|
Series
2018-T1 Class AT1
|
10/17/2050
|
3.620%
|
|
7,179,993
|
7,281,374
|
Upgrade
Receivables Trust(a)
|
Series
2019-2A Class B
|
10/15/2025
|
3.510%
|
|
3,263,000
|
3,262,475
|
Voya
CLO Ltd.(a),(c)
|
Series
2017-3A Class A2
|
3-month
USD LIBOR + 1.770%
07/20/2030
|
4.048%
|
|
4,000,000
|
3,972,296
|
VSE
Voi Mortgage LLC(a)
|
Series
2018-A Class A
|
02/20/2036
|
3.560%
|
|
4,743,897
|
4,919,453
|
Westlake
Automobile Receivables Trust(a)
|
Series
2019-1A Class C
|
03/15/2024
|
3.450%
|
|
7,600,000
|
7,733,657
|
Total
Asset-Backed Securities — Non-Agency
(Cost $407,797,176)
|
410,575,488
|
|
The accompanying Notes to Financial Statements are an integral part
of this statement.
10
|
Columbia Balanced Fund
| Annual Report 2019
|
Portfolio of Investments (continued)
August 31, 2019
Commercial
Mortgage-Backed Securities - Agency 0.2%
|
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
Government
National Mortgage Association
|
CMO
Series 2012-25 Class A
|
11/16/2042
|
2.575%
|
|
488,494
|
488,638
|
CMO
Series 2012-58 Class A
|
01/16/2040
|
2.500%
|
|
498,927
|
498,528
|
CMO
Series 2014-33 Class A
|
08/16/2039
|
2.300%
|
|
566,210
|
566,757
|
CMO
Series 2014-64 Class A
|
02/16/2045
|
2.200%
|
|
707,152
|
705,074
|
CMO
Series 2014-67 Class AE
|
05/16/2039
|
2.150%
|
|
466,521
|
468,931
|
CMO
Series 2015-33 Class AH
|
02/16/2045
|
2.650%
|
|
610,985
|
613,476
|
CMO
Series 2015-85 Class AF
|
05/16/2044
|
2.400%
|
|
4,231,779
|
4,238,249
|
CMO
Series 2016-39 Class AG
|
01/16/2043
|
2.300%
|
|
6,041,583
|
6,043,405
|
Total
Commercial Mortgage-Backed Securities - Agency
(Cost $13,762,030)
|
13,623,058
|
|
Commercial
Mortgage-Backed Securities - Non-Agency 2.8%
|
|
|
|
|
|
American
Homes 4 Rent Trust(a)
|
Series
2014-SFR2 Class A
|
10/17/2036
|
3.786%
|
|
2,786,415
|
2,962,617
|
Series
2014-SFR3 Class A
|
12/17/2036
|
3.678%
|
|
3,258,619
|
3,446,119
|
Series
2015-SFR1 Class A
|
04/17/2052
|
3.467%
|
|
3,383,693
|
3,554,078
|
Series
2015-SFR2 Class A
|
10/17/2045
|
3.732%
|
|
2,544,213
|
2,719,288
|
Americold
2010 LLC(a)
|
Series
2010-ARTA Class A1
|
01/14/2029
|
3.847%
|
|
78,050
|
78,891
|
Ashford
Hospitality Trust(a),(c)
|
Series
2018-KEYS Class B
|
1-month
USD LIBOR + 1.300%
Floor 1.300%
05/15/2035
|
3.495%
|
|
8,525,000
|
8,509,031
|
BBCMS
Trust(a),(c)
|
Subordinated,
Series 2018-BXH Class B
|
1-month
USD LIBOR + 1.250%
Floor 1.250%
10/15/2037
|
3.445%
|
|
7,370,000
|
7,370,002
|
Subordinated,
Series 2018-BXH Class C
|
1-month
USD LIBOR + 1.500%
Floor 1.500%
10/15/2037
|
3.695%
|
|
3,975,000
|
3,974,924
|
Commercial
Mortgage-Backed Securities - Non-Agency (continued)
|
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
BX
Commercial Mortgage Trust(a),(c)
|
Series
2018-IND Class C
|
1-month
USD LIBOR + 1.100%
Floor 1.100%
11/15/2035
|
3.295%
|
|
7,735,478
|
7,730,560
|
Commercial
Mortgage Trust
|
Series
2013-CR8 Class A5
|
06/10/2046
|
3.612%
|
|
10,380,000
|
10,945,677
|
CSAIL
Commercial Mortgage Trust
|
Series
2016-C5 Class A1
|
11/15/2048
|
1.747%
|
|
613,302
|
611,386
|
DBUBS
Mortgage Trust(a)
|
Series
2011-LC1A Class A3
|
11/10/2046
|
5.002%
|
|
148,437
|
151,734
|
Home
Partners of America Trust(a),(c)
|
Series
2018-1 Class A
|
1-month
USD LIBOR + 0.900%
Floor 0.900%
07/17/2037
|
3.082%
|
|
9,324,997
|
9,316,901
|
Invitation
Homes Trust(a),(c)
|
Series
2018-SFR3 Class A
|
1-month
USD LIBOR + 1.000%
Floor 1.000%
07/17/2037
|
3.182%
|
|
16,915,057
|
16,900,357
|
Series
2018-SFR4 Class A
|
1-month
USD LIBOR + 1.100%
Floor 1.000%
01/17/2038
|
3.282%
|
|
9,763,916
|
9,803,803
|
JPMBB
Commercial Mortgage Securities Trust
|
Series
2013-C14 Class ASB
|
08/15/2046
|
3.761%
|
|
3,673,042
|
3,797,696
|
JPMorgan
Chase Commercial Mortgage Securities Trust(a)
|
Series
2011-C3 Class A4
|
02/15/2046
|
4.717%
|
|
393,251
|
403,866
|
Morgan
Stanley Capital I Trust(a)
|
Series
2011-C1 Class A4
|
09/15/2047
|
5.033%
|
|
266,070
|
271,240
|
Morgan
Stanley Capital I Trust
|
Series
2016-BNK2 Class A2
|
11/15/2049
|
2.454%
|
|
5,625,000
|
5,666,256
|
Progress
Residential Trust(a)
|
Series
2018-SF3 Class A
|
10/17/2035
|
3.880%
|
|
23,884,984
|
24,857,760
|
Series
2018-SFR2 Class A
|
08/17/2035
|
3.712%
|
|
4,305,000
|
4,453,952
|
Series
2019-SFR3 Class C
|
09/17/2036
|
2.721%
|
|
4,750,000
|
4,744,244
|
Series
2019-SFR3 Class D
|
09/17/2036
|
2.871%
|
|
7,049,000
|
7,073,275
|
The accompanying Notes to Financial Statements are an integral part
of this statement.
Columbia
Balanced Fund | Annual Report 2019
|
11
|
Portfolio of Investments (continued)
August 31, 2019
Commercial
Mortgage-Backed Securities - Non-Agency (continued)
|
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
Subordinated
Series 2019-SFR2 Class C
|
05/17/2036
|
3.545%
|
|
6,350,000
|
6,560,100
|
RETL
(a),(c)
|
Series
2019-RVP Class A
|
1-month
USD LIBOR + 1.150%
Floor 1.150%
03/15/2036
|
3.345%
|
|
3,956,260
|
3,963,652
|
UBS-Barclays
Commercial Mortgage Trust
|
Series
2012-C4 Class A5
|
12/10/2045
|
2.850%
|
|
8,550,000
|
8,770,062
|
Series
2013-C5 Class A3
|
03/10/2046
|
2.920%
|
|
1,672,133
|
1,716,062
|
Series
2013-C5 Class A4
|
03/10/2046
|
3.185%
|
|
10,651,000
|
11,043,617
|
WF-RBS
Commercial Mortgage Trust
|
Series
2012-C9 Class A3
|
11/15/2045
|
2.870%
|
|
9,126,310
|
9,349,492
|
Series
2013-C15 Class A3
|
08/15/2046
|
3.881%
|
|
9,909,122
|
10,544,324
|
Total
Commercial Mortgage-Backed Securities - Non-Agency
(Cost $188,925,247)
|
191,290,966
|
Common
Stocks 59.7%
|
Issuer
|
Shares
|
Value
($)
|
Communication
Services 8.8%
|
Diversified
Telecommunication Services 2.0%
|
AT&T,
Inc.
|
2,263,380
|
79,806,779
|
Verizon
Communications, Inc.
|
975,689
|
56,746,072
|
Total
|
|
136,552,851
|
Entertainment
1.1%
|
Activision
Blizzard, Inc.
|
1,010,769
|
51,144,911
|
Electronic
Arts, Inc.(f)
|
236,725
|
22,176,398
|
Total
|
|
73,321,309
|
Interactive
Media & Services 3.7%
|
Alphabet,
Inc., Class A(f)
|
59,259
|
70,549,617
|
Alphabet,
Inc., Class C(f)
|
78,063
|
92,746,650
|
Facebook,
Inc., Class A(f)
|
461,570
|
85,699,702
|
Total
|
|
248,995,969
|
Media
1.7%
|
Comcast
Corp., Class A
|
2,607,077
|
115,389,228
|
Common
Stocks (continued)
|
Issuer
|
Shares
|
Value
($)
|
Wireless
Telecommunication Services 0.3%
|
T-Mobile
U.S.A., Inc.(f)
|
293,210
|
22,885,041
|
Total
Communication Services
|
597,144,398
|
Consumer
Discretionary 6.1%
|
Hotels,
Restaurants & Leisure 1.5%
|
Aramark
|
726,147
|
29,670,366
|
McDonald’s
Corp.
|
254,539
|
55,481,866
|
Restaurant
Brands International, Inc.
|
245,461
|
19,256,416
|
Total
|
|
104,408,648
|
Household
Durables 0.4%
|
D.R.
Horton, Inc.
|
554,510
|
27,431,610
|
Internet
& Direct Marketing Retail 2.9%
|
Amazon.com,
Inc.(f)
|
76,670
|
136,188,154
|
eBay,
Inc.
|
1,482,500
|
59,729,925
|
Total
|
|
195,918,079
|
Multiline
Retail 0.2%
|
Dollar
General Corp.
|
63,796
|
9,957,918
|
Specialty
Retail 1.1%
|
Lowe’s
Companies, Inc.
|
671,882
|
75,385,160
|
Total
Consumer Discretionary
|
413,101,415
|
Consumer
Staples 3.4%
|
Food
& Staples Retailing 0.2%
|
Sysco
Corp.
|
219,191
|
16,292,467
|
Food
Products 1.6%
|
ConAgra
Foods, Inc.
|
1,445,039
|
40,981,306
|
Mondelez
International, Inc., Class A
|
1,192,545
|
65,852,335
|
Total
|
|
106,833,641
|
Household
Products 0.5%
|
Colgate-Palmolive
Co.
|
469,220
|
34,792,663
|
Tobacco
1.1%
|
Philip
Morris International, Inc.
|
1,037,780
|
74,813,560
|
Total
Consumer Staples
|
232,732,331
|
Energy
2.5%
|
Energy
Equipment & Services 0.1%
|
Schlumberger
Ltd.
|
219,100
|
7,105,413
|
The accompanying Notes to Financial Statements are an integral part
of this statement.
12
|
Columbia Balanced Fund
| Annual Report 2019
|
Portfolio of Investments (continued)
August 31, 2019
Common
Stocks (continued)
|
Issuer
|
Shares
|
Value
($)
|
Oil,
Gas & Consumable Fuels 2.4%
|
Canadian
Natural Resources Ltd.
|
1,075,099
|
25,694,866
|
Chevron
Corp.
|
824,501
|
97,060,258
|
EOG
Resources, Inc.
|
509,714
|
37,815,681
|
Total
|
|
160,570,805
|
Total
Energy
|
167,676,218
|
Financials
8.2%
|
Banks
3.6%
|
Citigroup,
Inc.
|
1,630,411
|
104,916,948
|
JPMorgan
Chase & Co.
|
1,053,863
|
115,777,389
|
Wells
Fargo & Co.
|
453,900
|
21,138,123
|
Total
|
|
241,832,460
|
Capital
Markets 1.5%
|
BlackRock,
Inc.
|
94,500
|
39,931,920
|
Morgan
Stanley
|
1,533,455
|
63,623,048
|
Total
|
|
103,554,968
|
Diversified
Financial Services 2.4%
|
Berkshire
Hathaway, Inc., Class B(f)
|
802,345
|
163,204,996
|
Insurance
0.7%
|
Aon
PLC
|
262,041
|
51,058,689
|
Total
Financials
|
559,651,113
|
Health
Care 8.0%
|
Biotechnology
0.2%
|
Alexion
Pharmaceuticals, Inc.(f)
|
158,610
|
15,981,544
|
Health
Care Equipment & Supplies 3.9%
|
Abbott
Laboratories
|
408,531
|
34,855,865
|
Baxter
International, Inc.
|
337,345
|
29,669,493
|
Becton
Dickinson and Co.
|
167,045
|
42,416,066
|
Dentsply
Sirona, Inc.
|
669,610
|
34,920,162
|
Medtronic
PLC
|
1,130,078
|
121,924,115
|
Total
|
|
263,785,701
|
Health
Care Providers & Services 1.6%
|
Anthem,
Inc.
|
203,793
|
53,295,945
|
Cigna
Corp.
|
252,334
|
38,851,866
|
Humana,
Inc.
|
69,075
|
19,562,731
|
Total
|
|
111,710,542
|
Common
Stocks (continued)
|
Issuer
|
Shares
|
Value
($)
|
Pharmaceuticals
2.3%
|
Allergan
PLC
|
201,825
|
32,235,489
|
Johnson
& Johnson
|
611,250
|
78,460,050
|
Pfizer,
Inc.
|
1,216,842
|
43,258,733
|
Total
|
|
153,954,272
|
Total
Health Care
|
545,432,059
|
Industrials
3.8%
|
Aerospace
& Defense 2.0%
|
L3
Harris Technologies, Inc.
|
171,025
|
36,156,395
|
Northrop
Grumman Corp.
|
232,500
|
85,529,775
|
Spirit
AeroSystems Holdings, Inc., Class A
|
188,398
|
15,184,879
|
Total
|
|
136,871,049
|
Electrical
Equipment 0.5%
|
Emerson
Electric Co.
|
508,165
|
30,281,552
|
Industrial
Conglomerates 1.2%
|
Honeywell
International, Inc.
|
505,793
|
83,263,644
|
Machinery
0.1%
|
Caterpillar,
Inc.
|
52,765
|
6,279,035
|
Total
Industrials
|
256,695,280
|
Information
Technology 14.8%
|
Communications
Equipment 0.6%
|
Cisco
Systems, Inc.
|
840,270
|
39,333,039
|
Electronic
Equipment, Instruments & Components 0.5%
|
Corning,
Inc.
|
1,124,470
|
31,316,490
|
IT
Services 4.6%
|
Fidelity
National Information Services, Inc.
|
607,580
|
82,764,548
|
Fiserv,
Inc.(f)
|
513,958
|
54,962,668
|
International
Business Machines Corp.
|
396,060
|
53,678,012
|
MasterCard,
Inc., Class A
|
436,734
|
122,883,845
|
Total
|
|
314,289,073
|
Semiconductors
& Semiconductor Equipment 2.4%
|
Broadcom,
Inc.
|
65,955
|
18,641,521
|
Intel
Corp.
|
484,135
|
22,952,840
|
Lam
Research Corp.
|
194,935
|
41,035,767
|
Marvell
Technology Group Ltd.
|
726,010
|
17,402,460
|
The accompanying Notes to Financial Statements are an integral part
of this statement.
Columbia
Balanced Fund | Annual Report 2019
|
13
|
Portfolio of Investments
(continued)
August 31, 2019
Common
Stocks (continued)
|
Issuer
|
Shares
|
Value
($)
|
NVIDIA
Corp.
|
181,960
|
30,480,120
|
NXP
Semiconductors NV
|
345,490
|
35,288,348
|
Total
|
|
165,801,056
|
Software
4.4%
|
Adobe,
Inc.(f)
|
171,460
|
48,782,084
|
CDK
Global, Inc.
|
128,260
|
5,535,702
|
Microsoft
Corp.
|
1,728,894
|
238,345,327
|
Palo
Alto Networks, Inc.(f)
|
19,215
|
3,912,558
|
Total
|
|
296,575,671
|
Technology
Hardware, Storage & Peripherals 2.3%
|
Apple,
Inc.
|
766,170
|
159,930,326
|
Total
Information Technology
|
1,007,245,655
|
Materials
2.5%
|
Chemicals
1.8%
|
Air
Products & Chemicals, Inc.
|
140,260
|
31,687,539
|
Corteva,
Inc.
|
853,123
|
25,013,566
|
DuPont
de Nemours, Inc.
|
487,803
|
33,136,458
|
Mosaic
Co. (The)
|
678,335
|
12,474,581
|
Sherwin-Williams
Co. (The)
|
47,403
|
24,969,530
|
Total
|
|
127,281,674
|
Metals
& Mining 0.7%
|
Newmont
Goldcorp Corp.
|
1,145,475
|
45,692,998
|
Total
Materials
|
172,974,672
|
Real
Estate 1.0%
|
Equity
Real Estate Investment Trusts (REITS) 1.0%
|
American
Tower Corp.
|
286,993
|
66,062,919
|
Total
Real Estate
|
66,062,919
|
Utilities
0.6%
|
Electric
Utilities 0.6%
|
American
Electric Power Co., Inc.
|
464,345
|
42,325,047
|
Total
Utilities
|
42,325,047
|
Total
Common Stocks
(Cost $2,836,690,509)
|
4,061,041,107
|
Corporate
Bonds & Notes 9.1%
|
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
Aerospace
& Defense 0.2%
|
Bombardier,
Inc.(a)
|
10/15/2022
|
6.000%
|
|
43,000
|
42,669
|
12/01/2024
|
7.500%
|
|
43,000
|
42,862
|
03/15/2025
|
7.500%
|
|
54,000
|
52,686
|
04/15/2027
|
7.875%
|
|
140,000
|
135,491
|
L3Harris
Technologies, Inc.(a)
|
12/15/2026
|
3.850%
|
|
8,000,000
|
8,674,192
|
Northrop
Grumman Systems Corp.
|
02/15/2031
|
7.750%
|
|
4,429,000
|
6,539,928
|
TransDigm,
Inc.
|
07/15/2022
|
6.000%
|
|
69,000
|
70,211
|
05/15/2025
|
6.500%
|
|
604,000
|
629,911
|
TransDigm,
Inc.(a)
|
03/15/2026
|
6.250%
|
|
480,000
|
517,989
|
03/15/2027
|
7.500%
|
|
184,000
|
197,796
|
Total
|
16,903,735
|
Automotive
0.1%
|
Delphi
Technologies PLC(a)
|
10/01/2025
|
5.000%
|
|
97,000
|
83,677
|
Ford
Motor Credit Co. LLC
|
08/01/2026
|
4.542%
|
|
5,875,000
|
5,985,608
|
IAA
Spinco, Inc.(a)
|
06/15/2027
|
5.500%
|
|
170,000
|
182,337
|
Panther
BF Aggregator 2 LP/Finance Co., Inc.(a)
|
05/15/2026
|
6.250%
|
|
167,000
|
173,180
|
05/15/2027
|
8.500%
|
|
135,000
|
131,631
|
Total
|
6,556,433
|
Banking
1.5%
|
Ally
Financial, Inc.
|
11/01/2031
|
8.000%
|
|
157,000
|
219,941
|
Bank
of America Corp.(g)
|
12/20/2028
|
3.419%
|
|
11,009,000
|
11,636,612
|
Capital
One Financial Corp.
|
03/09/2027
|
3.750%
|
|
8,000,000
|
8,472,000
|
Citigroup,
Inc.
|
Subordinated
|
03/09/2026
|
4.600%
|
|
8,000,000
|
8,819,264
|
Discover
Bank
|
09/13/2028
|
4.650%
|
|
4,200,000
|
4,752,287
|
Goldman
Sachs Group, Inc. (The)
|
01/26/2027
|
3.850%
|
|
13,000,000
|
13,889,655
|
HSBC
Holdings PLC
|
05/25/2026
|
3.900%
|
|
9,000,000
|
9,625,554
|
JPMorgan
Chase & Co.(g)
|
04/23/2029
|
4.005%
|
|
14,000,000
|
15,549,688
|
The accompanying Notes to Financial Statements are an integral part
of this statement.
14
|
Columbia Balanced Fund
| Annual Report 2019
|
Portfolio of Investments (continued)
August 31, 2019
Corporate
Bonds & Notes (continued)
|
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
Morgan
Stanley
|
01/20/2027
|
3.625%
|
|
8,000,000
|
8,563,872
|
PNC
Bank NA
|
Subordinated
|
01/30/2023
|
2.950%
|
|
5,800,000
|
5,957,522
|
Wells
Fargo & Co.
|
Subordinated
|
06/03/2026
|
4.100%
|
|
10,400,000
|
11,248,276
|
Total
|
98,734,671
|
Brokerage/Asset
Managers/Exchanges 0.0%
|
NFP
Corp.(a)
|
07/15/2025
|
6.875%
|
|
250,000
|
248,092
|
Building
Materials 0.0%
|
American
Builders & Contractors Supply Co., Inc.(a)
|
12/15/2023
|
5.750%
|
|
275,000
|
285,144
|
05/15/2026
|
5.875%
|
|
190,000
|
202,180
|
Beacon
Roofing Supply, Inc.
|
10/01/2023
|
6.375%
|
|
385,000
|
398,500
|
Beacon
Roofing Supply, Inc.(a)
|
11/01/2025
|
4.875%
|
|
304,000
|
299,802
|
Core
& Main LP(a)
|
08/15/2025
|
6.125%
|
|
202,000
|
205,753
|
James
Hardie International Finance DAC(a)
|
01/15/2028
|
5.000%
|
|
176,000
|
180,682
|
Total
|
1,572,061
|
Cable
and Satellite 0.3%
|
CCO
Holdings LLC/Capital Corp.
|
01/15/2024
|
5.750%
|
|
170,000
|
173,847
|
CCO
Holdings LLC/Capital Corp.(a)
|
05/01/2025
|
5.375%
|
|
81,000
|
84,178
|
02/15/2026
|
5.750%
|
|
303,000
|
320,779
|
05/01/2027
|
5.125%
|
|
488,000
|
516,581
|
05/01/2027
|
5.875%
|
|
70,000
|
74,598
|
Comcast
Corp.
|
08/15/2035
|
4.400%
|
|
5,600,000
|
6,552,454
|
CSC
Holdings LLC(a)
|
10/15/2025
|
6.625%
|
|
398,000
|
426,011
|
10/15/2025
|
10.875%
|
|
208,000
|
237,637
|
05/15/2026
|
5.500%
|
|
276,000
|
291,814
|
02/01/2028
|
5.375%
|
|
107,000
|
114,328
|
04/01/2028
|
7.500%
|
|
351,000
|
393,145
|
02/01/2029
|
6.500%
|
|
325,000
|
363,384
|
01/15/2030
|
5.750%
|
|
114,000
|
119,119
|
DISH
DBS Corp.
|
03/15/2023
|
5.000%
|
|
67,000
|
66,060
|
11/15/2024
|
5.875%
|
|
245,000
|
233,336
|
07/01/2026
|
7.750%
|
|
241,000
|
236,870
|
Corporate
Bonds & Notes (continued)
|
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
Intelsat
Jackson Holdings SA(a)
|
10/15/2024
|
8.500%
|
|
210,000
|
208,115
|
Quebecor
Media, Inc.
|
01/15/2023
|
5.750%
|
|
128,000
|
138,711
|
Radiate
HoldCo LLC/Finance, Inc.(a)
|
02/15/2023
|
6.875%
|
|
58,000
|
58,801
|
02/15/2025
|
6.625%
|
|
166,000
|
164,713
|
Sirius
XM Radio, Inc.(a)
|
07/15/2024
|
4.625%
|
|
80,000
|
83,677
|
04/15/2025
|
5.375%
|
|
305,000
|
317,144
|
Time
Warner Cable LLC
|
05/01/2037
|
6.550%
|
|
5,000,000
|
6,029,460
|
Unitymedia
Hessen GmbH & Co. KG NRW(a)
|
01/15/2025
|
5.000%
|
|
237,000
|
245,111
|
Viasat,
Inc.(a)
|
04/15/2027
|
5.625%
|
|
67,000
|
71,196
|
Virgin
Media Finance PLC(a)
|
01/15/2025
|
5.750%
|
|
175,000
|
181,883
|
Virgin
Media Secured Finance PLC(a)
|
01/15/2026
|
5.250%
|
|
433,000
|
445,627
|
08/15/2026
|
5.500%
|
|
64,000
|
67,037
|
05/15/2029
|
5.500%
|
|
70,000
|
73,142
|
Ziggo
Bond Finance BV(a)
|
01/15/2027
|
6.000%
|
|
332,000
|
347,302
|
Ziggo
BV(a)
|
01/15/2027
|
5.500%
|
|
292,000
|
306,481
|
Total
|
18,942,541
|
Chemicals
0.2%
|
Alpha
2 BV PIK(a)
|
06/01/2023
|
8.750%
|
|
79,000
|
76,278
|
Angus
Chemical Co.(a)
|
02/15/2023
|
8.750%
|
|
109,000
|
107,475
|
Atotech
U.S.A., Inc.(a)
|
02/01/2025
|
6.250%
|
|
261,000
|
259,450
|
Axalta
Coating Systems LLC(a)
|
08/15/2024
|
4.875%
|
|
171,000
|
177,033
|
Chemours
Co. (The)
|
05/15/2023
|
6.625%
|
|
46,000
|
46,730
|
05/15/2025
|
7.000%
|
|
59,000
|
58,393
|
05/15/2027
|
5.375%
|
|
35,000
|
31,606
|
Dow
Chemical Co. (The)
|
11/01/2029
|
7.375%
|
|
1,103,000
|
1,475,206
|
DowDuPont,
Inc.
|
11/15/2028
|
4.725%
|
|
4,180,000
|
4,839,863
|
INEOS
Group Holdings SA(a)
|
08/01/2024
|
5.625%
|
|
196,000
|
199,613
|
The accompanying Notes to Financial Statements are an integral part
of this statement.
Columbia
Balanced Fund | Annual Report 2019
|
15
|
Portfolio of Investments (continued)
August 31, 2019
Corporate
Bonds & Notes (continued)
|
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
LYB
International Finance BV
|
03/15/2044
|
4.875%
|
|
2,000,000
|
2,211,572
|
Platform
Specialty Products Corp.(a)
|
12/01/2025
|
5.875%
|
|
419,000
|
436,060
|
PQ
Corp.(a)
|
11/15/2022
|
6.750%
|
|
334,000
|
346,463
|
12/15/2025
|
5.750%
|
|
229,000
|
234,669
|
SPCM
SA(a)
|
09/15/2025
|
4.875%
|
|
87,000
|
88,432
|
Starfruit
Finco BV/US Holdco LLC(a)
|
10/01/2026
|
8.000%
|
|
432,000
|
421,509
|
WR
Grace & Co.(a)
|
10/01/2021
|
5.125%
|
|
168,000
|
174,966
|
Total
|
11,185,318
|
Construction
Machinery 0.0%
|
H&E
Equipment Services, Inc.
|
09/01/2025
|
5.625%
|
|
274,000
|
286,968
|
Herc
Holdings, Inc.(a)
|
07/15/2027
|
5.500%
|
|
158,000
|
163,297
|
Ritchie
Bros. Auctioneers, Inc.(a)
|
01/15/2025
|
5.375%
|
|
140,000
|
145,642
|
United
Rentals North America, Inc.
|
09/15/2026
|
5.875%
|
|
226,000
|
242,335
|
12/15/2026
|
6.500%
|
|
270,000
|
294,881
|
Total
|
1,133,123
|
Consumer
Cyclical Services 0.1%
|
Amazon.com,
Inc.
|
08/22/2027
|
3.150%
|
|
6,000,000
|
6,446,238
|
APX
Group, Inc.
|
12/01/2020
|
8.750%
|
|
77,000
|
73,114
|
12/01/2022
|
7.875%
|
|
308,000
|
293,117
|
09/01/2023
|
7.625%
|
|
79,000
|
59,258
|
APX
Group, Inc.(a)
|
11/01/2024
|
8.500%
|
|
98,000
|
91,363
|
frontdoor,
Inc.(a)
|
08/15/2026
|
6.750%
|
|
194,000
|
210,216
|
Realogy
Group LLC/Co-Issuer Corp.(a)
|
12/01/2021
|
5.250%
|
|
172,000
|
167,392
|
Total
|
7,340,698
|
Consumer
Products 0.0%
|
Energizer
Holdings, Inc.(a)
|
01/15/2027
|
7.750%
|
|
208,000
|
227,642
|
Mattel,
Inc.(a)
|
12/31/2025
|
6.750%
|
|
135,000
|
139,013
|
Corporate
Bonds & Notes (continued)
|
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
Prestige
Brands, Inc.(a)
|
12/15/2021
|
5.375%
|
|
189,000
|
190,320
|
03/01/2024
|
6.375%
|
|
137,000
|
143,423
|
Scotts
Miracle-Gro Co. (The)
|
10/15/2023
|
6.000%
|
|
199,000
|
206,037
|
Spectrum
Brands, Inc.
|
12/15/2024
|
6.125%
|
|
227,000
|
236,088
|
Valvoline,
Inc.
|
07/15/2024
|
5.500%
|
|
138,000
|
143,577
|
Total
|
1,286,100
|
Diversified
Manufacturing 0.1%
|
BWX
Technologies, Inc.(a)
|
07/15/2026
|
5.375%
|
|
44,000
|
46,429
|
CFX
Escrow Corp.(a)
|
02/15/2024
|
6.000%
|
|
125,000
|
133,328
|
02/15/2026
|
6.375%
|
|
72,000
|
78,080
|
Gates
Global LLC/Co.(a)
|
07/15/2022
|
6.000%
|
|
442,000
|
441,337
|
MTS
Systems Corp.(a)
|
08/15/2027
|
5.750%
|
|
37,000
|
38,666
|
Resideo
Funding, Inc.(a)
|
11/01/2026
|
6.125%
|
|
104,000
|
110,524
|
Stevens
Holding Co., Inc.(a)
|
10/01/2026
|
6.125%
|
|
142,000
|
148,126
|
United
Technologies Corp.
|
08/16/2025
|
3.950%
|
|
6,000,000
|
6,587,898
|
WESCO
Distribution, Inc.
|
12/15/2021
|
5.375%
|
|
171,000
|
172,732
|
06/15/2024
|
5.375%
|
|
99,000
|
102,517
|
Zekelman
Industries, Inc.(a)
|
06/15/2023
|
9.875%
|
|
132,000
|
139,161
|
Total
|
7,998,798
|
Electric
1.0%
|
AES
Corp. (The)
|
09/01/2027
|
5.125%
|
|
195,000
|
209,320
|
Arizona
Public Service Co.
|
04/01/2042
|
4.500%
|
|
1,925,000
|
2,306,564
|
Calpine
Corp.(a)
|
06/01/2026
|
5.250%
|
|
240,000
|
243,642
|
Clearway
Energy Operating LLC
|
08/15/2024
|
5.375%
|
|
509,000
|
522,473
|
Clearway
Energy Operating LLC(a)
|
10/15/2025
|
5.750%
|
|
109,000
|
113,614
|
CMS
Energy Corp.
|
03/01/2024
|
3.875%
|
|
5,052,000
|
5,354,256
|
The accompanying Notes to Financial Statements are an integral part
of this statement.
16
|
Columbia Balanced Fund
| Annual Report 2019
|
Portfolio of Investments (continued)
August 31, 2019
Corporate
Bonds & Notes (continued)
|
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
Consolidated
Edison Co. of New York, Inc.
|
12/01/2045
|
4.500%
|
|
2,500,000
|
3,037,150
|
Dominion
Energy, Inc.
|
10/01/2025
|
3.900%
|
|
5,000,000
|
5,392,555
|
DTE
Energy Co.
|
04/15/2033
|
6.375%
|
|
4,000,000
|
5,419,312
|
Indiana
Michigan Power Co.
|
03/15/2037
|
6.050%
|
|
4,925,000
|
6,770,831
|
NextEra
Energy Capital Holdings, Inc.
|
06/15/2023
|
3.625%
|
|
5,070,000
|
5,307,854
|
NextEra
Energy Operating Partners LP(a)
|
07/15/2024
|
4.250%
|
|
100,000
|
103,590
|
09/15/2027
|
4.500%
|
|
232,000
|
237,942
|
NRG
Energy, Inc.
|
05/15/2026
|
7.250%
|
|
50,000
|
54,855
|
01/15/2027
|
6.625%
|
|
292,000
|
317,335
|
01/15/2028
|
5.750%
|
|
21,000
|
22,637
|
NRG
Energy, Inc.(a)
|
06/15/2029
|
5.250%
|
|
111,000
|
118,322
|
Pennsylvania
Electric Co.(a)
|
06/01/2029
|
3.600%
|
|
6,477,000
|
6,946,187
|
Progress
Energy, Inc.
|
03/01/2031
|
7.750%
|
|
4,500,000
|
6,500,803
|
Public
Service Co. of Colorado
|
05/15/2025
|
2.900%
|
|
3,650,000
|
3,767,212
|
Southern
Co. (The)
|
07/01/2046
|
4.400%
|
|
6,150,000
|
6,934,039
|
TerraForm
Power Operating LLC(a)
|
01/31/2023
|
4.250%
|
|
172,000
|
176,149
|
01/31/2028
|
5.000%
|
|
105,000
|
109,283
|
Vistra
Energy Corp.
|
11/01/2024
|
7.625%
|
|
188,000
|
199,696
|
Vistra
Operations Co. LLC(a)
|
09/01/2026
|
5.500%
|
|
64,000
|
67,381
|
02/15/2027
|
5.625%
|
|
204,000
|
216,181
|
07/31/2027
|
5.000%
|
|
148,000
|
153,408
|
WEC
Energy Group, Inc.
|
06/15/2025
|
3.550%
|
|
4,750,000
|
5,086,913
|
Total
|
65,689,504
|
Environmental
0.0%
|
Clean
Harbors, Inc.(a)
|
07/15/2027
|
4.875%
|
|
53,000
|
56,002
|
07/15/2029
|
5.125%
|
|
37,000
|
39,387
|
GFL
Environmental, Inc.(a)
|
05/01/2022
|
5.625%
|
|
105,000
|
106,537
|
03/01/2023
|
5.375%
|
|
47,000
|
47,266
|
05/01/2027
|
8.500%
|
|
140,000
|
152,936
|
Corporate
Bonds & Notes (continued)
|
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
Hulk
Finance Corp.(a)
|
06/01/2026
|
7.000%
|
|
29,000
|
30,070
|
Total
|
432,198
|
Finance
Companies 0.2%
|
GE
Capital International Funding Co. Unlimited Co.
|
11/15/2035
|
4.418%
|
|
10,000,000
|
10,162,450
|
Global
Aircraft Leasing Co., Ltd. PIK(a)
|
09/15/2024
|
6.500%
|
|
180,000
|
179,122
|
iStar,
Inc.
|
04/01/2022
|
6.000%
|
|
134,000
|
138,013
|
Navient
Corp.
|
06/15/2022
|
6.500%
|
|
180,000
|
194,624
|
01/25/2023
|
5.500%
|
|
417,000
|
438,112
|
09/25/2023
|
7.250%
|
|
3,000
|
3,328
|
Provident
Funding Associates LP/Finance Corp.(a)
|
06/15/2025
|
6.375%
|
|
272,000
|
264,395
|
Quicken
Loans, Inc.(a)
|
05/01/2025
|
5.750%
|
|
415,000
|
432,596
|
Springleaf
Finance Corp.
|
03/15/2024
|
6.125%
|
|
256,000
|
279,508
|
03/15/2025
|
6.875%
|
|
182,000
|
206,259
|
03/15/2026
|
7.125%
|
|
80,000
|
91,327
|
Total
|
12,389,734
|
Food
and Beverage 0.6%
|
Anheuser-Busch
InBev Worldwide, Inc.
|
01/15/2042
|
4.950%
|
|
11,145,000
|
13,301,758
|
B&G
Foods, Inc.
|
06/01/2021
|
4.625%
|
|
330,000
|
330,831
|
04/01/2025
|
5.250%
|
|
211,000
|
214,050
|
Bacardi
Ltd.(a)
|
05/15/2038
|
5.150%
|
|
6,860,000
|
7,650,560
|
Conagra
Brands, Inc.
|
11/01/2048
|
5.400%
|
|
4,270,000
|
5,076,808
|
Darling
Ingredients, Inc.(a)
|
04/15/2027
|
5.250%
|
|
27,000
|
28,805
|
FAGE
International SA/U.S.A. Dairy Industry, Inc.(a)
|
08/15/2026
|
5.625%
|
|
118,000
|
103,487
|
Kraft
Heinz Co. (The)(a)
|
02/15/2025
|
4.875%
|
|
8,000,000
|
8,242,688
|
PepsiCo,
Inc.
|
02/24/2026
|
2.850%
|
|
4,125,000
|
4,333,795
|
Post
Holdings, Inc.(a)
|
08/15/2026
|
5.000%
|
|
635,000
|
661,973
|
03/01/2027
|
5.750%
|
|
156,000
|
166,205
|
12/15/2029
|
5.500%
|
|
143,000
|
151,131
|
Total
|
40,262,091
|
The accompanying Notes to Financial Statements are an integral part
of this statement.
Columbia
Balanced Fund | Annual Report 2019
|
17
|
Portfolio of Investments (continued)
August 31, 2019
Corporate
Bonds & Notes (continued)
|
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
Gaming
0.0%
|
Boyd
Gaming Corp.
|
05/15/2023
|
6.875%
|
|
260,000
|
269,824
|
04/01/2026
|
6.375%
|
|
85,000
|
90,071
|
Caesars
Resort Collection LLC/CRC Finco, Inc.(a)
|
10/15/2025
|
5.250%
|
|
84,000
|
85,440
|
Eldorado
Resorts, Inc.
|
08/01/2023
|
7.000%
|
|
136,000
|
142,460
|
04/01/2025
|
6.000%
|
|
249,000
|
263,742
|
International
Game Technology PLC(a)
|
02/15/2022
|
6.250%
|
|
180,000
|
190,323
|
02/15/2025
|
6.500%
|
|
224,000
|
245,739
|
MGM
Growth Properties Operating Partnership LP/Finance Co-Issuer, Inc.
|
05/01/2024
|
5.625%
|
|
266,000
|
290,552
|
MGM
Growth Properties Operating Partnership LP/Finance Co-Issuer, Inc.(a)
|
02/01/2027
|
5.750%
|
|
165,000
|
182,372
|
MGM
Resorts International
|
12/15/2021
|
6.625%
|
|
157,000
|
170,658
|
03/15/2023
|
6.000%
|
|
97,000
|
106,720
|
Scientific
Games International, Inc.(a)
|
10/15/2025
|
5.000%
|
|
248,000
|
256,097
|
03/15/2026
|
8.250%
|
|
196,000
|
206,863
|
Stars
Group Holdings BV/Co-Borrower LLC(a)
|
07/15/2026
|
7.000%
|
|
139,000
|
147,429
|
Wynn
Las Vegas LLC/Capital Corp.(a)
|
03/01/2025
|
5.500%
|
|
173,000
|
182,406
|
Total
|
2,830,696
|
Health
Care 0.5%
|
Acadia
Healthcare Co., Inc.
|
03/01/2024
|
6.500%
|
|
232,000
|
239,676
|
Avantor,
Inc.(a)
|
10/01/2025
|
9.000%
|
|
263,000
|
296,363
|
Becton
Dickinson and Co.
|
06/06/2027
|
3.700%
|
|
5,216,000
|
5,592,700
|
Cardinal
Health, Inc.
|
03/15/2043
|
4.600%
|
|
6,500,000
|
6,393,250
|
Change
Healthcare Holdings LLC/Finance, Inc.(a)
|
03/01/2025
|
5.750%
|
|
246,000
|
247,430
|
CHS/Community
Health Systems, Inc.
|
03/31/2023
|
6.250%
|
|
143,000
|
137,934
|
CVS
Health Corp.
|
03/25/2048
|
5.050%
|
|
6,215,000
|
7,251,898
|
CVS
Pass-Through Trust(a)
|
01/10/2032
|
7.507%
|
|
256,847
|
321,829
|
Corporate
Bonds & Notes (continued)
|
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
DaVita,
Inc.
|
08/15/2022
|
5.750%
|
|
168,000
|
169,676
|
05/01/2025
|
5.000%
|
|
71,000
|
71,093
|
Express
Scripts Holding Co.
|
07/15/2046
|
4.800%
|
|
5,090,000
|
5,834,438
|
HCA,
Inc.
|
09/01/2028
|
5.625%
|
|
522,000
|
594,648
|
Hill-Rom
Holdings, Inc.(a)
|
09/01/2023
|
5.750%
|
|
199,000
|
205,389
|
McKesson
Corp.
|
05/30/2029
|
4.750%
|
|
4,320,000
|
4,915,128
|
MPH
Acquisition Holdings LLC(a)
|
06/01/2024
|
7.125%
|
|
137,000
|
122,278
|
Select
Medical Corp.(a)
|
08/15/2026
|
6.250%
|
|
91,000
|
94,354
|
Sotera
Health Holdings LLC(a)
|
05/15/2023
|
6.500%
|
|
276,000
|
280,839
|
Tenet
Healthcare Corp.
|
04/01/2022
|
8.125%
|
|
164,000
|
176,689
|
06/15/2023
|
6.750%
|
|
101,000
|
104,124
|
07/15/2024
|
4.625%
|
|
274,000
|
281,824
|
Tenet
Healthcare Corp.(a)
|
01/01/2026
|
4.875%
|
|
245,000
|
251,804
|
02/01/2027
|
6.250%
|
|
399,000
|
415,013
|
11/01/2027
|
5.125%
|
|
438,000
|
452,587
|
Total
|
34,450,964
|
Healthcare
Insurance 0.1%
|
Anthem,
Inc.
|
03/01/2028
|
4.101%
|
|
4,150,000
|
4,515,524
|
Centene
Corp.
|
02/15/2024
|
6.125%
|
|
162,000
|
169,829
|
Centene
Corp.(a)
|
06/01/2026
|
5.375%
|
|
287,000
|
306,186
|
UnitedHealth
Group, Inc.
|
01/15/2027
|
3.450%
|
|
4,425,000
|
4,758,760
|
WellCare
Health Plans, Inc.
|
04/01/2025
|
5.250%
|
|
248,000
|
259,953
|
Total
|
10,010,252
|
Healthcare
REIT 0.1%
|
Welltower,
Inc.
|
01/15/2030
|
3.100%
|
|
5,150,000
|
5,234,681
|
Home
Construction 0.0%
|
Lennar
Corp.
|
04/30/2024
|
4.500%
|
|
108,000
|
115,234
|
11/15/2024
|
5.875%
|
|
198,000
|
221,360
|
06/01/2026
|
5.250%
|
|
117,000
|
127,235
|
The accompanying Notes to Financial Statements are an integral part
of this statement.
18
|
Columbia Balanced Fund
| Annual Report 2019
|
Portfolio of Investments (continued)
August 31, 2019
Corporate
Bonds & Notes (continued)
|
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
Meritage
Homes Corp.
|
04/01/2022
|
7.000%
|
|
159,000
|
174,740
|
06/01/2025
|
6.000%
|
|
136,000
|
149,759
|
Taylor
Morrison Communities, Inc.(a)
|
01/15/2028
|
5.750%
|
|
106,000
|
112,714
|
Taylor
Morrison Communities, Inc./Holdings II(a)
|
04/15/2023
|
5.875%
|
|
180,000
|
190,663
|
03/01/2024
|
5.625%
|
|
90,000
|
94,635
|
TRI
Pointe Group, Inc./Homes
|
06/15/2024
|
5.875%
|
|
70,000
|
75,055
|
Total
|
1,261,395
|
Independent
Energy 0.3%
|
Anadarko
Petroleum Corp.
|
09/15/2036
|
6.450%
|
|
3,500,000
|
4,401,625
|
California
Resources Corp.(a)
|
12/15/2022
|
8.000%
|
|
66,000
|
37,942
|
Callon
Petroleum Co.
|
10/01/2024
|
6.125%
|
|
26,000
|
25,211
|
07/01/2026
|
6.375%
|
|
419,000
|
405,629
|
Canadian
Natural Resources Ltd.
|
02/01/2025
|
3.900%
|
|
5,243,000
|
5,513,591
|
Carrizo
Oil & Gas, Inc.
|
04/15/2023
|
6.250%
|
|
210,000
|
199,990
|
Centennial
Resource Production LLC(a)
|
01/15/2026
|
5.375%
|
|
181,000
|
172,774
|
04/01/2027
|
6.875%
|
|
229,000
|
228,983
|
Chesapeake
Energy Corp.
|
10/01/2026
|
7.500%
|
|
172,000
|
118,862
|
CrownRock
LP/Finance, Inc.(a)
|
10/15/2025
|
5.625%
|
|
462,000
|
456,349
|
Endeavor
Energy Resources LP/Finance, Inc.(a)
|
01/30/2026
|
5.500%
|
|
33,000
|
34,371
|
01/30/2028
|
5.750%
|
|
20,000
|
21,014
|
Extraction
Oil & Gas, Inc.(a)
|
05/15/2024
|
7.375%
|
|
108,000
|
80,709
|
Indigo
Natural Resources LLC(a)
|
02/15/2026
|
6.875%
|
|
101,000
|
83,314
|
Jagged
Peak Energy LLC
|
05/01/2026
|
5.875%
|
|
184,000
|
184,734
|
Matador
Resources Co.
|
09/15/2026
|
5.875%
|
|
245,000
|
238,199
|
MEG
Energy Corp.(a)
|
01/15/2025
|
6.500%
|
|
40,000
|
40,250
|
Noble
Energy, Inc.
|
03/01/2041
|
6.000%
|
|
4,000,000
|
4,804,184
|
Corporate
Bonds & Notes (continued)
|
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
Parsley
Energy LLC/Finance Corp.(a)
|
08/15/2025
|
5.250%
|
|
468,000
|
475,269
|
10/15/2027
|
5.625%
|
|
316,000
|
326,414
|
PDC
Energy, Inc.
|
09/15/2024
|
6.125%
|
|
145,000
|
144,612
|
SM
Energy Co.
|
09/15/2026
|
6.750%
|
|
236,000
|
202,070
|
01/15/2027
|
6.625%
|
|
38,000
|
32,322
|
WPX
Energy, Inc.
|
01/15/2022
|
6.000%
|
|
65,000
|
67,113
|
06/01/2026
|
5.750%
|
|
373,000
|
386,805
|
Total
|
18,682,336
|
Integrated
Energy 0.1%
|
Cenovus
Energy, Inc.
|
04/15/2027
|
4.250%
|
|
4,665,000
|
4,882,431
|
Leisure
0.0%
|
Cedar
Fair LP(a)
|
07/15/2029
|
5.250%
|
|
54,000
|
58,533
|
Cedar
Fair LP/Canada’s Wonderland Co./Magnum Management Corp.
|
06/01/2024
|
5.375%
|
|
167,000
|
171,930
|
Cinemark
U.S.A., Inc.
|
06/01/2023
|
4.875%
|
|
139,000
|
141,554
|
Live
Nation Entertainment, Inc.(a)
|
11/01/2024
|
4.875%
|
|
118,000
|
122,288
|
03/15/2026
|
5.625%
|
|
86,000
|
91,712
|
Viking
Cruises Ltd.(a)
|
09/15/2027
|
5.875%
|
|
210,000
|
218,816
|
Total
|
804,833
|
Life
Insurance 0.5%
|
American
International Group, Inc.
|
07/10/2025
|
3.750%
|
|
6,000,000
|
6,387,594
|
Five
Corners Funding Trust(a)
|
11/15/2023
|
4.419%
|
|
5,725,000
|
6,206,146
|
High
Street Funding Trust I(a)
|
02/15/2028
|
4.111%
|
|
5,000,000
|
5,471,175
|
MetLife
Global Funding I(a)
|
12/18/2026
|
3.450%
|
|
5,000,000
|
5,383,285
|
Northwestern
Mutual Life Insurance Co. (The)(a)
|
Subordinated
|
09/30/2047
|
3.850%
|
|
3,500,000
|
3,965,007
|
Peachtree
Corners Funding Trust(a)
|
02/15/2025
|
3.976%
|
|
6,000,000
|
6,346,092
|
Total
|
33,759,299
|
The accompanying Notes to Financial Statements are an integral part
of this statement.
Columbia
Balanced Fund | Annual Report 2019
|
19
|
Portfolio of Investments (continued)
August 31, 2019
Corporate
Bonds & Notes (continued)
|
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
Media
and Entertainment 0.1%
|
Clear
Channel Worldwide Holdings, Inc.(a)
|
02/15/2024
|
9.250%
|
|
375,000
|
411,410
|
08/15/2027
|
5.125%
|
|
213,000
|
222,911
|
Diamond
Sports Group LLC/Finance Co.(a)
|
08/15/2026
|
5.375%
|
|
147,000
|
154,324
|
08/15/2027
|
6.625%
|
|
107,000
|
111,900
|
Discovery
Communications LLC
|
06/01/2040
|
6.350%
|
|
2,500,000
|
3,095,023
|
iHeartCommunications,
Inc.
|
05/01/2026
|
6.375%
|
|
98,481
|
106,863
|
05/01/2027
|
8.375%
|
|
392,858
|
424,498
|
iHeartCommunications,
Inc.(a)
|
08/15/2027
|
5.250%
|
|
53,000
|
55,701
|
Lamar
Media Corp.
|
01/15/2024
|
5.375%
|
|
171,000
|
175,789
|
Match
Group, Inc.
|
06/01/2024
|
6.375%
|
|
133,000
|
140,212
|
National
CineMedia LLC
|
04/15/2022
|
6.000%
|
|
108,000
|
109,177
|
Netflix,
Inc.
|
04/15/2028
|
4.875%
|
|
225,000
|
235,416
|
11/15/2028
|
5.875%
|
|
361,000
|
404,694
|
Netflix,
Inc.(a)
|
05/15/2029
|
6.375%
|
|
218,000
|
252,113
|
11/15/2029
|
5.375%
|
|
175,000
|
190,268
|
Outfront
Media Capital LLC/Corp.
|
03/15/2025
|
5.875%
|
|
246,000
|
254,457
|
Outfront
Media Capital LLC/Corp.(a)
|
08/15/2027
|
5.000%
|
|
128,000
|
132,753
|
Scripps
Escrow, Inc.(a)
|
07/15/2027
|
5.875%
|
|
60,000
|
60,495
|
Walt
Disney Co. (The)(a)
|
03/15/2033
|
6.550%
|
|
2,156,000
|
3,093,793
|
Total
|
9,631,797
|
Metals
and Mining 0.0%
|
Alcoa
Nederland Holding BV(a)
|
09/30/2024
|
6.750%
|
|
231,000
|
242,634
|
Big
River Steel LLC/Finance Corp.(a)
|
09/01/2025
|
7.250%
|
|
284,000
|
300,059
|
Constellium
NV(a)
|
02/15/2026
|
5.875%
|
|
479,000
|
499,529
|
Freeport-McMoRan,
Inc.
|
11/14/2024
|
4.550%
|
|
249,000
|
251,728
|
09/01/2029
|
5.250%
|
|
106,000
|
105,024
|
03/15/2043
|
5.450%
|
|
319,000
|
289,996
|
Corporate
Bonds & Notes (continued)
|
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
HudBay
Minerals, Inc.(a)
|
01/15/2023
|
7.250%
|
|
31,000
|
31,969
|
01/15/2025
|
7.625%
|
|
371,000
|
377,376
|
Novelis
Corp.(a)
|
09/30/2026
|
5.875%
|
|
454,000
|
479,673
|
Total
|
2,577,988
|
Midstream
0.7%
|
Antero
Midstream Partners LP/Finance Corp.(a)
|
03/01/2027
|
5.750%
|
|
64,000
|
58,696
|
Cheniere
Corpus Christi Holdings LLC
|
06/30/2027
|
5.125%
|
|
143,000
|
158,376
|
Cheniere
Energy Partners LP
|
10/01/2026
|
5.625%
|
|
202,000
|
213,438
|
DCP
Midstream Operating LP
|
07/15/2025
|
5.375%
|
|
136,000
|
144,506
|
05/15/2029
|
5.125%
|
|
108,000
|
110,540
|
04/01/2044
|
5.600%
|
|
90,000
|
84,957
|
Delek
Logistics Partners LP/Finance Corp.
|
05/15/2025
|
6.750%
|
|
208,000
|
206,836
|
Energy
Transfer Partners LP
|
02/01/2042
|
6.500%
|
|
4,315,000
|
5,241,909
|
Holly
Energy Partners LP/Finance Corp.(a)
|
08/01/2024
|
6.000%
|
|
394,000
|
412,717
|
Kinder
Morgan Energy Partners LP
|
03/01/2044
|
5.500%
|
|
7,000,000
|
8,244,285
|
MPLX
LP
|
02/15/2049
|
5.500%
|
|
5,100,000
|
5,838,414
|
NuStar
Logistics LP
|
06/01/2026
|
6.000%
|
|
131,000
|
140,872
|
04/28/2027
|
5.625%
|
|
146,000
|
151,814
|
Plains
All American Pipeline LP/Finance Corp.
|
01/15/2037
|
6.650%
|
|
7,000,000
|
8,453,291
|
Rockpoint
Gas Storage Canada Ltd.(a)
|
03/31/2023
|
7.000%
|
|
201,000
|
203,312
|
Southern
Natural Gas Co. LLC(a)
|
03/15/2047
|
4.800%
|
|
2,951,000
|
3,322,590
|
Sunoco
LP/Finance Corp.
|
02/15/2026
|
5.500%
|
|
168,000
|
174,535
|
Tallgrass
Energy Partners LP/Finance Corp.(a)
|
10/01/2023
|
4.750%
|
|
102,000
|
101,122
|
09/15/2024
|
5.500%
|
|
65,000
|
63,433
|
01/15/2028
|
5.500%
|
|
235,000
|
221,078
|
Targa
Resources Partners LP/Finance Corp.
|
02/01/2027
|
5.375%
|
|
621,000
|
641,225
|
01/15/2028
|
5.000%
|
|
264,000
|
265,206
|
Targa
Resources Partners LP/Finance Corp.(a)
|
01/15/2029
|
6.875%
|
|
61,000
|
67,411
|
The accompanying Notes to Financial Statements are an integral part
of this statement.
20
|
Columbia Balanced Fund
| Annual Report 2019
|
Portfolio of Investments (continued)
August 31, 2019
Corporate
Bonds & Notes (continued)
|
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
TransMontaigne
Partners LP/TLP Finance Corp.
|
02/15/2026
|
6.125%
|
|
211,000
|
203,923
|
Western
Gas Partners LP
|
08/15/2048
|
5.500%
|
|
4,500,000
|
4,199,301
|
Williams
Companies, Inc. (The)
|
09/15/2045
|
5.100%
|
|
7,000,000
|
7,827,071
|
Total
|
46,750,858
|
Natural
Gas 0.2%
|
NiSource,
Inc.
|
02/15/2044
|
4.800%
|
|
5,000,000
|
6,012,675
|
Sempra
Energy
|
11/15/2025
|
3.750%
|
|
7,000,000
|
7,450,247
|
Total
|
13,462,922
|
Oil
Field Services 0.0%
|
Apergy
Corp.
|
05/01/2026
|
6.375%
|
|
234,000
|
235,862
|
Calfrac
Holdings LP(a)
|
06/15/2026
|
8.500%
|
|
82,000
|
51,601
|
Diamond
Offshore Drilling, Inc.
|
08/15/2025
|
7.875%
|
|
57,000
|
51,667
|
Nabors
Industries, Inc.
|
02/01/2025
|
5.750%
|
|
250,000
|
199,474
|
SESI
LLC
|
09/15/2024
|
7.750%
|
|
55,000
|
33,652
|
Transocean
Guardian Ltd.(a)
|
01/15/2024
|
5.875%
|
|
2,448
|
2,467
|
Transocean
Poseidon Ltd.(a)
|
02/01/2027
|
6.875%
|
|
83,000
|
86,373
|
Transocean
Sentry Ltd.(a)
|
05/15/2023
|
5.375%
|
|
187,000
|
185,130
|
Total
|
846,226
|
Other
Industry 0.0%
|
KAR
Auction Services, Inc.(a)
|
06/01/2025
|
5.125%
|
|
240,000
|
247,178
|
Other
REIT 0.0%
|
CyrusOne
LP/Finance Corp.
|
03/15/2027
|
5.375%
|
|
397,000
|
423,434
|
Packaging
0.0%
|
ARD
Finance SA PIK
|
09/15/2023
|
7.125%
|
|
72,000
|
74,133
|
Ardagh
Packaging Finance PLC/Holdings U.S.A., Inc.(a)
|
02/15/2025
|
6.000%
|
|
270,000
|
282,372
|
Corporate
Bonds & Notes (continued)
|
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
Ardagh
Packaging Finance PLC/Holdings USA, Inc.(a)
|
08/15/2027
|
5.250%
|
|
285,000
|
287,531
|
Berry
Global Escrow Corp.(a)
|
07/15/2026
|
4.875%
|
|
139,000
|
146,324
|
07/15/2027
|
5.625%
|
|
137,000
|
144,052
|
Berry
Global, Inc.
|
07/15/2023
|
5.125%
|
|
295,000
|
302,450
|
BWAY
Holding Co.(a)
|
04/15/2024
|
5.500%
|
|
279,000
|
287,996
|
Flex
Acquisition Co., Inc.(a)
|
07/15/2026
|
7.875%
|
|
117,000
|
105,886
|
Reynolds
Group Issuer, Inc./LLC
|
10/15/2020
|
5.750%
|
|
279,103
|
279,859
|
Reynolds
Group Issuer, Inc./LLC(a)
|
07/15/2023
|
5.125%
|
|
236,000
|
242,460
|
07/15/2024
|
7.000%
|
|
234,000
|
242,559
|
Trivium
Packaging Finance BV(a)
|
08/15/2026
|
5.500%
|
|
110,000
|
116,474
|
Total
|
2,512,096
|
Pharmaceuticals
0.4%
|
AbbVie,
Inc.
|
11/06/2042
|
4.400%
|
|
5,500,000
|
5,787,369
|
Allergan
Funding SCS
|
03/15/2035
|
4.550%
|
|
3,500,000
|
3,745,567
|
Amgen,
Inc.
|
03/15/2040
|
5.750%
|
|
2,400,000
|
3,133,001
|
Bausch
Health Companies, Inc.(a)
|
05/15/2023
|
5.875%
|
|
31,000
|
31,411
|
03/15/2024
|
7.000%
|
|
221,000
|
233,189
|
12/15/2025
|
9.000%
|
|
143,000
|
160,749
|
04/01/2026
|
9.250%
|
|
565,000
|
640,928
|
01/31/2027
|
8.500%
|
|
89,000
|
98,708
|
Bristol-Myers
Squibb Co.(a)
|
07/26/2029
|
3.400%
|
|
5,900,000
|
6,385,399
|
Catalent
Pharma Solutions, Inc.(a)
|
07/15/2027
|
5.000%
|
|
56,000
|
58,621
|
Eagle
Holding Co. II LLC PIK(a)
|
05/15/2022
|
7.750%
|
|
138,000
|
139,553
|
Gilead
Sciences, Inc.
|
02/01/2025
|
3.500%
|
|
3,000,000
|
3,190,278
|
Horizon
Pharma USA, Inc.(a)
|
08/01/2027
|
5.500%
|
|
132,000
|
137,643
|
Jaguar
Holding Co. II/Pharmaceutical Product Development LLC(a)
|
08/01/2023
|
6.375%
|
|
299,000
|
309,022
|
Par
Pharmaceutical, Inc.(a)
|
04/01/2027
|
7.500%
|
|
136,000
|
126,984
|
Total
|
24,178,422
|
The accompanying Notes to Financial Statements are an integral part
of this statement.
Columbia
Balanced Fund | Annual Report 2019
|
21
|
Portfolio of Investments (continued)
August 31, 2019
Corporate
Bonds & Notes (continued)
|
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
Property
& Casualty 0.2%
|
Acrisure
LLC/Finance, Inc.(a)
|
02/15/2024
|
8.125%
|
|
65,000
|
70,171
|
CNA
Financial Corp.
|
03/01/2026
|
4.500%
|
|
4,000,000
|
4,406,068
|
HUB
International Ltd.(a)
|
05/01/2026
|
7.000%
|
|
196,000
|
198,859
|
Loews
Corp.
|
04/01/2026
|
3.750%
|
|
5,500,000
|
5,927,812
|
USI,
Inc.(a)
|
05/01/2025
|
6.875%
|
|
18,000
|
18,009
|
Total
|
10,620,919
|
Railroads
0.1%
|
CSX
Corp.
|
03/15/2044
|
4.100%
|
|
3,750,000
|
4,186,155
|
Union
Pacific Corp.
|
09/15/2037
|
3.600%
|
|
4,500,000
|
4,823,433
|
Total
|
9,009,588
|
Restaurants
0.0%
|
1011778
BC ULC/New Red Finance, Inc.(a)
|
05/15/2024
|
4.250%
|
|
85,000
|
87,859
|
10/15/2025
|
5.000%
|
|
174,000
|
179,697
|
IRB
Holding Corp.(a)
|
02/15/2026
|
6.750%
|
|
210,000
|
212,083
|
Total
|
479,639
|
Retail
REIT 0.2%
|
Kimco
Realty Corp.
|
10/01/2026
|
2.800%
|
|
5,500,000
|
5,560,742
|
Simon
Property Group LP
|
02/01/2040
|
6.750%
|
|
3,400,000
|
5,132,106
|
Total
|
10,692,848
|
Retailers
0.2%
|
L
Brands, Inc.
|
06/15/2029
|
7.500%
|
|
62,000
|
60,822
|
11/01/2035
|
6.875%
|
|
87,000
|
73,785
|
Lowe’s
Companies, Inc.
|
04/05/2049
|
4.550%
|
|
4,480,000
|
5,244,516
|
Penske
Automotive Group, Inc.
|
10/01/2022
|
5.750%
|
|
138,000
|
139,753
|
PetSmart,
Inc.(a)
|
03/15/2023
|
7.125%
|
|
150,000
|
139,719
|
06/01/2025
|
5.875%
|
|
155,000
|
151,911
|
Corporate
Bonds & Notes (continued)
|
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
Target
Corp.
|
04/15/2026
|
2.500%
|
|
5,000,000
|
5,154,895
|
Total
|
10,965,401
|
Supermarkets
0.1%
|
Albertsons
Companies LLC/Safeway, Inc.(a)
|
03/15/2026
|
7.500%
|
|
117,000
|
130,262
|
Albertsons
Companies LLC/Safeway, Inc./New Albertsons LP
|
03/15/2025
|
5.750%
|
|
60,000
|
61,653
|
Albertsons
Companies LLC/Safeway, Inc./New Albertsons LP(a)
|
02/15/2028
|
5.875%
|
|
147,000
|
154,841
|
Kroger
Co. (The)
|
01/15/2048
|
4.650%
|
|
5,165,000
|
5,522,842
|
Total
|
5,869,598
|
Technology
0.3%
|
Ascend
Learning LLC(a)
|
08/01/2025
|
6.875%
|
|
135,000
|
140,049
|
08/01/2025
|
6.875%
|
|
126,000
|
130,604
|
Broadcom
Corp./Cayman Finance Ltd.
|
01/15/2027
|
3.875%
|
|
7,340,000
|
7,342,665
|
Camelot
Finance SA(a)
|
10/15/2024
|
7.875%
|
|
407,000
|
422,677
|
CDK
Global, Inc.
|
06/01/2027
|
4.875%
|
|
222,000
|
229,470
|
CommScope
Finance LLC(a)
|
03/01/2024
|
5.500%
|
|
66,000
|
67,132
|
03/01/2026
|
6.000%
|
|
168,000
|
170,784
|
CommScope
Technologies LLC(a)
|
06/15/2025
|
6.000%
|
|
115,000
|
103,041
|
03/15/2027
|
5.000%
|
|
81,000
|
67,686
|
Ensemble
S Merger Sub, Inc.(a)
|
09/30/2023
|
9.000%
|
|
69,000
|
70,874
|
Equinix,
Inc.
|
04/01/2023
|
5.375%
|
|
235,000
|
239,967
|
05/15/2027
|
5.375%
|
|
172,000
|
186,475
|
Gartner,
Inc.(a)
|
04/01/2025
|
5.125%
|
|
306,000
|
320,711
|
Genesys
Telecommunications Laboratories, Inc./Greeneden Lux 3 Sarl/U.S. Holdings I LLC(a)
|
11/30/2024
|
10.000%
|
|
130,000
|
140,432
|
Informatica
LLC(a)
|
07/15/2023
|
7.125%
|
|
194,000
|
197,216
|
Iron
Mountain, Inc.
|
08/15/2024
|
5.750%
|
|
307,000
|
310,007
|
NCR
Corp.
|
12/15/2021
|
5.875%
|
|
272,000
|
274,683
|
12/15/2023
|
6.375%
|
|
395,000
|
407,189
|
The accompanying Notes to Financial Statements are an integral part
of this statement.
22
|
Columbia Balanced Fund
| Annual Report 2019
|
Portfolio of Investments (continued)
August 31, 2019
Corporate
Bonds & Notes (continued)
|
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
NCR
Corp.(a)
|
09/01/2027
|
5.750%
|
|
103,000
|
108,696
|
09/01/2029
|
6.125%
|
|
131,000
|
138,967
|
Oracle
Corp.
|
04/15/2038
|
6.500%
|
|
3,700,000
|
5,444,280
|
PTC,
Inc.
|
05/15/2024
|
6.000%
|
|
136,000
|
142,459
|
Qualitytech
LP/QTS Finance Corp.(a)
|
11/15/2025
|
4.750%
|
|
462,000
|
468,685
|
Refinitiv
US Holdings, Inc.(a)
|
11/15/2026
|
8.250%
|
|
275,000
|
310,087
|
Symantec
Corp.(a)
|
04/15/2025
|
5.000%
|
|
108,000
|
108,502
|
Tempo
Acquisition LLC/Finance Corp.(a)
|
06/01/2025
|
6.750%
|
|
237,000
|
243,352
|
Verscend
Escrow Corp.(a)
|
08/15/2026
|
9.750%
|
|
167,000
|
178,752
|
Total
|
17,965,442
|
Transportation
Services 0.1%
|
Avis
Budget Car Rental LLC/Finance, Inc.(a)
|
03/15/2025
|
5.250%
|
|
319,000
|
324,328
|
ERAC
U.S.A. Finance LLC(a)
|
10/15/2037
|
7.000%
|
|
3,285,000
|
4,698,526
|
Hertz
Corp. (The)(a)
|
06/01/2022
|
7.625%
|
|
264,000
|
274,698
|
10/15/2024
|
5.500%
|
|
140,000
|
137,679
|
08/01/2026
|
7.125%
|
|
117,000
|
119,431
|
XPO
Logistics, Inc.(a)
|
06/15/2022
|
6.500%
|
|
135,000
|
137,699
|
Total
|
5,692,361
|
Wireless
0.2%
|
Altice
France SA(a)
|
05/01/2026
|
7.375%
|
|
664,000
|
708,147
|
Altice
Luxembourg SA(a)
|
05/15/2027
|
10.500%
|
|
196,000
|
212,612
|
American
Tower Corp.
|
07/15/2027
|
3.550%
|
|
5,125,000
|
5,434,786
|
Rogers
Communications, Inc.
|
11/15/2026
|
2.900%
|
|
5,000,000
|
5,158,990
|
SBA
Communications Corp.
|
09/01/2024
|
4.875%
|
|
410,000
|
425,882
|
Sprint
Corp.
|
02/15/2025
|
7.625%
|
|
136,000
|
152,632
|
03/01/2026
|
7.625%
|
|
692,000
|
782,023
|
Corporate
Bonds & Notes (continued)
|
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
T-Mobile
U.S.A., Inc.
|
01/15/2026
|
6.500%
|
|
356,000
|
382,939
|
02/01/2026
|
4.500%
|
|
265,000
|
275,001
|
02/01/2028
|
4.750%
|
|
206,000
|
216,853
|
Total
|
13,749,865
|
Wirelines
0.4%
|
AT&T,
Inc.
|
08/15/2040
|
6.000%
|
|
8,815,000
|
11,083,981
|
CenturyLink,
Inc.
|
03/15/2022
|
5.800%
|
|
556,000
|
583,764
|
04/01/2024
|
7.500%
|
|
134,000
|
148,753
|
Frontier
Communications Corp.
|
01/15/2023
|
7.125%
|
|
101,000
|
51,835
|
09/15/2025
|
11.000%
|
|
25,000
|
12,658
|
Frontier
Communications Corp.(a)
|
04/01/2026
|
8.500%
|
|
106,000
|
102,945
|
Level
3 Financing, Inc.
|
01/15/2021
|
6.125%
|
|
89,000
|
89,414
|
Telecom
Italia Capital SA
|
09/30/2034
|
6.000%
|
|
61,000
|
62,177
|
Telecom
Italia SpA(a)
|
05/30/2024
|
5.303%
|
|
186,000
|
198,227
|
Telefonica
Emisiones SAU
|
06/20/2036
|
7.045%
|
|
2,800,000
|
3,820,902
|
Verizon
Communications, Inc.
|
08/10/2033
|
4.500%
|
|
9,000,000
|
10,610,550
|
Zayo
Group LLC/Capital, Inc.
|
05/15/2025
|
6.375%
|
|
120,000
|
123,617
|
Zayo
Group LLC/Capital, Inc.(a)
|
01/15/2027
|
5.750%
|
|
344,000
|
353,032
|
Total
|
27,241,855
|
Total
Corporate Bonds & Notes
(Cost $563,839,574)
|
615,510,421
|
Exchange-Traded
Funds 0.9%
|
|
Shares
|
Value
($)
|
iShares
Core MSCI EAFE ETF
|
1,079,495
|
64,046,438
|
Total
Exchange-Traded Funds
(Cost $72,408,419)
|
64,046,438
|
The accompanying Notes to Financial Statements are an integral part
of this statement.
Columbia
Balanced Fund | Annual Report 2019
|
23
|
Portfolio of Investments (continued)
August 31, 2019
Foreign
Government Obligations(h) 0.0%
|
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
Canada
0.0%
|
NOVA
Chemicals Corp.(a)
|
06/01/2027
|
5.250%
|
|
57,000
|
59,659
|
Total
Foreign Government Obligations
(Cost $58,445)
|
59,659
|
|
Inflation-Indexed
Bonds 0.7%
|
|
|
|
|
|
United
States 0.7%
|
U.S.
Treasury Inflation-Indexed Bond
|
04/15/2022
|
0.125%
|
|
45,604,859
|
45,309,745
|
Total
Inflation-Indexed Bonds
(Cost $44,630,624)
|
45,309,745
|
|
Residential
Mortgage-Backed Securities - Agency 9.8%
|
|
|
|
|
|
Federal
Home Loan Mortgage Corp.
|
07/01/2021-
01/01/2039
|
5.500%
|
|
302,749
|
340,220
|
10/01/2026-
05/01/2049
|
3.500%
|
|
50,316,235
|
51,910,373
|
10/01/2031-
10/01/2039
|
6.000%
|
|
578,553
|
658,380
|
06/01/2032-
07/01/2032
|
7.000%
|
|
230,168
|
267,816
|
03/01/2038
|
6.500%
|
|
4,659
|
5,425
|
10/01/2038-
05/01/2041
|
5.000%
|
|
854,409
|
940,203
|
05/01/2039-
06/01/2041
|
4.500%
|
|
3,532,838
|
3,827,816
|
12/01/2042-
05/01/2049
|
3.000%
|
|
55,337,074
|
56,620,309
|
12/01/2042-
10/01/2045
|
4.000%
|
|
26,518,164
|
28,038,817
|
CMO
Series 1614 Class MZ
|
11/15/2023
|
6.500%
|
|
5,863
|
6,213
|
Federal
Home Loan Mortgage Corp.(i)
|
07/01/2034-
09/01/2034
|
3.000%
|
|
42,621,652
|
43,714,078
|
Federal
Home Loan Mortgage Corp.(c)
|
12-month
USD LIBOR + 1.709%
Cap 11.091%
08/01/2036
|
4.522%
|
|
10,191
|
10,672
|
12-month
USD LIBOR + 1.768%
Cap 11.060%
12/01/2036
|
4.640%
|
|
1,792
|
1,867
|
Federal
National Mortgage Association
|
12/01/2020
|
5.000%
|
|
8,741
|
9,010
|
12/01/2025-
03/01/2049
|
3.500%
|
|
37,630,880
|
39,128,987
|
07/01/2027-
10/01/2046
|
3.000%
|
|
11,542,477
|
11,894,443
|
01/01/2029-
10/01/2045
|
4.000%
|
|
15,531,690
|
16,444,035
|
Residential
Mortgage-Backed Securities - Agency (continued)
|
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
06/01/2031
|
7.000%
|
|
138,523
|
160,428
|
07/01/2032-
03/01/2037
|
6.500%
|
|
300,938
|
337,544
|
06/01/2037-
02/01/2038
|
5.500%
|
|
145,776
|
163,989
|
05/01/2040-
06/01/2044
|
4.500%
|
|
4,140,932
|
4,469,718
|
Series
2006-M2 Class A2A
|
10/25/2032
|
5.271%
|
|
983,601
|
1,126,017
|
Federal
National Mortgage Association(d)
|
09/17/2034-
09/12/2049
|
4.000%
|
|
194,575,000
|
202,109,780
|
09/12/2049
|
3.000%
|
|
53,300,000
|
54,353,508
|
09/12/2049
|
3.500%
|
|
142,750,000
|
146,720,234
|
Federal
National Mortgage Association(j)
|
10/01/2045
|
3.500%
|
|
4,147,107
|
4,327,926
|
Total
Residential Mortgage-Backed Securities - Agency
(Cost $665,694,871)
|
667,587,808
|
|
Residential
Mortgage-Backed Securities - Non-Agency 9.0%
|
|
|
|
|
|
Angel
Oak Mortgage Trust I LLC(a),(k)
|
CMO
Series 2018-3 Class A3
|
09/25/2048
|
3.853%
|
|
6,763,644
|
6,926,567
|
CMO
Series 2019-2 Class A3
|
03/25/2049
|
3.833%
|
|
6,810,670
|
6,946,907
|
Angel
Oak Mortgage Trust LLC(a),(k)
|
CMO
Series 2017-1 Class A1
|
01/25/2047
|
2.810%
|
|
638,857
|
637,801
|
Arroyo
Mortgage Trust(a),(k)
|
CMO
Series 2018-1 Class A1
|
04/25/2048
|
3.763%
|
|
8,710,452
|
8,916,217
|
CMO
Series 2019-1 Class A1
|
01/25/2049
|
3.805%
|
|
12,835,049
|
13,157,508
|
Bayview
Opportunity Master Fund IIIb Trust(a),(b),(k)
|
CMO
Series 2019-LT1 Class A1
|
08/28/2034
|
3.228%
|
|
21,975,000
|
21,975,000
|
Bayview
Opportunity Master Fund IVa Trust(a)
|
CMO
Series 2016-SPL1 Class A
|
04/28/2055
|
4.000%
|
|
2,356,299
|
2,415,123
|
Bayview
Opportunity Master Fund IVa Trust(a),(k)
|
CMO
Series 2019-RN2 Class A1
|
03/28/2034
|
3.967%
|
|
2,424,430
|
2,433,167
|
Bayview
Opportunity Master Fund IVb Trust(a)
|
CMO
Series 2018-RN9 Class A1
|
10/29/2033
|
4.213%
|
|
4,819,363
|
4,862,884
|
Bellemeade
Re Ltd.(a),(c)
|
CMO
Series 2018-2A Class M1A
|
1-month
USD LIBOR + 0.950%
08/25/2028
|
3.354%
|
|
4,499,575
|
4,498,687
|
The accompanying Notes to Financial Statements are an integral part
of this statement.
24
|
Columbia Balanced Fund
| Annual Report 2019
|
Portfolio of Investments (continued)
August 31, 2019
Residential
Mortgage-Backed Securities - Non-Agency (continued)
|
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
CMO
Series 2019-1A Class M1A
|
1-month
USD LIBOR + 1.300%
Floor 1.300%
03/25/2029
|
3.445%
|
|
6,589,316
|
6,589,316
|
CMO
Series 2019-3A Class M1A
|
1-month
USD LIBOR + 1.100%
Floor 1.100%
07/25/2029
|
3.490%
|
|
8,525,000
|
8,524,987
|
BRAVO
Residential Funding Trust(a),(k)
|
CMO
Series 2019-NQM1 Class A1
|
07/25/2059
|
2.666%
|
|
13,849,079
|
13,894,747
|
CMO
Series 2019-NQM1 Class A3
|
07/25/2059
|
2.996%
|
|
5,418,601
|
5,431,580
|
CMO
Series 2019-NQM1 Class M1
|
07/25/2059
|
2.997%
|
|
2,162,500
|
2,164,704
|
CIM
Trust(a),(c)
|
CMO
Series 2018-R6 Class A1
|
1-month
USD LIBOR + 1.076%
Floor 1.080%
09/25/2058
|
3.176%
|
|
20,278,589
|
20,137,298
|
Citigroup
Mortgage Loan Trust(a),(b),(k)
|
CMO
Series 2019-C Class A1
|
03/25/2082
|
3.228%
|
|
10,713,200
|
10,713,151
|
Citigroup
Mortgage Loan Trust(a),(k)
|
CMO
Series 2019-IMC1 Class A3
|
07/25/2049
|
3.030%
|
|
6,125,000
|
6,129,801
|
COLT
2019-1 Mortgage Loan Trust(a),(k)
|
CMO
Series 2019-1 Class A3
|
03/25/2049
|
4.012%
|
|
7,233,291
|
7,414,375
|
COLT
Mortgage Loan Trust(a),(k)
|
CMO
Series 2018-2 Class A1
|
07/27/2048
|
3.470%
|
|
2,355,308
|
2,368,285
|
CMO
Series 2018-4 Class A1
|
12/28/2048
|
4.006%
|
|
9,513,879
|
9,651,721
|
COLT
Mortgage Loan Trust(a)
|
CMO
Series 2018-3 Class A1
|
10/26/2048
|
3.692%
|
|
5,344,392
|
5,427,371
|
CSMC
Trust(a),(k)
|
CMO
Series 2018-RPL9 Class A
|
09/25/2057
|
3.850%
|
|
21,152,202
|
22,104,658
|
CSMC
Trust(a)
|
CMO
Series 2019-AFC1 Class A1
|
07/25/2049
|
2.573%
|
|
15,575,000
|
15,572,478
|
Deephaven
Residential Mortgage Trust(a),(k)
|
CMO
Series 2017-1A Class A1
|
12/26/2046
|
2.725%
|
|
1,367,153
|
1,362,626
|
CMO
Series 2017-2A Class A1
|
06/25/2047
|
2.453%
|
|
2,815,405
|
2,809,907
|
Residential
Mortgage-Backed Securities - Non-Agency (continued)
|
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
CMO
Series 2018-3A Class A3
|
08/25/2058
|
3.963%
|
|
3,772,563
|
3,873,253
|
CMO
Series 2018-4A Class A1
|
10/25/2058
|
4.080%
|
|
15,513,973
|
15,911,917
|
CMO
Series 2019-1A Class A3
|
01/25/2059
|
3.948%
|
|
3,740,139
|
3,818,525
|
Eagle
RE Ltd.(a),(c)
|
CMO
Series 2019-1 Class M1A
|
1-month
USD LIBOR + 1.250%
04/25/2029
|
3.395%
|
|
5,350,000
|
5,348,078
|
Equifirst
Mortgage Loan Trust(k)
|
CMO
Series 2003-1 Class IF1
|
12/25/2032
|
4.010%
|
|
37,984
|
39,323
|
GCAT
LLC(a),(k)
|
CMO
Series 2019-1 Class A1
|
04/26/2049
|
4.089%
|
|
4,722,199
|
4,733,805
|
CMO
Series 2019-2 Class A1
|
06/25/2024
|
3.475%
|
|
10,739,595
|
10,742,795
|
GCAT
Trust(a),(b),(k)
|
CMO
Series 2019-RPL1 Class A1
|
10/25/2068
|
2.650%
|
|
12,675,000
|
12,710,660
|
GS
Mortgage-Backed Securities Trust(a),(k)
|
CMO
Series 2019-SL1 Class A1
|
01/25/2059
|
2.625%
|
|
21,861,819
|
21,779,852
|
Homeward
Opportunities Fund I Trust(a)
|
CMO
Series 2018-2 Class A3
|
11/25/2058
|
4.239%
|
|
7,600,555
|
7,749,227
|
Homeward
Opportunities Fund I Trust(a),(k)
|
CMO
Series 2019-1 Class A3
|
01/25/2059
|
3.606%
|
|
8,631,935
|
8,794,357
|
Legacy
Mortgage Asset Trust(a),(k)
|
CMO
Series 2019-GS5 Class A1
|
05/25/2059
|
3.200%
|
|
7,385,144
|
7,399,599
|
MetLife
Securitization Trust(a)
|
CMO
Series 2018-1A Class A
|
03/25/2057
|
3.750%
|
|
6,202,272
|
6,513,915
|
MFA
Trust(a),(k)
|
CMO
Series 2017-RPL1 Class A1
|
02/25/2057
|
2.588%
|
|
3,873,928
|
3,855,636
|
Mill
City Mortgage Loan Trust(a)
|
CMO
Series 2016-1 Class A1
|
04/25/2057
|
2.500%
|
|
2,745,410
|
2,741,080
|
CMO
Series 2018-3 Class A1
|
08/25/2058
|
3.500%
|
|
13,859,431
|
14,217,696
|
New
Residential Mortgage Loan Trust(a)
|
CMO
Series 2016-3A Class A1
|
09/25/2056
|
3.750%
|
|
2,091,053
|
2,166,106
|
CMO
Series 2018-NQM1 Class A1
|
11/25/2048
|
3.986%
|
|
14,599,250
|
15,062,383
|
The accompanying Notes to Financial Statements are an integral part
of this statement.
Columbia
Balanced Fund | Annual Report 2019
|
25
|
Portfolio of Investments (continued)
August 31, 2019
Residential
Mortgage-Backed Securities - Non-Agency (continued)
|
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
CMO
Series 2018-NQM1 Class A3
|
11/25/2048
|
4.138%
|
|
4,532,238
|
4,707,581
|
New
Residential Mortgage Loan Trust(a),(k)
|
CMO
Series 2019-NQM2 Class A3
|
04/25/2049
|
3.752%
|
|
7,079,708
|
7,304,913
|
CMO
Series 2019-RPL1 Class A1
|
02/26/2024
|
4.335%
|
|
8,530,675
|
8,602,974
|
Preston
Ridge Partners Mortgage LLC(a)
|
CMO
Series 2019-2A Class A1
|
04/25/2024
|
3.967%
|
|
8,483,693
|
8,562,109
|
Radnor
Re Ltd.(a),(c)
|
CMO
Series 2019-1 Class M1A
|
1-month
USD LIBOR + 1.250%
Floor 1.250%
02/25/2029
|
3.395%
|
|
4,125,000
|
4,123,516
|
RCO
Trust(a),(k)
|
CMO
Series 2018-VFS1 Class A1
|
12/26/2053
|
4.270%
|
|
19,625,889
|
20,078,642
|
RCO
V Mortgage LLC(a),(k)
|
CMO
Series 2018-2 Class A1
|
10/25/2023
|
4.458%
|
|
9,198,191
|
9,238,663
|
RCO
V Mortgage LLC(a)
|
CMO
Series 2019-1 Class A1
|
05/24/2024
|
3.721%
|
|
7,209,487
|
7,244,396
|
Residential
Mortgage Loan Trust(a),(k)
|
CMO
Series 2019-1 Class A3
|
10/25/2058
|
4.242%
|
|
6,571,707
|
6,682,448
|
Starwood
Mortgage Residential Trust(a),(k)
|
CMO
Series 2018-IMC1 Class A3
|
03/25/2048
|
3.977%
|
|
4,374,636
|
4,512,267
|
CMO
Series 2019-1 Class A3
|
06/25/2049
|
3.299%
|
|
4,106,851
|
4,127,003
|
CMO
Series 2019-IMC1 Class A3
|
04/25/2049
|
3.754%
|
|
2,615,849
|
2,657,445
|
Towd
Point Mortgage Trust(a)
|
CMO
Series 15-5 Class A1
|
05/25/2055
|
3.500%
|
|
1,986,639
|
2,004,991
|
CMO
Series 2015-6 Class A1
|
04/25/2055
|
3.500%
|
|
2,467,428
|
2,506,371
|
CMO
Series 2016-1 Class A1
|
02/25/2055
|
3.500%
|
|
2,369,344
|
2,394,834
|
CMO
Series 2016-2 Class A1
|
08/25/2055
|
3.000%
|
|
3,722,649
|
3,760,838
|
CMO
Series 2016-3 Class A1
|
04/25/2056
|
2.250%
|
|
1,883,850
|
1,876,011
|
CMO
Series 2017-1 Class A1
|
10/25/2056
|
2.750%
|
|
2,729,389
|
2,742,506
|
Residential
Mortgage-Backed Securities - Non-Agency (continued)
|
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
CMO
Series 2017-4 Class A1
|
06/25/2057
|
2.750%
|
|
5,047,135
|
5,084,683
|
Towd
Point Mortgage Trust(a),(k)
|
CMO
Series 2018-1 Class A1
|
01/25/2058
|
3.000%
|
|
3,509,418
|
3,569,013
|
CMO
Series 2018-5 Class A1
|
07/25/2058
|
3.250%
|
|
7,367,689
|
7,548,696
|
CMO
Series 2018-6 Class A1A
|
03/25/2058
|
3.750%
|
|
14,927,192
|
15,389,857
|
Towd
Point Mortgage Trust(a),(c)
|
CMO
Series 2019-HY1 Class A1
|
1-month
USD LIBOR + 1.000%
10/25/2048
|
3.145%
|
|
10,904,599
|
10,957,632
|
CMO
Series 2019-HY2 Class A1
|
1-month
USD LIBOR + 1.000%
Floor 1.000%
05/25/2058
|
3.145%
|
|
12,288,949
|
12,341,388
|
Vericrest
Opportunity Loan Transferee LXX LLC(a),(k)
|
CMO
Series 2018-NPL6 Class A1A
|
09/25/2048
|
4.115%
|
|
4,237,613
|
4,257,301
|
Vericrest
Opportunity Loan Transferee LXXI LLC(a)
|
CMO
Series 2018-NPL7 Class A1A
|
09/25/2048
|
3.967%
|
|
2,313,598
|
2,327,854
|
Vericrest
Opportunity Loan Transferee LXXII LLC(a)
|
CMO
Series 2018-NPL8 Class A1A
|
10/26/2048
|
4.213%
|
|
9,604,921
|
9,660,334
|
Vericrest
Opportunity Loan Transferee LXXV LLC(a)
|
CMO
Series 2019-NPL1 Class A1A
|
01/25/2049
|
4.336%
|
|
7,557,082
|
7,600,914
|
Vericrest
Opportunity Loan Trust(a),(k)
|
CMO
Series 2019-NPL3 Class A1
|
03/25/2049
|
3.967%
|
|
2,798,577
|
2,820,365
|
CMO
Series 2019-NPL4 Class A1A
|
08/25/2049
|
3.352%
|
|
10,114,772
|
10,114,763
|
CMO
Series 2019-NPL5 Class A1A
|
09/25/2049
|
3.352%
|
|
14,595,000
|
14,594,991
|
Verus
Securitization Trust(a),(k)
|
CMO
Series 2017-1A Class A1
|
01/25/2047
|
2.881%
|
|
1,224,522
|
1,222,643
|
CMO
Series 2018-2 Class A3
|
06/01/2058
|
3.830%
|
|
8,679,538
|
8,910,330
|
CMO
Series 2019-1 Class A3
|
02/25/2059
|
4.040%
|
|
8,360,606
|
8,480,867
|
CMO
Series 2019-3 Class A3
|
07/25/2059
|
3.040%
|
|
10,714,974
|
10,735,924
|
CMO
Series 2019-INV1 Class A3
|
12/25/2059
|
3.658%
|
|
5,159,636
|
5,313,972
|
The accompanying Notes to Financial Statements are an integral part
of this statement.
26
|
Columbia Balanced Fund
| Annual Report 2019
|
Portfolio of Investments (continued)
August 31, 2019
Residential
Mortgage-Backed Securities - Non-Agency (continued)
|
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
Visio
Trust(a),(k)
|
CMO
Series 2019-1 Class A3
|
06/25/2054
|
3.825%
|
|
4,302,370
|
4,343,253
|
Total
Residential Mortgage-Backed Securities - Non-Agency
(Cost $601,511,244)
|
608,927,361
|
|
Senior
Loans 0.0%
|
Borrower
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
Chemicals
0.0%
|
Starfruit
Finco BV/US Holdco LLC/AzkoNobel(c),(l)
|
Term
Loan
|
3-month
USD LIBOR + 3.250%
10/01/2025
|
5.463%
|
|
118,703
|
114,498
|
Finance
Companies 0.0%
|
Ellie
Mae, Inc.(c),(l)
|
1st
Lien Term Loan
|
3-month
USD LIBOR + 4.000%
04/17/2026
|
6.172%
|
|
160,000
|
159,301
|
Food
and Beverage 0.0%
|
8th
Avenue Food & Provisions, Inc.(c),(l)
|
1st
Lien Term Loan
|
3-month
USD LIBOR + 3.750%
10/01/2025
|
5.963%
|
|
179,662
|
179,775
|
2nd
Lien Term Loan
|
3-month
USD LIBOR + 7.750%
10/01/2026
|
9.963%
|
|
32,969
|
32,475
|
Total
|
212,250
|
Metals
and Mining 0.0%
|
Big
River Steel LLC(c),(l)
|
Term
Loan
|
3-month
USD LIBOR + 5.000%
Floor 1.000%
08/23/2023
|
7.330%
|
|
43,359
|
43,359
|
Property
& Casualty 0.0%
|
HUB
International Ltd.(c),(l)
|
Term
Loan
|
3-month
USD LIBOR + 3.000%
04/25/2025
|
5.267%
|
|
45,540
|
44,590
|
Restaurants
0.0%
|
IRB
Holding Corp./Arby’s/Buffalo Wild Wings(c),(l)
|
Tranche
B Term Loan
|
3-month
USD LIBOR + 3.250%
Floor 1.000%
02/05/2025
|
5.550%
|
|
103,738
|
102,927
|
Senior
Loans (continued)
|
Borrower
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
Technology
0.0%
|
Ascend
Learning LLC(c),(l)
|
Term
Loan
|
3-month
USD LIBOR + 3.000%
Floor 1.000%
07/12/2024
|
5.112%
|
|
146,772
|
145,304
|
Dun
& Bradstreet Corp. (The)(c),(l)
|
Term
Loan
|
3-month
USD LIBOR + 5.000%
02/06/2026
|
7.145%
|
|
183,000
|
183,381
|
Greeneden
US Holdings I LLC/Genesys Telecommunications Laboratories, Inc.(c),(l)
|
Tranche
B3 Term Loan
|
3-month
USD LIBOR + 3.250%
12/01/2023
|
5.362%
|
|
146,147
|
144,357
|
Misys
Ltd./Almonde/Tahoe/Finastra USA(c),(l)
|
1st
Lien Term Loan
|
3-month
USD LIBOR + 3.500%
Floor 1.000%
06/13/2024
|
5.696%
|
|
106,036
|
102,177
|
Project
Alpha Intermediate Holding, Inc.(c),(l)
|
Term
Loan
|
3-month
USD LIBOR + 3.500%
Floor 1.000%
04/26/2024
|
5.810%
|
|
40,258
|
39,680
|
3-month
USD LIBOR + 4.250%
04/26/2024
|
6.560%
|
|
119,490
|
119,117
|
Refinitiv
US Holdings, Inc.(a),(c),(l)
|
Term
Loan
|
3-month
USD LIBOR + 3.750%
10/01/2025
|
5.862%
|
|
290,592
|
291,882
|
Tempo
Acquisition LLC(c),(l)
|
Term
Loan
|
3-month
USD LIBOR + 3.000%
05/01/2024
|
5.112%
|
|
106,457
|
106,369
|
Ultimate
Software Group, Inc. (The)(c),(l)
|
1st
Lien Term Loan
|
3-month
USD LIBOR + 3.750%
05/04/2026
|
6.080%
|
|
89,000
|
89,159
|
Total
|
1,221,426
|
Total
Senior Loans
(Cost $1,897,835)
|
1,898,351
|
|
U.S.
Government & Agency Obligations 0.3%
|
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
Federal
Home Loan Banks
|
10/01/2020
|
2.625%
|
|
22,300,000
|
22,520,436
|
Total
U.S. Government & Agency Obligations
(Cost $22,311,885)
|
22,520,436
|
|
The accompanying Notes to Financial Statements are an integral part
of this statement.
Columbia
Balanced Fund | Annual Report 2019
|
27
|
Portfolio of Investments (continued)
August 31, 2019
U.S.
Treasury Obligations 1.9%
|
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
U.S.
Treasury
|
02/15/2045
|
2.500%
|
|
115,225,000
|
127,665,699
|
Total
U.S. Treasury Obligations
(Cost $103,849,884)
|
127,665,699
|
Money
Market Funds 5.8%
|
|
Shares
|
Value
($)
|
Columbia
Short-Term Cash Fund, 2.208%(m),(n)
|
391,867,751
|
391,828,565
|
Total
Money Market Funds
(Cost $391,844,087)
|
391,828,565
|
Total
Investments in Securities
(Cost: $5,915,221,830)
|
7,221,885,102
|
Other
Assets & Liabilities, Net
|
|
(421,164,626)
|
Net
Assets
|
6,800,720,476
|
At August 31, 2019, securities and/or cash totaling $4,393,384
were pledged as collateral.
Investments in
derivatives
Long
futures contracts
|
Description
|
Number
of
contracts
|
Expiration
date
|
Trading
currency
|
Notional
amount
|
Value/Unrealized
appreciation ($)
|
Value/Unrealized
depreciation ($)
|
U.S.
Treasury 10-Year Note
|
1,375
|
12/2019
|
USD
|
181,113,281
|
861,410
|
—
|
U.S.
Treasury 2-Year Note
|
1,025
|
12/2019
|
USD
|
221,520,118
|
278,326
|
—
|
U.S.
Treasury 5-Year Note
|
1,125
|
12/2019
|
USD
|
134,973,633
|
525,206
|
—
|
U.S.
Treasury 5-Year Note
|
375
|
12/2019
|
USD
|
44,991,211
|
—
|
(38,667)
|
U.S.
Ultra Treasury Bond
|
20
|
12/2019
|
USD
|
3,948,750
|
59,819
|
—
|
Total
|
|
|
|
|
1,724,761
|
(38,667)
|
Notes to Portfolio of
Investments
(a)
|
Represents
privately placed and other securities and instruments exempt from Securities and Exchange Commission registration (collectively, private placements), such as Section 4(a)(2) and Rule 144A eligible securities, which are often sold only to qualified
institutional buyers. 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 August 31, 2019, the total value of these securities amounted to $1,231,410,016, which represents 18.11% of total net assets.
|
(b)
|
Valuation
based on significant unobservable inputs.
|
(c)
|
Variable
rate security. The interest rate shown was the current rate as of August 31, 2019.
|
(d)
|
Represents a
security purchased on a when-issued basis.
|
(e)
|
Represents fair
value as determined in good faith under procedures approved by the Board of Trustees. At August 31, 2019, the total value of these securities amounted to $6,004,603, which represents 0.09% of total net assets.
|
(f)
|
Non-income producing
investment.
|
(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 August 31, 2019.
|
(h)
|
Principal
and interest may not be guaranteed by the government.
|
(i)
|
Represents a
security purchased on a forward commitment basis.
|
(j)
|
This
security or a portion of this security has been pledged as collateral in connection with derivative contracts.
|
(k)
|
Variable
or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. The interest rate shown was the current rate as of August 31, 2019.
|
The accompanying Notes to Financial Statements are an integral part of this
statement.
28
|
Columbia Balanced Fund
| Annual Report 2019
|
Portfolio of Investments (continued)
August 31, 2019
Notes to Portfolio of
Investments (continued)
(l)
|
The stated
interest rate represents the weighted average interest rate at August 31, 2019 of contracts within the senior loan facility. Interest rates on contracts are primarily determined either weekly, monthly or quarterly by reference to the indicated base
lending rate and spread and the reset period. These base lending rates are primarily the London Interbank Offered Rate (“LIBOR”) and other short-term rates. Base lending rates may be subject to a floor or minimum rate. The interest rate
for senior loans purchased on a when-issued or delayed delivery basis will be determined upon settlement, therefore no interest rate is disclosed. Senior loans often require prepayments from excess cash flows or permit the borrowers to repay at
their election. The degree to which borrowers repay, cannot be predicted with accuracy. As a result, remaining maturities of senior loans may be less than the stated maturities.
|
(m)
|
The rate
shown is the seven-day current annualized yield at August 31, 2019.
|
(n)
|
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 August 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, 2.208%
|
|
315,856,889
|
2,353,977,595
|
(2,277,966,733)
|
391,867,751
|
(4,793)
|
8,746
|
10,193,006
|
391,828,565
|
Abbreviation Legend
CMO
|
Collateralized Mortgage
Obligation
|
PIK
|
Payment In
Kind
|
Currency Legend
Fair value measurements
The Fund categorizes its fair value measurements according to
a three-level hierarchy that maximizes the use of observable inputs and minimizes the use of unobservable inputs by prioritizing that the most observable input be used when available. Observable inputs are those that market participants would use in
pricing an investment based on market data obtained from sources independent of the reporting entity. Unobservable inputs are those that reflect the Fund’s assumptions about the information market participants would use in pricing an
investment. An investment’s level within the fair value hierarchy is based on the lowest level of any input that is deemed significant to the asset’s or liability’s fair value measurement. The input levels are not necessarily an
indication of the risk or liquidity associated with investments at that level. For example, certain U.S. government securities are generally high quality and liquid, however, they are reflected as Level 2 because the inputs used to determine fair
value may not always be quoted prices in an active market.
Fair value inputs are summarized in the three broad levels
listed below:
■
|
Level 1 — Valuations
based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments.
|
■
|
Level 2 — Valuations
based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.).
|
■
|
Level 3 — Valuations
based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments).
|
Inputs that are used in determining fair value of an investment
may include price information, credit data, volatility statistics, and other factors. These inputs can be either observable or unobservable. The availability of observable inputs can vary between investments, and is affected by various factors such
as the type of investment, and the volume and level of activity for that investment or similar investments in the marketplace. The inputs will be considered by the Investment Manager, along with any other relevant factors in the calculation of an
investment’s fair value. The Fund uses prices and inputs that are current as of the measurement date, which may include periods of market dislocations. During these periods, the availability of prices and inputs may be reduced for many
investments. This condition could cause an investment to be reclassified between the various levels within the hierarchy.
Investments falling into the Level 3 category are primarily
supported by quoted prices from brokers and dealers participating in the market for those investments. However, these may be classified as Level 3 investments due to lack of market transparency and corroboration to support these quoted prices.
Additionally, valuation models may be used as the pricing source for any remaining investments classified as Level 3. These models may rely on one or more significant unobservable inputs and/or significant assumptions by the Investment Manager.
Inputs used in valuations may include, but are not limited to, financial statement analysis, capital account balances, discount rates and estimated cash flows, and comparable company data.
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
The accompanying Notes to Financial Statements are an integral part of this
statement.
Columbia
Balanced Fund | Annual Report 2019
|
29
|
Portfolio of Investments (continued)
August 31, 2019
Fair value
measurements (continued)
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.
The following table is a summary of the inputs used to value the
Fund’s investments at August 31, 2019:
|
Level
1 ($)
|
Level
2 ($)
|
Level
3 ($)
|
Total
($)
|
Investments
in Securities
|
|
|
|
|
Asset-Backed
Securities — Non-Agency
|
—
|
391,995,885
|
18,579,603
|
410,575,488
|
Commercial
Mortgage-Backed Securities - Agency
|
—
|
13,623,058
|
—
|
13,623,058
|
Commercial
Mortgage-Backed Securities - Non-Agency
|
—
|
191,290,966
|
—
|
191,290,966
|
Common
Stocks
|
|
|
|
|
Communication
Services
|
597,144,398
|
—
|
—
|
597,144,398
|
Consumer
Discretionary
|
413,101,415
|
—
|
—
|
413,101,415
|
Consumer
Staples
|
232,732,331
|
—
|
—
|
232,732,331
|
Energy
|
167,676,218
|
—
|
—
|
167,676,218
|
Financials
|
559,651,113
|
—
|
—
|
559,651,113
|
Health
Care
|
545,432,059
|
—
|
—
|
545,432,059
|
Industrials
|
256,695,280
|
—
|
—
|
256,695,280
|
Information
Technology
|
1,007,245,655
|
—
|
—
|
1,007,245,655
|
Materials
|
172,974,672
|
—
|
—
|
172,974,672
|
Real
Estate
|
66,062,919
|
—
|
—
|
66,062,919
|
Utilities
|
42,325,047
|
—
|
—
|
42,325,047
|
Total
Common Stocks
|
4,061,041,107
|
—
|
—
|
4,061,041,107
|
Corporate
Bonds & Notes
|
—
|
615,510,421
|
—
|
615,510,421
|
Exchange-Traded
Funds
|
64,046,438
|
—
|
—
|
64,046,438
|
Foreign
Government Obligations
|
—
|
59,659
|
—
|
59,659
|
Inflation-Indexed
Bonds
|
—
|
45,309,745
|
—
|
45,309,745
|
Residential
Mortgage-Backed Securities - Agency
|
—
|
667,587,808
|
—
|
667,587,808
|
Residential
Mortgage-Backed Securities - Non-Agency
|
—
|
563,528,550
|
45,398,811
|
608,927,361
|
Senior
Loans
|
—
|
1,898,351
|
—
|
1,898,351
|
U.S.
Government & Agency Obligations
|
—
|
22,520,436
|
—
|
22,520,436
|
U.S.
Treasury Obligations
|
127,665,699
|
—
|
—
|
127,665,699
|
Money
Market Funds
|
391,828,565
|
—
|
—
|
391,828,565
|
Total
Investments in Securities
|
4,644,581,809
|
2,513,324,879
|
63,978,414
|
7,221,885,102
|
Investments
in Derivatives
|
|
|
|
|
Asset
|
|
|
|
|
Futures
Contracts
|
1,724,761
|
—
|
—
|
1,724,761
|
Liability
|
|
|
|
|
Futures
Contracts
|
(38,667)
|
—
|
—
|
(38,667)
|
Total
|
4,646,267,903
|
2,513,324,879
|
63,978,414
|
7,223,571,196
|
See the Portfolio of Investments for
all investment classifications not indicated in the table.
The Fund’s assets assigned to the Level 2 input category
are generally valued using the market approach, in which a security’s value is determined through reference to prices and information from market transactions for similar or identical assets.
Derivative instruments are valued at unrealized appreciation
(depreciation).
The Fund does not hold any significant
investments (greater than one percent of net assets) categorized as Level 3.
The accompanying Notes to Financial Statements are an integral part of this
statement.
30
|
Columbia Balanced Fund
| Annual Report 2019
|
Statement of Assets and Liabilities
August 31, 2019
Assets
|
|
Investments
in securities, at value
|
|
Unaffiliated
issuers (cost $5,523,377,743)
|
$6,830,056,537
|
Affiliated
issuers (cost $391,844,087)
|
391,828,565
|
Cash
collateral held at broker for:
|
|
TBA
|
76,000
|
Receivable
for:
|
|
Investments
sold
|
20,726,170
|
Investments
sold on a delayed delivery basis
|
143,251,595
|
Capital
shares sold
|
6,806,986
|
Dividends
|
7,083,278
|
Interest
|
11,029,673
|
Foreign
tax reclaims
|
64,454
|
Variation
margin for futures contracts
|
370,000
|
Prepaid
expenses
|
43,622
|
Trustees’
deferred compensation plan
|
216,140
|
Other
assets
|
3,553
|
Total
assets
|
7,411,556,573
|
Liabilities
|
|
Due
to custodian
|
88,281
|
Payable
for:
|
|
Investments
purchased
|
217,653
|
Investments
purchased on a delayed delivery basis
|
603,001,642
|
Capital
shares purchased
|
6,274,068
|
Management
services fees
|
107,800
|
Distribution
and/or service fees
|
59,705
|
Transfer
agent fees
|
639,022
|
Compensation
of chief compliance officer
|
438
|
Other
expenses
|
231,348
|
Trustees’
deferred compensation plan
|
216,140
|
Total
liabilities
|
610,836,097
|
Net
assets applicable to outstanding capital stock
|
$6,800,720,476
|
Represented
by
|
|
Paid
in capital
|
5,397,125,796
|
Total
distributable earnings (loss) (Note 2)
|
1,403,594,680
|
Total
- representing net assets applicable to outstanding capital stock
|
$6,800,720,476
|
The accompanying Notes to Financial Statements are an integral part of this
statement.
Columbia
Balanced Fund | Annual Report 2019
|
31
|
Statement of Assets and Liabilities (continued)
August 31, 2019
Class
A
|
|
Net
assets
|
$2,685,000,887
|
Shares
outstanding
|
63,566,149
|
Net
asset value per share
|
$42.24
|
Maximum
sales charge
|
5.75%
|
Maximum
offering price per share (calculated by dividing the net asset value per share by 1.0 minus the maximum sales charge for Class A shares)
|
$44.82
|
Advisor
Class
|
|
Net
assets
|
$248,877,137
|
Shares
outstanding
|
5,844,525
|
Net
asset value per share
|
$42.58
|
Class
C
|
|
Net
assets
|
$1,443,467,825
|
Shares
outstanding
|
34,299,005
|
Net
asset value per share
|
$42.08
|
Institutional
Class
|
|
Net
assets
|
$1,672,559,898
|
Shares
outstanding
|
39,662,477
|
Net
asset value per share
|
$42.17
|
Institutional
2 Class
|
|
Net
assets
|
$245,737,081
|
Shares
outstanding
|
5,823,490
|
Net
asset value per share
|
$42.20
|
Institutional
3 Class
|
|
Net
assets
|
$377,342,214
|
Shares
outstanding
|
8,858,156
|
Net
asset value per share
|
$42.60
|
Class
R
|
|
Net
assets
|
$127,735,434
|
Shares
outstanding
|
3,024,596
|
Net
asset value per share
|
$42.23
|
The accompanying Notes to Financial Statements are an integral part of this
statement.
32
|
Columbia Balanced Fund
| Annual Report 2019
|
Statement of Operations
Year Ended August 31, 2019
Net
investment income
|
|
Income:
|
|
Dividends
— unaffiliated issuers
|
$80,880,533
|
Dividends
— affiliated issuers
|
10,193,006
|
Interest
|
78,496,854
|
Interfund
lending
|
9,539
|
Foreign
taxes withheld
|
(313,114)
|
Total
income
|
169,266,818
|
Expenses:
|
|
Management
services fees
|
39,147,898
|
Distribution
and/or service fees
|
|
Class
A
|
6,621,271
|
Class
C
|
14,622,823
|
Class
R
|
628,198
|
Class
T
|
2
|
Transfer
agent fees
|
|
Class
A
|
2,822,417
|
Advisor
Class
|
258,872
|
Class
C
|
1,558,612
|
Institutional
Class
|
1,819,022
|
Institutional
2 Class
|
145,375
|
Institutional
3 Class
|
31,485
|
Class
R
|
133,858
|
Class
T
|
1
|
Compensation
of board members
|
113,244
|
Custodian
fees
|
80,936
|
Printing
and postage fees
|
405,889
|
Registration
fees
|
205,436
|
Audit
fees
|
40,188
|
Legal
fees
|
137,786
|
Compensation
of chief compliance officer
|
2,667
|
Other
|
185,365
|
Total
expenses
|
68,961,345
|
Net
investment income
|
100,305,473
|
Realized
and unrealized gain (loss) — net
|
|
Net
realized gain (loss) on:
|
|
Investments
— unaffiliated issuers
|
134,182,500
|
Investments
— affiliated issuers
|
(4,793)
|
Foreign
currency translations
|
4,658
|
Futures
contracts
|
11,648,636
|
Net
realized gain
|
145,831,001
|
Net
change in unrealized appreciation (depreciation) on:
|
|
Investments
— unaffiliated issuers
|
38,205,640
|
Investments
— affiliated issuers
|
8,746
|
Futures
contracts
|
1,772,271
|
Net
change in unrealized appreciation (depreciation)
|
39,986,657
|
Net
realized and unrealized gain
|
185,817,658
|
Net
increase in net assets resulting from operations
|
$286,123,131
|
The accompanying Notes to Financial Statements are an
integral part of this statement.
Columbia
Balanced Fund | Annual Report 2019
|
33
|
Statement of Changes in Net Assets
|
Year
Ended
August 31, 2019
|
Year
Ended
August 31, 2018
|
Operations
|
|
|
Net
investment income
|
$100,305,473
|
$80,749,030
|
Net
realized gain
|
145,831,001
|
249,229,059
|
Net
change in unrealized appreciation (depreciation)
|
39,986,657
|
197,406,268
|
Net
increase in net assets resulting from operations
|
286,123,131
|
527,384,357
|
Distributions
to shareholders
|
|
|
Net
investment income and net realized gains
|
|
|
Class
A
|
(137,845,970)
|
|
Advisor
Class
|
(12,950,747)
|
|
Class
C
|
(66,040,717)
|
|
Institutional
Class
|
(95,434,231)
|
|
Institutional
2 Class
|
(14,171,696)
|
|
Institutional
3 Class
|
(17,115,933)
|
|
Class
R
|
(6,263,886)
|
|
Class
T
|
(119)
|
|
Net
investment income
|
|
|
Class
A
|
|
(32,119,116)
|
Advisor
Class
|
|
(4,342,151)
|
Class
C
|
|
(5,858,667)
|
Institutional
Class
|
|
(24,669,492)
|
Institutional
2 Class
|
|
(4,667,983)
|
Institutional
3 Class
|
|
(3,826,408)
|
Class
K
|
|
(3,059)
|
Class
R
|
|
(1,185,792)
|
Class
T
|
|
(30)
|
Net
realized gains
|
|
|
Class
A
|
|
(43,794,715)
|
Advisor
Class
|
|
(5,173,147)
|
Class
C
|
|
(23,969,628)
|
Institutional
Class
|
|
(27,034,308)
|
Institutional
2 Class
|
|
(5,273,688)
|
Institutional
3 Class
|
|
(4,144,929)
|
Class
K
|
|
(7,102)
|
Class
R
|
|
(2,079,860)
|
Class
T
|
|
(40)
|
Total
distributions to shareholders (Note 2)
|
(349,823,299)
|
(188,150,115)
|
Decrease
in net assets from capital stock activity
|
(381,811,889)
|
(217,869,957)
|
Total
increase (decrease) in net assets
|
(445,512,057)
|
121,364,285
|
Net
assets at beginning of year
|
7,246,232,533
|
7,124,868,248
|
Net
assets at end of year
|
$6,800,720,476
|
$7,246,232,533
|
Undistributed
net investment income
|
$25,117,803
|
$21,489,491
|
The accompanying Notes to Financial Statements are an
integral part of this statement.
34
|
Columbia Balanced Fund
| Annual Report 2019
|
Statement of Changes in Net Assets (continued)
|
Year
Ended
|
Year
Ended
|
|
August
31, 2019
|
August
31, 2018
|
|
Shares
|
Dollars
($)
|
Shares
|
Dollars
($)
|
Capital
stock activity
|
Class
A
|
|
|
|
|
Subscriptions
|
7,883,597
|
320,045,212
|
11,907,451
|
491,495,200
|
Distributions
reinvested
|
3,422,796
|
132,504,975
|
1,767,262
|
72,594,492
|
Redemptions
|
(13,530,024)
|
(545,707,259)
|
(18,800,971)
|
(774,256,063)
|
Net
decrease
|
(2,223,631)
|
(93,157,072)
|
(5,126,258)
|
(210,166,371)
|
Advisor
Class
|
|
|
|
|
Subscriptions
|
1,711,204
|
69,734,612
|
3,049,876
|
126,357,688
|
Distributions
reinvested
|
331,181
|
12,946,495
|
227,462
|
9,410,310
|
Redemptions
|
(2,325,652)
|
(94,705,855)
|
(4,931,823)
|
(203,348,145)
|
Net
decrease
|
(283,267)
|
(12,024,748)
|
(1,654,485)
|
(67,580,147)
|
Class
C
|
|
|
|
|
Subscriptions
|
3,769,063
|
151,794,053
|
7,310,481
|
300,534,318
|
Distributions
reinvested
|
1,627,100
|
62,423,760
|
687,910
|
28,197,620
|
Redemptions
|
(8,646,978)
|
(348,114,583)
|
(8,466,088)
|
(348,287,316)
|
Net
decrease
|
(3,250,815)
|
(133,896,770)
|
(467,697)
|
(19,555,378)
|
Institutional
Class
|
|
|
|
|
Subscriptions
|
8,832,929
|
355,464,542
|
12,547,575
|
516,259,609
|
Distributions
reinvested
|
2,061,186
|
79,730,522
|
1,062,981
|
43,575,598
|
Redemptions
|
(15,320,788)
|
(610,609,660)
|
(12,811,443)
|
(527,156,600)
|
Net
increase (decrease)
|
(4,426,673)
|
(175,414,596)
|
799,113
|
32,678,607
|
Institutional
2 Class
|
|
|
|
|
Subscriptions
|
2,128,294
|
85,394,773
|
4,231,266
|
174,312,801
|
Distributions
reinvested
|
366,046
|
14,168,314
|
242,349
|
9,939,541
|
Redemptions
|
(3,241,919)
|
(129,367,557)
|
(5,624,483)
|
(232,142,525)
|
Net
decrease
|
(747,579)
|
(29,804,470)
|
(1,150,868)
|
(47,890,183)
|
Institutional
3 Class
|
|
|
|
|
Subscriptions
|
3,173,084
|
129,959,562
|
4,090,596
|
168,904,814
|
Distributions
reinvested
|
388,385
|
15,203,392
|
173,114
|
7,166,163
|
Redemptions
|
(1,905,244)
|
(77,981,961)
|
(1,717,571)
|
(71,525,736)
|
Net
increase
|
1,656,225
|
67,180,993
|
2,546,139
|
104,545,241
|
Class
K
|
|
|
|
|
Subscriptions
|
—
|
—
|
58
|
2,342
|
Distributions
reinvested
|
—
|
—
|
246
|
10,079
|
Redemptions
|
—
|
—
|
(11,877)
|
(496,307)
|
Net
decrease
|
—
|
—
|
(11,573)
|
(483,886)
|
Class
R
|
|
|
|
|
Subscriptions
|
701,719
|
28,372,734
|
976,195
|
40,211,637
|
Distributions
reinvested
|
134,674
|
5,204,240
|
56,558
|
2,324,052
|
Redemptions
|
(950,703)
|
(38,269,762)
|
(1,259,000)
|
(51,953,529)
|
Net
decrease
|
(114,310)
|
(4,692,788)
|
(226,247)
|
(9,417,840)
|
Class
T
|
|
|
|
|
Redemptions
|
(64)
|
(2,438)
|
—
|
—
|
Net
decrease
|
(64)
|
(2,438)
|
—
|
—
|
Total
net decrease
|
(9,390,114)
|
(381,811,889)
|
(5,291,876)
|
(217,869,957)
|
The accompanying Notes to Financial Statements are an integral part of this
statement.
Columbia
Balanced Fund | Annual Report 2019
|
35
|
The
following table is intended to help you understand the Fund’s financial performance. Certain information reflects financial results for a single share of a class held for the periods shown. Per share net investment income (loss) amounts are
calculated based on average shares outstanding during the period. Total return assumes reinvestment of all dividends and distributions, if any. Total return does not reflect payment of sales charges, if any. Total return and portfolio turnover are
not annualized for periods of less than one year. The portfolio turnover rate is calculated without regard to purchase and sales transactions of short-term instruments and certain derivatives, if any. If such transactions were included, the
Fund’s portfolio turnover rate may be higher.
|
Net
asset value,
beginning of
period
|
Net
investment
income
|
Net
realized
and
unrealized
gain (loss)
|
Total
from
investment
operations
|
Distributions
from net
investment
income
|
Distributions
from net
realized
gains
|
Total
distributions to
shareholders
|
Class
A
|
Year
Ended 8/31/2019
|
$42.53
|
0.63
|
1.19
|
1.82
|
(0.60)
|
(1.51)
|
(2.11)
|
Year
Ended 8/31/2018
|
$40.56
|
0.48
|
2.57
|
3.05
|
(0.46)
|
(0.62)
|
(1.08)
|
Year
Ended 8/31/2017
|
$37.54
|
0.42
|
3.12
|
3.54
|
(0.40)
|
(0.12)
|
(0.52)
|
Year
Ended 8/31/2016
|
$35.80
|
0.38
|
2.62
|
3.00
|
(0.58)
|
(0.68)
|
(1.26)
|
Year
Ended 8/31/2015
|
$37.01
|
0.75
(d)
|
(0.23)
|
0.52
|
(0.40)
|
(1.33)
|
(1.73)
|
Advisor
Class
|
Year
Ended 8/31/2019
|
$42.86
|
0.73
|
1.21
|
1.94
|
(0.71)
|
(1.51)
|
(2.22)
|
Year
Ended 8/31/2018
|
$40.87
|
0.58
|
2.59
|
3.17
|
(0.56)
|
(0.62)
|
(1.18)
|
Year
Ended 8/31/2017
|
$37.82
|
0.53
|
3.14
|
3.67
|
(0.50)
|
(0.12)
|
(0.62)
|
Year
Ended 8/31/2016
|
$36.06
|
0.48
|
2.63
|
3.11
|
(0.67)
|
(0.68)
|
(1.35)
|
Year
Ended 8/31/2015
|
$37.27
|
0.88
(d)
|
(0.27)
|
0.61
|
(0.49)
|
(1.33)
|
(1.82)
|
Class
C
|
Year
Ended 8/31/2019
|
$42.38
|
0.32
|
1.19
|
1.51
|
(0.30)
|
(1.51)
|
(1.81)
|
Year
Ended 8/31/2018
|
$40.42
|
0.17
|
2.56
|
2.73
|
(0.15)
|
(0.62)
|
(0.77)
|
Year
Ended 8/31/2017
|
$37.42
|
0.14
|
3.10
|
3.24
|
(0.12)
|
(0.12)
|
(0.24)
|
Year
Ended 8/31/2016
|
$35.68
|
0.11
|
2.62
|
2.73
|
(0.31)
|
(0.68)
|
(0.99)
|
Year
Ended 8/31/2015
|
$36.92
|
0.56
(d)
|
(0.32)
|
0.24
|
(0.15)
|
(1.33)
|
(1.48)
|
Institutional
Class
|
Year
Ended 8/31/2019
|
$42.47
|
0.73
|
1.19
|
1.92
|
(0.71)
|
(1.51)
|
(2.22)
|
Year
Ended 8/31/2018
|
$40.50
|
0.58
|
2.57
|
3.15
|
(0.56)
|
(0.62)
|
(1.18)
|
Year
Ended 8/31/2017
|
$37.48
|
0.53
|
3.11
|
3.64
|
(0.50)
|
(0.12)
|
(0.62)
|
Year
Ended 8/31/2016
|
$35.75
|
0.47
|
2.61
|
3.08
|
(0.67)
|
(0.68)
|
(1.35)
|
Year
Ended 8/31/2015
|
$36.96
|
0.83
(d)
|
(0.22)
|
0.61
|
(0.49)
|
(1.33)
|
(1.82)
|
Institutional
2 Class
|
Year
Ended 8/31/2019
|
$42.50
|
0.75
|
1.19
|
1.94
|
(0.73)
|
(1.51)
|
(2.24)
|
Year
Ended 8/31/2018
|
$40.53
|
0.60
|
2.57
|
3.17
|
(0.58)
|
(0.62)
|
(1.20)
|
Year
Ended 8/31/2017
|
$37.51
|
0.55
|
3.12
|
3.67
|
(0.53)
|
(0.12)
|
(0.65)
|
Year
Ended 8/31/2016
|
$35.78
|
0.51
|
2.60
|
3.11
|
(0.70)
|
(0.68)
|
(1.38)
|
Year
Ended 8/31/2015
|
$36.99
|
0.97
(d)
|
(0.32)
|
0.65
|
(0.53)
|
(1.33)
|
(1.86)
|
The accompanying Notes to Financial Statements are an
integral part of this statement.
36
|
Columbia Balanced 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 8/31/2019
|
$42.24
|
4.79%
|
0.95%
|
0.95%
|
1.55%
|
119%
|
$2,685,001
|
Year
Ended 8/31/2018
|
$42.53
|
7.63%
|
0.95%
|
0.95%
(c)
|
1.16%
|
76%
|
$2,798,246
|
Year
Ended 8/31/2017
|
$40.56
|
9.54%
|
0.97%
|
0.97%
(c)
|
1.10%
|
63%
|
$2,876,519
|
Year
Ended 8/31/2016
|
$37.54
|
8.60%
|
1.03%
|
1.03%
(c)
|
1.06%
|
60%
|
$2,960,832
|
Year
Ended 8/31/2015
|
$35.80
|
1.38%
|
1.06%
|
1.06%
(c)
|
2.03%
|
102%
|
$1,885,538
|
Advisor
Class
|
Year
Ended 8/31/2019
|
$42.58
|
5.04%
|
0.70%
|
0.70%
|
1.80%
|
119%
|
$248,877
|
Year
Ended 8/31/2018
|
$42.86
|
7.89%
|
0.70%
|
0.70%
(c)
|
1.41%
|
76%
|
$262,644
|
Year
Ended 8/31/2017
|
$40.87
|
9.82%
|
0.72%
|
0.72%
(c)
|
1.37%
|
63%
|
$318,026
|
Year
Ended 8/31/2016
|
$37.82
|
8.86%
|
0.78%
|
0.78%
(c)
|
1.33%
|
60%
|
$112,108
|
Year
Ended 8/31/2015
|
$36.06
|
1.62%
|
0.81%
|
0.81%
(c)
|
2.37%
|
102%
|
$38,489
|
Class
C
|
Year
Ended 8/31/2019
|
$42.08
|
4.00%
|
1.70%
|
1.70%
|
0.80%
|
119%
|
$1,443,468
|
Year
Ended 8/31/2018
|
$42.38
|
6.83%
|
1.70%
|
1.70%
(c)
|
0.42%
|
76%
|
$1,591,465
|
Year
Ended 8/31/2017
|
$40.42
|
8.71%
|
1.72%
|
1.72%
(c)
|
0.35%
|
63%
|
$1,536,796
|
Year
Ended 8/31/2016
|
$37.42
|
7.80%
|
1.78%
|
1.78%
(c)
|
0.32%
|
60%
|
$1,265,079
|
Year
Ended 8/31/2015
|
$35.68
|
0.63%
|
1.81%
|
1.81%
(c)
|
1.52%
|
102%
|
$612,243
|
Institutional
Class
|
Year
Ended 8/31/2019
|
$42.17
|
5.04%
|
0.70%
|
0.70%
|
1.80%
|
119%
|
$1,672,560
|
Year
Ended 8/31/2018
|
$42.47
|
7.91%
|
0.70%
|
0.70%
(c)
|
1.42%
|
76%
|
$1,872,366
|
Year
Ended 8/31/2017
|
$40.50
|
9.83%
|
0.72%
|
0.72%
(c)
|
1.36%
|
63%
|
$1,753,306
|
Year
Ended 8/31/2016
|
$37.48
|
8.85%
|
0.78%
|
0.78%
(c)
|
1.32%
|
60%
|
$867,554
|
Year
Ended 8/31/2015
|
$35.75
|
1.64%
|
0.81%
|
0.81%
(c)
|
2.24%
|
102%
|
$480,162
|
Institutional
2 Class
|
Year
Ended 8/31/2019
|
$42.20
|
5.09%
|
0.65%
|
0.65%
|
1.84%
|
119%
|
$245,737
|
Year
Ended 8/31/2018
|
$42.50
|
7.96%
|
0.65%
|
0.65%
|
1.46%
|
76%
|
$279,242
|
Year
Ended 8/31/2017
|
$40.53
|
9.91%
|
0.66%
|
0.66%
|
1.42%
|
63%
|
$312,952
|
Year
Ended 8/31/2016
|
$37.51
|
8.96%
|
0.68%
|
0.68%
|
1.41%
|
60%
|
$181,221
|
Year
Ended 8/31/2015
|
$35.78
|
1.74%
|
0.70%
|
0.70%
|
2.63%
|
102%
|
$110,946
|
The accompanying Notes to Financial Statements are an
integral part of this statement.
Columbia
Balanced Fund | Annual Report 2019
|
37
|
Financial Highlights (continued)
|
Net
asset value,
beginning of
period
|
Net
investment
income
|
Net
realized
and
unrealized
gain (loss)
|
Total
from
investment
operations
|
Distributions
from net
investment
income
|
Distributions
from net
realized
gains
|
Total
distributions to
shareholders
|
Institutional
3 Class
|
Year
Ended 8/31/2019
|
$42.88
|
0.78
|
1.20
|
1.98
|
(0.75)
|
(1.51)
|
(2.26)
|
Year
Ended 8/31/2018
|
$40.88
|
0.63
|
2.59
|
3.22
|
(0.60)
|
(0.62)
|
(1.22)
|
Year
Ended 8/31/2017
|
$37.83
|
0.57
|
3.15
|
3.72
|
(0.55)
|
(0.12)
|
(0.67)
|
Year
Ended 8/31/2016
|
$36.07
|
0.53
|
2.63
|
3.16
|
(0.72)
|
(0.68)
|
(1.40)
|
Year
Ended 8/31/2015
|
$37.28
|
1.21
(d)
|
(0.54)
|
0.67
|
(0.55)
|
(1.33)
|
(1.88)
|
Class
R
|
Year
Ended 8/31/2019
|
$42.53
|
0.53
|
1.18
|
1.71
|
(0.50)
|
(1.51)
|
(2.01)
|
Year
Ended 8/31/2018
|
$40.56
|
0.38
|
2.57
|
2.95
|
(0.36)
|
(0.62)
|
(0.98)
|
Year
Ended 8/31/2017
|
$37.54
|
0.33
|
3.12
|
3.45
|
(0.31)
|
(0.12)
|
(0.43)
|
Year
Ended 8/31/2016
|
$35.79
|
0.29
|
2.63
|
2.92
|
(0.49)
|
(0.68)
|
(1.17)
|
Year
Ended 8/31/2015
|
$37.01
|
0.73
(d)
|
(0.31)
|
0.42
|
(0.31)
|
(1.33)
|
(1.64)
|
Notes
to Financial Highlights
|
(a)
|
In
addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense
ratios.
|
(b)
|
Total net
expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable.
|
(c)
|
The
benefits derived from expense reductions had an impact of less than 0.01%.
|
(d)
|
Net
investment income per share includes special dividends. The per share effect of these dividends amounted to:
|
Year
Ended
|
Class
A
|
Advisor
Class
|
Class
C
|
Institutional
Class
|
Institutional
2
Class
|
Institutional
3
Class
|
Class
R
|
08/31/2015
|
$0.48
|
$0.51
|
$0.56
|
$0.47
|
$0.57
|
$0.78
|
$0.55
|
The accompanying Notes to Financial Statements are an
integral part of this statement.
38
|
Columbia Balanced 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 8/31/2019
|
$42.60
|
5.14%
|
0.61%
|
0.61%
|
1.90%
|
119%
|
$377,342
|
Year
Ended 8/31/2018
|
$42.88
|
8.01%
|
0.60%
|
0.60%
|
1.53%
|
76%
|
$308,783
|
Year
Ended 8/31/2017
|
$40.88
|
9.96%
|
0.61%
|
0.61%
|
1.47%
|
63%
|
$190,322
|
Year
Ended 8/31/2016
|
$37.83
|
9.02%
|
0.63%
|
0.63%
|
1.47%
|
60%
|
$118,553
|
Year
Ended 8/31/2015
|
$36.07
|
1.78%
|
0.66%
|
0.66%
|
3.27%
|
102%
|
$65,758
|
Class
R
|
Year
Ended 8/31/2019
|
$42.23
|
4.50%
|
1.20%
|
1.20%
|
1.30%
|
119%
|
$127,735
|
Year
Ended 8/31/2018
|
$42.53
|
7.36%
|
1.20%
|
1.20%
(c)
|
0.91%
|
76%
|
$133,485
|
Year
Ended 8/31/2017
|
$40.56
|
9.27%
|
1.22%
|
1.22%
(c)
|
0.86%
|
63%
|
$136,478
|
Year
Ended 8/31/2016
|
$37.54
|
8.35%
|
1.28%
|
1.28%
(c)
|
0.82%
|
60%
|
$79,917
|
Year
Ended 8/31/2015
|
$35.79
|
1.10%
|
1.31%
|
1.31%
(c)
|
1.97%
|
102%
|
$37,089
|
The accompanying Notes to Financial Statements are an integral part of this
statement.
Columbia
Balanced Fund | Annual Report 2019
|
39
|
Notes to Financial Statements
August 31, 2019
Note 1. Organization
Columbia Balanced Fund (the Fund), a series of Columbia
Funds Series Trust I (the Trust), is a diversified fund. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Massachusetts business trust.
Fund shares
The Trust may issue an unlimited number of shares (without par
value). The Fund offers each of the share classes listed in the Statement of Assets and Liabilities. Although all share classes generally have identical voting, dividend and liquidation rights, each share class votes separately when required by the
Trust’s organizational documents or by law. Each share class has its own expense and sales charge structure. Different share classes may have different minimum initial investment amounts and pay different distribution amounts to the extent the
expenses of distributing such share classes vary. Distributions to shareholders in a liquidation will be proportional to the net asset value of each share class.
As described in the Fund’s prospectus, Class A and Class
C shares are offered to the general public for investment. Advisor Class, Institutional Class, Institutional 2 Class, Institutional 3 Class and Class R shares are available for purchase through authorized investment professionals to omnibus
retirement plans or to institutional and to certain other investors as also described in the Fund’s prospectus. Class C shares automatically convert to Class A shares after 10 years. Effective 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
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 official closing price on the principal exchange or market on which they trade. 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.
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Notes to Financial Statements (continued)
August 31, 2019
Senior loan securities for which reliable market quotations
are readily available are generally valued by pricing services at the average of the bids received.
Foreign equity securities are valued based on the closing
price 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 determined at the scheduled closing time of the New York Stock Exchange. Many securities markets and exchanges outside the U.S. close prior to the close of the New York Stock Exchange; therefore, the
closing prices for securities in such markets or on such exchanges may not fully reflect events that occur after such close but before the close of the New York Stock Exchange. In those situations, foreign securities will be fair valued pursuant to
a policy adopted by the Board of Trustees. Under the policy, the Fund may utilize a third party pricing service to determine these fair values. The third-party pricing service takes into account multiple factors, including, but not limited to,
movements in the U.S. securities markets, certain depositary receipts, futures contracts and foreign exchange rates that have occurred subsequent to the close of the foreign exchange or market, to determine a good faith estimate that reasonably
reflects the current market conditions as of the close of the New York Stock Exchange. The fair value of a security is likely to be different from the quoted or published price, if available.
Investments in open-end investment companies, including money
market funds, are valued at their latest net asset value.
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.
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 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
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Balanced Fund | Annual Report 2019
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Notes to Financial Statements (continued)
August 31, 2019
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 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.
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Notes to Financial Statements (continued)
August 31, 2019
Futures contracts
Futures contracts are exchange-traded and represent
commitments for the future purchase or sale of an asset at a specified price on a specified date. The Fund bought and sold futures contracts to manage the duration and yield curve exposure of the Fund versus the benchmark and to manage exposure to
movements in interest rates. These instruments may be used for other purposes in future periods. Upon entering into futures contracts, the Fund bears risks that it may not achieve the anticipated benefits of the futures contracts and may realize a
loss. Additional risks include counterparty credit risk, the possibility of an illiquid market, and that a change in the value of the contract or option may not correlate with changes in the value of the underlying asset.
Upon entering into a futures contract, the Fund deposits cash
or securities with the broker, known as a futures commission merchant (FCM), in an amount sufficient to meet the initial margin requirement. The initial margin deposit must be maintained at an established level over the life of the contract. Cash
deposited as initial margin is recorded in the Statement of Assets and Liabilities as margin deposits. Securities deposited as initial margin are designated in the Portfolio of Investments. Subsequent payments (variation margin) are made or received
by the Fund each day. The variation margin payments are equal to the daily change in the contract value and are recorded as variation margin receivable or payable and are offset in unrealized gains or losses. The Fund recognizes a realized gain or
loss when the contract is closed or expires. Futures contracts involve, to varying degrees, risk of loss in excess of the variation margin disclosed in the Statement of Assets and Liabilities.
Effects of derivative transactions in the financial
statements
The following tables are intended to provide
additional information about the effect of derivatives on the financial statements of the Fund, including: the fair value of derivatives by risk category and the location of those fair values in the Statement of Assets and Liabilities; and the
impact of derivative transactions over the period in the Statement of Operations, including realized and unrealized gains (losses). The derivative instrument schedules following the Portfolio of Investments present additional information regarding
derivative instruments outstanding at the end of the period, if any.
The following table is a summary of the fair value of
derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) at August 31, 2019:
|
Asset
derivatives
|
|
Risk
exposure
category
|
Statement
of assets and liabilities
location
|
Fair
value ($)
|
Interest
rate risk
|
Component
of total distributable earnings (loss) — unrealized appreciation on futures contracts
|
1,724,761*
|
|
Liability
derivatives
|
|
Risk
exposure
category
|
Statement
of assets and liabilities
location
|
Fair
value ($)
|
Interest
rate risk
|
Component
of total distributable earnings (loss) — unrealized depreciation on futures contracts
|
38,667*
|
*
|
Includes
cumulative appreciation (depreciation) as reported in the tables following the Portfolio of Investments. Only the current day’s variation margin is reported in receivables or payables in the Statement of Assets and Liabilities.
|
Columbia
Balanced Fund | Annual Report 2019
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Notes to Financial Statements (continued)
August 31, 2019
The
following table indicates the effect of derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) in the Statement of Operations for the year ended August 31, 2019:
Amount
of realized gain (loss) on derivatives recognized in income
|
Risk
exposure category
|
Futures
contracts
($)
|
Interest
rate risk
|
11,648,636
|
|
Change
in unrealized appreciation (depreciation) on derivatives recognized in income
|
Risk
exposure category
|
Futures
contracts
($)
|
Interest
rate risk
|
1,772,271
|
The following table is a summary
of the average outstanding volume by derivative instrument for the year ended August 31, 2019:
Derivative
instrument
|
Average
notional
amounts ($)*
|
Futures
contracts — long
|
278,841,422
|
*
|
Based on
the ending quarterly outstanding amounts for the year ended August 31, 2019.
|
Investments in senior loans
The Fund may invest in senior loan assignments. When the Fund
purchases an assignment of a senior loan, the Fund typically has direct rights against the borrower; provided, however, that the Fund’s rights may be more limited than the lender from which it acquired the assignment and the Fund may be able
to enforce its rights only through an administrative agent. Although certain senior loan assignments are secured by collateral, the Fund could experience delays or limitations in realizing such collateral or have its interest subordinated to other
indebtedness of the obligor. In the event that the administrator or collateral agent of a loan becomes insolvent or enters into receivership or bankruptcy, the Fund may incur costs and delays in realizing payment or may suffer a loss of principal
and/or interest. The risk of loss is greater for unsecured or subordinated loans. In addition, senior loan assignments are vulnerable to market, economic or other conditions or events that may reduce the demand for senior loan assignments and
certain senior loan assignments which were liquid when purchased, may become illiquid.
The Fund may enter into senior loan assignments where all or a
portion of the loan may be unfunded. The Fund is obligated to fund these commitments at the borrower’s discretion. These commitments, if any, are generally traded and priced in the same manner as other senior loan securities and are disclosed
as unfunded senior loan commitments in the Fund’s Portfolio of Investments with a corresponding payable for investments purchased. The Fund designates cash or liquid securities to cover these commitments.
Asset- and mortgage-backed securities
The Fund may invest in asset-backed and mortgage-backed
securities. The maturity dates shown represent the original maturity of the underlying obligation. Actual maturity may vary based upon prepayment activity on these obligations. All, or a portion, of the obligation may be prepaid at any time because
the underlying asset may be prepaid. As a result, decreasing market interest rates could result in an increased level of prepayment. An increased prepayment rate will have the effect of shortening the maturity of the security. Unless otherwise
noted, the coupon rates presented are fixed rates.
Delayed
delivery securities
The Fund may trade securities on
other than normal settlement terms, including securities purchased or sold on a “when-issued” or "forward commitment" basis. This may increase risk to the Fund since the other party to the transaction may fail to deliver, which could
cause the Fund to subsequently invest at less advantageous prices. The Fund designates cash or liquid securities in an amount equal to the delayed delivery commitment.
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Notes to Financial Statements (continued)
August 31, 2019
To be
announced securities
The Fund may trade securities on a
To Be Announced (TBA) basis. As with other delayed-delivery transactions, a seller agrees to issue a TBA security at a future date. However, the seller does not specify the particular securities to be delivered. Instead, the Fund agrees to accept
any security that meets specified terms.
In some cases,
Master Securities Forward Transaction Agreements (MSFTAs) may be used to govern transactions of certain forward-settling agency mortgage-backed securities, such as delayed-delivery and TBAs, between the Fund and counterparty. The MSFTA maintains
provisions for, among other things, initiation and confirmation, payment and transfer, events of default, termination, and maintenance of collateral relating to such transactions.
Mortgage dollar roll transactions
The Fund may enter into mortgage “dollar rolls” in
which the Fund sells securities for delivery in the current month and simultaneously contracts with the same counterparty to repurchase similar but not identical securities (same type, coupon and maturity) on a specified future date. During the roll
period, the Fund loses the right to receive principal and interest paid on the securities sold. However, the Fund will benefit because it receives negotiated amounts in the form of reductions of the purchase price for the future purchase plus the
interest earned on the cash proceeds of the securities sold until the settlement date of the forward purchase. The Fund records the incremental difference between the forward purchase and sale of each forward roll as a realized gain or loss. Unless
any realized gains exceed the income, capital appreciation, and gain or loss due to mortgage prepayments that would have been realized on the securities sold as part of the mortgage dollar roll, the use of this technique will diminish the investment
performance of the Fund compared to what the performance would have been without the use of mortgage dollar rolls. All cash proceeds will be invested in instruments that are permissible investments for the Fund. The Fund identifies cash or liquid
securities in an amount equal to the forward purchase price.
For financial reporting and tax purposes, the Fund treats
“to be announced” mortgage dollar rolls as two separate transactions, one involving the purchase of a security and a separate transaction involving a sale. These transactions may increase the Fund’s portfolio turnover rate. The
Fund does not currently enter into mortgage dollar rolls that are accounted for as financing transactions.
Mortgage dollar rolls involve the risk that the market value
of the securities the Fund is obligated to repurchase may decline below the repurchase price, or that the counterparty may default on its obligations.
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.
Security transactions
Security transactions are accounted for on the trade date.
Cost is determined and gains (losses) are based upon the specific identification method for both financial statement and federal income tax purposes.
The trade date for senior loans purchased in the primary
market is the date on which the loan is allocated. The trade date for senior loans purchased in the secondary market is the date on which the transaction is entered into.
Income recognition
Interest income is recorded on an accrual basis. Market
premiums and discounts, including original issue discounts, are amortized and accreted, respectively, over the expected life of the security on all debt securities, unless otherwise noted. The Fund classifies gains and losses realized on prepayments
received on mortgage-backed securities as adjustments to interest income.
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Balanced Fund | Annual Report 2019
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Notes to Financial Statements (continued)
August 31, 2019
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.
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.
The value of additional securities received as an income
payment through a payment in kind, if any, is recorded as interest income and increases the cost basis of such securities.
The Fund may receive other income from senior loans, including
amendment fees, consent fees and commitment fees. These fees are recorded as income when received by the Fund. These amounts are included in Interest Income in the Statement of Operations.
Expenses
General expenses of the Trust are allocated to the Fund and
other funds of the Trust based upon relative net assets or other expense allocation methodologies determined by the nature of the expense. Expenses directly attributable to the Fund are charged to the Fund. Expenses directly attributable to a
specific class of shares are charged to that share class.
Determination of class net asset value
All income, expenses (other than class-specific expenses,
which are charged to that share class, as shown in the Statement of Operations) and realized and unrealized gains (losses) are allocated to each class of the Fund on a daily basis, based on the relative net assets of each class, for purposes of
determining the net asset value of each class.
Federal
income tax status
The Fund intends to qualify each year
as a regulated investment company under Subchapter M of the Internal Revenue Code, as amended, and will distribute substantially all of its investment company taxable income and net capital gain, if any, for its tax year, and as such will not be
subject to federal income taxes. In addition, the Fund intends to distribute in each calendar year substantially all of its ordinary income, capital gain net income and certain other amounts, if any, such that the Fund should not be subject to
federal excise tax. Therefore, no federal income or excise tax provision is recorded.
Foreign taxes
The Fund may be subject to foreign taxes on income, gains on
investments or currency repatriation, a portion of which may be recoverable. The Fund will accrue such taxes and recoveries, as applicable, based upon its current interpretation of tax rules and regulations that exist in the markets in which it
invests.
Realized gains in certain countries may be
subject to foreign taxes at the Fund level, based on statutory rates. The Fund accrues for such foreign taxes on realized and unrealized gains at the appropriate rate for each jurisdiction, as applicable. The amount, if any, is disclosed as a
liability on the Statement of Assets and Liabilities.
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Columbia Balanced Fund
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Notes to Financial Statements (continued)
August 31, 2019
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. The standard is effective for annual periods beginning after December 15, 2019 and interim periods within
those fiscal years, with early adoption permitted. After evaluation, management determined to adopt the ASU effective for the period ended August 31, 2019 and all subsequent periods. As a result of the amendments, management implemented disclosure
changes which include removal of the amount and reasons for transfers between Level 1 and Level 2 of the fair value hierarchy, removal of the policy for the timing of transfers between levels, removal of the description of the Level 3 valuation
processes, as well as modifications to the measurement uncertainty disclosure.
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
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Balanced Fund | Annual Report 2019
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Notes to Financial Statements (continued)
August 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 0.72% to 0.52% as the Fund’s net assets increase. The effective management services fee rate for the year ended
August 31, 2019 was 0.58% 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.
For the year ended August 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
|
0.11
|
Advisor
Class
|
0.11
|
Class
C
|
0.11
|
Institutional
Class
|
0.11
|
Institutional
2 Class
|
0.06
|
Institutional
3 Class
|
0.01
|
Class
R
|
0.11
|
Class
T
|
0.04
(a)
|
The Fund and certain other
associated investment companies have severally, but not jointly, guaranteed the performance and observance of all the terms and conditions of a lease entered into by Seligman Data Corp. (SDC), the former transfer agent, including the payment of rent
by SDC (the Guaranty). SDC was the legacy Seligman funds’ former transfer agent.
48
|
Columbia Balanced Fund
| Annual Report 2019
|
Notes to Financial Statements (continued)
August 31, 2019
The
lease and the Guaranty expired on January 31, 2019. SDC is owned by six associated investment companies, including the Fund. The Fund’s ownership interest in SDC at August 31, 2019 is recorded as a part of other assets in the Statement of
Assets and Liabilities at a cost of $3,553, which approximates the fair value of the ownership interest.
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 August 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 0.10%, 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.
Sales charges (unaudited)
Sales charges, including front-end charges and contingent
deferred sales charges (CDSC), received by the Distributor for distributing Fund shares for the year ended August 31, 2019, if any, are listed below:
|
Front
End (%)
|
CDSC
(%)
|
Amount
($)
|
Class
A
|
5.75
|
0.50 - 1.00
(a)
|
4,148,596
|
Class
C
|
—
|
1.00
(b)
|
121,840
|
Class
T
|
2.50
|
—
|
—
|
(a)
|
This
charge is imposed on certain investments of between $1 million and $50 million redeemed within 18 months after purchase, as follows: 1.00% if redeemed within 12 months after purchase, and 0.50% if redeemed more than 12, but less than 18, months
after purchase, with certain limited exceptions.
|
(b)
|
This
charge applies to redemptions within 12 months after purchase, with certain limited exceptions.
|
The Fund’s other share classes are not subject to sales
charges.
Columbia
Balanced Fund | Annual Report 2019
|
49
|
Notes to Financial Statements (continued)
August 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:
|
January
1, 2019
through
December 31, 2019
|
Prior
to
January 1, 2019
|
Class
A
|
1.11%
|
1.15%
|
Advisor
Class
|
0.86
|
0.90
|
Class
C
|
1.86
|
1.90
|
Institutional
Class
|
0.86
|
0.90
|
Institutional
2 Class
|
0.81
|
0.85
|
Institutional
3 Class
|
0.76
|
0.80
|
Class
R
|
1.36
|
1.40
|
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 August 31, 2019, these differences were primarily due to
differing treatment for deferral/reversal of wash sale losses, trustees’ deferred compensation, derivative investments, tax straddles, re-characterization of distributions for investments, principal and/or interest of fixed income securities,
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:
Undistributed
net
investment
income ($)
|
Accumulated
net realized
gain ($)
|
Paid
in
capital ($)
|
158,257
|
(158,257)
|
—
|
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.
50
|
Columbia Balanced Fund
| Annual Report 2019
|
Notes to Financial Statements (continued)
August 31, 2019
The
tax character of distributions paid during the years indicated was as follows:
Year
Ended August 31, 2019
|
Year
Ended August 31, 2018
|
Ordinary
income ($)
|
Long-term
capital gains ($)
|
Total
($)
|
Ordinary
income ($)
|
Long-term
capital gains ($)
|
Total
($)
|
96,835,419
|
252,987,880
|
349,823,299
|
76,672,698
|
111,477,417
|
188,150,115
|
Short-term capital gain
distributions, if any, are considered ordinary income distributions for tax purposes.
At August 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 ($)
|
Net
unrealized
appreciation ($)
|
25,338,883
|
100,001,123
|
—
|
1,278,470,814
|
At August 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) ($)
|
Net
unrealized
appreciation ($)
|
5,945,100,382
|
1,353,796,632
|
(75,325,818)
|
1,278,470,814
|
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 $7,945,995,838 and $8,223,231,025, respectively, for the year ended August 31, 2019, of which $4,297,504,494 and $4,347,104,079, respectively, were U.S. government securities.
The amount of purchase and sale activity impacts the portfolio turnover rate reported in the Financial Highlights.
Note 6. Affiliated money market fund
The Fund invests in Columbia Short-Term Cash Fund, an
affiliated money market fund established for the exclusive use by the Fund and other affiliated funds (the Affiliated MMF). The income earned by the Fund from such investments is included as Dividends - affiliated issuers in the Statement of
Operations. As an investing fund, the Fund indirectly bears its proportionate share of the expenses of the Affiliated MMF. The Affiliated MMF prices its shares with a floating net asset value. In addition, the Board of Trustees of the Affiliated MMF
may impose a fee on redemptions (sometimes referred to as a liquidity fee) or temporarily suspend redemptions (sometimes referred to as imposing a redemption gate) in the event its liquidity falls below regulatory limits.
Note 7. Interfund lending
Pursuant to an exemptive order granted by the Securities and
Exchange Commission, the Fund participates in a program (the Interfund Program) allowing each participating Columbia Fund (each, a Participating Fund) to lend money directly to and, except for closed-end funds and money market funds, borrow money
directly from other Participating Funds for temporary purposes. The amounts eligible for borrowing and lending under the Interfund Program are subject to certain restrictions.
Columbia
Balanced Fund | Annual Report 2019
|
51
|
Notes to Financial Statements (continued)
August 31, 2019
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 August 31, 2019 was as follows:
Borrower
or lender
|
Average
loan
balance ($)
|
Weighted
average
interest rate (%)
|
Days
outstanding
|
Lender
|
10,880,000
|
3.02
|
10
|
Interest income earned by the Fund
is recorded as Interfund lending in the Statement of Operations. The Fund had no outstanding interfund loans at August 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 August 31,
2019.
Note 9. 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 defaults or otherwise becomes unable or unwilling, or is perceived to be unable or unwilling, to honor its financial obligations, such as making payments to the Fund when due. Rating agencies
assign credit ratings to certain debt instruments to indicate their credit risk. Lower rated or unrated debt instruments held by the Fund may present increased credit risk as compared to higher-rated debt instruments.
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.
52
|
Columbia Balanced Fund
| Annual Report 2019
|
Notes to Financial Statements (continued)
August 31, 2019
Shareholder concentration risk
At August 31, 2019, affiliated shareholders of record owned
38.8% 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.
Columbia
Balanced Fund | Annual Report 2019
|
53
|
Report of Independent Registered Public Accounting Firm
To the
Board of Trustees of Columbia Funds Series Trust I and Shareholders of Columbia Balanced Fund
Opinion on the Financial Statements
We have audited the accompanying statement of assets and
liabilities, including the portfolio of investments, of Columbia Balanced Fund (one of the funds constituting Columbia Funds Series Trust I, hereafter referred to as the “Fund”) as of August 31, 2019, the related statement of operations
for the year ended August 31, 2019, the statement of changes in net assets for each of the two years in the period ended August 31, 2019, including the related notes, and the financial highlights for each of the five years in the period ended August
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 August 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 August 31, 2019 and the financial highlights for each of the five years in the period ended August 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 August 31, 2019, by correspondence with the custodian, transfer agent, agent banks, and brokers; when replies were not received from brokers, we performed other audit procedures. We believe that our audits provide a
reasonable basis for our opinion.
/s/PricewaterhouseCoopers LLP
Minneapolis, Minnesota
October 24, 2019
We have served as the auditor of one or more investment
companies within the Columbia Funds Complex since 1977.
54
|
Columbia Balanced Fund
| Annual Report 2019
|
Federal Income Tax Information
(Unaudited)
The Fund hereby designates the following tax attributes for
the fiscal year ended August 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
|
78.88%
|
73.31%
|
$146,190,287
|
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.
TRUSTEES AND OFFICERS
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), September 2007-October 2018
|
70
|
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, December 2002-May 2006; President of UAL Loyalty Services (airline marketing company), September 2001-December 2002; Executive Vice President and Chief
Financial Officer of United Airlines, July 1999-September 2001
|
70
|
Spartan
Nash Company, (food distributor); former Director, Nash Finch Company (food distributor), 2005-2013; Aircastle Limited (aircraft leasing); former Director, SeaCube Container Leasing Ltd. (container leasing), 2010-2013; and Travelport Worldwide
Limited (travel information technology)
|
Columbia
Balanced Fund | Annual Report 2019
|
55
|
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
|
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), 1997-2010; Chair, Wellington Management Portfolios (commingled non-U.S. investment pools), 2007-2010; Director, Wellington Trust Company, NA
and other Wellington affiliates, 1997-2010
|
70
|
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
|
70
|
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
|
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, August 2007-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, August 1999-October 2005;
University Professor, Boston College, November 2005-August 2007
|
70
|
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, 1988-2014
|
70
|
Former
Director, M Fund, Inc. (M Funds mutual fund family), July 2018-July 2019
|
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, 1994-1997, President – Application Systems Division, 1991-1994, Chief Financial Officer – US Marketing & Services, 1988-1991, and Chief Information Officer, 1987-1988, IBM Corporation
(computer and technology)
|
70
|
Former
Director, Enesco Group, Inc. (producer of giftware and home and garden decor products), 2001-2006
|
56
|
Columbia Balanced Fund
| Annual Report 2019
|
TRUSTEES AND OFFICERS (continued)
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, May
2010-February 2015; President, Columbia Funds, 2009-2015; and senior officer of Columbia Funds and affiliated funds, 2003-2015
|
70
|
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
|
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, 2004-2010; Senior Partner, McKinsey & Company, 2001-2004
|
70
|
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, April 2016-September
2016; Senior Vice President and Chief Investment Officer, Calvert Investments, August 2008-January 2016; Section Head and Portfolio Manager, General Motors Asset Management, June 1997-August 2008
|
70
|
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
|
192
|
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, August 2006 - January 2013
|
Columbia
Balanced Fund | Annual Report 2019
|
57
|
TRUSTEES AND OFFICERS (continued)
*
|
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.
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 as of the printing of this report, 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.
|
58
|
Columbia Balanced Fund
| Annual Report 2019
|
TRUSTEES AND OFFICERS (continued)
Fund officers (continued)
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
|
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.
|
Board Consideration and Approval of
Management
Agreement
On June 12, 2019, the Board of Trustees (the Board) and the
Trustees who are not interested persons (as defined in the Investment Company Act of 1940) (the Independent Trustees) of Columbia Funds Series Trust I (the Trust) unanimously approved the continuation of the Management Agreement (the Management
Agreement) with Columbia Management Investment Advisers, LLC (the Investment Manager) with respect to Columbia Balanced Fund (the Fund), a series of the Trust. As detailed below, the Board’s Advisory Fees and Expenses Committee (the Committee)
and the Board met on multiple occasions to review and discuss, among themselves, with the management team of the Investment Manager and with an independent fee consultant, materials provided by the Investment Manager, the independent fee consultant
and others before determining to approve the continuation of the Management Agreement.
In connection with their deliberations regarding the
continuation of the Management Agreement, the Committee and the Board evaluated materials requested from the Investment Manager regarding the Fund and the Management Agreement, and discussed these materials with representatives of the Investment
Manager at Committee meetings held on March 5, 2019, April 25, 2019 and June 11, 2019 and at Board meetings held on March 6, 2019 and June 12, 2019. In addition, the Board and its various committees consider matters bearing on the Management
Agreement at other meetings throughout the year and in prior years and meet regularly with senior management of the Trust and the Investment Manager. Through the Board’s Investment Oversight Committees, Trustees also meet with selected
portfolio managers of the funds the Trustees oversee and with other investment personnel at various times throughout the year. The Committee and the Board also consulted with the independent fee consultant, Fund counsel and the Independent
Trustees’ independent legal counsel, who advised on various matters with respect to the Committee’s and the Board’s considerations and otherwise assisted the Committee and the Board in their deliberations. On June 11, 2019, the
Committee recommended that the Board approve the continuation of the Management Agreement. On June 12, 2019, the Board, including the Independent Trustees, voting separately, unanimously approved the continuation of the Management Agreement for the
Fund.
The Committee and the Board considered all
information that they, their legal counsel or the Investment Manager believed reasonably necessary to evaluate and to determine whether to recommend for approval or approve the continuation of the Management Agreement. The information and factors
considered by the Committee and the Board in recommending for approval or approving the continuation of the Management Agreement for the Fund included the following:
•
|
Information on the
investment performance of the Fund relative to the performance of a group of mutual funds determined to be comparable to the Fund by an independent third-party data provider, as well as performance relative to benchmarks;
|
•
|
Information on the
Fund’s management fees and total expenses, including information comparing the Fund’s expenses to those of a group of comparable mutual funds, as determined by the independent third-party data provider;
|
Columbia
Balanced Fund | Annual Report 2019
|
59
|
Board Consideration and Approval of Management
Agreement (continued)
•
|
The Investment
Manager’s agreement to contractually limit or cap total operating expenses for the Fund through December 31, 2020 so that total operating expenses (excluding certain fees and expenses, such as transaction costs and certain other investment
related expenses, interest, taxes, acquired fund fees and expenses, and infrequent and/or unusual expenses) would not exceed a specified annual rate, as a percentage of the Fund’s net assets;
|
•
|
The terms and conditions of
the Management Agreement;
|
•
|
The current and proposed
terms and conditions of other agreements and arrangements with affiliates of the Investment Manager relating to the operations of the Fund, including agreements with respect to the provision of distribution, transfer agency and shareholder services
to the Fund;
|
•
|
Descriptions of various
functions performed by the Investment Manager under the Management Agreement, including portfolio management and portfolio trading practices;
|
•
|
Information regarding the
management fees of similarly-managed portfolios of other clients of the Investment Manager, including institutional accounts and collective trusts;
|
•
|
Information regarding the
reputation, regulatory history and resources of the Investment Manager, including information regarding senior management, portfolio managers and other personnel;
|
•
|
Information regarding the
capabilities of the Investment Manager with respect to compliance monitoring services, including an assessment of the Investment Manager’s compliance system by the Fund’s Chief Compliance Officer; and
|
•
|
The profitability to the
Investment Manager and its affiliates from their relationships with the Fund.
|
Nature, extent and quality of services provided under the
Management Agreement
The Committee and the Board
considered the nature, extent and quality of services provided to the Fund by the Investment Manager and its affiliates under the Management Agreement and under separate agreements for the provision of transfer agency and shareholder services, and
the resources dedicated to the Fund and the other Columbia Funds by the Investment Manager and its affiliates. The Committee and the Board considered, among other things, the Investment Manager’s ability to attract, motivate and retain highly
qualified research, advisory and supervisory investment professionals (including compensation programs for personnel involved in fund management, reputation and other attributes), the portfolio management services provided by those investment
professionals, and the quality of the Investment Manager’s investment research capabilities and trade execution services. The Committee and the Board also considered the potential benefits to shareholders of investing in a mutual fund that is
part of a fund complex offering exposure to a variety of asset classes and investment disciplines and providing a variety of fund and shareholder services.
The Committee and the Board also considered the professional
experience and qualifications of the senior personnel of the Investment Manager, which included consideration of the Investment Manager’s experience with funds using an investment strategy similar to that used by the Investment Manager for the
Fund. The Committee and the Board noted the compliance programs of and the compliance-related resources provided to the Fund by the Investment Manager and its affiliates and the resources dedicated by the Investment Manager and its affiliates to
risk management, and considered the Investment Manager’s ability to provide administrative services to the Fund and coordinate the activities of the Fund’s other service providers. After reviewing these and related factors, the Committee
and the Board concluded, within the context of their overall conclusions, that the nature, extent and quality of the services provided to the Fund under the Management Agreement supported the continuation of the Management Agreement.
Investment performance
The Committee and the Board reviewed information about the
performance of the Fund over various time periods, including performance information relative to benchmarks, information that compared the performance of the Fund to the performance of a group of comparable mutual funds as determined by the
independent third-party data provider, and information and analysis provided by the independent fee consultant. The Committee and the Board also reviewed a description of the third party’s methodology for identifying the Fund’s peer
groups for purposes of performance and expense comparisons. Although the Fund’s performance lagged that of a relevant peer group for certain (although not necessarily all) periods, the Committee
60
|
Columbia Balanced Fund
| Annual Report 2019
|
Board Consideration and Approval of Management
Agreement (continued)
and the Board concluded that other factors relevant to performance were
sufficient, in light of other considerations, to support continuation of the Management Agreement. Those factors included one or more of the following: (i) that the Fund’s performance, although lagging in certain recent periods, was stronger
over the longer term; (ii) that the underperformance was attributable, to a significant extent, to investment decisions that were reasonable and consistent with the Fund’s investment strategy and policies and that the Fund was performing
within a reasonable range of expectations, given those investment decisions, market conditions and the Fund’s investment strategy; (iii) that the Fund’s performance was competitive when compared to other relevant performance benchmarks
or peer groups; and (iv) that the Investment Manager had taken or was taking steps designed to help improve the Fund’s investment performance, including, but not limited to, replacing portfolio managers, enhancing the resources supporting the
portfolio managers, or modifying investment strategies.
The Committee and the Board noted that, through December 31,
2018, the Fund’s performance was in the thirty-third, sixty-ninth and seventeenth percentile (where the best performance would be in the first percentile) of its category selected by the independent third-party data provider for the purposes
of performance comparisons for the one-, three- and five-year periods, respectively.
The Committee and the Board also considered the Investment
Manager’s performance and reputation generally, the Investment Manager’s historical responsiveness to Board concerns about performance, and the Investment Manager’s willingness to take steps intended to improve performance. After
reviewing these and related factors, the Committee and the Board concluded, within the context of their overall conclusions, that the performance of the Fund and the Investment Manager was sufficient, in light of other considerations, to support the
continuation of the Management Agreement.
Investment
management fee rates and other expenses
The Committee
and the Board considered the management fees charged to the Fund under the Management Agreement as well as the total expenses incurred by the Fund. In assessing the reasonableness of the fees under the Management Agreement, the Committee and the
Board considered, among other information, the Fund’s total expense ratio as a percentage of average daily net assets. The Committee and the Board considered data provided by the independent third-party data provider and the independent fee
consultant. The Committee and the Board noted that, as of December 31, 2018, the Fund’s actual management fee and net total expense ratio were ranked in the third and first quintiles, respectively, (where the lowest fees and expenses would be
in the first quintile) against the Fund’s expense universe as determined by the independent third-party data provider for purposes of expense comparison. The Committee and the Board also took into account the fee waiver and expense limitation
arrangements agreed to by the Investment Manager, as noted above.
The Committee and the Board also received and considered
information about the management fees charged by the Investment Manager to institutional accounts. In considering the fees charged to those accounts, the Committee and the Board took into account, among other things, the Investment Manager’s
representations about the differences between managing mutual funds as compared to other types of accounts, including differences in the services provided, differences in the risk profile of such business for the Investment Manager and the
additional resources required to manage mutual funds effectively. The Committee and the Board also received and considered information about the fees charged by the Investment Manager for sub-advisory services it provides to comparable unaffiliated
funds. In evaluating the Fund’s management fees, the Committee and the Board also took into account the demands, complexity and quality of the investment management of the Fund.
After reviewing these and related factors, the Committee and
the Board concluded, within the context of their overall conclusions, that the management fee rates and expenses of the Fund, in light of other considerations, supported the continuation of the Management Agreement.
Costs of services provided and profitability
The Committee and the Board also took note of the costs the
Investment Manager and its affiliates incur in connection with the services provided and the profitability to the Investment Manager and its affiliates from their relationships with the Fund, and the efforts undertaken by the Investment Manager and
its affiliates to manage efficiently their costs to provide such services.
Columbia
Balanced Fund | Annual Report 2019
|
61
|
Board Consideration and Approval of Management
Agreement (continued)
The Committee and the Board also considered the compensation directly or
indirectly received by the Investment Manager’s affiliates in connection with their relationships with the Fund. The Committee and the Board reviewed information provided by management as to the profitability to the Investment Manager and its
affiliates of their relationships with the Fund, information about the allocation of expenses used to calculate profitability, and comparisons of profitability levels realized in 2018 to profitability levels realized in 2017. When reviewing
profitability, the Committee and the Board also considered court cases in which adviser profitability was an issue in whole or in part, the performance of similarly managed funds, the performance of the Fund, and the expense ratio of the Fund. In
addition, the Committee and the Board considered information provided by the Investment Manager regarding the Investment Manager’s financial condition and comparing its profitability to that of other asset management firms that are, or are
subsidiaries of, publicly traded companies. In this regard, the Committee and the Board also considered data provided by the independent fee consultant.
After reviewing these and related factors, the Committee and
the Board concluded, within the context of their overall conclusions, that the costs of services provided and the profitability to the Investment Manager and its affiliates from their relationships with the Fund supported the continuation of the
Management Agreement.
Economies of scale
The Committee and the Board considered the potential
existence of economies of scale in the provision by the Investment Manager of services to the Fund, to groups of related funds, and to the Investment Manager’s investment advisory clients as a whole, and whether those economies of scale were
shared with the Fund through breakpoints in investment management fees or other means, such as expense limitation arrangements and additional investments by the Investment Manager in investment, trading, compliance and other resources. The Committee
and the Board noted that the management fee schedules for the Fund contained breakpoints that would reduce the fee rate on assets above specified threshold levels.
In considering these matters, the Committee and the Board also
considered the costs of the services provided and the profitability to the Investment Manager and its affiliates from their relationships with the Fund, as noted above. After reviewing these and related factors, the Committee and the Board
concluded, within the context of their overall conclusions, that the extent to which any economies of scale were expected to be shared with the Fund supported the continuation of the Management Agreement.
Other benefits to the Investment Manager
The Committee and the Board received and considered
information regarding “fall-out” or ancillary benefits received by the Investment Manager and its affiliates as a result of their relationships with the Fund, such as the engagement of the Investment Manager’s affiliates to provide
distribution, transfer agency and shareholder services to the Fund. In this regard, among other matters, the Committee and the Board considered that the Fund’s distributor retains a portion of the distribution fees from the Fund and receives a
portion of the sales charges on sales or redemptions of certain classes of shares of the Fund. The Committee and the Board also considered the benefits of research made available to the Investment Manager by reason of brokerage commissions generated
by the Fund’s securities transactions, and reviewed information about the Investment Manager’s practices with respect to considering brokerage and research services when allocating portfolio transactions. In this connection, the Board
also noted that the amount of research made available to the Investment Manager by reason of brokerage commissions had been declining over time, and may decline further. The Committee and the Board recognized that the Investment Manager’s
profitability would be somewhat lower without these benefits.
Conclusion
The Committee and the Board reviewed all of the above
considerations in reaching their decisions to recommend or approve the continuation of the Management Agreement. In their deliberations, the Trustees did not identify any particular information that was all-important or controlling, and individual
Trustees may have attributed different weights to the various factors. Based on their evaluation of all factors that they deemed to be material, including those factors described above, and assisted by the advice of independent legal counsel, the
Board, including the Independent Trustees, voting separately, unanimously approved the continuation of the Management Agreement.
62
|
Columbia Balanced Fund
| Annual Report 2019
|
[THIS PAGE INTENTIONALLY LEFT BLANK]
Columbia Balanced Fund
P.O. Box 219104
Kansas City, MO 64121-9104
Please read and consider the investment objectives, risks,
charges and expenses for any fund carefully before investing. For a prospectus and summary prospectus, which contains this and other important information about the Fund, go to
columbiathreadneedleus.com/investor/. The Fund is distributed by Columbia Management Investment Distributors, Inc., member FINRA, and managed by Columbia Management Investment Advisers, LLC.
Columbia Threadneedle Investments (Columbia Threadneedle) is
the global brand name of the Columbia and Threadneedle group of companies. All rights reserved.
© 2019 Columbia Management Investment Advisers, LLC.
columbiathreadneedleus.com/investor/
Annual
Report
August 31, 2019
Multi-Manager Total Return Bond Strategies
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
|
|
6
|
|
11
|
|
12
|
|
74
|
|
75
|
|
76
|
|
78
|
|
80
|
|
97
|
|
98
|
|
98
|
|
102
|
Multi-Manager Total Return Bond Strategies Fund (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-PORT, and for reporting periods ended prior to March 31, 2019, on Form N-Q. The Fund’s Form N-Q and Form N-PORT filings are available on the SEC’s website at sec.gov.
The Fund’s complete schedule of portfolio holdings, as filed on Form N-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 (the Investment Manager)
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
Multi-Manager Total
Return Bond Strategies Fund | Annual Report 2019
Investment objective
The Fund seeks total return,
consisting of capital appreciation and current income.
Portfolio
management
Loomis, Sayles &
Company, L.P.
Christopher
Harms
Clifton Rowe,
CFA
Kurt
Wagner*, CFA, CIC
Daniel Conklin,
CFA
*
Effective June 30, 2020, Kurt Wagner will no longer serve as a portfolio manager. Mr. Wagner is retiring from Loomis Sayles effective August 30, 2020.
PGIM, Inc.
Michael Collins,
CFA
Robert
Tipp, CFA
Richard
Piccirillo
Gregory
Peters
TCW
Investment Management Company LLC
Stephen Kane,
CFA
Laird
Landmann
Tad
Rivelle
Bryan Whalen,
CFA
Voya
Investment Management Co. LLC
Matthew Toms,
CFA
Randall Parrish,
CFA
David
Goodson
Average
annual total returns (%) (for the period ended August 31, 2019)
|
|
|
Inception
|
1
Year
|
5
Years
|
Life
|
Class
A
|
04/20/12
|
9.06
|
2.93
|
3.05
|
Institutional
Class*
|
01/03/17
|
9.33
|
3.09
|
3.15
|
Bloomberg
Barclays U.S. Aggregate Bond Index
|
|
10.17
|
3.35
|
3.04
|
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 Bloomberg Barclays U.S. Aggregate Bond Index is a
broad-based benchmark that measures the investment-grade, U.S. dollar-denominated, fixed-rate taxable bond market, including Treasuries, government-related and corporate securities, mortgage-backed securities (agency fixed-rate and hybrid
adjustable-rate mortgage passthroughs), asset-backed securities, and commercial mortgage-backed securities.
Indices are not available for investment, are not
professionally managed and do not reflect sales charges, fees, brokerage commissions, taxes or other expenses of investing. Securities in the Fund may not match those in an index.
Multi-Manager
Total Return Bond Strategies Fund | Annual Report 2019
|
3
|
Fund at a Glance (continued)
Performance of a
hypothetical $10,000 investment (April 20, 2012 — August 31, 2019)
The chart above shows the
change in value of a hypothetical $10,000 investment in Class A shares of Multi-Manager Total Return Bond Strategies 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 August 31, 2019)
|
Asset-Backed
Securities — Non-Agency
|
11.4
|
Commercial
Mortgage-Backed Securities - Agency
|
2.8
|
Commercial
Mortgage-Backed Securities - Non-Agency
|
6.6
|
Common
Stocks
|
0.0
(a)
|
Corporate
Bonds & Notes
|
30.7
|
Foreign
Government Obligations
|
3.0
|
Inflation-Indexed
Bonds
|
0.8
|
Money
Market Funds
|
4.0
|
Municipal
Bonds
|
0.4
|
Residential
Mortgage-Backed Securities - Agency
|
22.4
|
Residential
Mortgage-Backed Securities - Non-Agency
|
4.9
|
Senior
Loans
|
0.2
|
Treasury
Bills
|
1.3
|
U.S.
Government & Agency Obligations
|
0.3
|
U.S.
Treasury Obligations
|
11.2
|
Total
|
100.0
|
Percentages indicated are based
upon total investments excluding investments in derivatives, if any. The Fund’s portfolio composition is subject to change.
Quality
breakdown (%) (at August 31, 2019)
|
AAA
rating
|
55.3
|
AA
rating
|
4.7
|
A
rating
|
10.7
|
BBB
rating
|
21.2
|
BB
rating
|
2.6
|
B
rating
|
3.1
|
CCC
rating
|
0.6
|
CC
rating
|
0.3
|
C
rating
|
0.0
(a)
|
D
rating
|
0.2
|
Not
rated
|
1.3
|
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
4
|
Multi-Manager Total Return
Bond Strategies Fund | Annual Report 2019
|
Fund at a Glance (continued)
fact, and are subject to change, including daily. The ratings assigned by
credit rating agencies are but one of the considerations that the Investment Manager and/or Fund’s subadviser incorporates into its credit analysis process, along with such other issuer-specific factors as cash flows, capital structure and
leverage ratios, ability to de-leverage (repay) through free cash flow, quality of management, market positioning and access to capital, as well as such security-specific factors as the terms of the security (e.g., interest rate and time to
maturity) and the amount and type of any collateral.
Market
exposure through derivatives investments (% of notional exposure) (at August 31, 2019)(a)
|
|
Long
|
Short
|
Net
|
Fixed
Income Derivative Contracts
|
407.6
|
(307.6)
|
100.0
|
Total
Notional Market Value of Derivative Contracts
|
407.6
|
(307.6)
|
100.0
|
(a) The Fund has market exposure
(long and/or short) to fixed income through its investments in derivatives. The notional exposure of a financial instrument is the nominal or face amount that is used to calculate payments made on that instrument and/or changes in value for the
instrument. The notional exposure is a hypothetical underlying quantity upon which payment obligations are computed. Notional exposures provide a gauge for how the Fund may behave given changes in individual markets. For a description of the
Fund’s investments in derivatives, see Investments in derivatives following the Portfolio of Investments, and Note 2 of the Notes to Financial Statements.
Multi-Manager
Total Return Bond Strategies Fund | Annual Report 2019
|
5
|
Manager Discussion of Fund Performance
Effective December 6, 2018, Voya Investment Management Co. LLC
(Voya) began to manage a portion of the Fund’s assets. The Fund is currently managed by four independent money management firms, and each invests a portion of the portfolio’s assets. As of August 31, 2019, TCW Investment Management
Company LLC (TCW), Loomis, Sayles & Company, L.P. (Loomis Sayles), PGIM, Inc. (PGIM) and Voya managed approximately 26.8%, 20.9%, 27.0% and 25.4% of the portfolio, respectively.
For the 12-month period that ended August 31, 2019, the
Fund’s Class A shares returned 9.06%. While the Fund posted solid absolute gains, it underperformed its benchmark, the Bloomberg Barclays U.S. Aggregate Bond Index, which returned 10.17% over the same period. The Fund’s performance can
be attributed primarily to sector allocation, security selection and duration and yield curve positioning decisions as well as to fees and expenses that unmanaged indices do not incur.
Fixed-income markets gained amid heightened volatility
Global fixed-income markets experienced a volatile 12-month
period ended August 31, 2019, dealing with a combination of slowing economic growth, persistently low inflation and the U.S. Federal Reserve’s (Fed’s) increasingly accommodative monetary policy. As recently as the fourth quarter of 2018,
the markets generally anticipated the Fed would continue to slowly raise interest rates for at least another 12 months. Increased concerns about trade policy, the yield curve, Brexit (the U.K.’s departure from the European Union), global
economic growth and global monetary policy caused spreads, or yield differentials of non-U.S. Treasury securities to duration-equivalent U.S. Treasuries, to widen during the fourth quarter of 2018. However, performance bounced back in the first
quarter of 2019 amid reduced fears of a global recession and a more dovish Fed. The change in the outlook for Fed policy fueled a strong, broad-based rally in bonds during the second quarter of 2019. Then, in July 2019, the Fed cut interest rates
for the first time since 2008, citing global economic growth concerns and the U.S.-China trade tensions as its reasons. At the end of the period, the market was pricing in more than four interest rate cuts in the U.S. during the next 12 months,
should inflation remain low and manufacturing indices around the world continue to weaken.
Further supporting the fixed-income markets were U.S. trade
disputes, especially those with China, which dominated headlines for much of the period, putting pressure on risk assets. In August 2019, the ongoing trade dispute between the U.S. and China escalated further, as the U.S. President implemented a
timetable for tariffs on the remaining imports not previously targeted. China responded with increased tariffs of their own, which resulted in the U.S. President increasing tariffs even further. The net result was that spreads widened for risk
assets and yields plummeted. The yield on the 10-year U.S. Treasury fell below 2% in mid-June 2019 for the first time since late 2016 and ended the period at 1.50%. The yield on the 30-year U.S. Treasury also broke a record, falling to a low of
1.96% at the end of August 2019. All told, the yield on the 10-year U.S. Treasury fell 136 basis points (a basis point is 1/100th of a percentage point) during the period, and the yield on the 30-year U.S. Treasury fell approximately 105 basis
points. While rates fell across the spectrum of maturities, the U.S. Treasury yield curve flattened during the period. Notably, the period ended with yield curve inversion in the two-year to 10-year portion of the curve, meaning yields on shorter
term maturities were higher than those on longer term maturities.
For the period overall, municipal bonds led among fixed-income
sectors. Despite rising trade tensions, weakening global manufacturing indices, slowing business investment and generally sluggish global economic growth, corporate credit held up relatively well. Investment-grade corporate bonds ended the period
with performance better than that of U.S. Treasuries. Additionally, the likelihood of further global central bank easing and the attractiveness of corporate yields versus a number of negative and low yielding government bonds benefited the credit
sector. While high-yield corporate bonds produced positive returns overall, the sector underperformed both investment-grade corporate bonds and U.S. Treasuries for the period. Securitized assets posted positive returns, with asset-backed securities
and commercial mortgage-backed securities (CMBS) outperforming duration-matched U.S. Treasuries. Agency mortgage-backed securities also posted strong returns but trailed duration-matched U.S. Treasuries for the period.
Sector allocations, security selection and duration
positioning drove Fund returns
TCW: Our portion of the Fund outperformed the benchmark during the period. Having an underweight to corporate bonds contributed positively, as yield premiums increased, particularly in lower quality bonds and in those
industries with more market risk, such as energy and basic industry, while issue selection favoring communications and real estate investment trusts was also beneficial. Within our portion of the Fund’s allocation to securitized assets,
non-agency mortgage-backed securities benefited from favorable demand, contributing positively to relative results. CMBS holdings also added value, as
6
|
Multi-Manager Total Return
Bond Strategies Fund | Annual Report 2019
|
Manager Discussion of Fund Performance (continued)
they outpaced the benchmark on a duration-adjusted basis. A modest position
in Japanese government bonds, with the yen exposure fully hedged out using a dollar-yen cross currency swap, also boosted relative results. Finally, having a longer duration profile than the benchmark for most of the period benefited returns amid
the lower rate environment.
Partially offsetting these
positive contributors was our portion of the Fund’s relative underweight to municipal bonds and non-U.S. sovereign bonds, which detracted as yield spreads, or differentials to U.S. Treasuries, compressed in these sectors. Within the allocation
to securitized assets, exposure to agency mortgage-backed securities proved to be a drag on Fund performance as well.
Our portion of the Fund’s yield curve positioning had a
rather neutral effect on relative results during the period.
Loomis Sayles: Our portion of
the Fund outperformed the benchmark, driven primarily by effective security selection, though sector allocation decisions also lifted relative results. Our combined duration and yield curve positioning detracted.
More specifically, security selection in investment-grade
industrial, utilities and financials corporate bonds added value. Bond choices within the electric, consumer non-cyclical, banking and technology industries performed especially well during the period. Having an overweight allocation to
investment-grade financial and industrial corporate bonds, specifically within the banking, insurance, consumer cyclical and communications market segment, also contributed positively. Having an out-of-benchmark allocation to agency collateralized
mortgage obligations (CMOs) proved beneficial as well. An underweight allocation to U.S. Treasuries also aided performance, a position taken as we continued to favor risk assets during the period.
Partially offsetting these positive contributors was security
selection among agency CMBS and asset-backed securities, which detracted from performance. Within the asset-backed securities sector, choices among car loan issuers held back performance most. Also, having an overweight allocation to the electric
industry within the utilities segment of the investment-grade corporate bond sector hurt, more than offsetting effective security selection within the market segment. Having an underweight allocation to non-U.S. sovereign bonds also weighed on our
portion of the Fund’s relative returns.
While our
portion of the Fund’s overall duration was near neutral to that of the benchmark throughout the period, we favored mid- to longer duration securities and were underweight securities from the front, or short-term, end of the yield curve. Our
portion of the Fund’s duration stance proved modestly positive, but our yield curve positioning detracted from relative results, as interest rates fell and the yield curve flattened and then inverted.
PGIM: Our portion of the Fund
outperformed the benchmark, with sector allocation and duration and yield curve positioning contributing positively to relative results, more than offsetting security selection, which detracted.
More specifically, overweighted allocations to CMBS,
collateralized loan obligations (CLOs) and high-yield corporate bonds contributed positively to relative results. Issue selection within the CMBS sector also added value, especially our emphasis on high-quality securities with solid structural
support and select single-borrower names. Among CLOs, we favored senior tranches. Both CMBS and CLOs enabled our portion of the Fund to capture attractive yield in high-quality assets while diversifying from corporate sector-specific risks.
Positioning in non-U.S. sovereign bonds, agency securities, mortgage-backed securities, asset-backed securities and investment-grade corporate bonds were incremental positive contributors as well.
Our portion of the Fund had a longer duration than that of the
benchmark, which helped as yields fell during the period. Further, our portion of the Fund maintained a yield curve flattening bias, which boosted results, as the differential in yields between two-year and 10-year maturities narrowed and then
inverted slightly. Our portion of the Fund focused on the five-year to 10-year segment of the yield curve.
Security selection among U.S. Treasuries, interest rate swaps
and emerging markets debt detracted most. Among U.S. Treasuries, futures positions versus cash bonds accounted for the negative impact, while in interest rate swaps, swap wideners (a position anticipating a tightening of swap yields versus U.S.
Treasuries) hurt relative performance. Within the emerging markets debt sector, Argentina was the primary detractor. President Mauricio Macri of Argentina was unexpectedly trounced in the nation’s primary elections. As a result, both equity
and bond prices in Argentina plunged, reflecting investor fears of a takeover by populists who many believed would impose generous but fiscally irresponsible social spending programs.
Multi-Manager
Total Return Bond Strategies Fund | Annual Report 2019
|
7
|
Manager Discussion of Fund Performance (continued)
Voya: During the period from
December 6, 2018, when we assumed management of a portion of the Fund, through August 31, 2019 (the “reporting period”), our portion of the Fund modestly outperformed the benchmark due primarily to effective sector allocation. While our
portion of the Fund’s allocation to high-yield corporate bonds was rather modest, it was the most significant positive contributor to relative results during the reporting period. Investment-grade corporate bonds was also a strong positive
contributor. Having an underweight to U.S. Treasury securities in favor of higher yielding sectors contributed positively as well. Effective security selection among asset-backed securities also added value.
The main detractor from our portion of the Fund’s
relative results was interest rates, caused by the December 2018 implementation period (when we began managing a portion of the Fund’s assets.) Although we kept our portion of the Fund’s duration relatively neutral to that of the
benchmark during the reporting period, duration detracted due primarily to rate volatility during our onboarding process. Voya’s policy for investing new accounts is to hedge duration immediately to target, as our investment style
de-emphasizes value-add from duration. December 2018 and especially the day of our funding was extremely volatile. Both duration and yield curve positioning outside of December 2018 had a rather neutral affect on performance.
Also, our portion of the Fund was positioned to capitalize on
the relative strength of the U.S. consumer by strategically overweighting securitized credit, which added value overall. However, overweight exposure to asset-backed securities and agency mortgage-backed securities detracted, as each of these
sectors underperformed the benchmark during the reporting period.
Shifting market conditions drove portfolio changes
The Fund’s portfolio turnover rate for the 12-month
period was 219%. A significant portion of the turnover was the result of rolling-maturity mortgage securities, processing of prepayments and opportunistic changes our managers made at the margin in response to valuations or market
developments.
TCW: As
rates marched higher in 2018, we extended our portion of the Fund’s duration in a disciplined fashion, dollar cost averaging the position to approximately 0.2 years longer than that of the benchmark at the end of December 2018 on the better
yield compensation. Similarly, we adjusted the duration position as rates fell during the remainder of the period, moving first to a neutral position and then closing August 2019 at one-tenth of a year shorter than the benchmark, given the low level
of interest rates.
In terms of sector allocation,
our portion of the Fund’s overall positioning remained defensive, with corporate credit emphasizing regulated financials and industries like communications, consumer non-cyclicals and real estate investment trusts. Of note, as risk premiums
increased in the fourth quarter of 2018, our portion of the Fund took advantage of the market volatility by incrementally adding to its credit allocation. Consistent with our value discipline, we subsequently trimmed the exposure as spreads
tightened in early 2019. An emphasis on the senior area of the securitized markets remained intact, though we actively sought attractive opportunities to add risk exposure. We trimmed and then exited our portion of the Fund’s position in
Japanese government bonds when we felt the relative value proposition no longer existed.
At the end of the period, our portion of the Fund remained
committed to a disciplined, value-based approach. Overall, our portion of the Fund remained conservative at the end of the period, emphasizing higher quality and non-cyclical parts of the corporate market and senior areas of securitized markets. In
the corporate bond sector, small yield premiums and historically high leverage influenced our preference for defensive and regulated sectors, such as U.S. financials with limited re-leveraging risk and reasonable yield premiums and high-quality,
less risk-sensitive industrials. Although positioning reflected some caution, we continued to look for attractive relative value opportunities across a wide variety of sectors as we actively manage our portion of the Fund. Securitized products,
which can provide protection from excesses in credit markets and offer, in our view, opportunities for attractive risk-adjusted returns, represented a relative overweight within our portion of the Fund at the end of the period. Exposure to CMBS
favored agency issues. An overweight to asset-backed securities was focused on high-quality non-traditional collateral, such as government guaranteed student loan receivables. Finally, non-agency mortgage-backed securities holdings emphasized
securities with what we believed to be better relative quality and near-term cash flows. Exposure to agency mortgage-backed securities was slightly overweight the benchmark at the end of the period.
8
|
Multi-Manager Total Return
Bond Strategies Fund | Annual Report 2019
|
Manager Discussion of Fund Performance (continued)
Loomis Sayles: As valuations
shifted during the period, our portion of the Fund’s risk posture was slightly reduced, with a decrease in corporate bond risk more than offsetting an increase in agency mortgage-backed securities risk. We also reduced our portion of the
Fund’s exposure to asset-backed securities but maintained a rather neutral weighting relative to the benchmark. Among securitized agency securities, we reduced exposure to mortgage-backed securities pass throughs and increased our portion of
the Fund’s allocation to CMOs. We have and continue to monitor exposures, position sizes and risk tolerance within our portion of the Fund’s portfolio, closely watching market events and trading levels for potential opportunities. We
maintained an overall duration that was neutral to that of the benchmark throughout but tilted partial durations toward mid to longer duration securities, as we anticipated a yield curve flattening, which did indeed materialize.
At the end of the period, our portion of the Fund was
overweight relative to the benchmark in investment-grade corporate bonds, particularly the banking, insurance, consumer cyclical, capital goods, transportation and electric industries, as well as CMOs and asset-backed securities, the latter via auto
loans. Our portion of the Fund was underweight on a relative basis to U.S. Treasuries, mortgage-backed security passthroughs and government-related securities, such as supranationals and sovereign bonds. We were targeting a neutral duration position
at the end of the period.
PGIM: Cognizant of the late stage of the economic and credit cycle and, particularly of the Fed’s bias shift beginning in December 2018 to cutting interest rates, we decreased our portion of the Fund’s overall
portfolio risk during the period, both via reducing credit exposure and within our duration and yield curve strategy. For example, within the corporate credit sector, we reduced exposure to longer duration industrial bonds, where leverage and
downgrades have been more prominent, in favor of less economically sensitive financials and utilities bonds. Similarly, high-yield corporate bond exposure was reduced. We tactically adjusted duration throughout the period based on short-term market
fluctuations, but modestly reduced our portion of the Fund’s longer duration stance than the benchmark from the start to the end of the period. We decreased exposure to U.S. Treasuries and increased our portion of the Fund’s position in
cash.
At the end of the period, our portion of
the Fund was underweight U.S. Treasuries, mortgage-backed securities and, to a lesser extent, interest rate swaps and was overweight structured products, high-yield corporate bonds, emerging markets debt, municipal bonds and investment-grade
corporate bonds relative to the benchmark. Our portion of the Fund was rather neutrally weighted relative to the benchmark in the remaining components of the benchmark. As of August 31, 2019, our portion of the Fund had a duration approximately
one-quarter year longer than that of the benchmark.
Voya: In May and June 2019, we added to our portion of the Fund’s exposure to agency mortgage-backed securities based on valuations. The decline in U.S. Treasury yields weighed on the sector due to concerns over rising
pre-payment risk. We believed this was an attractive entry point to increase our allocation to the high-quality sector. Also, in line with our view to be strategically overweight securitized credit, we increased allocations to non-agency
mortgage-backed securities, attracted by valuations as well as by fundamentals that supported investment in mortgage credit. We also purchased a variety of 2019 vintage AAA-rated CMBS in June 2019. We were attracted by the fundamentals and our
belief that the sector is less susceptible to volatility related to the trade tensions between the U.S. and China. In addition, the sector was supported by the decline in financing rates on the heels of the decline in U.S. Treasury yields. We
reduced our portion of the Fund’s allocation to high-yield corporate bonds. Having started the reporting period with an overweight allocation to high-yield corporate bonds, the meaningful rally witnessed during the first quarter of 2019
compelled us to take profits, thereby reducing exposure. Also, in February 2019, we reduced our portion of the Fund’s allocation to CLOs based on headwinds related to receding demand for floating rate paper, as market expectations grew that
the Fed would soon reverse course and begin to cut interest rates.
At the end of the period, our portion of the Fund was
overweight agency mortgage-backed securities, non-agency mortgage-backed securities, asset-backed securities, CMBS and investment-grade corporate bonds relative to the benchmark. Our portion of the Fund also had exposure to high-yield corporate
bonds, which are not a component of the benchmark. Our portion of the Fund was underweight U.S. Treasuries and government-related issues relative to the benchmark and was rather neutrally weighted relative to the benchmark in emerging markets debt
at the end of the reporting period. As of August 31, 2019, our portion of the Fund had a neutral duration compared to that of the benchmark.
Multi-Manager
Total Return Bond Strategies Fund | Annual Report 2019
|
9
|
Manager Discussion of Fund Performance (continued)
Derivative positions in the Fund
Columbia Management Investment Advisers, LLC (CMIA) manages
a liquidity sleeve, which may be used to manage portfolio level risks. During the reporting period, this sleeve was used to reduce the overall level of credit risk and duration risk in the Fund. Specifically, CMIA implemented a credit hedge using
credit default swaps to reduce the exposure to high-yield corporate bonds held in the Fund’s sleeves managed by the Fund’s independent money management firms. While the hedge did reduce credit risk within the Fund, credit spreads
continued to tighten and resulted in a negative impact to the Fund, which offset the positive contribution from the underlying bonds held in the Fund’s other sleeves. In addition, the Fund used interest rate swaps and treasury futures to
reduce outright exposure to interest rates. This hedge was put in place during a period of rising interest rates in 2018 to protect against the capital erosion that may occur when interest rates rise causing bond prices to fall. While the Fund
initially benefitted from rising rates in the third quarter of 2018, as interest rates shifted from rising to falling in the fourth quarter of 2018, the hedge detracted. In 2019, the hedge was reduced and ultimately fully unwound in light of the
weakening economy that resulted in a shift in monetary policy by the Fed. Both hedges were fully closed during the second quarter of 2019. The overall impact of the hedges held in the liquidity sleeve contributed to the Fund’s underperformance
relative to its benchmark during the period.
TCW: Our portion of the Fund
held U.S. Treasury futures as a method of managing duration. The use of these futures was effectively used to manage duration and contributed positively to performance during the period. Our portion of the Fund also used currency swaps, maintaining
a position in Japanese government bonds, with the yen exposure fully hedged out using a U.S. dollar-yen cross currency swap given what we saw as an attractive yield premium. The currency swap position added value during the period. We exited the
swap position when the value proposition became, in our view, less attractive.
Loomis Sayles: Our portion of
the Fund used U.S. Treasury futures to help manage duration relative to the benchmark. The use of these futures detracted slightly from our portion of the Fund’s results during the period.
PGIM: Our portion of the Fund
utilized U.S. Treasury futures, interest rate swaps and overnight indexed swaps to hedge interest rate risk, duration and yield curve positioning and for relative value trading. Overall, positioning in U.S. Treasury futures, interest rate swaps and
overnight indexed swaps detracted from our portion of the Fund’s performance during the period.
Voya: Our portion of the Fund
used interest rate futures and credit default swaps on a variety of indices, the former to hedge duration and the latter for hedging credit risk and yield enhancement. The use of interest rate futures had a modestly positive effect on relative
results, while the use of credit default swaps detracted.
Market risk may affect a single
issuer, sector of the economy, industry or the market as a whole. Mortgage- and asset-backed securities are affected by interest rates, financial health of issuers/originators, creditworthiness of entities
providing credit enhancements and the value of underlying assets. Fixed-income securities present issuer default risk. Non-investment-grade (high-yield or junk)
securities present greater price volatility and more risk to principal and income than higher rated securities. 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. 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. 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. The Fund is managed by multiple advisers independently of one another, which may result in contradicting trades (i.e., with no net benefit to
the Fund), while increasing transaction costs. 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.
10
|
Multi-Manager Total Return
Bond Strategies 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 may include redemption fees. There are also ongoing fund costs, which generally include management fees, distribution and/or service fees, and other fund expenses. The following information is intended to help
you understand your ongoing costs (in dollars) of investing in the Fund and to help you compare these costs with the ongoing costs of investing in other mutual funds.
Analyzing your Fund’s expenses
To illustrate these ongoing costs, we have provided examples
and calculated the expenses paid by investors in each share class of the Fund during the period. The actual and hypothetical information in the table is based on an initial investment of $1,000 at the beginning of the period indicated and held for
the entire period. Expense information is calculated two ways and each method provides you with different information. The amount listed in the “Actual” column is calculated using the Fund’s actual operating expenses and total
return for the period. You may use the Actual information, together with the amount invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000
= 8.6), then multiply the results by the expenses paid during the period under the “Actual” column. The amount listed in the “Hypothetical” column assumes a 5% annual rate of return before expenses (which is not the
Fund’s actual return) and then applies the Fund’s actual expense ratio for the period to the hypothetical return. You should not use the hypothetical account values and expenses to estimate either your actual account balance at the end
of the period or the expenses you paid during the period. See “Compare with other funds” below for details on how to use the hypothetical data.
Compare with other funds
Since all mutual funds are required to include the same
hypothetical calculations about expenses in shareholder reports, you can use this information to compare the ongoing cost of investing in the Fund with other funds. To do so, compare the hypothetical example with the 5% hypothetical examples that
appear in the shareholder reports of other funds. As you compare hypothetical examples of other funds, it is important to note that hypothetical examples are meant to highlight the ongoing costs of investing in a fund only and do not reflect any
transaction costs, such as redemption or exchange fees. Therefore, the hypothetical calculations are useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. If transaction costs
were included in these calculations, your costs would be higher.
March
1, 2019 — August 31, 2019
|
|
Account
value at the
beginning of the
period ($)
|
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
|
1,076.70
|
1,021.26
|
3.96
|
3.85
|
0.76
|
Institutional
Class
|
1,000.00
|
1,000.00
|
1,079.10
|
1,022.51
|
2.66
|
2.59
|
0.51
|
Expenses paid during the period
are equal to the annualized expense ratio for each class as indicated above, multiplied by the average account value over the period and then multiplied by the number of days in the Fund’s most recent fiscal half year and divided by 365.
Expenses do not include fees and expenses incurred indirectly
by the Fund from its investment in underlying funds, including affiliated and non-affiliated pooled investment vehicles, such as mutual funds and exchange-traded funds.
Had Columbia Management Investment Advisers, LLC and/or certain
of its affiliates not waived/reimbursed certain fees and expenses, account value at the end of the period would have been reduced.
The Fund is offered only through certain wrap fee programs
sponsored and/or managed by Ameriprise Financial, Inc. or its affiliates. Participants in wrap fee programs pay other fees that are not included in the above table. Please refer to the wrap program documents for information about the fees
charged.
Multi-Manager
Total Return Bond Strategies Fund | Annual Report 2019
|
11
|
Portfolio of Investments
August 31, 2019
(Percentages represent value of investments compared to net
assets)
Investments in securities
Asset-Backed
Securities — Non-Agency 11.8%
|
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
ACC
Trust(a)
|
Series
2018-1 Class A
|
12/21/2020
|
3.700%
|
|
287,556
|
287,750
|
Allegro
CLO VII Ltd.(a),(b)
|
Series
2018-1A Class A
|
3-month
USD LIBOR + 1.100%
Floor 1.100%
06/13/2031
|
3.403%
|
|
7,500,000
|
7,454,452
|
Americredit
Automobile Receivables Trust
|
Series
2019-2 Class B
|
07/18/2024
|
2.540%
|
|
6,060,000
|
6,126,395
|
AmeriCredit
Automobile Receivables Trust
|
Series
2017-1 Class B
|
02/18/2022
|
2.300%
|
|
730,000
|
729,968
|
Series
2017-1 Class D
|
01/18/2023
|
3.130%
|
|
1,755,000
|
1,779,052
|
Subordinated,
Series 2016-3 Class C
|
04/08/2022
|
2.240%
|
|
6,430,000
|
6,433,805
|
Subordinated,
Series 2019-1 Class D
|
03/18/2025
|
3.620%
|
|
2,250,000
|
2,338,341
|
Anchorage
Capital CLO 11 Ltd.(a),(b)
|
Series
2019-11A Class A
|
3-month
USD LIBOR + 1.390%
Floor 1.390%
07/22/2032
|
3.534%
|
|
11,000,000
|
10,999,989
|
Anchorage
Capital CLO Ltd.(a),(b)
|
Series
2013-1A Class A1R
|
3-month
USD LIBOR + 1.250%
10/13/2030
|
3.553%
|
|
5,250,000
|
5,242,939
|
Series
2015-6A Class AR
|
3-month
USD LIBOR + 1.270%
07/15/2030
|
3.573%
|
|
11,500,000
|
11,487,085
|
Applebee’s
Funding LLC/IHOP Funding LLC(a)
|
Series
2019-1A Class A2I
|
06/07/2049
|
4.194%
|
|
1,050,000
|
1,090,821
|
Series
2019-1A Class AII
|
06/07/2049
|
4.723%
|
|
500,000
|
520,065
|
ArrowMark
Colorado Holdings(a),(b)
|
Series
2017-6A Class A1
|
3-month
USD LIBOR + 1.280%
07/15/2029
|
3.583%
|
|
2,250,000
|
2,250,097
|
Atlas
Senior Loan Fund Ltd.(a),(b)
|
Series
2017-8A Class A
|
3-month
USD LIBOR + 1.300%
01/16/2030
|
3.622%
|
|
5,250,000
|
5,245,947
|
Asset-Backed
Securities — Non-Agency (continued)
|
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
Atlas
Senior Loan Fund V Ltd.(a),(b)
|
Series
2014-1A Class AR2
|
3-month
USD LIBOR + 1.260%
07/16/2029
|
3.582%
|
|
13,750,000
|
13,754,909
|
Atrium
XII(a),(b)
|
Series
2012A Class AR
|
3-month
USD LIBOR + 0.830%
04/22/2027
|
3.108%
|
|
16,975,000
|
16,963,321
|
Atrium
XIII(a),(b)
|
Series
2013A Class A1
|
3-month
USD LIBOR + 1.180%
Floor 1.180%
11/21/2030
|
3.439%
|
|
2,500,000
|
2,497,580
|
Avis
Budget Rental Car Funding AESOP LLC(a)
|
Series
2015-1A Class A
|
07/20/2021
|
2.500%
|
|
3,300,000
|
3,303,739
|
Series
2016-1A Class A
|
06/20/2022
|
2.990%
|
|
2,800,000
|
2,834,347
|
Series
2016-2A Class A
|
11/20/2022
|
2.720%
|
|
6,700,000
|
6,773,868
|
Series
2017-2A Class A
|
03/20/2024
|
2.970%
|
|
750,000
|
768,677
|
Series
2019-2A Class A
|
09/22/2025
|
3.350%
|
|
2,175,000
|
2,283,427
|
Barings
CLO Ltd.(a),(b)
|
Series
2018-3A Class A1
|
3-month
USD LIBOR + 0.950%
07/20/2029
|
3.228%
|
|
3,000,000
|
2,987,112
|
Betony
CLO 2 Ltd.(a),(b)
|
Series
2018-1A Class A1
|
3-month
USD LIBOR + 1.080%
04/30/2031
|
3.346%
|
|
3,000,000
|
2,972,181
|
BlueMountain
CLO Ltd.(a),(b),(c)
|
Series
2016-2A Class A1R
|
3-month
USD LIBOR + 1.310%
Floor 1.310%
08/20/2032
|
3.100%
|
|
7,000,000
|
7,000,000
|
Burnham
Park CLO Ltd.(a),(b)
|
Series
2016-1A Class A
|
3-month
USD LIBOR + 1.430%
10/20/2029
|
3.708%
|
|
9,500,000
|
9,493,084
|
California
Republic Auto Receivables Trust
|
Series
2017-1 Class A4
|
06/15/2022
|
2.280%
|
|
4,038,125
|
4,040,691
|
Capital
Auto Receivables Asset Trust(a)
|
Series
2017-1 Class A3
|
08/20/2021
|
2.020%
|
|
617,885
|
617,360
|
The accompanying Notes to Financial Statements are an integral part
of this statement.
12
|
Multi-Manager Total Return
Bond Strategies Fund | Annual Report 2019
|
Portfolio of Investments (continued)
August 31, 2019
Asset-Backed
Securities — Non-Agency (continued)
|
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
Carbone
CLO Ltd.(a),(b)
|
Series
2017-1A Class A1
|
3-month
USD LIBOR + 1.140%
01/20/2031
|
3.418%
|
|
2,231,000
|
2,220,177
|
Carlyle
Global Market Strategies CLO Ltd.(a),(b)
|
Series
2013-3A Class A1AR
|
3-month
USD LIBOR + 1.100%
Floor 1.100%
10/15/2030
|
3.403%
|
|
4,000,000
|
3,977,524
|
Series
2014-1A Class A1R2
|
3-month
USD LIBOR + 0.970%
Floor 0.970%
04/17/2031
|
3.273%
|
|
7,000,000
|
6,931,414
|
Series
2014-3RA Class A1A
|
3-month
USD LIBOR + 1.050%
07/27/2031
|
3.306%
|
|
21,750,000
|
21,587,027
|
Carmax
Auto Owner Trust
|
Series
2019-2 Class C
|
02/18/2025
|
3.160%
|
|
3,270,000
|
3,378,476
|
Catamaran
CLO Ltd.(a),(b)
|
Series
2014-1A Class A1AR
|
3-month
USD LIBOR + 1.260%
04/22/2030
|
3.538%
|
|
13,750,000
|
13,725,429
|
Chancelight,
Inc.(a),(b)
|
Series
2012-2 Class A
|
1-month
USD LIBOR + 0.730%
04/25/2039
|
2.875%
|
|
928,609
|
927,501
|
CIFC
Funding Ltd.(a),(b)
|
Series
2015-1A Class ARR
|
3-month
USD LIBOR + 1.110%
Floor 1.110%
01/22/2031
|
3.388%
|
|
7,000,000
|
6,957,685
|
Series
2015-3A Class AR
|
3-month
USD LIBOR + 0.870%
04/19/2029
|
3.173%
|
|
6,000,000
|
5,955,366
|
Series
2017-5A Class A1
|
3-month
USD LIBOR + 1.180%
11/16/2030
|
3.483%
|
|
3,000,000
|
2,991,987
|
Series
2018-1A Class A
|
3-month
USD LIBOR + 1.000%
04/18/2031
|
3.300%
|
|
5,000,000
|
4,950,165
|
Series
2018-2A Class A1
|
3-month
USD LIBOR + 1.040%
04/20/2031
|
3.318%
|
|
12,000,000
|
11,907,024
|
CIG
Auto Receivables Trust(a)
|
Series
2017-1A
|
05/15/2023
|
2.710%
|
|
232,843
|
232,966
|
Asset-Backed
Securities — Non-Agency (continued)
|
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
CIT
Education Loan Trust(a),(b)
|
Series
2007-1 Class B
|
3-month
USD LIBOR + 0.300%
Floor 0.300%
06/25/2042
|
2.649%
|
|
673,995
|
616,069
|
CIT
Mortgage Loan Trust(a),(b)
|
Series
2007-1 Class 1A
|
1-month
USD LIBOR + 1.350%
Floor 1.350%
10/25/2037
|
3.495%
|
|
7,095,869
|
7,170,709
|
Commonbond
Student Loan Trust(a)
|
Series
2018-CGS Class B
|
02/25/2046
|
4.250%
|
|
750,000
|
786,370
|
CPS
Auto Receivables Trust(a)
|
Series
2018-A Class C
|
12/15/2023
|
3.050%
|
|
625,000
|
627,921
|
Subordinated,
Series 2017-C Class B
|
07/15/2021
|
2.300%
|
|
441,321
|
441,291
|
Credit
Acceptance Auto Loan Trust(a)
|
Series
2017-1A Class A
|
10/15/2025
|
2.560%
|
|
259,241
|
259,245
|
Series
2018-2A Class A
|
05/17/2027
|
3.470%
|
|
515,000
|
523,763
|
DB
Master Finance LLC(a)
|
Series
2017-1A Class A2II
|
11/20/2047
|
4.030%
|
|
1,228,125
|
1,281,106
|
Series
2019-1A Class A23
|
05/20/2049
|
4.352%
|
|
1,197,000
|
1,270,726
|
Series
2019-1A Class A2II
|
05/20/2049
|
4.021%
|
|
648,375
|
670,905
|
Diamond
Resorts Owner Trust(a)
|
Series
2018-1 Class A
|
01/21/2031
|
3.700%
|
|
2,919,262
|
2,981,716
|
Domino’s
Pizza Master Issuer LLC(a)
|
Series
2017-1A Class A2II
|
07/25/2047
|
3.082%
|
|
1,078,000
|
1,082,808
|
Series
2018-1A Class A2I
|
07/25/2048
|
4.116%
|
|
1,481,250
|
1,559,134
|
Drive
Auto Receivables Trust
|
Series
2019-3 Class B
|
02/15/2024
|
2.650%
|
|
4,010,000
|
4,039,196
|
Subordinated,
Series 2018-1 Class B
|
02/15/2022
|
2.880%
|
|
9,275
|
9,276
|
Driven
Brands Funding LLC(a)
|
Series
2019-1A Class A2
|
04/20/2049
|
4.641%
|
|
1,791,000
|
1,917,980
|
The accompanying Notes to Financial Statements are an integral part
of this statement.
Multi-Manager
Total Return Bond Strategies Fund | Annual Report 2019
|
13
|
Portfolio of Investments (continued)
August 31, 2019
Asset-Backed
Securities — Non-Agency (continued)
|
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
Dryden
33 Senior Loan Fund(a),(b)
|
Series
2014-33A Class AR2
|
3-month
USD LIBOR + 1.230%
Floor 1.230%
04/15/2029
|
3.533%
|
|
5,000,000
|
5,001,150
|
Dryden
49 Senior Loan Fund(a),(b)
|
Series
2017-49A Class A
|
3-month
USD LIBOR + 1.210%
07/18/2030
|
3.510%
|
|
3,150,000
|
3,152,574
|
Dryden
75 CLO Ltd.(a),(b)
|
Series
2019-75A Class AR
|
3-month
USD LIBOR + 1.200%
Floor 1.200%
07/15/2030
|
3.534%
|
|
4,000,000
|
3,998,212
|
Dryden
CLO Ltd.(a),(b)
|
Series
2018-71A Class A
|
3-month
USD LIBOR + 1.150%
Floor 1.150%
01/15/2029
|
3.453%
|
|
5,500,000
|
5,500,451
|
DT
Auto Owner Trust(a)
|
Series
2018-2A Class C
|
03/15/2024
|
3.670%
|
|
4,120,000
|
4,180,568
|
Series
2019-1A Class C
|
11/15/2024
|
3.610%
|
|
2,490,000
|
2,538,554
|
Series
2019-2A Class C
|
02/18/2025
|
3.180%
|
|
2,250,000
|
2,288,690
|
Subordinated,
Series 2017-1 Class C
|
11/15/2022
|
2.700%
|
|
38,350
|
38,350
|
Earnest
Student Loan Program LLC(a),(b)
|
Series
2016-D Class A1
|
1-month
USD LIBOR + 1.400%
Floor 1.400%
01/25/2041
|
3.545%
|
|
194,780
|
194,836
|
Education
Loan Asset-Backed Trust I(a),(b)
|
Series
2013-1 Class A2
|
1-month
USD LIBOR + 0.800%
Floor 0.800%
04/26/2032
|
2.945%
|
|
4,650,000
|
4,615,280
|
Educational
Funding of the South, Inc.(b)
|
Series
2011-1 Class A2
|
3-month
USD LIBOR + 0.650%
Floor 0.650%
04/25/2035
|
2.926%
|
|
1,960,933
|
1,947,481
|
EFS
Volunteer No. 2 LLC(a),(b)
|
Series
2012-1 Class A2
|
1-month
USD LIBOR + 1.350%
Floor 1.350%
03/25/2036
|
3.495%
|
|
2,700,000
|
2,720,279
|
Asset-Backed
Securities — Non-Agency (continued)
|
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
Elevation
CLO Ltd.(a),(b)
|
Series
2014-2A Class A1R
|
3-month
USD LIBOR + 1.230%
10/15/2029
|
3.533%
|
|
13,000,000
|
13,000,559
|
Series
2017-7A Class A
|
3-month
USD LIBOR + 1.220%
07/15/2030
|
3.523%
|
|
4,750,000
|
4,737,669
|
Ellington
CLO II Ltd.(a),(b)
|
Series
2017-2A Class A
|
3-month
USD LIBOR + 1.700%
Floor 1.700%
02/15/2029
|
3.858%
|
|
20,000,000
|
20,049,820
|
Enterprise
Fleet Financing LLC(a)
|
Series
2016-2 Class A2
|
02/22/2022
|
1.740%
|
|
16,889
|
16,881
|
Exeter
Automobile Receivables Trust(a)
|
Series
2017-3A Class A
|
12/15/2021
|
2.050%
|
|
211,105
|
210,947
|
Series
2018-1A Class B
|
04/15/2022
|
2.750%
|
|
1,962,168
|
1,964,139
|
Series
2018-2A Class B
|
05/16/2022
|
3.270%
|
|
5,400,000
|
5,416,170
|
Series
2019-2A Class B
|
05/15/2023
|
3.060%
|
|
695,000
|
703,391
|
First
Investors Auto Owner Trust(a)
|
Series
2017-1A Class A2
|
03/15/2022
|
2.200%
|
|
1,217,659
|
1,216,994
|
Flagship
Credit Auto Trust(a)
|
Subordinated,
Series 2015-3 Class B
|
03/15/2022
|
3.680%
|
|
301,920
|
302,325
|
Subordinated,
Series 2016-2
|
09/15/2022
|
3.840%
|
|
1,855,000
|
1,860,999
|
Subordinated,
Series 2016-3 Class B
|
06/15/2021
|
2.430%
|
|
326,696
|
326,697
|
Subordinated,
Series 2016-4 Class B
|
10/15/2021
|
2.410%
|
|
595,929
|
595,840
|
Subordinated,
Series 2018-2 Class B
|
05/15/2023
|
3.560%
|
|
3,869,000
|
3,947,370
|
Subordinated,
Series 2018-4 Class B
|
10/16/2023
|
3.880%
|
|
1,600,000
|
1,648,402
|
Ford
Credit Auto Owner Trust(a)
|
Series
2015-2 Class A
|
01/15/2027
|
2.440%
|
|
2,655,000
|
2,662,226
|
Series
2017-2 Class A
|
03/15/2029
|
2.360%
|
|
7,075,000
|
7,165,998
|
Series
2018-1 Class A
|
07/15/2031
|
3.190%
|
|
7,110,000
|
7,498,243
|
The accompanying Notes to Financial Statements are an integral part
of this statement.
14
|
Multi-Manager Total Return
Bond Strategies Fund | Annual Report 2019
|
Portfolio of Investments (continued)
August 31, 2019
Asset-Backed
Securities — Non-Agency (continued)
|
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
Ford
Credit Floorplan Master Owner Trust
|
Series
2018-4 Class A
|
11/15/2030
|
4.060%
|
|
7,600,000
|
8,542,080
|
Galaxy
XV CLO Ltd.(a),(b)
|
Series
2013-15A Class AR
|
3-month
USD LIBOR + 1.200%
10/15/2030
|
3.503%
|
|
2,225,000
|
2,214,227
|
Global
SC Finance II SRL(a)
|
Series
2014-1A Class A2
|
07/17/2029
|
3.090%
|
|
1,885,542
|
1,905,222
|
GLS
Auto Receivables Issuer Trust(a)
|
Series
2019-2A Class A
|
04/17/2023
|
3.060%
|
|
2,816,202
|
2,832,937
|
GLS
Auto Receivables Trust(a)
|
Subordinated,
Series 2018-3A Class B
|
08/15/2023
|
3.780%
|
|
3,705,000
|
3,774,658
|
Goal
Capital Funding Trust(b)
|
Series
2006-1 Class B
|
3-month
USD LIBOR + 0.450%
Floor 0.450%
08/25/2042
|
2.582%
|
|
870,894
|
801,330
|
Greenwood
Park CLO Ltd.(a),(b)
|
Series
2018-1A Class A2
|
3-month
USD LIBOR + 1.010%
04/15/2031
|
3.313%
|
|
15,000,000
|
14,856,300
|
Henderson
Receivables LLC(a)
|
Series
2013-3A Class A
|
01/17/2073
|
4.080%
|
|
2,044,118
|
2,252,935
|
Series
2014-2A Class A
|
01/17/2073
|
3.610%
|
|
2,537,323
|
2,742,526
|
Hertz
Vehicle Financing II LP(a)
|
Series
2015-3A Class A
|
09/25/2021
|
2.670%
|
|
1,390,000
|
1,396,019
|
Series
2016-2A Class A
|
03/25/2022
|
2.950%
|
|
6,270,000
|
6,327,543
|
Higher
Education Funding I(a),(b)
|
Series
2014-1 Class A
|
3-month
USD LIBOR + 1.050%
Floor 1.050%
05/25/2034
|
3.182%
|
|
3,818,318
|
3,829,674
|
ICG
US CLO Ltd.(a),(b)
|
Series
2017-2A Class A1
|
3-month
USD LIBOR + 1.280%
10/23/2029
|
3.539%
|
|
1,000,000
|
1,000,385
|
JG
Wentworth XLIII LLC(a)
|
Series
2019-1A Class A
|
08/17/2071
|
3.820%
|
|
1,280,037
|
1,397,569
|
Asset-Backed
Securities — Non-Agency (continued)
|
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
KKR
CLO Ltd.(a),(b)
|
Series
2018 Class A
|
3-month
USD LIBOR + 1.270%
07/18/2030
|
3.570%
|
|
9,000,000
|
8,991,252
|
KVK
CLO Ltd.(a),(b)
|
Series
2018-1A Class A
|
3-month
USD LIBOR + 0.930%
05/20/2029
|
3.066%
|
|
17,000,000
|
16,934,788
|
LCM
XIII LP(a),(b)
|
Series
2013A Class ARR
|
3-month
USD LIBOR + 1.140%
07/19/2027
|
3.325%
|
|
5,500,000
|
5,500,407
|
LCM
XXIV Ltd.(a),(b)
|
Series
2024A Class A
|
3-month
USD LIBOR + 1.310%
Floor 1.310%
03/20/2030
|
3.588%
|
|
4,750,000
|
4,757,685
|
LCM
XXV Ltd.(a),(b)
|
Series
2025A Class A
|
3-month
USD LIBOR + 1.210%
07/20/2030
|
3.488%
|
|
1,643,000
|
1,640,213
|
Lendmark
Funding Trust(a)
|
Series
2018-1A Class A
|
12/21/2026
|
3.810%
|
|
7,200,000
|
7,309,592
|
Series
2019-1A Class A
|
12/20/2027
|
3.000%
|
|
4,000,000
|
4,031,810
|
Madison
Park Funding XIX Ltd.(a),(b)
|
Series
2015-19A Class B1R
|
3-month
USD LIBOR + 2.300%
Floor 2.300%
01/22/2028
|
4.578%
|
|
3,000,000
|
2,999,898
|
Magnetite
VII Ltd.(a),(b)
|
Series
2012-7A Class A1R2
|
3-month
USD LIBOR + 0.800%
01/15/2028
|
3.103%
|
|
710,000
|
705,029
|
Magnetite
XVII Ltd.(a),(b)
|
Series
2016-17A Class AR
|
3-month
USD LIBOR + 1.100%
07/20/2031
|
3.378%
|
|
1,050,000
|
1,046,827
|
Mariner
CLO 5 Ltd.(a),(b)
|
Series
2018-5A Class A
|
3-month
USD LIBOR + 1.110%
Floor 1.110%
04/25/2031
|
3.386%
|
|
5,500,000
|
5,462,589
|
Mariner
Finance Issuance Trust(a)
|
Series
2017-BA Class A
|
12/20/2029
|
2.920%
|
|
6,145,000
|
6,158,035
|
Series
2019-AA Class A
|
07/20/2032
|
2.960%
|
|
1,300,000
|
1,311,337
|
The accompanying Notes to Financial Statements are an integral part
of this statement.
Multi-Manager
Total Return Bond Strategies Fund | Annual Report 2019
|
15
|
Portfolio of Investments (continued)
August 31, 2019
Asset-Backed
Securities — Non-Agency (continued)
|
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
Marlette
Funding Trust(a)
|
Series
2019-3A Class B
|
09/17/2029
|
3.070%
|
|
2,050,000
|
2,073,220
|
Subordinated
Series 2018-4A Class C
|
12/15/2028
|
4.910%
|
|
1,000,000
|
1,039,917
|
Subordinated,
Series 2017-3A Class C
|
12/15/2024
|
4.010%
|
|
5,000,000
|
5,051,143
|
Massachusetts
Educational Financing Authority
|
Series
2018-A Class A
|
05/25/2033
|
3.850%
|
|
4,633,202
|
4,922,669
|
Merlin
Aviation Holdings DAC(a)
|
Series
2016-1 Class A
|
12/15/2032
|
4.500%
|
|
853,972
|
874,723
|
Midocean
Credit CLO VIII(a),(b)
|
Series
2018-8A Class A1
|
3-month
USD LIBOR + 1.150%
02/20/2031
|
3.286%
|
|
8,000,000
|
7,981,560
|
Series
2018-8A Class B
|
3-month
USD LIBOR + 1.650%
02/20/2031
|
3.786%
|
|
6,600,000
|
6,499,654
|
Mid-State
Capital Corp. Trust(a)
|
Series
2006-1 Class A
|
10/15/2040
|
5.787%
|
|
1,029,949
|
1,144,830
|
Mid-State
Trust VII
|
Series
7 Class A (AMBAC)
|
12/15/2036
|
6.340%
|
|
1,138,332
|
1,207,904
|
Mill
City Solar Loan Ltd.(a)
|
Series
2019-1A Class A
|
03/20/2043
|
4.340%
|
|
1,986,942
|
2,057,648
|
Series
2019-2GS Class A
|
07/20/2043
|
3.690%
|
|
2,124,239
|
2,169,393
|
Mosaic
Solar Loan Trust(a)
|
Series
2019-1A Class A
|
12/21/2043
|
4.370%
|
|
2,388,837
|
2,478,673
|
Subordinated,
Series 2018-2GS Class B
|
02/22/2044
|
4.740%
|
|
2,500,000
|
2,557,665
|
Mosaic
Solar Loans LLC(a)
|
Series
2017-2A Class A
|
06/22/2043
|
3.820%
|
|
1,192,110
|
1,227,384
|
Mountain
View CLO LLC(a),(b)
|
Series
2017-2A Class A
|
3-month
USD LIBOR + 1.210%
01/16/2031
|
3.532%
|
|
6,500,000
|
6,442,715
|
Navient
Student Loan Trust(b)
|
Series
2014-2 Class A
|
1-month
USD LIBOR + 0.640%
Floor 0.640%
03/25/2083
|
2.785%
|
|
5,486,451
|
5,429,495
|
Asset-Backed
Securities — Non-Agency (continued)
|
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
Series
2014-3 Class A
|
1-month
USD LIBOR + 0.620%
Floor 0.620%
03/25/2083
|
2.765%
|
|
5,694,095
|
5,600,537
|
Series
2014-4 Class A
|
1-month
USD LIBOR + 0.620%
Floor 0.620%
03/25/2083
|
2.765%
|
|
2,549,724
|
2,485,561
|
Navient
Student Loan Trust(a),(b)
|
Series
2017-1A Class A3
|
1-month
USD LIBOR + 1.150%
07/26/2066
|
3.295%
|
|
3,530,000
|
3,582,652
|
Series
2017-3A Class A3
|
1-month
USD LIBOR + 1.050%
07/26/2066
|
3.195%
|
|
13,281,000
|
13,347,244
|
Nelnet
Student Loan Trust(a),(b)
|
Series
2014-4A Class A2
|
1-month
USD LIBOR + 0.950%
Floor 0.950%
11/25/2048
|
3.095%
|
|
4,210,000
|
4,163,645
|
Series
2019-4A Class A
|
1-month
USD LIBOR + 0.870%
Floor 0.870%
09/26/2067
|
3.039%
|
|
5,500,000
|
5,502,473
|
Neuberger
Berman CLO XVII Ltd.(a),(b)
|
Series
2014-17A Class CR
|
3-month
USD LIBOR + 2.650%
04/22/2029
|
4.928%
|
|
2,000,000
|
1,991,616
|
Neuberger
Berman CLO XVI-S Ltd.(a),(b)
|
Series
2017-16SA Class A
|
3-month
USD LIBOR + 0.850%
01/15/2028
|
3.153%
|
|
7,000,000
|
6,986,714
|
Neuberger
Berman Loan Advisers CLO 33 Ltd.(a),(b),(c),(d),(e)
|
Series
2019-33A Class C
|
3-month
USD LIBOR + 2.450%
10/16/2032
|
0.000%
|
|
2,000,000
|
2,000,000
|
NextGear
Floorplan Master Owner Trust(a)
|
Series
2016-2A Class A2
|
09/15/2021
|
2.190%
|
|
1,845,000
|
1,844,655
|
Series
2017-1A Class A2
|
04/18/2022
|
2.540%
|
|
2,990,000
|
2,993,687
|
Series
2017-2A Class A2
|
10/17/2022
|
2.560%
|
|
595,000
|
596,566
|
Series
2018-1A Class A2
|
02/15/2023
|
3.220%
|
|
2,230,000
|
2,256,038
|
OCP
CLO Ltd.(a),(b)
|
Series
2017-13A Class A1A
|
3-month
USD LIBOR + 1.260%
07/15/2030
|
3.563%
|
|
4,500,000
|
4,492,566
|
The accompanying Notes to Financial Statements are an integral part
of this statement.
16
|
Multi-Manager Total Return
Bond Strategies Fund | Annual Report 2019
|
Portfolio of Investments (continued)
August 31, 2019
Asset-Backed
Securities — Non-Agency (continued)
|
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
Octagon
Investment Partners 25 Ltd.(a),(b)
|
Series
2015-1A Class AR
|
3-month
USD LIBOR + 0.800%
Floor 0.800%
10/20/2026
|
3.078%
|
|
5,000,000
|
4,995,635
|
Octagon
Investment Partners 30 Ltd.(a),(b)
|
Series
2017-1A Class A1
|
3-month
USD LIBOR + 1.320%
03/17/2030
|
3.598%
|
|
5,550,000
|
5,563,953
|
OneMain
Direct Auto Receivables Trust(a)
|
Series
2017-1A Class B
|
06/15/2021
|
2.880%
|
|
1,577,908
|
1,577,220
|
Series
2019-1A Class A
|
09/14/2027
|
3.630%
|
|
6,900,000
|
7,267,161
|
Subordinated,
Series 2017-2A Class D
|
10/15/2024
|
3.420%
|
|
1,200,000
|
1,208,949
|
Subordinated,
Series 2018-1A Class B
|
04/14/2025
|
3.710%
|
|
11,400,000
|
11,720,595
|
Subordinated,
Series 2019-1A Class B
|
11/14/2028
|
3.950%
|
|
1,500,000
|
1,588,929
|
OneMain
Financial Issuance Trust(a)
|
Series
2018-1A Class A
|
03/14/2029
|
3.300%
|
|
13,075,000
|
13,349,836
|
Subordinated,
Series 2017-1A Class B
|
09/14/2032
|
2.790%
|
|
1,000,000
|
1,009,286
|
Subordinated,
Series 2017-1A Class C
|
09/14/2032
|
3.350%
|
|
800,000
|
824,576
|
OZLM
Funding IV Ltd.(a),(b)
|
Series
2013-4A
|
3-month
USD LIBOR + 1.250%
10/22/2030
|
3.528%
|
|
14,000,000
|
13,945,372
|
Palmer
Square CLO Ltd.(a),(b)
|
Series
2014-1A Class A1R2
|
3-month
USD LIBOR + 1.130%
Floor 1.130%
01/17/2031
|
3.433%
|
|
8,000,000
|
7,949,600
|
Series
2015-2A Class A1AR
|
3-month
USD LIBOR + 1.270%
07/20/2030
|
3.548%
|
|
11,750,000
|
11,744,959
|
Park
Avenue Institutional Advisers CLO Ltd.(a),(b)
|
Series
2017-1A Class A1
|
3-month
USD LIBOR + 1.220%
11/14/2029
|
3.395%
|
|
6,000,000
|
5,993,436
|
Planet
Fitness Master Issuer LLC(a)
|
Series
2018-1A Class A2II
|
09/05/2048
|
4.666%
|
|
3,999,775
|
4,217,704
|
Primose
Funding LLC(a)
|
Series
2019-1A Class A2
|
07/30/2049
|
4.475%
|
|
1,500,000
|
1,512,945
|
Asset-Backed
Securities — Non-Agency (continued)
|
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
Santander
Drive Auto Receivables Trust
|
Series
2019-3 Class C
|
10/15/2025
|
2.490%
|
|
850,000
|
854,186
|
Subordinated,
Series 2018-2 Class D
|
02/15/2024
|
3.880%
|
|
2,060,000
|
2,117,064
|
Subordinated,
Series 2018-5 Class C
|
12/16/2024
|
3.810%
|
|
4,660,000
|
4,757,436
|
Subordinated,
Series 2019-2 Class C
|
10/15/2024
|
2.900%
|
|
3,320,000
|
3,384,674
|
Subordinated,
Series 2019-2 Class D
|
07/15/2025
|
3.220%
|
|
1,750,000
|
1,792,576
|
Subordinated,
Series 2019-3 Class D
|
10/15/2025
|
2.680%
|
|
2,200,000
|
2,213,197
|
Santander
Retail Auto Lease Trust(a)
|
Series
2019-A Class B
|
05/22/2023
|
3.010%
|
|
1,500,000
|
1,530,273
|
SCF
Equipment Leasing LLC(a)
|
Series
2018-1A Class A2
|
10/20/2024
|
3.630%
|
|
4,684,208
|
4,698,413
|
Scholar
Funding Trust(a),(b)
|
Series
2011-A Class A
|
3-month
USD LIBOR + 0.900%
Floor 0.900%
10/28/2043
|
3.156%
|
|
597,941
|
598,343
|
Shackleton
VII CLO Ltd.(a),(b)
|
Series
2015-7RA Class A1
|
3-month
USD LIBOR + 1.170%
07/15/2031
|
3.473%
|
|
10,250,000
|
10,199,201
|
Shackleton
VR CLO Ltd.(a),(b)
|
Series
2014-5RA Class A
|
3-month
USD LIBOR + 1.100%
05/07/2031
|
3.309%
|
|
11,000,000
|
10,920,426
|
Sierra
Receivables Funding Co., LLC(a)
|
Series
2017-1A Class A
|
03/20/2034
|
2.910%
|
|
536,467
|
544,823
|
S-Jets
Ltd.(a)
|
Series
2017-1 Class A
|
08/15/2042
|
3.970%
|
|
2,023,667
|
2,076,945
|
SLM
Student Loan Trust(a),(b)
|
Series
2004-3 Class A6A
|
3-month
USD LIBOR + 0.550%
Floor 0.550%
10/25/2064
|
2.826%
|
|
5,120,000
|
5,035,900
|
SLM
Student Loan Trust(b)
|
Series
2008-2 Class A3
|
3-month
USD LIBOR + 0.750%
04/25/2023
|
3.026%
|
|
3,991,857
|
3,950,745
|
The accompanying Notes to Financial Statements are an integral part
of this statement.
Multi-Manager
Total Return Bond Strategies Fund | Annual Report 2019
|
17
|
Portfolio of Investments (continued)
August 31, 2019
Asset-Backed
Securities — Non-Agency (continued)
|
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
Series
2008-2 Class B
|
3-month
USD LIBOR + 1.200%
Floor 1.200%
01/25/2083
|
3.476%
|
|
1,165,000
|
1,111,867
|
Series
2008-3 Class B
|
3-month
USD LIBOR + 1.200%
Floor 1.200%
04/26/2083
|
3.476%
|
|
1,165,000
|
1,096,834
|
Series
2008-4 Class B
|
3-month
USD LIBOR + 1.850%
Floor 1.850%
04/25/2073
|
4.126%
|
|
1,165,000
|
1,173,869
|
Series
2008-5 Class B
|
3-month
USD LIBOR + 1.850%
Floor 1.850%
07/25/2073
|
4.126%
|
|
4,060,000
|
4,082,618
|
Series
2008-6 Class A4
|
3-month
USD LIBOR + 1.100%
07/25/2023
|
3.376%
|
|
5,872,758
|
5,849,616
|
Series
2008-6 Class B
|
3-month
USD LIBOR + 1.850%
Floor 1.850%
07/26/2083
|
4.126%
|
|
1,165,000
|
1,162,461
|
Series
2008-7 Class B
|
3-month
USD LIBOR + 1.850%
Floor 1.850%
07/26/2083
|
4.126%
|
|
1,165,000
|
1,161,738
|
Series
2008-8 Class B
|
3-month
USD LIBOR + 2.250%
Floor 2.250%
10/25/2075
|
4.526%
|
|
1,165,000
|
1,170,848
|
Series
2008-9 Class B
|
3-month
USD LIBOR + 2.250%
Floor 2.250%
10/25/2083
|
4.526%
|
|
1,165,000
|
1,191,219
|
Series
2011-1 Class A2
|
1-month
USD LIBOR + 1.150%
Floor 1.150%
10/25/2034
|
3.295%
|
|
3,285,000
|
3,321,801
|
Series
2012-2 Class A
|
1-month
USD LIBOR + 0.700%
Floor 0.700%
01/25/2029
|
2.845%
|
|
6,532,609
|
6,385,609
|
Series
2012-7 Class A3
|
1-month
USD LIBOR + 0.650%
Floor 0.650%
05/26/2026
|
2.795%
|
|
3,211,240
|
3,153,772
|
SoFi
Consumer Loan Program LLC(a)
|
Series
2017-3 Class B
|
05/25/2026
|
3.850%
|
|
2,800,000
|
2,877,055
|
Asset-Backed
Securities — Non-Agency (continued)
|
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
SoFi
Consumer Loan Program Trust(a)
|
Series
2018-2 Class A2
|
04/26/2027
|
3.350%
|
|
9,785,000
|
9,876,472
|
Subordinated,
Series 2019-1 Class D
|
02/25/2028
|
4.420%
|
|
4,000,000
|
4,137,704
|
Subordinated,
Series 2019-2 Class D
|
04/25/2028
|
4.200%
|
|
3,000,000
|
3,111,949
|
SoFi
Professional Loan Program LLC(a)
|
Series
2016-B Class A2B
|
10/25/2032
|
2.740%
|
|
1,544,750
|
1,562,298
|
Series
2016-C Class A2B
|
12/27/2032
|
2.360%
|
|
1,049,913
|
1,054,762
|
Series
2017-A Class A2B
|
03/26/2040
|
2.400%
|
|
805,000
|
809,834
|
Series
2017-D Class A2FX
|
09/25/2040
|
2.650%
|
|
1,500,000
|
1,524,325
|
Series
2017-E Class A2B
|
11/26/2040
|
2.720%
|
|
205,000
|
208,419
|
Series
2018-A Class A2B
|
02/25/2042
|
2.950%
|
|
335,000
|
343,766
|
Series
2019-A Class BFX
|
06/15/2048
|
4.110%
|
|
2,500,000
|
2,784,528
|
Series
2019-C Class BFX
|
11/16/2048
|
3.050%
|
|
1,500,000
|
1,523,778
|
Subordinated,
Series 2018-B Class BFX
|
08/25/2047
|
3.830%
|
|
2,700,000
|
2,886,451
|
Subordinated,
Series 2019-B Class BFX
|
08/17/2048
|
3.730%
|
|
2,500,000
|
2,664,248
|
SoFi
Professional Loan Program LLC(a),(b)
|
Series
2016-D Class A1
|
1-month
USD LIBOR + 0.950%
01/25/2039
|
3.095%
|
|
206,669
|
207,469
|
Sound
Point CLO II Ltd.(a),(b)
|
Series
2013-1A Class A1R
|
3-month
USD LIBOR + 1.070%
Floor 1.070%
01/26/2031
|
3.337%
|
|
6,000,000
|
5,938,038
|
Sound
Point CLO XVI Ltd.(a),(b)
|
Series
2017-2A Class A
|
3-month
USD LIBOR + 1.280%
07/25/2030
|
3.556%
|
|
6,250,000
|
6,249,875
|
Springleaf
Funding Trust(a)
|
Series
2016-AA Class A
|
11/15/2029
|
2.900%
|
|
4,170,633
|
4,174,660
|
Series
2017-AA Class A
|
07/15/2030
|
2.680%
|
|
4,500,000
|
4,505,597
|
Subordinated,
Series 2017-AA Class B
|
07/15/2030
|
3.100%
|
|
600,000
|
604,276
|
The accompanying Notes to Financial Statements are an integral part
of this statement.
18
|
Multi-Manager Total Return
Bond Strategies Fund | Annual Report 2019
|
Portfolio of Investments (continued)
August 31, 2019
Asset-Backed
Securities — Non-Agency (continued)
|
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
Sunrun
Athena Issuer LLC(a)
|
Series
2018-1 Class A
|
04/30/2049
|
5.310%
|
|
1,945,670
|
2,162,783
|
Sunrun
Callisto Issuer LLC(a),(d),(e)
|
Series
2019-1A Class A
|
06/30/2054
|
3.980%
|
|
1,907,277
|
1,980,570
|
Synchrony
Credit Card Master Note Trust
|
Series
2017-2 Class A
|
10/15/2025
|
2.620%
|
|
5,400,000
|
5,527,006
|
Telos
CLO Ltd.(a),(b)
|
Series
2013-4A Class AR
|
3-month
USD LIBOR + 1.240%
01/17/2030
|
3.543%
|
|
13,000,000
|
12,932,985
|
Tesla
Auto Lease Trust(a)
|
Series
2018-B Class C
|
10/20/2021
|
4.360%
|
|
1,800,000
|
1,841,314
|
THL
Credit Wind River CLO Ltd.(b)
|
Series
2016-1A Class CR
|
3-month
USD LIBOR + 2.100%
07/15/2028
|
4.403%
|
|
3,350,000
|
3,299,700
|
TIAA
CLO I Ltd.(a),(b)
|
Series
2016-1A Class AR
|
3-month
USD LIBOR + 1.200%
07/20/2031
|
3.478%
|
|
6,750,000
|
6,722,750
|
TICP
CLO I Ltd.(a),(b)
|
Series
2015-1A Class BR
|
3-month
USD LIBOR + 1.300%
07/20/2027
|
3.578%
|
|
10,000,000
|
9,960,170
|
TICP
CLO IX Ltd.(a),(b)
|
Series
2017-9A Class A
|
3-month
USD LIBOR + 1.140%
01/20/2031
|
3.418%
|
|
10,000,000
|
9,931,770
|
Trinitas
CLO VI Ltd.(a),(b)
|
Series
2017-6A Class A
|
3-month
USD LIBOR + 1.320%
07/25/2029
|
3.596%
|
|
6,000,000
|
6,000,528
|
Trinitas
CLO VII Ltd.(a),(b)
|
Series
2017-7A Class B
|
3-month
USD LIBOR + 1.600%
01/25/2031
|
3.876%
|
|
9,000,000
|
8,858,547
|
Voya
CLO Ltd.(a),(b)
|
Series
2013-1A Class A1AR
|
3-month
USD LIBOR + 1.210%
10/15/2030
|
3.513%
|
|
7,500,000
|
7,496,602
|
Series
2016-1A Class A1R
|
3-month
USD LIBOR + 1.070%
Floor 1.007%
01/20/2031
|
3.348%
|
|
10,000,000
|
9,936,050
|
Asset-Backed
Securities — Non-Agency (continued)
|
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
Voya
Ltd.(a),(b)
|
Series
2012-4A Class A1R
|
3-month
USD LIBOR + 1.450%
10/15/2028
|
3.753%
|
|
7,000,000
|
7,006,755
|
Wachovia
Student Loan Trust(a),(b)
|
Series
2006-1 Class A6
|
3-month
USD LIBOR + 0.170%
Floor 0.170%
04/25/2040
|
2.446%
|
|
8,696,756
|
8,399,439
|
Wellfleet
CLO Ltd.(a),(b)
|
Series
2018-1A Class SUB
|
3-month
USD LIBOR + 1.100%
Floor 1.100%
07/17/2031
|
3.403%
|
|
17,000,000
|
16,871,888
|
Wendy’s
Funding LLC(a)
|
Series
2018-1A Class A2II
|
03/15/2048
|
3.884%
|
|
985,000
|
1,021,543
|
Series
2019-1A Class A2I
|
06/15/2049
|
3.783%
|
|
3,450,000
|
3,565,540
|
Westlake
Automobile Receivables Trust(a)
|
Series
2019-1A Class B
|
10/17/2022
|
3.260%
|
|
4,525,000
|
4,580,970
|
Subordinated,
Series 2019-2A Class B
|
07/15/2024
|
2.620%
|
|
6,300,000
|
6,337,155
|
World
Financial Network Credit Card Master Trust
|
Series
2015-B Class A
|
06/17/2024
|
2.550%
|
|
5,030,000
|
5,052,593
|
York
CLO-6 Ltd.(a),(b)
|
Series
2019-1A Class A1
|
3-month
USD LIBOR + 1.350%
07/22/2032
|
3.516%
|
|
7,000,000
|
6,997,823
|
Zais
CLO 7 Ltd.(a),(b)
|
Series
2017-2A Class A
|
3-month
USD LIBOR + 1.290%
04/15/2030
|
3.593%
|
|
4,000,000
|
3,969,600
|
Zais
CLO 8 Ltd.(a),(b)
|
Series
2018-1A Class A
|
3-month
USD LIBOR + 0.950%
04/15/2029
|
3.253%
|
|
5,500,000
|
5,447,750
|
Zais
CLO 9 Ltd.(a),(b)
|
Series
2018-2A Class A
|
3-month
USD LIBOR + 1.200%
07/20/2031
|
3.478%
|
|
13,000,000
|
12,843,467
|
Total
Asset-Backed Securities — Non-Agency
(Cost $989,354,915)
|
996,281,879
|
|
Commercial
Mortgage-Backed Securities - Agency 2.9%
|
|
|
|
|
|
Federal
Home Loan Mortgage Corp.
|
01/01/2027
|
3.275%
|
|
2,930,391
|
3,153,891
|
08/01/2031
|
3.513%
|
|
2,754,273
|
3,013,500
|
The accompanying Notes to Financial Statements are an integral part
of this statement.
Multi-Manager
Total Return Bond Strategies Fund | Annual Report 2019
|
19
|
Portfolio of Investments (continued)
August 31, 2019
Commercial
Mortgage-Backed Securities - Agency (continued)
|
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
Federal
Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates(f),(g)
|
CMO
Series K028 Class X1
|
02/25/2023
|
0.403%
|
|
120,198,813
|
989,982
|
CMO
Series K055 Class X1
|
03/25/2026
|
1.499%
|
|
28,425,264
|
2,156,477
|
CMO
Series K057 Class X1
|
07/25/2026
|
1.324%
|
|
2,505,648
|
169,409
|
CMO
Series K059 Class X1
|
09/25/2026
|
0.435%
|
|
7,359,198
|
143,016
|
CMO
Series K060 Class X1
|
10/25/2026
|
0.197%
|
|
26,649,323
|
172,648
|
CMO
Series K152 Class X1
|
01/25/2031
|
1.102%
|
|
4,264,531
|
354,653
|
CMO
Series K718 Class X1
|
01/25/2022
|
0.729%
|
|
21,700,121
|
269,828
|
Series
K069 Class X1
|
09/25/2027
|
0.496%
|
|
39,464,106
|
1,100,042
|
Series
K091 Class X1
|
03/25/2029
|
0.704%
|
|
39,987,614
|
1,938,963
|
Series
K095 Class X1
|
06/25/2029
|
1.083%
|
|
53,325,000
|
4,249,229
|
Series
K728 Class X1
|
08/25/2024
|
0.531%
|
|
289,142,859
|
5,143,765
|
Series
K729 Class X1
|
10/25/2024
|
0.491%
|
|
182,238,573
|
2,922,141
|
Series
K735 Class X1
|
05/25/2026
|
1.103%
|
|
13,598,969
|
779,419
|
Federal
Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates
|
Series
K056 Class A2
|
05/25/2026
|
2.525%
|
|
6,137,000
|
6,371,605
|
Series
K074 Class A2
|
01/25/2028
|
3.600%
|
|
8,660,000
|
9,687,099
|
Series
K155 Class A3
|
04/25/2033
|
3.750%
|
|
6,935,000
|
8,041,552
|
Series
KJ18 Class A1
|
03/25/2022
|
2.455%
|
|
1,918,909
|
1,930,862
|
Federal
Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates(f)
|
Series
K157 Class A3
|
08/25/2033
|
3.990%
|
|
6,145,000
|
7,297,483
|
Series
K158 Class A3
|
10/25/2033
|
3.900%
|
|
4,385,000
|
5,160,020
|
Federal
National Mortgage Association
|
04/01/2027
|
3.320%
|
|
3,771,000
|
4,113,228
|
03/01/2028
|
3.690%
|
|
4,103,050
|
4,545,567
|
05/01/2028
|
2.780%
|
|
2,106,912
|
2,223,599
|
05/01/2028
|
3.010%
|
|
3,067,257
|
3,284,339
|
11/01/2028
|
2.810%
|
|
1,736,000
|
1,839,716
|
Commercial
Mortgage-Backed Securities - Agency (continued)
|
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
02/01/2029
|
4.140%
|
|
6,432,004
|
7,497,617
|
06/01/2029
|
3.210%
|
|
10,500,000
|
11,442,822
|
08/01/2029
|
3.245%
|
|
10,775,539
|
11,810,609
|
09/01/2029
|
3.180%
|
|
14,365,000
|
15,654,898
|
10/01/2029
|
3.200%
|
|
8,490,025
|
9,283,974
|
11/01/2029
|
3.100%
|
|
7,940,000
|
8,643,540
|
12/01/2029
|
3.090%
|
|
2,968,689
|
3,223,694
|
02/01/2030
|
3.370%
|
|
11,908,521
|
13,139,123
|
06/01/2030
|
3.710%
|
|
6,650,000
|
7,548,079
|
11/01/2030
|
3.820%
|
|
9,109,000
|
10,504,481
|
11/01/2031
|
2.770%
|
|
5,262,350
|
5,563,890
|
11/01/2031
|
3.400%
|
|
1,500,000
|
1,626,973
|
10/01/2032
|
3.180%
|
|
6,016,921
|
6,630,987
|
01/01/2037
|
3.610%
|
|
4,490,391
|
5,057,797
|
11/01/2037
|
3.210%
|
|
7,144,836
|
7,758,218
|
Federal
National Mortgage Association(f)
|
Series
2013-M6 Class 1AC
|
02/25/2043
|
3.670%
|
|
5,225,000
|
5,685,899
|
Government
National Mortgage Association(f),(g)
|
CMO
Series 2011-38 Class IO
|
04/16/2053
|
0.099%
|
|
8,858,155
|
171,815
|
CMO
Series 2013-162 Class IO
|
09/16/2046
|
0.717%
|
|
80,473,116
|
2,310,649
|
CMO
Series 2014-134 Class IA
|
01/16/2055
|
0.584%
|
|
23,748,346
|
519,398
|
CMO
Series 2015-101 Class IO
|
03/16/2052
|
0.824%
|
|
15,837,349
|
813,371
|
CMO
Series 2015-114
|
03/15/2057
|
0.935%
|
|
4,307,307
|
247,088
|
CMO
Series 2015-120 Class IO
|
03/16/2057
|
0.855%
|
|
18,567,424
|
1,018,874
|
CMO
Series 2015-125 Class IB
|
01/16/2055
|
1.285%
|
|
59,258,759
|
3,262,894
|
CMO
Series 2015-125 Class IO
|
07/16/2055
|
0.782%
|
|
46,183,347
|
2,029,001
|
CMO
Series 2015-146 Class IC
|
07/16/2055
|
0.844%
|
|
38,090,308
|
1,693,548
|
CMO
Series 2015-171 Class IO
|
11/16/2055
|
0.869%
|
|
12,907,546
|
709,594
|
CMO
Series 2015-174 Class IO
|
11/16/2055
|
0.939%
|
|
51,966,333
|
2,659,003
|
CMO
Series 2015-21 Class IO
|
07/16/2056
|
0.928%
|
|
12,404,166
|
660,464
|
CMO
Series 2015-29 Class EI
|
09/16/2049
|
0.750%
|
|
34,093,376
|
1,568,912
|
CMO
Series 2015-41 Class IO
|
09/16/2056
|
0.622%
|
|
5,335,793
|
235,899
|
CMO
Series 2015-6 Class IO
|
02/16/2051
|
0.719%
|
|
14,608,532
|
674,150
|
The accompanying Notes to Financial Statements are an integral part
of this statement.
20
|
Multi-Manager Total Return
Bond Strategies Fund | Annual Report 2019
|
Portfolio of Investments (continued)
August 31, 2019
Commercial
Mortgage-Backed Securities - Agency (continued)
|
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
CMO
Series 2015-70 Class IO
|
12/16/2049
|
1.030%
|
|
20,830,230
|
1,263,772
|
CMO
Series 2016-39 Class IO
|
01/16/2056
|
0.828%
|
|
7,134,696
|
386,396
|
Series
2014-101 Class IO
|
04/16/2056
|
0.817%
|
|
45,799,528
|
2,193,765
|
Series
2016-152 Class IO
|
08/15/2058
|
0.915%
|
|
21,540,913
|
1,569,428
|
Series
2017-168 Class IO
|
12/16/2059
|
0.657%
|
|
34,161,500
|
2,001,867
|
Series
2018-110 Class IA
|
11/16/2059
|
0.737%
|
|
50,258,061
|
3,004,397
|
Series
2018-2 Class IO
|
12/16/2059
|
0.786%
|
|
17,234,265
|
1,178,931
|
Government
National Mortgage Association(b)
|
CMO
Series 2013-H08 Class FA
|
1-month
USD LIBOR + 0.350%
Floor 0.350%, Cap 10.550%
03/20/2063
|
2.730%
|
|
586,454
|
585,000
|
Government
National Mortgage Association(f)
|
Series
2003-88 Class Z
|
03/16/2046
|
4.498%
|
|
692,198
|
730,153
|
Total
Commercial Mortgage-Backed Securities - Agency
(Cost $231,290,747)
|
243,613,003
|
|
Commercial
Mortgage-Backed Securities - Non-Agency 6.9%
|
|
|
|
|
|
1211
Avenue of the Americas Trust(a)
|
Series
2015-1211 Class A1A2
|
08/10/2035
|
3.901%
|
|
2,130,000
|
2,335,027
|
Banc
of America Merrill Lynch Commercial Mortgage, Inc.(f),(g)
|
Series
2019-BN18 Class XA
|
05/15/2062
|
1.052%
|
|
60,558,556
|
4,472,522
|
BANK
(f),(g)
|
Series
2017-BNK8 Class XA
|
11/15/2050
|
0.881%
|
|
32,503,058
|
1,674,496
|
BANK
|
Series
2019-BN17 Class A4
|
04/15/2052
|
3.714%
|
|
2,260,000
|
2,534,399
|
BANK
(a)
|
Subordinated,
Series 2017-BNK6 Class D
|
07/15/2060
|
3.100%
|
|
2,380,000
|
2,213,891
|
BBCMS
Mortgage Trust(a)
|
Series
2013-TYSN Class A2
|
09/05/2032
|
3.756%
|
|
2,000,000
|
2,021,207
|
Subordinated,
Series 2016-ETC Class A
|
08/14/2036
|
2.937%
|
|
13,500,000
|
14,024,452
|
Subordinated,
Series 2016-ETC Class B
|
08/14/2036
|
3.189%
|
|
900,000
|
923,392
|
Commercial
Mortgage-Backed Securities - Non-Agency (continued)
|
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
Subordinated,
Series 2016-ETC Class C
|
08/14/2036
|
3.391%
|
|
770,000
|
790,047
|
BBCMS
Mortgage Trust(a),(f)
|
Series
2016-ETC Class D
|
08/14/2036
|
3.729%
|
|
2,790,000
|
2,857,189
|
BBCMS
Mortgage Trust(f),(g)
|
Series
2018-C2 Class XA
|
12/15/2051
|
0.938%
|
|
61,894,182
|
3,759,186
|
BB-UBS
Trust(a)
|
Series
2012-TFT Class A
|
06/05/2030
|
2.892%
|
|
6,260,000
|
6,258,481
|
Benchmark
Mortgage Trust
|
Series
2018-B2 Class A4
|
02/15/2051
|
3.615%
|
|
27,000,000
|
29,639,812
|
Series
2018-B8 Class A5
|
01/15/2052
|
4.232%
|
|
3,500,000
|
4,055,704
|
Series
2019-B11 Class A5
|
05/15/2052
|
3.542%
|
|
2,320,000
|
2,573,776
|
Benchmark
Mortgage Trust(f),(g)
|
Series
2019-B10 Class XA
|
03/15/2062
|
1.395%
|
|
30,088,446
|
2,849,487
|
Benchmark
Mortgage Trust(f)
|
Subordinated,
Series 2018-B8 Class C
|
01/15/2052
|
5.037%
|
|
3,000,000
|
3,472,646
|
BXP
Trust(a),(f)
|
Subordinated,
Series 2017-GM Class D
|
06/13/2039
|
3.539%
|
|
2,500,000
|
2,627,440
|
CALI
Mortgage Trust(a)
|
Series
2019-101C Class A
|
03/10/2039
|
3.957%
|
|
2,380,000
|
2,710,680
|
CD
Mortgage Trust
|
Series
2016-CD1 Class A3
|
08/10/2049
|
2.459%
|
|
17,000,000
|
17,312,926
|
Series
2017-CD6 Class A3
|
11/13/2050
|
3.104%
|
|
10,000,000
|
10,478,201
|
Series
2017-CD6 Class A4
|
11/13/2050
|
3.190%
|
|
20,000,000
|
21,427,758
|
CD
Mortgage Trust(f)
|
Series
2019-CD8 Class XA
|
08/15/2057
|
1.554%
|
|
69,479,000
|
8,071,834
|
CFCRE
Commercial Mortgage Trust
|
Series
2016-C4 Class A4
|
05/10/2058
|
3.283%
|
|
5,900,000
|
6,255,580
|
CFCRE
Commercial Mortgage Trust(f),(g)
|
Series
2016-C4 Class XA
|
05/10/2058
|
1.878%
|
|
63,195,474
|
5,657,979
|
CGRBS
Commercial Mortgage Trust(a)
|
Series
2013-VNO5 Class A
|
03/13/2035
|
3.369%
|
|
2,020,000
|
2,132,095
|
The accompanying Notes to Financial Statements are an integral part
of this statement.
Multi-Manager
Total Return Bond Strategies Fund | Annual Report 2019
|
21
|
Portfolio of Investments (continued)
August 31, 2019
Commercial
Mortgage-Backed Securities - Non-Agency (continued)
|
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
Citigroup
Commercial Mortgage Trust
|
Series
2015-GC35 Class A3
|
11/10/2048
|
3.549%
|
|
10,000,000
|
10,710,056
|
Series
2016-GC37 Class A4
|
04/10/2049
|
3.314%
|
|
8,000,000
|
8,558,142
|
Citigroup
Commercial Mortgage Trust(a)
|
Subordinated,
Series 2016-C2 Class E
|
08/10/2049
|
4.594%
|
|
2,420,000
|
2,141,757
|
Citigroup
Commercial Mortgage Trust(f)
|
Subordinated,
Series 2016-P5 Class C
|
10/10/2049
|
4.464%
|
|
2,610,000
|
2,763,962
|
Citigroup
Commercial Mortgage Trust(a),(f)
|
Subordinated,
Series 2018-C6 Class D
|
11/10/2051
|
5.067%
|
|
1,240,000
|
1,363,289
|
CityLine
Commercial Mortgage Trust(a),(f)
|
Subordinated,
Series 2016-CLNE Class B
|
11/10/2031
|
2.871%
|
|
3,600,000
|
3,654,216
|
Subordinated,
Series 2016-CLNE Class C
|
11/10/2031
|
2.871%
|
|
1,350,000
|
1,355,392
|
COMM
Mortgage Trust(a)
|
Series
2013-CR7 Class AM
|
03/10/2046
|
3.314%
|
|
4,250,000
|
4,404,717
|
COMM
Mortgage Trust
|
Series
2013-CR8 Class A4
|
06/10/2046
|
3.334%
|
|
1,681,997
|
1,747,596
|
Series
2018-COR3 Class A3
|
05/10/2051
|
4.228%
|
|
3,870,000
|
4,445,293
|
Commercial
Mortgage Pass-Through Certificates(a)
|
Series
2012-LTRT Class A2
|
10/05/2030
|
3.400%
|
|
3,793,000
|
3,870,093
|
Commercial
Mortgage Trust
|
Series
2013-CR13 Class A3
|
11/12/2046
|
3.928%
|
|
2,651,784
|
2,846,165
|
Series
2014-UBS2 Class A5
|
03/10/2047
|
3.961%
|
|
1,165,000
|
1,255,524
|
Series
2014-UBS4 Class A5
|
08/10/2047
|
3.694%
|
|
5,000,000
|
5,375,919
|
Series
2014-UBS6 Class A4
|
12/10/2047
|
3.378%
|
|
3,605,000
|
3,828,228
|
Series
2015-CR26 Class A4
|
10/10/2048
|
3.630%
|
|
1,600,000
|
1,733,939
|
Series
2015-DC1 Class A5
|
02/10/2048
|
3.350%
|
|
18,924,000
|
20,078,909
|
Series
2015-LC19 Class A4
|
02/10/2048
|
3.183%
|
|
835,000
|
881,591
|
Series
2015-PC1 Class A5
|
07/10/2050
|
3.902%
|
|
2,755,000
|
3,009,901
|
Commercial
Mortgage-Backed Securities - Non-Agency (continued)
|
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
Series
2016-COR1 Class A3
|
10/10/2049
|
2.826%
|
|
8,500,000
|
8,811,099
|
Series
2016-DC2 Class A5
|
02/10/2049
|
3.765%
|
|
4,832,000
|
5,279,167
|
Commercial
Mortgage Trust(f)
|
Series
2013-CR9 Class A4
|
07/10/2045
|
4.373%
|
|
2,427,625
|
2,618,074
|
Commercial
Mortgage Trust(a),(f)
|
Series
2016-667M Class C
|
10/10/2036
|
3.285%
|
|
6,770,000
|
6,885,980
|
Commercial
Mortgage Trust(a)
|
Series
2016-787S Class A
|
02/10/2036
|
3.545%
|
|
2,115,000
|
2,276,260
|
Core
Industrial Trust(a),(f)
|
Subordinated,
Series 2015-TEXW Class E
|
02/10/2034
|
3.977%
|
|
1,000,000
|
1,032,583
|
CoreVest
American Finance Trust(a)
|
Series
2017-1 Class A
|
10/15/2049
|
2.968%
|
|
1,659,456
|
1,685,920
|
Credit
Suisse Mortgage Capital Certificates(a),(b)
|
Series
2019-ICE4 Class F
|
1-month
USD LIBOR + 2.650%
Floor 2.650%
05/15/2036
|
4.845%
|
|
3,660,000
|
3,671,429
|
Credit
Suisse Mortgage Capital Trust(a)
|
Series
2014-USA Class A2
|
09/15/2037
|
3.953%
|
|
13,780,000
|
14,920,812
|
CSAIL
Commercial Mortgage Trust(f)
|
Series
2017-CX9 Class A5
|
09/15/2050
|
3.446%
|
|
3,270,000
|
3,535,973
|
Subordinated,
Series 2017-C8 Class C
|
06/15/2050
|
4.465%
|
|
3,960,000
|
4,194,114
|
CSAIL
Commercial Mortgage Trust
|
Series
2018-CX11 Class A5
|
04/15/2051
|
4.033%
|
|
5,940,000
|
6,722,109
|
Series
2019-C15 Class A4
|
03/15/2052
|
4.053%
|
|
2,324,000
|
2,647,437
|
DBGS
Mortgage Trust(a),(b)
|
Series
2018-BIOD Class E
|
1-month
USD LIBOR + 1.700%
Floor 1.700%
05/15/2035
|
3.895%
|
|
2,784,417
|
2,781,925
|
Series
2018-BIOD Class F
|
1-month
USD LIBOR + 2.000%
Floor 2.000%
05/15/2035
|
4.195%
|
|
10,952,039
|
10,942,039
|
DBUBS
Mortgage Trust(a)
|
Series
2017-BRBK Class A
|
10/10/2034
|
3.452%
|
|
2,800,000
|
2,970,178
|
The accompanying Notes to Financial Statements are an integral part
of this statement.
22
|
Multi-Manager Total Return
Bond Strategies Fund | Annual Report 2019
|
Portfolio of Investments (continued)
August 31, 2019
Commercial
Mortgage-Backed Securities - Non-Agency (continued)
|
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
DBUBS
Mortgage Trust(a),(f)
|
Subordinated,
Series 2011-LC2A Class E
|
07/10/2044
|
5.714%
|
|
1,900,000
|
1,930,833
|
DBWF
Mortgage Trust(a),(f)
|
Series
2016-85T Class D
|
12/10/2036
|
3.935%
|
|
2,000,000
|
2,097,950
|
Series
2016-85T Class E
|
12/10/2036
|
3.935%
|
|
2,000,000
|
2,015,306
|
GS
Mortgage Securities Trust
|
Series
2016-GS2 Class A3
|
05/10/2049
|
2.791%
|
|
4,500,000
|
4,666,792
|
Series
2017-GS7 Class A3
|
08/10/2050
|
3.167%
|
|
10,000,000
|
10,677,256
|
Series
2017-GS8 Class A3
|
11/10/2050
|
3.205%
|
|
20,000,000
|
21,354,058
|
GS
Mortgage Securities Trust(a),(f)
|
Subordinated,
Series 2019-GC40 Class DBD
|
07/10/2052
|
3.668%
|
|
4,090,000
|
4,153,904
|
Subordinated,
Series 2019-GC40 Class DBE
|
07/10/2052
|
3.668%
|
|
3,132,000
|
3,106,314
|
Hudson
Yards Mortgage Trust(a)
|
Series
2019-30HY Class A
|
07/10/2039
|
3.228%
|
|
2,160,000
|
2,318,195
|
Hudsons
Bay Simon JV Trust(a)
|
Series
2015-HB10 Class A10
|
08/05/2034
|
4.155%
|
|
1,820,000
|
1,922,814
|
Series
2015-HB7 Class A7
|
08/05/2034
|
3.914%
|
|
2,520,000
|
2,584,741
|
IMT
Trust(a)
|
Series
2017-APTS Class AFX
|
06/15/2034
|
3.478%
|
|
5,410,000
|
5,716,532
|
Irvine
Core Office Trust(a)
|
Series
2013-IRV Class A1
|
05/15/2048
|
2.068%
|
|
1,046,798
|
1,047,259
|
JPMBB
Commercial Mortgage Securities Trust
|
Series
2013-C14 Class A4
|
08/15/2046
|
4.133%
|
|
3,430,000
|
3,695,067
|
Series
2014-C26 Class A3
|
01/15/2048
|
3.231%
|
|
360,000
|
379,917
|
JPMBB
Commercial Mortgage Securities Trust(a)
|
Subordinated,
Series 2014-C26 Class E
|
01/15/2048
|
4.000%
|
|
2,480,000
|
2,129,519
|
JPMCC
Commercial Mortgage Securities Trust
|
Series
2019-COR4 Class A5
|
03/10/2052
|
4.029%
|
|
3,870,000
|
4,417,925
|
JPMDB
Commercial Mortgage Securities Trust
|
Series
2016-C4 Class A2
|
12/15/2049
|
2.882%
|
|
8,500,000
|
8,896,820
|
Commercial
Mortgage-Backed Securities - Non-Agency (continued)
|
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
JPMDB
Commercial Mortgage Securities Trust(f)
|
Subordinated,
Series 2016-C4 Class C
|
12/15/2049
|
3.220%
|
|
1,436,000
|
1,441,893
|
JPMorgan
Chase Commercial Mortgage Securities Trust(a),(f)
|
Series
2011-C5 Class E
|
08/15/2046
|
4.000%
|
|
1,611,000
|
1,576,949
|
Series
2016-NINE Class A
|
10/06/2038
|
2.854%
|
|
3,235,000
|
3,377,418
|
JPMorgan
Chase Commercial Mortgage Securities Trust(a)
|
Series
2012-HSBC Class A
|
07/05/2032
|
3.093%
|
|
484,991
|
500,548
|
Series
2019-OSB Class A
|
06/05/2039
|
3.397%
|
|
2,110,000
|
2,310,822
|
JPMorgan
Chase Commercial Mortgage Securities Trust
|
Series
2013-C13 Class A4
|
01/15/2046
|
3.991%
|
|
4,254,882
|
4,534,524
|
JPMorgan
Chase Commercial Mortgage Securities Trust(f)
|
Subordinated,
Series 2014-C20 Class B
|
07/15/2047
|
4.399%
|
|
2,000,000
|
2,142,780
|
Ladder
Capital Commercial Mortgage(a)
|
Series
2017-LC26 Class A4
|
07/12/2050
|
3.551%
|
|
4,500,000
|
4,847,768
|
LSTAR
Commercial Mortgage Trust(a)
|
Series
2017-5 Class A4
|
03/10/2050
|
3.390%
|
|
800,000
|
841,119
|
Madison
Avenue Trust(a)
|
Series
2013-650M Class A
|
10/12/2032
|
3.843%
|
|
2,705,000
|
2,738,684
|
Morgan
Stanley Bank of America Merrill Lynch Trust
|
Series
2013-C12 Class A4
|
10/15/2046
|
4.259%
|
|
1,885,000
|
2,039,824
|
Series
2015-C21 Class A3
|
03/15/2048
|
3.077%
|
|
525,000
|
549,209
|
Series
2016-C29 Class ASB
|
05/15/2049
|
3.140%
|
|
1,000,000
|
1,039,488
|
Morgan
Stanley Bank of America Merrill Lynch Trust(a),(f)
|
Subordinated,
Series 2013-C13 Class E
|
11/15/2046
|
5.071%
|
|
1,000,000
|
938,994
|
Subordinated,
Series 2014-C14 Class D
|
02/15/2047
|
5.100%
|
|
2,890,600
|
2,974,794
|
Morgan
Stanley Bank of America Merrill Lynch Trust(a)
|
Subordinated,
Series 2014-C18 Class D
|
10/15/2047
|
3.389%
|
|
5,670,000
|
5,308,062
|
Morgan
Stanley Bank of America Merrill Lynch Trust(f)
|
Subordinated,
Series 2017-C34 Class C
|
11/15/2052
|
4.325%
|
|
2,840,000
|
3,044,750
|
Morgan
Stanley Capital I Trust
|
Series
2016-UB11 Class A3
|
08/15/2049
|
2.531%
|
|
8,500,000
|
8,719,185
|
The accompanying Notes to Financial Statements are an integral part
of this statement.
Multi-Manager
Total Return Bond Strategies Fund | Annual Report 2019
|
23
|
Portfolio of Investments (continued)
August 31, 2019
Commercial
Mortgage-Backed Securities - Non-Agency (continued)
|
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
Series
2019-H6 Class A4
|
06/15/2052
|
3.417%
|
|
2,324,000
|
2,540,979
|
Morgan
Stanley Capital I Trust(a),(f)
|
Subordinated,
Series 2016-BNK2 Class E
|
11/15/2049
|
4.037%
|
|
1,870,000
|
1,557,134
|
Morgan
Stanley Capital I Trust(f)
|
Subordinated,
Series 2017-HR2 Class C
|
12/15/2050
|
4.367%
|
|
2,750,000
|
2,982,686
|
Prima
Capital CRE Securitization(a)
|
Series
2019-RK1 Class BD
|
04/15/2038
|
3.500%
|
|
5,000,000
|
4,984,011
|
Subordinated,
Series 2019-RK1 Class CD
|
04/15/2038
|
3.500%
|
|
3,900,000
|
3,830,468
|
RBS
Commercial Funding, Inc., Trust(a),(f)
|
Series
2013-GSP Class A
|
01/15/2032
|
3.961%
|
|
2,420,000
|
2,566,664
|
SG
Commercial Mortgage Securities Trust
|
Series
2016-C5 Class A4
|
10/10/2048
|
3.055%
|
|
5,120,000
|
5,388,996
|
SLIDE
(a),(b)
|
Series
2018-FUN Class F
|
1-month
USD LIBOR + 3.000%
Floor 3.000%
06/15/2031
|
5.195%
|
|
2,438,479
|
2,450,669
|
Starwood
Retail Property Trust(a),(b)
|
Series
2014-STAR Class A
|
1-month
USD LIBOR + 1.220%
Floor 1.220%
11/15/2027
|
3.666%
|
|
2,473,381
|
2,468,075
|
UBS
Commercial Mortgage Trust
|
Series
2018-C10 Class A3
|
05/15/2051
|
4.048%
|
|
5,500,000
|
6,266,984
|
Series
2018-C8 Class A3
|
02/15/2051
|
3.720%
|
|
27,000,000
|
29,974,747
|
UBS-Barclays
Commercial Mortgage Trust
|
Series
2012-C4 Class A5
|
12/10/2045
|
2.850%
|
|
2,583,582
|
2,650,079
|
Series
2013-C5 Class A4
|
03/10/2046
|
3.185%
|
|
2,740,000
|
2,841,002
|
Series
2013-C6 Class A4
|
04/10/2046
|
3.244%
|
|
1,935,000
|
2,013,204
|
UBS-Barclays
Commercial Mortgage Trust(a),(f)
|
Subordinated,
Series 2013-C5 Class C
|
03/10/2046
|
4.211%
|
|
5,000,000
|
5,155,846
|
Wells
Fargo Commercial Mortgage Trust
|
Series
2015-LC20 Class A4
|
04/15/2050
|
2.925%
|
|
1,965,000
|
2,041,686
|
Series
2018-C44 Class A5
|
05/15/2051
|
4.212%
|
|
2,700,000
|
3,092,260
|
Commercial
Mortgage-Backed Securities - Non-Agency (continued)
|
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
Series
2018-C45 Class A3
|
06/15/2051
|
3.920%
|
|
20,000,000
|
22,488,124
|
Wells
Fargo Commercial Mortgage Trust(a),(b)
|
Subordinated,
Series 2018-BXI Class F
|
1-month
USD LIBOR + 2.457%
Floor 2.457%
12/15/2036
|
4.652%
|
|
5,371,811
|
5,398,685
|
WF-RBS
Commercial Mortgage Trust
|
Series
2013-C18 Class A2
|
12/15/2046
|
3.027%
|
|
8,973
|
9,050
|
Series
2014-C24 Class A3
|
11/15/2047
|
3.428%
|
|
1,345,000
|
1,365,081
|
WF-RBS
Commercial Mortgage Trust(a),(f)
|
Subordinated,
Series 2014-LC14 Class D
|
03/15/2047
|
4.586%
|
|
4,350,000
|
4,277,444
|
Total
Commercial Mortgage-Backed Securities - Non-Agency
(Cost $551,536,828)
|
576,511,882
|
Common
Stocks 0.0%
|
Issuer
|
Shares
|
Value
($)
|
Energy
0.0%
|
Oil,
Gas & Consumable Fuels 0.0%
|
Prairie
Provident Resources, Inc.(e),(h)
|
1,728
|
80
|
Total
Energy
|
80
|
Total
Common Stocks
(Cost $7,496)
|
80
|
Corporate
Bonds & Notes 31.8%
|
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
Aerospace
& Defense 0.4%
|
Airbus
Finance BV(a)
|
04/17/2023
|
2.700%
|
|
1,548,000
|
1,584,742
|
Boeing
Co. (The)
|
03/01/2039
|
3.500%
|
|
350,000
|
374,919
|
02/01/2050
|
3.750%
|
|
5,905,000
|
6,562,652
|
Bombardier,
Inc.(a)
|
12/01/2021
|
8.750%
|
|
130,000
|
141,215
|
12/01/2024
|
7.500%
|
|
2,850,000
|
2,840,871
|
03/15/2025
|
7.500%
|
|
3,275,000
|
3,195,342
|
04/15/2027
|
7.875%
|
|
2,575,000
|
2,492,059
|
Embraer
Netherlands Finance BV
|
06/15/2025
|
5.050%
|
|
1,550,000
|
1,698,242
|
General
Dynamics Corp.
|
05/11/2021
|
3.000%
|
|
9,065,000
|
9,237,761
|
L3Harris
Technologies, Inc.(a)
|
06/15/2028
|
4.400%
|
|
4,990,000
|
5,656,070
|
The accompanying Notes to Financial Statements are an integral part
of this statement.
24
|
Multi-Manager Total Return
Bond Strategies Fund | Annual Report 2019
|
Portfolio of Investments (continued)
August 31, 2019
Corporate
Bonds & Notes (continued)
|
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
Northrop
Grumman Corp.
|
10/15/2047
|
4.030%
|
|
435,000
|
503,591
|
Spirit
AeroSystems, Inc.
|
06/15/2028
|
4.600%
|
|
852,000
|
934,869
|
Textron,
Inc.
|
03/01/2024
|
4.300%
|
|
690,000
|
741,905
|
03/01/2025
|
3.875%
|
|
300,000
|
318,362
|
TransDigm,
Inc.
|
05/15/2025
|
6.500%
|
|
175,000
|
182,507
|
Total
|
36,465,107
|
Agencies
0.0%
|
Israel
Government AID Bond(i)
|
03/15/2022
|
0.000%
|
|
2,025,000
|
1,923,902
|
11/15/2025
|
0.000%
|
|
1,600,000
|
1,412,760
|
Total
|
3,336,662
|
Airlines
0.3%
|
American
Airlines Pass-Through Trust
|
01/15/2023
|
4.950%
|
|
516,473
|
543,801
|
Series
2015-2 Class B
|
09/22/2023
|
4.400%
|
|
2,432,995
|
2,487,117
|
Series
2016-1 Class B
|
01/15/2024
|
5.250%
|
|
318,417
|
340,385
|
Series
2016-2 Class AA
|
06/15/2028
|
3.200%
|
|
973,470
|
1,007,053
|
Series
2019-1 Class A
|
02/15/2032
|
3.500%
|
|
350,000
|
360,606
|
Series
2019-1 Class B
|
02/15/2028
|
3.850%
|
|
250,000
|
253,622
|
Continental
Airlines Pass-Through Trust
|
04/19/2022
|
5.983%
|
|
2,576,007
|
2,732,917
|
10/29/2024
|
4.000%
|
|
1,808,889
|
1,919,207
|
Delta
Air Lines Pass-Through Trust
|
01/02/2023
|
6.718%
|
|
2,480,101
|
2,637,945
|
Delta
Air Lines, Inc.
|
04/19/2023
|
3.800%
|
|
1,750,000
|
1,819,379
|
04/19/2028
|
4.375%
|
|
1,044,000
|
1,125,071
|
Southwest
Airlines Co.
|
11/16/2027
|
3.450%
|
|
533,000
|
562,805
|
U.S.
Airways Pass-Through Trust
|
10/01/2024
|
5.900%
|
|
495,670
|
553,903
|
06/03/2025
|
4.625%
|
|
2,752,474
|
2,988,694
|
United
Airlines, Inc. Pass-Through Trust
|
09/03/2022
|
4.625%
|
|
525,924
|
541,026
|
Series
2016-1 Class AA
|
07/07/2028
|
3.100%
|
|
6,404,383
|
6,518,189
|
Corporate
Bonds & Notes (continued)
|
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
Series
2016-1 Class B
|
01/07/2026
|
3.650%
|
|
166,462
|
169,824
|
Series
2016-2 Class B
|
04/07/2027
|
3.650%
|
|
291,962
|
293,509
|
Total
|
26,855,053
|
Apartment
REIT 0.1%
|
ERP
Operating LP
|
07/01/2029
|
3.000%
|
|
1,760,000
|
1,844,700
|
Essex
Portfolio LP
|
05/01/2023
|
3.250%
|
|
514,000
|
529,334
|
01/15/2030
|
3.000%
|
|
1,235,000
|
1,267,204
|
Mid-America
Apartments LP
|
03/15/2029
|
3.950%
|
|
1,520,000
|
1,678,261
|
UDR,
Inc.
|
08/15/2031
|
3.000%
|
|
1,990,000
|
2,029,261
|
Total
|
7,348,760
|
Automotive
1.5%
|
Adient
Global Holdings Ltd.(a)
|
08/15/2026
|
4.875%
|
|
2,700,000
|
2,091,704
|
American
Axle & Manufacturing, Inc.
|
03/15/2026
|
6.250%
|
|
2,250,000
|
2,081,171
|
American
Honda Finance Corp.
|
10/10/2023
|
3.625%
|
|
2,375,000
|
2,528,074
|
BMW
Finance NV(a)
|
08/14/2029
|
2.850%
|
|
5,955,000
|
6,043,467
|
BMW
US Capital LLC(a),(b)
|
3-month
USD LIBOR + 0.410%
04/12/2021
|
2.750%
|
|
1,030,000
|
1,030,179
|
BMW
US Capital LLC(a)
|
04/12/2021
|
3.100%
|
|
1,370,000
|
1,390,888
|
04/12/2023
|
3.450%
|
|
1,623,000
|
1,692,609
|
Cooper-Standard
Automotive, Inc.(a)
|
11/15/2026
|
5.625%
|
|
2,225,000
|
1,919,603
|
Daimler
Finance North America LLC(a)
|
03/02/2020
|
2.250%
|
|
1,500,000
|
1,498,748
|
05/04/2020
|
3.100%
|
|
2,135,000
|
2,147,118
|
02/12/2021
|
2.300%
|
|
1,126,000
|
1,126,070
|
05/04/2021
|
3.350%
|
|
3,555,000
|
3,613,334
|
08/15/2029
|
3.100%
|
|
4,145,000
|
4,217,666
|
Daimler
Finance North America LLC(a),(b)
|
3-month
USD LIBOR + 0.900%
02/15/2022
|
3.058%
|
|
4,000,000
|
4,015,900
|
Dana
Financing Luxembourg Sarl(a)
|
06/01/2026
|
6.500%
|
|
10,000
|
10,476
|
Dana
Holding Corp.
|
12/15/2024
|
5.500%
|
|
790,000
|
806,480
|
The accompanying Notes to Financial Statements are an integral part
of this statement.
Multi-Manager
Total Return Bond Strategies Fund | Annual Report 2019
|
25
|
Portfolio of Investments (continued)
August 31, 2019
Corporate
Bonds & Notes (continued)
|
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
Delphi
Technologies PLC(a)
|
10/01/2025
|
5.000%
|
|
126,000
|
108,694
|
Ford
Motor Co.
|
02/01/2029
|
6.375%
|
|
740,000
|
828,151
|
01/15/2043
|
4.750%
|
|
1,250,000
|
1,125,019
|
12/08/2046
|
5.291%
|
|
500,000
|
479,715
|
Ford
Motor Credit Co. LLC
|
11/04/2019
|
2.597%
|
|
1,827,000
|
1,826,560
|
01/15/2020
|
8.125%
|
|
800,000
|
816,022
|
06/12/2020
|
2.425%
|
|
1,485,000
|
1,482,805
|
11/02/2020
|
2.343%
|
|
6,075,000
|
6,054,691
|
01/07/2022
|
5.596%
|
|
3,900,000
|
4,120,432
|
08/03/2022
|
2.979%
|
|
3,995,000
|
3,979,827
|
09/20/2022
|
4.250%
|
|
1,100,000
|
1,133,866
|
11/01/2022
|
3.350%
|
|
6,065,000
|
6,088,484
|
01/09/2024
|
3.810%
|
|
2,585,000
|
2,602,203
|
09/08/2024
|
3.664%
|
|
894,000
|
890,359
|
08/01/2026
|
4.542%
|
|
3,910,000
|
3,983,614
|
Ford
Motor Credit Co. LLC(b)
|
3-month
USD LIBOR + 0.880%
10/12/2021
|
3.220%
|
|
3,610,000
|
3,566,290
|
3-month
USD LIBOR + 1.080%
08/03/2022
|
3.367%
|
|
880,000
|
865,463
|
General
Motors Co.
|
04/01/2025
|
4.000%
|
|
1,060,000
|
1,093,812
|
10/02/2043
|
6.250%
|
|
1,925,000
|
2,161,623
|
General
Motors Financial Co., Inc.
|
07/13/2020
|
3.200%
|
|
1,200,000
|
1,206,539
|
04/09/2021
|
3.550%
|
|
7,235,000
|
7,359,276
|
03/01/2026
|
5.250%
|
|
2,345,000
|
2,563,019
|
General
Motors Financial Co., Inc.(b)
|
3-month
USD LIBOR + 0.850%
04/09/2021
|
3.161%
|
|
3,690,000
|
3,687,978
|
Harley-Davidson
Financial Services, Inc.(a)
|
02/04/2022
|
4.050%
|
|
535,000
|
554,127
|
02/15/2023
|
3.350%
|
|
3,935,000
|
4,022,062
|
Hyundai
Capital America(a)
|
03/19/2020
|
2.600%
|
|
680,000
|
680,870
|
09/18/2020
|
2.750%
|
|
6,291,000
|
6,312,823
|
IHO
Verwaltungs GmbH PIK(a)
|
09/15/2026
|
4.750%
|
|
2,925,000
|
2,833,565
|
Magna
International, Inc.
|
06/15/2024
|
3.625%
|
|
1,100,000
|
1,160,350
|
Toyota
Motor Credit Corp.
|
04/13/2021
|
2.950%
|
|
1,107,000
|
1,126,170
|
Volkswagen
Group of America Finance LLC(a)
|
05/22/2020
|
2.400%
|
|
640,000
|
640,545
|
11/13/2020
|
3.875%
|
|
2,125,000
|
2,163,072
|
11/12/2021
|
4.000%
|
|
2,965,000
|
3,071,651
|
11/13/2028
|
4.750%
|
|
4,595,000
|
5,150,545
|
Total
|
121,953,709
|
Corporate
Bonds & Notes (continued)
|
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
Banking
7.9%
|
American
Express Co.
|
08/03/2023
|
3.700%
|
|
1,195,000
|
1,266,369
|
07/30/2024
|
2.500%
|
|
5,015,000
|
5,103,404
|
Banco
Santander SA(a)
|
11/09/2022
|
4.125%
|
|
150,000
|
155,550
|
Banco
Santander SA
|
02/23/2023
|
3.125%
|
|
800,000
|
817,809
|
04/12/2023
|
3.848%
|
|
2,000,000
|
2,090,374
|
Banco
Santander SA(b)
|
3-month
USD LIBOR + 1.120%
04/12/2023
|
3.460%
|
|
1,400,000
|
1,397,822
|
Bank
of America Corp.
|
10/19/2020
|
2.625%
|
|
1,600,000
|
1,611,741
|
01/11/2023
|
3.300%
|
|
2,000,000
|
2,078,688
|
01/22/2024
|
4.125%
|
|
3,000,000
|
3,250,395
|
Subordinated
|
01/22/2025
|
4.000%
|
|
795,000
|
849,407
|
04/21/2025
|
3.950%
|
|
2,500,000
|
2,666,802
|
03/03/2026
|
4.450%
|
|
2,000,000
|
2,199,586
|
Bank
of America Corp.(j)
|
07/21/2021
|
2.369%
|
|
2,470,000
|
2,473,584
|
12/20/2023
|
3.004%
|
|
1,294,000
|
1,327,685
|
03/05/2024
|
3.550%
|
|
4,318,000
|
4,513,908
|
03/05/2029
|
3.970%
|
|
4,687,000
|
5,147,127
|
07/23/2029
|
4.271%
|
|
7,800,000
|
8,798,291
|
04/23/2040
|
4.078%
|
|
4,725,000
|
5,431,662
|
03/15/2050
|
4.330%
|
|
4,062,000
|
4,964,824
|
Junior
Subordinated
|
12/31/2049
|
6.100%
|
|
5,000,000
|
5,491,145
|
Bank
of Ireland Group PLC(a)
|
11/25/2023
|
4.500%
|
|
3,780,000
|
3,978,851
|
Bank
of Montreal
|
04/13/2021
|
3.100%
|
|
622,000
|
633,407
|
08/27/2021
|
1.900%
|
|
5,400,000
|
5,398,996
|
03/26/2022
|
2.900%
|
|
2,980,000
|
3,043,948
|
Bank
of Montreal(j)
|
Subordinated
|
12/15/2032
|
3.803%
|
|
1,068,000
|
1,118,749
|
Bank
of New York Mellon Corp. (The)
|
01/29/2023
|
2.950%
|
|
995,000
|
1,025,951
|
08/16/2023
|
2.200%
|
|
3,185,000
|
3,207,550
|
Bank
of Nova Scotia (The)
|
04/20/2021
|
3.125%
|
|
2,016,000
|
2,053,441
|
Subordinated
|
12/16/2025
|
4.500%
|
|
1,500,000
|
1,645,362
|
Banque
Federative du Credit Mutuel SA(a)
|
07/20/2023
|
3.750%
|
|
3,185,000
|
3,364,933
|
The accompanying Notes to Financial Statements are an integral part
of this statement.
26
|
Multi-Manager Total Return
Bond Strategies Fund | Annual Report 2019
|
Portfolio of Investments (continued)
August 31, 2019
Corporate
Bonds & Notes (continued)
|
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
Barclays
PLC
|
01/10/2023
|
3.684%
|
|
4,045,000
|
4,110,691
|
03/16/2025
|
3.650%
|
|
270,000
|
275,141
|
01/10/2028
|
4.337%
|
|
3,713,000
|
3,911,905
|
Barclays
PLC(j)
|
02/15/2023
|
4.610%
|
|
4,300,000
|
4,454,469
|
05/07/2025
|
3.932%
|
|
4,002,000
|
4,113,952
|
05/16/2029
|
4.972%
|
|
1,400,000
|
1,536,811
|
BB&T
Corp.
|
06/20/2022
|
3.050%
|
|
6,825,000
|
6,999,822
|
08/01/2024
|
2.500%
|
|
5,885,000
|
5,977,124
|
BB&T
Corp.(j)
|
12/31/2049
|
4.800%
|
|
4,700,000
|
4,708,178
|
BBVA
Bancomer SA(a)
|
Junior
Subordinated
|
04/22/2020
|
7.250%
|
|
200,000
|
205,262
|
BNP
Paribas SA(a)
|
03/01/2023
|
3.500%
|
|
3,435,000
|
3,565,454
|
08/14/2028
|
4.400%
|
|
345,000
|
385,211
|
BNZ
International Funding Ltd.(a)
|
02/21/2020
|
2.400%
|
|
4,325,000
|
4,330,082
|
BPCE
SA(a)
|
01/11/2028
|
3.250%
|
|
460,000
|
484,280
|
Subordinated
|
10/22/2023
|
5.700%
|
|
545,000
|
602,604
|
07/11/2024
|
4.625%
|
|
4,200,000
|
4,485,982
|
07/21/2024
|
5.150%
|
|
3,578,000
|
3,917,695
|
Canadian
Imperial Bank of Commerce
|
04/02/2024
|
3.100%
|
|
2,000,000
|
2,074,704
|
Capital
One Financial Corp.
|
05/12/2020
|
2.500%
|
|
1,915,000
|
1,916,352
|
04/30/2021
|
3.450%
|
|
10,575,000
|
10,798,196
|
03/09/2027
|
3.750%
|
|
1,145,000
|
1,212,555
|
Capital
One NA
|
01/31/2020
|
2.350%
|
|
2,430,000
|
2,430,226
|
07/23/2021
|
2.950%
|
|
1,050,000
|
1,063,201
|
Citibank
NA
|
05/01/2020
|
3.050%
|
|
14,260,000
|
14,339,685
|
07/23/2021
|
3.400%
|
|
995,000
|
1,019,683
|
Citibank
NA(j)
|
05/20/2022
|
2.844%
|
|
4,700,000
|
4,751,145
|
Citigroup,
Inc.
|
08/09/2020
|
5.375%
|
|
5,000,000
|
5,153,455
|
03/30/2021
|
2.700%
|
|
4,340,000
|
4,383,391
|
05/01/2026
|
3.400%
|
|
1,300,000
|
1,376,509
|
Subordinated
|
06/10/2025
|
4.400%
|
|
4,250,000
|
4,611,841
|
09/13/2025
|
5.500%
|
|
1,500,000
|
1,717,497
|
05/18/2046
|
4.750%
|
|
2,910,000
|
3,495,245
|
Corporate
Bonds & Notes (continued)
|
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
Citigroup,
Inc.(j)
|
01/24/2023
|
3.142%
|
|
4,155,000
|
4,247,765
|
07/24/2023
|
2.876%
|
|
4,564,000
|
4,645,011
|
Junior
Subordinated
|
12/31/2049
|
5.950%
|
|
5,000,000
|
5,357,570
|
Comerica
Bank
|
07/23/2024
|
2.500%
|
|
4,990,000
|
5,087,989
|
Comerica,
Inc.
|
07/31/2023
|
3.700%
|
|
2,250,000
|
2,377,213
|
Subordinated
|
07/22/2026
|
3.800%
|
|
900,000
|
959,359
|
Cooperatieve
Rabobank UA
|
01/10/2023
|
2.750%
|
|
4,580,000
|
4,694,527
|
Subordinated
|
08/04/2025
|
4.375%
|
|
1,506,000
|
1,627,647
|
Credit
Agricole SA(a)
|
07/01/2021
|
2.375%
|
|
817,000
|
820,650
|
04/24/2023
|
3.750%
|
|
5,105,000
|
5,344,256
|
Credit
Suisse AG(a)
|
Subordinated
|
08/08/2023
|
6.500%
|
|
1,030,000
|
1,149,818
|
Credit
Suisse Group AG(a),(j)
|
12/14/2023
|
2.997%
|
|
4,500,000
|
4,564,489
|
01/12/2029
|
3.869%
|
|
638,000
|
680,572
|
Credit
Suisse Group Funding Guernsey Ltd.
|
06/09/2023
|
3.800%
|
|
4,890,000
|
5,132,637
|
Danske
Bank A/S(a)
|
03/02/2020
|
2.200%
|
|
1,845,000
|
1,842,507
|
09/12/2023
|
3.875%
|
|
3,995,000
|
4,158,771
|
Deutsche
Bank AG
|
01/22/2021
|
3.150%
|
|
2,705,000
|
2,693,020
|
05/12/2021
|
3.375%
|
|
1,988,000
|
1,987,666
|
02/14/2022
|
5.000%
|
|
6,300,000
|
6,524,097
|
Discover
Bank
|
08/08/2023
|
4.200%
|
|
4,000,000
|
4,291,320
|
Discover
Financial Services
|
04/27/2022
|
5.200%
|
|
2,697,000
|
2,894,728
|
11/21/2022
|
3.850%
|
|
1,000,000
|
1,049,057
|
01/30/2026
|
4.500%
|
|
3,915,000
|
4,322,626
|
Fifth
Third Bancorp
|
06/15/2022
|
2.600%
|
|
1,595,000
|
1,616,257
|
Global
Bank Corp.(a)
|
10/20/2021
|
4.500%
|
|
400,000
|
411,588
|
Goldman
Sachs Group, Inc. (The)
|
06/15/2020
|
6.000%
|
|
2,030,000
|
2,088,911
|
01/24/2022
|
5.750%
|
|
3,800,000
|
4,113,591
|
07/08/2024
|
3.850%
|
|
1,275,000
|
1,358,699
|
01/23/2025
|
3.500%
|
|
4,375,000
|
4,601,074
|
01/26/2027
|
3.850%
|
|
2,855,000
|
3,050,382
|
The accompanying Notes to Financial Statements are an integral part
of this statement.
Multi-Manager
Total Return Bond Strategies Fund | Annual Report 2019
|
27
|
Portfolio of Investments (continued)
August 31, 2019
Corporate
Bonds & Notes (continued)
|
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
Subordinated
|
10/21/2025
|
4.250%
|
|
3,644,000
|
3,936,835
|
05/22/2045
|
5.150%
|
|
2,410,000
|
2,928,683
|
Goldman
Sachs Group, Inc. (The)(j)
|
10/31/2022
|
2.876%
|
|
3,005,000
|
3,044,371
|
09/29/2025
|
3.272%
|
|
1,610,000
|
1,671,185
|
04/23/2029
|
3.814%
|
|
2,795,000
|
3,005,106
|
Goldman
Sachs Group, Inc. (The)(b)
|
3-month
USD LIBOR + 0.750%
02/23/2023
|
2.898%
|
|
2,152,000
|
2,149,613
|
Junior
Subordinated
|
3-month
USD LIBOR + 3.884%
12/31/2049
|
6.065%
|
|
3,652,000
|
3,659,801
|
HSBC
Holdings PLC
|
03/08/2021
|
3.400%
|
|
1,584,000
|
1,609,285
|
03/08/2026
|
4.300%
|
|
2,500,000
|
2,725,740
|
HSBC
Holdings PLC(b)
|
3-month
USD LIBOR + 0.600%
05/18/2021
|
2.724%
|
|
4,415,000
|
4,417,128
|
HSBC
Holdings PLC(j)
|
03/11/2025
|
3.803%
|
|
1,140,000
|
1,190,892
|
09/12/2026
|
4.292%
|
|
4,415,000
|
4,756,416
|
05/22/2030
|
3.973%
|
|
1,243,000
|
1,331,968
|
Junior
Subordinated
|
12/31/2049
|
6.000%
|
|
877,000
|
880,239
|
ING
Groep NV
|
04/09/2024
|
3.550%
|
|
1,512,000
|
1,585,096
|
ING
Groep NV(a)
|
01/06/2026
|
4.625%
|
|
4,435,000
|
4,945,872
|
JPMorgan
Chase & Co.
|
10/15/2020
|
4.250%
|
|
2,000,000
|
2,048,682
|
01/24/2022
|
4.500%
|
|
1,000,000
|
1,057,370
|
07/15/2025
|
3.900%
|
|
4,000,000
|
4,340,828
|
10/01/2026
|
2.950%
|
|
1,180,000
|
1,219,889
|
Subordinated
|
05/01/2023
|
3.375%
|
|
1,000,000
|
1,037,371
|
09/10/2024
|
3.875%
|
|
8,940,000
|
9,552,569
|
JPMorgan
Chase & Co.(j)
|
06/18/2022
|
3.514%
|
|
6,090,000
|
6,235,855
|
04/01/2023
|
3.207%
|
|
4,190,000
|
4,304,802
|
04/23/2024
|
3.559%
|
|
8,541,000
|
8,961,849
|
07/23/2024
|
3.797%
|
|
675,000
|
716,023
|
12/05/2024
|
4.023%
|
|
3,995,000
|
4,293,830
|
01/23/2029
|
3.509%
|
|
3,570,000
|
3,824,734
|
04/23/2029
|
4.005%
|
|
3,180,000
|
3,532,001
|
12/05/2029
|
4.452%
|
|
1,127,000
|
1,294,932
|
05/06/2030
|
3.702%
|
|
973,000
|
1,062,206
|
11/15/2048
|
3.964%
|
|
2,475,000
|
2,863,439
|
01/23/2049
|
3.897%
|
|
3,269,000
|
3,759,451
|
12/31/2049
|
5.000%
|
|
2,572,000
|
2,671,367
|
Corporate
Bonds & Notes (continued)
|
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
Junior
Subordinated
|
12/31/2049
|
5.300%
|
|
5,905,000
|
5,989,388
|
12/31/2049
|
6.100%
|
|
5,000,000
|
5,407,430
|
JPMorgan
Chase Bank NA(j)
|
04/26/2021
|
3.086%
|
|
2,750,000
|
2,766,112
|
Lloyds
Bank PLC
|
05/07/2021
|
3.300%
|
|
3,200,000
|
3,253,613
|
08/14/2022
|
2.250%
|
|
6,340,000
|
6,346,575
|
Lloyds
Banking Group PLC
|
08/16/2023
|
4.050%
|
|
6,195,000
|
6,501,962
|
03/22/2028
|
4.375%
|
|
1,975,000
|
2,150,605
|
Subordinated
|
11/04/2024
|
4.500%
|
|
5,560,000
|
5,824,978
|
Lloyds
Banking Group PLC(j)
|
11/07/2023
|
2.907%
|
|
3,463,000
|
3,474,009
|
Mitsubishi
UFJ Financial Group, Inc.
|
07/26/2023
|
3.761%
|
|
2,968,000
|
3,136,404
|
07/18/2029
|
3.195%
|
|
8,425,000
|
8,826,022
|
07/18/2039
|
3.751%
|
|
1,255,000
|
1,372,792
|
Mizuho
Financial Group, Inc.(j)
|
09/11/2024
|
3.922%
|
|
2,668,000
|
2,823,656
|
Morgan
Stanley(b)
|
3-month
USD LIBOR + 0.930%
07/22/2022
|
3.208%
|
|
3,240,000
|
3,260,979
|
Junior
Subordinated
|
3-month
USD LIBOR + 3.610%
12/31/2049
|
5.913%
|
|
5,000,000
|
5,007,595
|
Morgan
Stanley
|
10/23/2024
|
3.700%
|
|
5,500,000
|
5,871,772
|
07/23/2025
|
4.000%
|
|
1,725,000
|
1,871,149
|
01/27/2026
|
3.875%
|
|
3,665,000
|
3,962,635
|
Subordinated
|
11/24/2025
|
5.000%
|
|
4,950,000
|
5,584,689
|
Morgan
Stanley(j)
|
07/22/2028
|
3.591%
|
|
7,245,000
|
7,711,462
|
01/24/2029
|
3.772%
|
|
4,315,000
|
4,654,552
|
01/23/2030
|
4.431%
|
|
2,885,000
|
3,293,311
|
04/22/2039
|
4.457%
|
|
310,000
|
367,064
|
National
Australia Bank Ltd.
|
11/04/2021
|
3.700%
|
|
5,655,000
|
5,859,451
|
National
Australia Bank Ltd.(a),(j)
|
Subordinated
|
08/02/2034
|
3.933%
|
|
925,000
|
960,106
|
Nationwide
Building Society(a),(j)
|
04/26/2023
|
3.622%
|
|
1,540,000
|
1,572,887
|
08/01/2024
|
4.363%
|
|
4,595,000
|
4,833,154
|
07/18/2030
|
3.960%
|
|
2,485,000
|
2,611,305
|
NatWest
Markets PLC(a)
|
09/29/2022
|
3.625%
|
|
6,225,000
|
6,376,815
|
The accompanying Notes to Financial Statements are an integral part
of this statement.
28
|
Multi-Manager Total Return
Bond Strategies Fund | Annual Report 2019
|
Portfolio of Investments (continued)
August 31, 2019
Corporate
Bonds & Notes (continued)
|
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
Northern
Trust Corp.(j)
|
Junior
Subordinated
|
05/08/2032
|
3.375%
|
|
2,005,000
|
2,088,877
|
PNC
Bank NA
|
04/29/2021
|
2.150%
|
|
2,050,000
|
2,054,174
|
PNC
Financial Services Group, Inc. (The)
|
07/23/2026
|
2.600%
|
|
6,075,000
|
6,203,152
|
Royal
Bank of Canada(b)
|
3-month
USD LIBOR + 0.390%
04/30/2021
|
2.656%
|
|
4,710,000
|
4,723,617
|
Royal
Bank of Canada
|
04/30/2021
|
3.200%
|
|
12,775,000
|
13,044,335
|
10/05/2023
|
3.700%
|
|
2,698,000
|
2,868,009
|
Royal
Bank of Scotland Group PLC
|
09/12/2023
|
3.875%
|
|
3,000,000
|
3,090,936
|
Royal
Bank of Scotland Group PLC(j)
|
03/22/2025
|
4.269%
|
|
2,126,000
|
2,218,032
|
Santander
Holdings U.S.A., Inc.
|
03/28/2022
|
3.700%
|
|
3,920,000
|
4,021,356
|
Santander
Holdings USA, Inc.
|
06/07/2024
|
3.500%
|
|
5,270,000
|
5,446,603
|
Santander
UK Group Holdings PLC
|
08/05/2021
|
2.875%
|
|
3,675,000
|
3,690,439
|
Santander
UK Group Holdings PLC(a)
|
Subordinated
|
09/15/2025
|
4.750%
|
|
4,777,000
|
4,993,527
|
Santander
UK PLC
|
01/05/2021
|
2.500%
|
|
1,790,000
|
1,793,030
|
06/01/2021
|
3.400%
|
|
4,377,000
|
4,465,306
|
06/18/2024
|
2.875%
|
|
4,250,000
|
4,326,283
|
Santander
UK PLC(b)
|
3-month
USD LIBOR + 0.620%
06/01/2021
|
2.758%
|
|
3,415,000
|
3,417,356
|
Societe
Generale SA(a)
|
03/28/2024
|
3.875%
|
|
5,055,000
|
5,322,475
|
Standard
Chartered PLC(a),(j)
|
05/21/2025
|
3.785%
|
|
3,340,000
|
3,452,652
|
Sumitomo
Mitsui Financial Group, Inc.
|
10/19/2021
|
2.442%
|
|
515,000
|
517,739
|
07/12/2022
|
2.784%
|
|
1,720,000
|
1,750,738
|
07/16/2029
|
3.040%
|
|
6,815,000
|
7,056,844
|
SunTrust
Banks, Inc.
|
03/03/2021
|
2.900%
|
|
920,000
|
930,200
|
Svenska
Handelsbanken AB
|
09/07/2021
|
1.875%
|
|
6,215,000
|
6,185,162
|
Corporate
Bonds & Notes (continued)
|
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
Toronto-Dominion
Bank (The)
|
07/19/2023
|
3.500%
|
|
3,868,000
|
4,100,622
|
03/11/2024
|
3.250%
|
|
2,000,000
|
2,101,624
|
06/12/2024
|
2.650%
|
|
1,632,000
|
1,674,520
|
U.S.
Bancorp(j)
|
Junior
Subordinated
|
12/31/2049
|
5.300%
|
|
2,980,000
|
3,169,737
|
UBS
AG(a)
|
12/01/2020
|
2.450%
|
|
1,841,000
|
1,850,536
|
UBS
Group AG(a),(j)
|
08/13/2030
|
3.126%
|
|
1,405,000
|
1,441,508
|
UBS
Group Funding Switzerland AG(a)
|
05/23/2023
|
3.491%
|
|
5,580,000
|
5,752,662
|
UniCredit
SpA(a)
|
04/12/2022
|
3.750%
|
|
3,125,000
|
3,200,219
|
Wells
Fargo & Co.
|
07/22/2022
|
2.625%
|
|
5,465,000
|
5,552,844
|
01/24/2024
|
3.750%
|
|
2,500,000
|
2,661,767
|
04/22/2026
|
3.000%
|
|
3,700,000
|
3,834,188
|
12/07/2046
|
4.750%
|
|
609,000
|
744,998
|
Subordinated
|
08/15/2023
|
4.125%
|
|
4,000,000
|
4,266,332
|
Wells
Fargo Bank NA
|
10/22/2021
|
3.625%
|
|
2,996,000
|
3,090,955
|
Westpac
Banking Corp.
|
01/11/2022
|
2.800%
|
|
1,961,000
|
2,001,587
|
Zions
Bancorp NA
|
08/27/2021
|
3.500%
|
|
2,096,000
|
2,144,258
|
Total
|
664,746,605
|
Brokerage/Asset
Managers/Exchanges 0.1%
|
Charles
Schwab Corp. (The)
|
03/10/2025
|
3.000%
|
|
1,560,000
|
1,621,915
|
01/25/2028
|
3.200%
|
|
2,000,000
|
2,122,690
|
05/22/2029
|
3.250%
|
|
630,000
|
676,252
|
Jefferies
Group LLC
|
01/20/2043
|
6.500%
|
|
600,000
|
700,401
|
Jefferies
Group LLC/Capital Finance, Inc.
|
01/23/2030
|
4.150%
|
|
678,000
|
685,560
|
Nuveen
Finance LLC(a)
|
11/01/2024
|
4.125%
|
|
1,050,000
|
1,141,405
|
Raymond
James Financial, Inc.
|
07/15/2046
|
4.950%
|
|
1,745,000
|
2,122,354
|
Stifel
Financial Corp.
|
12/01/2020
|
3.500%
|
|
980,000
|
991,706
|
07/18/2024
|
4.250%
|
|
750,000
|
797,310
|
Total
|
10,859,593
|
The accompanying Notes to Financial Statements are an integral part
of this statement.
Multi-Manager
Total Return Bond Strategies Fund | Annual Report 2019
|
29
|
Portfolio of Investments (continued)
August 31, 2019
Corporate
Bonds & Notes (continued)
|
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
Building
Materials 0.2%
|
Beacon
Roofing Supply, Inc.
|
10/01/2023
|
6.375%
|
|
367,000
|
379,869
|
CRH
America Finance, Inc.(a)
|
04/04/2048
|
4.500%
|
|
2,670,000
|
2,908,428
|
Standard
Industries, Inc.(a)
|
10/15/2025
|
6.000%
|
|
1,853,000
|
1,953,957
|
02/15/2027
|
5.000%
|
|
1,000,000
|
1,025,784
|
Stanley
Black & Decker, Inc.
|
11/01/2022
|
2.900%
|
|
1,335,000
|
1,366,131
|
Summit
Materials LLC/Finance Corp.(a)
|
06/01/2025
|
5.125%
|
|
960,000
|
983,912
|
U.S.
Concrete, Inc.
|
06/01/2024
|
6.375%
|
|
2,925,000
|
3,066,508
|
Vulcan
Materials Co.
|
06/15/2047
|
4.500%
|
|
2,610,000
|
2,826,372
|
Total
|
14,510,961
|
Cable
and Satellite 0.8%
|
CCO
Holdings LLC/Capital Corp.
|
09/30/2022
|
5.250%
|
|
4,050,000
|
4,098,122
|
CCO
Holdings LLC/Capital Corp.(a)
|
05/01/2025
|
5.375%
|
|
225,000
|
233,829
|
06/01/2029
|
5.375%
|
|
1,384,000
|
1,480,153
|
Charter
Communications Operating LLC/Capital
|
07/23/2022
|
4.464%
|
|
2,065,000
|
2,178,453
|
07/23/2025
|
4.908%
|
|
988,000
|
1,089,974
|
10/23/2045
|
6.484%
|
|
4,170,000
|
5,170,558
|
Comcast
Corp.
|
10/01/2021
|
3.450%
|
|
2,283,000
|
2,351,529
|
10/15/2025
|
3.950%
|
|
3,212,000
|
3,520,204
|
10/15/2028
|
4.150%
|
|
4,695,000
|
5,328,248
|
10/15/2038
|
4.600%
|
|
1,250,000
|
1,520,601
|
03/01/2048
|
4.000%
|
|
2,000,000
|
2,257,224
|
11/01/2049
|
3.999%
|
|
3,000,000
|
3,392,727
|
Cox
Communications, Inc.(a)
|
12/15/2022
|
3.250%
|
|
500,000
|
514,264
|
08/15/2024
|
3.150%
|
|
2,265,000
|
2,335,301
|
CSC
Holdings LLC(a)
|
12/15/2021
|
5.125%
|
|
1,300,000
|
1,300,802
|
05/15/2026
|
5.500%
|
|
2,584,000
|
2,732,058
|
02/01/2028
|
5.375%
|
|
1,193,000
|
1,274,707
|
04/01/2028
|
7.500%
|
|
1,000,000
|
1,120,070
|
CSC
Holdings LLC
|
06/01/2024
|
5.250%
|
|
2,180,000
|
2,332,622
|
DISH
DBS Corp.
|
05/01/2020
|
5.125%
|
|
1,400,000
|
1,418,654
|
11/15/2024
|
5.875%
|
|
745,000
|
709,533
|
07/01/2026
|
7.750%
|
|
3,489,000
|
3,429,212
|
Corporate
Bonds & Notes (continued)
|
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
Intelsat
Jackson Holdings SA
|
08/01/2023
|
5.500%
|
|
832,000
|
756,578
|
Intelsat
Jackson Holdings SA(a)
|
07/15/2025
|
9.750%
|
|
2,202,000
|
2,259,921
|
NBCUniversal
Media LLC
|
01/15/2023
|
2.875%
|
|
720,000
|
741,996
|
Sirius
XM Radio, Inc.(a)
|
07/01/2029
|
5.500%
|
|
960,000
|
1,045,439
|
Time
Warner Cable LLC
|
02/01/2020
|
5.000%
|
|
1,500,000
|
1,515,015
|
09/01/2021
|
4.000%
|
|
1,500,000
|
1,537,766
|
07/01/2038
|
7.300%
|
|
215,000
|
274,905
|
09/01/2041
|
5.500%
|
|
5,371,000
|
5,765,747
|
Time
Warner Entertainment Co. LP
|
07/15/2033
|
8.375%
|
|
1,455,000
|
2,036,197
|
Videotron
Ltd.
|
07/15/2022
|
5.000%
|
|
2,750,000
|
2,887,060
|
Virgin
Media Secured Finance PLC(a)
|
01/15/2026
|
5.250%
|
|
313,000
|
322,127
|
08/15/2026
|
5.500%
|
|
244,000
|
255,580
|
Total
|
69,187,176
|
Chemicals
0.4%
|
Atotech
U.S.A., Inc.(a)
|
02/01/2025
|
6.250%
|
|
219,000
|
217,699
|
Cabot
Corp.
|
07/01/2029
|
4.000%
|
|
4,010,000
|
4,211,515
|
Celanese
U.S. Holdings LLC
|
11/15/2022
|
4.625%
|
|
100,000
|
106,438
|
CF
Industries, Inc.
|
03/15/2044
|
5.375%
|
|
1,350,000
|
1,367,460
|
Dow
Chemical Co. (The)
|
10/01/2024
|
3.500%
|
|
1,763,000
|
1,847,952
|
Dow
Chemical Co. (The)(a)
|
11/30/2028
|
4.800%
|
|
1,733,000
|
1,983,859
|
11/30/2048
|
5.550%
|
|
1,086,000
|
1,351,127
|
Eastman
Chemical Co.
|
10/15/2044
|
4.650%
|
|
2,511,000
|
2,724,201
|
Ecolab,
Inc.
|
12/08/2021
|
4.350%
|
|
766,000
|
804,822
|
Huntsman
International LLC
|
05/01/2029
|
4.500%
|
|
219,000
|
233,737
|
Incitec
Pivot Finance LLC(a)
|
12/10/2019
|
6.000%
|
|
1,000,000
|
1,009,042
|
International
Flavors & Fragrances, Inc.
|
09/25/2020
|
3.400%
|
|
497,000
|
503,405
|
09/26/2048
|
5.000%
|
|
4,030,000
|
4,528,712
|
The accompanying Notes to Financial Statements are an integral part
of this statement.
30
|
Multi-Manager Total Return
Bond Strategies Fund | Annual Report 2019
|
Portfolio of Investments (continued)
August 31, 2019
Corporate
Bonds & Notes (continued)
|
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
LyondellBasell
Industries NV
|
04/15/2024
|
5.750%
|
|
1,778,000
|
2,015,457
|
Mexichem
SAB de CV(a)
|
01/15/2048
|
5.500%
|
|
4,250,000
|
4,356,484
|
Mosaic
Co. (The)
|
11/15/2033
|
5.450%
|
|
506,000
|
580,733
|
11/15/2043
|
5.625%
|
|
985,000
|
1,092,735
|
Platform
Specialty Products Corp.(a)
|
12/01/2025
|
5.875%
|
|
88,000
|
91,583
|
PPG
Industries, Inc.
|
08/15/2024
|
2.400%
|
|
2,190,000
|
2,203,020
|
PQ
Corp.(a)
|
11/15/2022
|
6.750%
|
|
279,000
|
289,411
|
Sasol
Financing International Ltd.
|
11/14/2022
|
4.500%
|
|
3,800,000
|
3,902,767
|
Sasol
Financing USA LLC
|
03/27/2024
|
5.875%
|
|
645,000
|
695,849
|
Total
|
36,118,008
|
Construction
Machinery 0.3%
|
Caterpillar
Financial Services Corp.
|
09/07/2021
|
3.150%
|
|
999,000
|
1,023,054
|
10/01/2021
|
1.931%
|
|
4,655,000
|
4,646,002
|
12/07/2023
|
3.650%
|
|
4,530,000
|
4,840,364
|
John
Deere Capital Corp.
|
09/10/2021
|
3.125%
|
|
800,000
|
818,209
|
03/07/2024
|
2.600%
|
|
1,105,000
|
1,132,799
|
07/18/2029
|
2.800%
|
|
4,465,000
|
4,644,024
|
United
Rentals North America, Inc.
|
07/15/2025
|
5.500%
|
|
5,300,000
|
5,541,076
|
09/15/2026
|
5.875%
|
|
65,000
|
69,698
|
05/15/2027
|
5.500%
|
|
278,000
|
298,266
|
01/15/2028
|
4.875%
|
|
825,000
|
866,668
|
Vinci
SA(a)
|
04/10/2029
|
3.750%
|
|
513,000
|
568,385
|
Total
|
24,448,545
|
Consumer
Cyclical Services 0.2%
|
Amazon.com,
Inc.
|
02/22/2023
|
2.400%
|
|
3,635,000
|
3,704,850
|
08/22/2047
|
4.050%
|
|
723,000
|
882,423
|
Experian
Finance PLC(a)
|
02/01/2029
|
4.250%
|
|
1,560,000
|
1,774,118
|
IHS
Markit Ltd.(a)
|
11/01/2022
|
5.000%
|
|
1,000,000
|
1,067,344
|
02/15/2025
|
4.750%
|
|
500,000
|
545,367
|
03/01/2026
|
4.000%
|
|
1,350,000
|
1,439,932
|
Corporate
Bonds & Notes (continued)
|
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
IHS
Markit Ltd.
|
08/01/2028
|
4.750%
|
|
1,875,000
|
2,115,926
|
05/01/2029
|
4.250%
|
|
486,000
|
526,773
|
Western
Union Co. (The)
|
06/09/2023
|
4.250%
|
|
5,260,000
|
5,578,993
|
Total
|
17,635,726
|
Consumer
Products 0.1%
|
Mead
Johnson Nutrition Co.
|
11/15/2025
|
4.125%
|
|
640,000
|
703,868
|
Newell,
Inc.
|
04/01/2026
|
4.200%
|
|
4,150,000
|
4,303,334
|
SC
Johnson & Son, Inc.(a)
|
10/15/2046
|
4.750%
|
|
750,000
|
947,795
|
Scotts
Miracle-Gro Co. (The)
|
10/15/2023
|
6.000%
|
|
52,000
|
53,839
|
12/15/2026
|
5.250%
|
|
235,000
|
243,991
|
Unilever
Capital Corp.
|
03/07/2022
|
3.000%
|
|
4,030,000
|
4,140,672
|
Total
|
10,393,499
|
Diversified
Manufacturing 0.6%
|
3M
Co.
|
08/26/2049
|
3.250%
|
|
925,000
|
935,387
|
EnerSys
(a)
|
04/30/2023
|
5.000%
|
|
200,000
|
205,602
|
FXI
Holdings, Inc.(a)
|
11/01/2024
|
7.875%
|
|
650,000
|
576,867
|
General
Electric Co.
|
01/08/2020
|
5.500%
|
|
1,870,000
|
1,885,521
|
01/09/2020
|
2.200%
|
|
7,300,000
|
7,280,823
|
10/17/2021
|
4.650%
|
|
853,000
|
882,687
|
01/09/2023
|
3.100%
|
|
1,007,000
|
1,009,679
|
03/15/2032
|
6.750%
|
|
655,000
|
804,831
|
01/14/2038
|
5.875%
|
|
2,009,000
|
2,317,146
|
03/11/2044
|
4.500%
|
|
1,750,000
|
1,772,013
|
General
Electric Co.(b)
|
3-month
USD LIBOR + 0.480%
08/15/2036
|
2.638%
|
|
5,380,000
|
3,791,889
|
Illinois
Tool Works, Inc.
|
09/15/2021
|
3.375%
|
|
615,000
|
630,483
|
Johnson
Controls International PLC
|
07/02/2064
|
4.950%
|
|
1,530,000
|
1,657,825
|
Kennametal,
Inc.
|
06/15/2028
|
4.625%
|
|
6,345,000
|
6,811,973
|
Nvent
Finance Sarl
|
04/15/2028
|
4.550%
|
|
3,535,000
|
3,724,663
|
Roper
Technologies, Inc.
|
09/15/2023
|
3.650%
|
|
209,000
|
220,267
|
The accompanying Notes to Financial Statements are an integral part
of this statement.
Multi-Manager
Total Return Bond Strategies Fund | Annual Report 2019
|
31
|
Portfolio of Investments (continued)
August 31, 2019
Corporate
Bonds & Notes (continued)
|
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
Timken
Co. (The)
|
12/15/2028
|
4.500%
|
|
3,685,000
|
4,009,387
|
United
Technologies Corp.
|
08/16/2023
|
3.650%
|
|
1,503,000
|
1,594,567
|
05/01/2035
|
5.400%
|
|
128,000
|
163,796
|
07/15/2038
|
6.125%
|
|
188,000
|
263,486
|
05/04/2047
|
4.050%
|
|
560,000
|
645,908
|
Valmont
Industries, Inc.
|
10/01/2054
|
5.250%
|
|
2,050,000
|
2,194,138
|
Wabtec
Corp.(b)
|
3-month
USD LIBOR + 1.050%
09/15/2021
|
3.710%
|
|
1,775,000
|
1,771,246
|
Wabtec
Corp.
|
09/15/2028
|
4.700%
|
|
3,190,000
|
3,559,373
|
Total
|
48,709,557
|
Electric
2.8%
|
AEP
Texas Central Co.(a)
|
10/01/2025
|
3.850%
|
|
880,000
|
937,134
|
AEP
Texas Central Co.
|
02/15/2033
|
6.650%
|
|
1,385,000
|
1,928,108
|
AES
Corp. (The)
|
09/01/2027
|
5.125%
|
|
118,000
|
126,666
|
Alabama
Power Co.
|
12/01/2023
|
3.550%
|
|
1,000,000
|
1,060,595
|
Alliant
Energy Finance LLC(a)
|
06/15/2028
|
4.250%
|
|
5,250,000
|
5,744,335
|
Ameren
Corp.
|
02/15/2026
|
3.650%
|
|
590,000
|
625,866
|
American
Electric Power Co., Inc.
|
12/15/2022
|
2.950%
|
|
750,000
|
766,240
|
American
Transmission Systems, Inc.(a)
|
09/01/2044
|
5.000%
|
|
1,411,000
|
1,799,056
|
Arizona
Public Service Co.
|
08/15/2048
|
4.200%
|
|
605,000
|
705,848
|
Avangrid,
Inc.
|
06/01/2029
|
3.800%
|
|
4,449,000
|
4,837,349
|
Baltimore
Gas & Electric Co.
|
07/01/2023
|
3.350%
|
|
3,590,000
|
3,753,492
|
Black
Hills Corp.
|
11/30/2023
|
4.250%
|
|
297,000
|
318,102
|
Calpine
Corp.(a)
|
01/15/2024
|
5.875%
|
|
75,000
|
76,565
|
Calpine
Corp.
|
01/15/2025
|
5.750%
|
|
5,632,000
|
5,716,322
|
CenterPoint
Energy, Inc.
|
03/01/2030
|
2.950%
|
|
2,680,000
|
2,714,041
|
Corporate
Bonds & Notes (continued)
|
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
Cleveland
Electric Illuminating Co. (The)(a)
|
04/01/2028
|
3.500%
|
|
3,331,000
|
3,528,898
|
Cleveland
Electric Illuminating Co. (The)
|
12/15/2036
|
5.950%
|
|
1,279,000
|
1,654,922
|
CMS
Energy Corp.
|
03/01/2024
|
3.875%
|
|
1,020,000
|
1,081,026
|
02/15/2027
|
2.950%
|
|
80,000
|
81,389
|
Commonwealth
Edison Co.
|
08/15/2047
|
3.750%
|
|
860,000
|
971,514
|
Consolidated
Edison Co. of New York, Inc.
|
03/01/2035
|
5.300%
|
|
178,000
|
225,606
|
06/15/2046
|
3.850%
|
|
1,310,000
|
1,455,648
|
06/15/2047
|
3.875%
|
|
1,640,000
|
1,834,099
|
12/01/2054
|
4.625%
|
|
510,000
|
625,513
|
11/15/2057
|
4.000%
|
|
577,000
|
645,234
|
Consumers
Energy Co.(c)
|
08/15/2050
|
3.100%
|
|
751,000
|
768,730
|
Dominion
Energy, Inc.(a)
|
01/15/2023
|
2.450%
|
|
5,000,000
|
5,006,080
|
Dominion
Energy, Inc.
|
08/15/2026
|
2.850%
|
|
750,000
|
761,800
|
Jr.
Subordinated
|
08/15/2024
|
3.071%
|
|
3,505,000
|
3,607,889
|
Dominion
Resources, Inc.
|
01/15/2022
|
2.750%
|
|
2,509,000
|
2,540,340
|
DPL,
Inc.(a)
|
04/15/2029
|
4.350%
|
|
1,656,000
|
1,658,920
|
DTE
Electric Co.
|
05/15/2048
|
4.050%
|
|
210,000
|
250,991
|
03/01/2049
|
3.950%
|
|
305,000
|
361,944
|
DTE
Energy Co.
|
10/01/2024
|
2.529%
|
|
4,885,000
|
4,930,211
|
10/01/2026
|
2.850%
|
|
10,155,000
|
10,397,400
|
Duke
Energy Carolinas LLC
|
12/01/2047
|
3.700%
|
|
1,678,000
|
1,871,450
|
Duke
Energy Corp.
|
09/01/2026
|
2.650%
|
|
6,770,000
|
6,854,056
|
Duke
Energy Progress LLC
|
05/15/2042
|
4.100%
|
|
1,748,000
|
2,033,660
|
03/15/2043
|
4.100%
|
|
955,000
|
1,112,021
|
03/30/2044
|
4.375%
|
|
770,000
|
934,397
|
08/15/2045
|
4.200%
|
|
1,425,000
|
1,691,340
|
09/15/2047
|
3.600%
|
|
940,000
|
1,021,620
|
Duquesne
Light Holdings, Inc.(a)
|
09/15/2020
|
6.400%
|
|
5,000,000
|
5,186,735
|
Enel
Finance International NV(a)
|
04/06/2028
|
3.500%
|
|
2,370,000
|
2,411,115
|
The accompanying Notes to Financial Statements are an integral part
of this statement.
32
|
Multi-Manager Total Return
Bond Strategies Fund | Annual Report 2019
|
Portfolio of Investments (continued)
August 31, 2019
Corporate
Bonds & Notes (continued)
|
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
Entergy
Louisiana LLC
|
10/01/2026
|
2.400%
|
|
2,500,000
|
2,515,483
|
09/01/2048
|
4.200%
|
|
1,000,000
|
1,211,352
|
Entergy
Mississippi LLC
|
06/01/2049
|
3.850%
|
|
5,745,000
|
6,565,064
|
Entergy
Mississippi, Inc.
|
07/01/2023
|
3.100%
|
|
1,600,000
|
1,651,054
|
Entergy
Texas, Inc.
|
12/01/2027
|
3.450%
|
|
2,510,000
|
2,626,211
|
03/30/2029
|
4.000%
|
|
362,000
|
405,543
|
Eversource
Energy
|
10/01/2024
|
2.900%
|
|
2,469,000
|
2,546,640
|
Exelon
Corp.
|
06/15/2025
|
3.950%
|
|
1,300,000
|
1,400,526
|
04/15/2046
|
4.450%
|
|
1,050,000
|
1,223,336
|
Exelon
Corp.(j)
|
Junior
Subordinated
|
06/01/2022
|
3.497%
|
|
6,780,000
|
6,966,640
|
Exelon
Generation Co. LLC
|
10/01/2041
|
5.750%
|
|
2,000,000
|
2,405,668
|
FirstEnergy
Corp.
|
03/15/2023
|
4.250%
|
|
2,983,000
|
3,169,136
|
FirstEnergy
Transmission LLC(a)
|
04/01/2049
|
4.550%
|
|
675,000
|
811,143
|
Fortis,
Inc.
|
10/04/2021
|
2.100%
|
|
2,420,000
|
2,409,708
|
10/04/2026
|
3.055%
|
|
477,000
|
488,188
|
Georgia
Power Co.
|
09/08/2020
|
2.000%
|
|
1,250,000
|
1,247,845
|
Gulf
Power Co.
|
10/01/2044
|
4.550%
|
|
1,350,000
|
1,636,663
|
Interstate
Power & Light Co.
|
12/01/2024
|
3.250%
|
|
821,000
|
862,263
|
ITC
Holdings Corp.
|
06/15/2024
|
3.650%
|
|
3,050,000
|
3,215,276
|
Jersey
Central Power & Light Co.(a)
|
04/01/2024
|
4.700%
|
|
1,600,000
|
1,757,411
|
Jersey
Central Power & Light Co.
|
06/01/2037
|
6.150%
|
|
1,985,000
|
2,592,108
|
Kansas
City Power & Light Co.
|
08/15/2025
|
3.650%
|
|
665,000
|
713,401
|
LG&E
& KU Energy LLC
|
11/15/2020
|
3.750%
|
|
597,000
|
605,813
|
Metropolitan
Edison Co.(a)
|
01/15/2029
|
4.300%
|
|
2,000,000
|
2,271,526
|
Mississippi
Power Co.
|
03/15/2042
|
4.250%
|
|
475,000
|
526,092
|
Corporate
Bonds & Notes (continued)
|
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
National
Rural Utilities Cooperative Finance Corp.
|
02/07/2024
|
2.950%
|
|
3,765,000
|
3,907,012
|
03/15/2049
|
4.300%
|
|
2,175,000
|
2,677,351
|
National
Rural Utilities Cooperative Finance Corp.(j)
|
04/30/2043
|
4.750%
|
|
1,587,000
|
1,607,466
|
Subordinated
|
04/20/2046
|
5.250%
|
|
1,750,000
|
1,850,520
|
NextEra
Energy Capital Holdings, Inc.(b)
|
3-month
USD LIBOR + 0.480%
05/04/2021
|
2.767%
|
|
11,075,000
|
11,087,282
|
NextEra
Energy Capital Holdings, Inc.
|
09/01/2021
|
2.403%
|
|
6,995,000
|
7,029,982
|
06/15/2023
|
3.625%
|
|
3,000,000
|
3,140,742
|
04/01/2024
|
3.150%
|
|
1,164,000
|
1,211,020
|
NRG
Energy, Inc.
|
01/15/2028
|
5.750%
|
|
750,000
|
808,466
|
Ohio
Power Co.
|
06/01/2049
|
4.000%
|
|
1,685,000
|
1,970,715
|
Oncor
Electric Delivery Co. LLC
|
09/30/2040
|
5.250%
|
|
1,600,000
|
2,139,506
|
Pennsylvania
Electric Co.(a)
|
03/15/2028
|
3.250%
|
|
1,990,000
|
2,076,645
|
PNM
Resources, Inc.
|
03/09/2021
|
3.250%
|
|
3,315,000
|
3,356,520
|
PPL
Capital Funding, Inc.
|
06/15/2022
|
4.200%
|
|
603,000
|
632,473
|
03/15/2024
|
3.950%
|
|
1,200,000
|
1,273,454
|
PSEG
Power LLC
|
06/01/2023
|
3.850%
|
|
2,770,000
|
2,921,300
|
Public
Service Co. of Oklahoma
|
02/01/2021
|
4.400%
|
|
2,800,000
|
2,887,500
|
Public
Service Electric & Gas Co.
|
09/01/2023
|
3.250%
|
|
1,300,000
|
1,363,635
|
Public
Service Enterprise Group, Inc.
|
11/15/2022
|
2.650%
|
|
1,316,000
|
1,334,667
|
Puget
Sound Energy, Inc.
|
09/15/2049
|
3.250%
|
|
463,000
|
476,357
|
Sierra
Pacific Power Co.
|
05/01/2026
|
2.600%
|
|
758,000
|
775,757
|
South
Carolina Electric & Gas Co.
|
05/15/2033
|
5.300%
|
|
1,000,000
|
1,260,827
|
Southern
Co. (The)
|
07/01/2036
|
4.250%
|
|
595,000
|
658,294
|
Southwestern
Electric Power Co.
|
10/01/2026
|
2.750%
|
|
6,450,000
|
6,555,399
|
09/15/2028
|
4.100%
|
|
1,500,000
|
1,685,987
|
The accompanying Notes to Financial Statements are an integral part
of this statement.
Multi-Manager
Total Return Bond Strategies Fund | Annual Report 2019
|
33
|
Portfolio of Investments (continued)
August 31, 2019
Corporate
Bonds & Notes (continued)
|
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
Tampa
Electric Co.
|
09/15/2022
|
2.600%
|
|
2,000,000
|
2,020,422
|
Toledo
Edison Co. (The)
|
05/15/2037
|
6.150%
|
|
951,000
|
1,310,448
|
Tucson
Electric Power Co.
|
03/15/2023
|
3.850%
|
|
2,480,000
|
2,575,902
|
12/01/2048
|
4.850%
|
|
485,000
|
626,584
|
Union
Electric Co.
|
03/15/2029
|
3.500%
|
|
1,225,000
|
1,351,875
|
Virginia
Electric & Power Co.
|
09/01/2022
|
3.450%
|
|
1,500,000
|
1,554,542
|
03/15/2027
|
3.500%
|
|
1,500,000
|
1,615,550
|
04/01/2028
|
3.800%
|
|
1,000,000
|
1,105,040
|
Vistra
Operations Co. LLC(a)
|
07/15/2029
|
4.300%
|
|
8,330,000
|
8,504,030
|
Westar
Energy, Inc.
|
09/01/2049
|
3.250%
|
|
1,126,000
|
1,161,528
|
Xcel
Energy, Inc.
|
06/01/2025
|
3.300%
|
|
2,030,000
|
2,127,631
|
Total
|
237,080,786
|
Finance
Companies 0.8%
|
AerCap
Ireland Capital DAC/Global Aviation Trust
|
05/15/2021
|
4.500%
|
|
3,505,000
|
3,621,159
|
10/01/2021
|
5.000%
|
|
6,000,000
|
6,305,562
|
08/14/2024
|
2.875%
|
|
6,000,000
|
6,005,556
|
Air
Lease Corp.
|
03/01/2020
|
4.750%
|
|
3,625,000
|
3,666,213
|
01/15/2022
|
3.500%
|
|
6,002,000
|
6,173,009
|
Ares
Capital Corp.
|
06/10/2024
|
4.200%
|
|
5,105,000
|
5,293,696
|
Aviation
Capital Group LLC(a)
|
05/01/2023
|
3.875%
|
|
3,120,000
|
3,263,517
|
Avolon
Holdings Funding Ltd.(a)
|
05/01/2022
|
3.625%
|
|
3,110,000
|
3,158,790
|
01/15/2023
|
5.500%
|
|
4,000,000
|
4,280,028
|
GE
Capital International Funding Co. Unlimited Co.
|
11/15/2020
|
2.342%
|
|
8,137,000
|
8,081,408
|
11/15/2025
|
3.373%
|
|
750,000
|
759,614
|
11/15/2035
|
4.418%
|
|
13,006,000
|
13,217,282
|
Park
Aerospace Holdings Ltd.(a)
|
03/15/2023
|
4.500%
|
|
3,915,000
|
4,064,115
|
Quicken
Loans, Inc.(a)
|
01/15/2028
|
5.250%
|
|
850,000
|
884,687
|
Total
|
68,774,636
|
Corporate
Bonds & Notes (continued)
|
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
Food
and Beverage 1.2%
|
Anheuser-Busch
Companies LLC/InBev Worldwide, Inc.
|
02/01/2036
|
4.700%
|
|
809,000
|
941,164
|
02/01/2046
|
4.900%
|
|
9,527,000
|
11,355,003
|
Anheuser-Busch
InBev Finance, Inc.
|
02/01/2026
|
3.650%
|
|
1,735,000
|
1,860,444
|
Anheuser-Busch
InBev Worldwide, Inc.
|
01/23/2039
|
5.450%
|
|
365,000
|
465,021
|
04/15/2048
|
4.600%
|
|
1,930,000
|
2,240,446
|
Bacardi
Ltd.(a)
|
05/15/2028
|
4.700%
|
|
885,000
|
974,887
|
05/15/2048
|
5.300%
|
|
5,815,000
|
6,672,695
|
Brown-Forman
Corp.
|
04/15/2025
|
3.500%
|
|
1,645,000
|
1,754,823
|
Bunge
Ltd. Finance Corp.
|
03/15/2024
|
4.350%
|
|
5,170,000
|
5,502,586
|
Campbell
Soup Co.
|
03/15/2021
|
3.300%
|
|
3,315,000
|
3,364,672
|
Cargill,
Inc.(a)
|
05/23/2049
|
3.875%
|
|
1,140,000
|
1,341,486
|
Central
America Botling Corp.(a)
|
01/31/2027
|
5.750%
|
|
1,600,000
|
1,694,157
|
General
Mills, Inc.
|
04/17/2025
|
4.000%
|
|
2,524,000
|
2,736,256
|
JBS
U.S.A. Lux SA/Finance, Inc.(a)
|
06/15/2025
|
5.750%
|
|
100,000
|
104,410
|
JBS
U.S.A. LUX SA/Finance, Inc.(a)
|
07/15/2024
|
5.875%
|
|
4,000,000
|
4,121,060
|
Keurig
Dr Pepper, Inc.
|
05/25/2021
|
3.551%
|
|
2,405,000
|
2,460,183
|
05/25/2023
|
4.057%
|
|
3,411,000
|
3,622,011
|
Kraft
Heinz Co. (The)(a)
|
02/15/2025
|
4.875%
|
|
984,000
|
1,013,851
|
Kraft
Heinz Foods Co. (The)
|
02/10/2020
|
5.375%
|
|
800,000
|
809,560
|
06/15/2023
|
4.000%
|
|
3,585,000
|
3,725,059
|
07/15/2025
|
3.950%
|
|
3,200,000
|
3,321,789
|
06/01/2026
|
3.000%
|
|
2,490,000
|
2,449,450
|
06/04/2042
|
5.000%
|
|
1,476,000
|
1,519,685
|
07/15/2045
|
5.200%
|
|
650,000
|
691,436
|
06/01/2046
|
4.375%
|
|
3,381,000
|
3,244,786
|
Mars,
Inc.(a)
|
04/01/2030
|
3.200%
|
|
1,709,000
|
1,829,156
|
04/01/2039
|
3.875%
|
|
709,000
|
810,837
|
Mondelez
International, Inc.(a)
|
10/28/2019
|
1.625%
|
|
4,800,000
|
4,794,875
|
Mondelez
International, Inc.
|
05/07/2020
|
3.000%
|
|
3,870,000
|
3,888,591
|
The accompanying Notes to Financial Statements are an integral part
of this statement.
34
|
Multi-Manager Total Return
Bond Strategies Fund | Annual Report 2019
|
Portfolio of Investments (continued)
August 31, 2019
Corporate
Bonds & Notes (continued)
|
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
PepsiCo,
Inc.
|
04/30/2025
|
2.750%
|
|
1,300,000
|
1,359,205
|
07/29/2029
|
2.625%
|
|
825,000
|
856,443
|
04/14/2046
|
4.450%
|
|
476,000
|
602,943
|
07/29/2049
|
3.375%
|
|
4,365,000
|
4,792,006
|
Pilgrim’s
Pride Corp.(a)
|
09/30/2027
|
5.875%
|
|
1,194,000
|
1,286,476
|
Post
Holdings, Inc.(a)
|
12/15/2029
|
5.500%
|
|
2,937,000
|
3,104,001
|
Smithfield
Foods, Inc.(a)
|
02/01/2022
|
3.350%
|
|
1,110,000
|
1,114,359
|
Sysco
Corp.
|
03/15/2025
|
3.550%
|
|
3,165,000
|
3,368,747
|
Tyson
Foods, Inc.(b)
|
3-month
USD LIBOR + 0.450%
Floor 0.450%
08/21/2020
|
2.602%
|
|
2,015,000
|
2,015,629
|
Tyson
Foods, Inc.
|
08/15/2044
|
5.150%
|
|
200,000
|
242,945
|
Total
|
98,053,133
|
Gaming
0.2%
|
Caesars
Resort Collection LLC/CRC Finco, Inc.(a)
|
10/15/2025
|
5.250%
|
|
1,513,000
|
1,538,940
|
Churchill
Downs, Inc.(a)
|
04/01/2027
|
5.500%
|
|
1,364,000
|
1,449,627
|
01/15/2028
|
4.750%
|
|
200,000
|
205,880
|
GLP
Capital LP/Financing II, Inc.
|
11/01/2023
|
5.375%
|
|
125,000
|
135,576
|
06/01/2025
|
5.250%
|
|
1,609,000
|
1,771,178
|
04/15/2026
|
5.375%
|
|
3,410,000
|
3,744,998
|
01/15/2029
|
5.300%
|
|
2,190,000
|
2,444,485
|
01/15/2030
|
4.000%
|
|
1,670,000
|
1,683,407
|
MGM
Growth Properties Operating Partnership LP/Finance Co-Issuer, Inc.
|
05/01/2024
|
5.625%
|
|
950,000
|
1,037,685
|
09/01/2026
|
4.500%
|
|
1,915,000
|
2,006,414
|
MGM
Resorts International
|
09/01/2026
|
4.625%
|
|
1,070,000
|
1,108,605
|
Scientific
Games International, Inc.
|
12/01/2022
|
10.000%
|
|
1,850,000
|
1,922,431
|
Studio
City Co., Ltd.(a)
|
11/30/2021
|
7.250%
|
|
600,000
|
614,883
|
Total
|
19,664,109
|
Health
Care 1.8%
|
Abbott
Laboratories
|
11/30/2021
|
2.900%
|
|
649,000
|
661,158
|
11/30/2023
|
3.400%
|
|
2,733,000
|
2,880,071
|
11/30/2036
|
4.750%
|
|
1,500,000
|
1,879,158
|
11/30/2046
|
4.900%
|
|
818,000
|
1,089,295
|
Corporate
Bonds & Notes (continued)
|
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
AmerisourceBergen
Corp.
|
12/15/2027
|
3.450%
|
|
873,000
|
910,901
|
Ascension
Health Alliance
|
11/15/2046
|
3.945%
|
|
375,000
|
445,666
|
Barnabas
Health, Inc.
|
07/01/2028
|
4.000%
|
|
3,200,000
|
3,347,786
|
Becton
Dickinson and Co.(b)
|
3-month
USD LIBOR + 0.875%
12/29/2020
|
3.194%
|
|
1,199,000
|
1,199,261
|
3-month
USD LIBOR + 1.030%
06/06/2022
|
3.504%
|
|
2,963,000
|
2,976,120
|
Becton
Dickinson and Co.
|
06/06/2022
|
2.894%
|
|
3,600,000
|
3,659,004
|
12/15/2024
|
3.734%
|
|
158,000
|
168,210
|
05/15/2044
|
4.875%
|
|
1,555,000
|
1,833,143
|
Change
Healthcare Holdings LLC/Finance, Inc.(a)
|
03/01/2025
|
5.750%
|
|
650,000
|
653,780
|
CHS/Community
Health Systems, Inc.(a)
|
01/15/2024
|
8.625%
|
|
399,000
|
402,957
|
06/30/2024
|
8.125%
|
|
4,393,000
|
3,338,680
|
03/15/2026
|
8.000%
|
|
464,000
|
447,478
|
Cigna
Corp.
|
09/17/2020
|
3.200%
|
|
3,006,000
|
3,037,085
|
07/15/2023
|
3.750%
|
|
3,858,000
|
4,057,779
|
11/15/2025
|
4.125%
|
|
3,649,000
|
3,956,724
|
10/15/2028
|
4.375%
|
|
2,000,000
|
2,230,360
|
08/15/2038
|
4.800%
|
|
1,959,000
|
2,263,241
|
12/15/2048
|
4.900%
|
|
7,819,000
|
9,249,151
|
CVS
Health Corp.
|
03/09/2023
|
3.700%
|
|
497,000
|
519,555
|
12/05/2023
|
4.000%
|
|
515,000
|
546,794
|
08/15/2024
|
2.625%
|
|
1,250,000
|
1,258,536
|
03/25/2025
|
4.100%
|
|
319,000
|
341,231
|
07/20/2025
|
3.875%
|
|
877,000
|
930,152
|
06/01/2026
|
2.875%
|
|
2,320,000
|
2,331,957
|
03/25/2028
|
4.300%
|
|
2,508,000
|
2,735,272
|
03/25/2038
|
4.780%
|
|
1,870,000
|
2,097,487
|
07/20/2045
|
5.125%
|
|
525,000
|
608,425
|
03/25/2048
|
5.050%
|
|
15,856,000
|
18,501,383
|
Duke
University Health System, Inc.
|
06/01/2047
|
3.920%
|
|
875,000
|
1,055,766
|
Express
Scripts Holding Co.
|
11/15/2021
|
4.750%
|
|
825,000
|
870,004
|
02/25/2026
|
4.500%
|
|
587,000
|
648,808
|
03/01/2027
|
3.400%
|
|
2,190,000
|
2,279,464
|
Fresenius
Medical Care US Finance III, Inc.(a)
|
06/15/2029
|
3.750%
|
|
3,597,000
|
3,658,279
|
The accompanying Notes to Financial Statements are an integral part
of this statement.
Multi-Manager
Total Return Bond Strategies Fund | Annual Report 2019
|
35
|
Portfolio of Investments (continued)
August 31, 2019
Corporate
Bonds & Notes (continued)
|
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
HCA,
Inc.
|
05/01/2023
|
4.750%
|
|
175,000
|
188,059
|
02/01/2025
|
5.375%
|
|
5,275,000
|
5,859,285
|
04/15/2025
|
5.250%
|
|
3,199,000
|
3,577,669
|
02/15/2027
|
4.500%
|
|
705,000
|
764,710
|
06/15/2039
|
5.125%
|
|
2,000,000
|
2,208,060
|
06/15/2047
|
5.500%
|
|
1,088,000
|
1,255,984
|
06/15/2049
|
5.250%
|
|
7,497,000
|
8,419,896
|
IQVIA,
Inc.(a)
|
05/15/2027
|
5.000%
|
|
662,000
|
697,288
|
Mayo
Clinic
|
11/15/2052
|
4.128%
|
|
750,000
|
928,460
|
MEDNAX,
Inc.(a)
|
01/15/2027
|
6.250%
|
|
2,059,000
|
2,028,329
|
Medtronic,
Inc.
|
03/15/2045
|
4.625%
|
|
95,000
|
123,341
|
Memorial
Sloan-Kettering Cancer Center
|
07/01/2052
|
4.125%
|
|
4,630,000
|
5,757,160
|
New
York and Presbyterian Hospital (The)
|
08/01/2116
|
4.763%
|
|
1,050,000
|
1,328,150
|
NYU
Langone Hospitals
|
07/01/2042
|
4.428%
|
|
2,807,000
|
3,419,897
|
07/01/2043
|
5.750%
|
|
705,000
|
1,025,475
|
Polaris
Intermediate Corp. PIK(a)
|
12/01/2022
|
8.500%
|
|
69,000
|
58,006
|
Quest
Diagnostics, Inc.
|
06/01/2026
|
3.450%
|
|
3,255,000
|
3,435,106
|
RegionalCare
Hospital Partners Holdings, Inc./LifePoint Health, Inc.(a)
|
12/01/2026
|
9.750%
|
|
3,400,000
|
3,634,923
|
Surgery
Center Holdings, Inc.(a)
|
07/01/2025
|
6.750%
|
|
43,000
|
36,903
|
Sutter
Health
|
08/15/2053
|
2.286%
|
|
2,300,000
|
2,304,170
|
Teleflex,
Inc.
|
11/15/2027
|
4.625%
|
|
572,000
|
604,296
|
Tenet
Healthcare Corp.
|
04/01/2021
|
4.500%
|
|
1,809,000
|
1,874,567
|
10/01/2021
|
4.375%
|
|
25,000
|
26,178
|
07/15/2024
|
4.625%
|
|
1,301,000
|
1,338,147
|
05/01/2025
|
5.125%
|
|
106,000
|
106,164
|
08/01/2025
|
7.000%
|
|
2,025,000
|
2,045,414
|
Tenet
Healthcare Corp.(a)
|
01/01/2026
|
4.875%
|
|
910,000
|
935,272
|
11/01/2027
|
5.125%
|
|
3,076,000
|
3,178,440
|
Texas
Health Resources
|
11/15/2055
|
4.330%
|
|
700,000
|
877,103
|
Thermo
Fisher Scientific, Inc.
|
01/15/2023
|
3.150%
|
|
711,000
|
732,877
|
Corporate
Bonds & Notes (continued)
|
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
Zimmer
Biomet Holdings, Inc.(b)
|
3-month
USD LIBOR + 0.750%
03/19/2021
|
3.169%
|
|
3,315,000
|
3,311,118
|
Zimmer
Biomet Holdings, Inc.
|
04/01/2025
|
3.550%
|
|
985,000
|
1,035,800
|
Total
|
152,186,368
|
Healthcare
Insurance 0.3%
|
Aetna,
Inc.
|
05/15/2042
|
4.500%
|
|
429,000
|
463,882
|
Anthem,
Inc.
|
01/15/2043
|
4.650%
|
|
2,600,000
|
2,955,904
|
01/15/2044
|
5.100%
|
|
1,185,000
|
1,430,886
|
Centene
Corp.(a)
|
06/01/2026
|
5.375%
|
|
600,000
|
640,109
|
Cigna
Corp.
|
10/15/2027
|
3.050%
|
|
2,410,000
|
2,454,932
|
Humana,
Inc.
|
08/15/2049
|
3.950%
|
|
3,145,000
|
3,281,446
|
Molina
Healthcare, Inc.
|
11/15/2022
|
5.375%
|
|
1,231,000
|
1,315,032
|
UnitedHealth
Group, Inc.
|
08/15/2029
|
2.875%
|
|
1,696,000
|
1,767,620
|
08/15/2039
|
3.500%
|
|
641,000
|
684,142
|
07/15/2045
|
4.750%
|
|
2,060,000
|
2,570,588
|
01/15/2047
|
4.200%
|
|
503,000
|
586,848
|
08/15/2059
|
3.875%
|
|
448,000
|
493,804
|
WellCare
Health Plans, Inc.
|
04/01/2025
|
5.250%
|
|
11,000
|
11,530
|
WellCare
Health Plans, Inc.(a)
|
08/15/2026
|
5.375%
|
|
400,000
|
426,213
|
Wellpoint,
Inc.
|
08/15/2024
|
3.500%
|
|
2,089,000
|
2,189,911
|
Total
|
21,272,847
|
Healthcare
REIT 0.2%
|
HCP,
Inc.
|
11/15/2023
|
4.250%
|
|
1,934,000
|
2,077,455
|
08/15/2024
|
3.875%
|
|
627,000
|
673,575
|
Healthcare
Realty Trust, Inc.
|
05/01/2025
|
3.875%
|
|
440,000
|
462,650
|
Healthcare
Trust of America Holdings LP
|
07/15/2021
|
3.375%
|
|
2,765,000
|
2,813,473
|
Omega
Healthcare Investors, Inc.
|
01/15/2025
|
4.500%
|
|
975,000
|
1,030,073
|
Sabra
Health Care LP/Capital Corp.
|
06/01/2024
|
4.800%
|
|
1,610,000
|
1,691,798
|
The accompanying Notes to Financial Statements are an integral part
of this statement.
36
|
Multi-Manager Total Return
Bond Strategies Fund | Annual Report 2019
|
Portfolio of Investments (continued)
August 31, 2019
Corporate
Bonds & Notes (continued)
|
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
Ventas
Realty LP
|
04/15/2049
|
4.875%
|
|
2,260,000
|
2,758,671
|
Welltower,
Inc.
|
01/15/2030
|
3.100%
|
|
4,175,000
|
4,243,650
|
Total
|
15,751,345
|
Home
Construction 0.2%
|
Mattamy
Group Corp.(a)
|
12/15/2023
|
6.875%
|
|
4,037,000
|
4,201,249
|
PulteGroup,
Inc.
|
03/01/2026
|
5.500%
|
|
1,700,000
|
1,858,926
|
01/15/2027
|
5.000%
|
|
1,425,000
|
1,532,901
|
Taylor
Morrison Communities, Inc./Holdings II(a)
|
04/15/2023
|
5.875%
|
|
3,446,000
|
3,650,141
|
William
Lyon Homes, Inc.
|
01/31/2025
|
5.875%
|
|
3,100,000
|
3,116,970
|
Total
|
14,360,187
|
Independent
Energy 0.5%
|
Afren
PLC(a),(k)
|
12/09/2020
|
0.000%
|
|
195,167
|
279
|
Anadarko
Petroleum Corp.(i)
|
10/10/2036
|
0.000%
|
|
3,000,000
|
1,466,718
|
Apache
Corp.
|
01/15/2044
|
4.250%
|
|
715,000
|
646,697
|
07/01/2049
|
5.350%
|
|
4,120,000
|
4,303,266
|
Ascent
Resources Utica Holdings LLC/ARU Finance Corp.(a)
|
04/01/2022
|
10.000%
|
|
425,000
|
426,020
|
11/01/2026
|
7.000%
|
|
600,000
|
492,458
|
Canadian
Natural Resources Ltd.
|
06/30/2033
|
6.450%
|
|
730,000
|
944,396
|
Centennial
Resource Production LLC(a)
|
04/01/2027
|
6.875%
|
|
395,000
|
394,971
|
Cimarex
Energy Co.
|
06/01/2024
|
4.375%
|
|
209,000
|
220,503
|
05/15/2027
|
3.900%
|
|
831,000
|
849,083
|
03/15/2029
|
4.375%
|
|
228,000
|
241,920
|
Conoco
Funding Co.
|
10/15/2031
|
7.250%
|
|
2,000,000
|
2,879,928
|
Continental
Resources, Inc.
|
04/15/2023
|
4.500%
|
|
385,000
|
398,546
|
06/01/2024
|
3.800%
|
|
4,052,000
|
4,109,705
|
CrownRock
LP/Finance, Inc.(a)
|
10/15/2025
|
5.625%
|
|
187,000
|
184,713
|
Devon
Energy Corp.
|
07/15/2041
|
5.600%
|
|
1,875,000
|
2,307,030
|
EOG
Resources, Inc.
|
03/15/2023
|
2.625%
|
|
2,340,000
|
2,390,656
|
Corporate
Bonds & Notes (continued)
|
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
EQT
Corp.
|
10/01/2027
|
3.900%
|
|
2,000,000
|
1,735,584
|
Extraction
Oil & Gas, Inc.(a)
|
05/15/2024
|
7.375%
|
|
99,000
|
73,983
|
Gulfport
Energy Corp.
|
05/15/2025
|
6.375%
|
|
175,000
|
128,153
|
Matador
Resources Co.
|
09/15/2026
|
5.875%
|
|
550,000
|
534,731
|
MEG
Energy Corp.(a)
|
03/31/2024
|
7.000%
|
|
3,000,000
|
2,856,999
|
Newfield
Exploration Co.
|
07/01/2024
|
5.625%
|
|
6,305,000
|
6,949,560
|
Occidental
Petroleum Corp.
|
08/15/2022
|
2.700%
|
|
4,500,000
|
4,542,282
|
08/15/2024
|
2.900%
|
|
1,153,000
|
1,162,897
|
04/15/2026
|
3.400%
|
|
775,000
|
787,987
|
Parsley
Energy LLC/Finance Corp.(a)
|
01/15/2025
|
5.375%
|
|
1,000,000
|
1,019,476
|
08/15/2025
|
5.250%
|
|
312,000
|
316,846
|
WPX
Energy, Inc.
|
01/15/2022
|
6.000%
|
|
161,000
|
166,233
|
09/15/2024
|
5.250%
|
|
78,000
|
79,339
|
06/01/2026
|
5.750%
|
|
2,175,000
|
2,255,501
|
Total
|
44,866,460
|
Integrated
Energy 0.3%
|
BP
Capital Markets America, Inc.
|
05/06/2022
|
3.245%
|
|
1,875,000
|
1,935,651
|
05/10/2023
|
2.750%
|
|
1,500,000
|
1,536,783
|
04/14/2024
|
3.224%
|
|
989,000
|
1,033,697
|
Cenovus
Energy, Inc.
|
09/15/2023
|
3.800%
|
|
726,000
|
750,197
|
11/15/2039
|
6.750%
|
|
2,500,000
|
3,072,592
|
06/15/2047
|
5.400%
|
|
337,000
|
381,105
|
Chevron
Corp.
|
06/24/2023
|
3.191%
|
|
700,000
|
733,454
|
05/16/2026
|
2.954%
|
|
1,875,000
|
1,982,314
|
Exxon
Mobil Corp.
|
03/01/2023
|
2.726%
|
|
715,000
|
736,887
|
08/16/2039
|
2.995%
|
|
585,000
|
603,227
|
08/16/2049
|
3.095%
|
|
6,608,000
|
6,855,364
|
Husky
Energy, Inc.
|
04/15/2022
|
3.950%
|
|
3,000,000
|
3,104,451
|
Shell
International Finance BV
|
05/11/2025
|
3.250%
|
|
821,000
|
872,817
|
Total
Capital Canada Ltd.
|
07/15/2023
|
2.750%
|
|
717,000
|
738,326
|
The accompanying Notes to Financial Statements are an integral part
of this statement.
Multi-Manager
Total Return Bond Strategies Fund | Annual Report 2019
|
37
|
Portfolio of Investments (continued)
August 31, 2019
Corporate
Bonds & Notes (continued)
|
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
Total
Capital International SA
|
07/12/2049
|
3.461%
|
|
1,277,000
|
1,377,543
|
Total
|
25,714,408
|
Leisure
0.1%
|
AMC
Entertainment Holdings, Inc.
|
11/15/2026
|
5.875%
|
|
3,400,000
|
3,120,397
|
Six
Flags Entertainment Corp.(a)
|
04/15/2027
|
5.500%
|
|
2,145,000
|
2,304,599
|
Total
|
5,424,996
|
Life
Insurance 0.6%
|
Aflac,
Inc.
|
01/15/2049
|
4.750%
|
|
1,555,000
|
1,952,041
|
AIG
Global Funding(a)
|
07/02/2020
|
2.150%
|
|
590,000
|
590,309
|
American
International Group, Inc.
|
02/15/2024
|
4.125%
|
|
1,600,000
|
1,722,946
|
07/16/2044
|
4.500%
|
|
554,000
|
632,438
|
04/01/2048
|
4.750%
|
|
1,364,000
|
1,623,277
|
American
International Group, Inc.(j)
|
04/01/2048
|
5.750%
|
|
616,000
|
648,663
|
Athene
Global Funding(a)
|
04/20/2020
|
2.750%
|
|
2,385,000
|
2,392,847
|
07/01/2022
|
3.000%
|
|
1,270,000
|
1,293,877
|
Athene
Holding Ltd.
|
01/12/2028
|
4.125%
|
|
2,435,000
|
2,501,132
|
Brighthouse
Financial, Inc.
|
06/22/2027
|
3.700%
|
|
1,385,000
|
1,367,858
|
06/22/2047
|
4.700%
|
|
5,995,000
|
5,400,632
|
Guardian
Life Global Funding(a)
|
04/26/2021
|
2.000%
|
|
3,465,000
|
3,456,854
|
Harborwalk
Funding Trust(a),(j)
|
Subordinated
|
02/15/2069
|
5.077%
|
|
1,190,000
|
1,479,241
|
Lincoln
National Corp.
|
01/15/2030
|
3.050%
|
|
4,530,000
|
4,592,809
|
06/15/2040
|
7.000%
|
|
930,000
|
1,337,402
|
Pine
Street Trust II(a)
|
02/15/2049
|
5.568%
|
|
1,890,000
|
2,165,424
|
Pricoa
Global Funding I(a)
|
09/13/2019
|
1.450%
|
|
2,825,000
|
2,823,977
|
Principal
Financial Group, Inc.
|
09/15/2022
|
3.300%
|
|
1,510,000
|
1,561,221
|
05/15/2023
|
3.125%
|
|
667,000
|
689,635
|
Reliance
Standard Life Global Funding II(a)
|
09/19/2023
|
3.850%
|
|
6,155,000
|
6,482,452
|
Corporate
Bonds & Notes (continued)
|
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
Teachers
Insurance & Annuity Association of America(a)
|
Subordinated
|
09/15/2044
|
4.900%
|
|
1,500,000
|
1,882,092
|
05/15/2047
|
4.270%
|
|
4,575,000
|
5,322,276
|
Unum
Group
|
05/15/2021
|
3.000%
|
|
1,250,000
|
1,263,360
|
06/15/2029
|
4.000%
|
|
1,315,000
|
1,378,565
|
Total
|
54,561,328
|
Lodging
0.1%
|
Marriott
International, Inc.
|
12/01/2023
|
4.150%
|
|
3,885,000
|
4,161,165
|
06/15/2026
|
3.125%
|
|
1,460,000
|
1,492,942
|
Total
|
5,654,107
|
Media
and Entertainment 0.6%
|
Activision
Blizzard, Inc.
|
09/15/2021
|
2.300%
|
|
795,000
|
795,553
|
AMC
Networks, Inc.
|
04/01/2024
|
5.000%
|
|
2,050,000
|
2,117,572
|
CBS
Corp.
|
06/01/2023
|
2.900%
|
|
3,330,000
|
3,394,669
|
05/15/2033
|
5.500%
|
|
1,500,000
|
1,807,230
|
Clear
Channel International BV(a)
|
12/15/2020
|
8.750%
|
|
537,000
|
548,744
|
Clear
Channel Worldwide Holdings, Inc.
|
11/15/2022
|
6.500%
|
|
1,625,000
|
1,660,214
|
11/15/2022
|
6.500%
|
|
1,045,000
|
1,067,645
|
Discovery
Communications LLC
|
06/15/2022
|
3.500%
|
|
3,739,000
|
3,848,964
|
03/20/2023
|
2.950%
|
|
940,000
|
959,705
|
09/20/2037
|
5.000%
|
|
1,067,000
|
1,177,463
|
09/20/2047
|
5.200%
|
|
759,000
|
858,948
|
Electronic
Arts, Inc.
|
03/01/2021
|
3.700%
|
|
3,086,000
|
3,151,346
|
Gray
Television, Inc.(a)
|
05/15/2027
|
7.000%
|
|
2,125,000
|
2,324,340
|
Interpublic
Group of Companies, Inc. (The)
|
10/01/2020
|
3.500%
|
|
1,770,000
|
1,794,821
|
10/01/2021
|
3.750%
|
|
891,000
|
916,270
|
Nielsen
Finance Co. SARL(a)
|
10/01/2021
|
5.500%
|
|
75,000
|
75,200
|
Nielsen
Finance LLC/Co.(a)
|
04/15/2022
|
5.000%
|
|
2,750,000
|
2,773,997
|
RELX
Capital, Inc.
|
10/15/2022
|
3.125%
|
|
628,000
|
643,833
|
Sinclair
Television Group, Inc.
|
10/01/2022
|
6.125%
|
|
75,000
|
76,287
|
The accompanying Notes to Financial Statements are an integral part
of this statement.
38
|
Multi-Manager Total Return
Bond Strategies Fund | Annual Report 2019
|
Portfolio of Investments (continued)
August 31, 2019
Corporate
Bonds & Notes (continued)
|
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
Sinclair
Television Group, Inc.(a)
|
02/15/2027
|
5.125%
|
|
2,275,000
|
2,280,940
|
Viacom,
Inc.
|
09/01/2023
|
4.250%
|
|
2,410,000
|
2,569,561
|
04/30/2036
|
6.875%
|
|
4,450,000
|
5,983,755
|
03/15/2043
|
4.375%
|
|
965,000
|
1,026,983
|
04/01/2044
|
5.250%
|
|
2,312,000
|
2,733,679
|
Walt
Disney Co. (The)
|
09/17/2020
|
2.150%
|
|
1,500,000
|
1,504,850
|
Walt
Disney Co. (The)(a)
|
03/15/2033
|
6.550%
|
|
1,000,000
|
1,434,969
|
11/15/2046
|
4.750%
|
|
935,000
|
1,231,605
|
Warner
Media LLC
|
02/15/2027
|
3.800%
|
|
735,000
|
767,353
|
Total
|
49,526,496
|
Metals
and Mining 0.2%
|
Anglo
American Capital PLC(a)
|
05/14/2025
|
4.875%
|
|
505,000
|
548,162
|
ArcelorMittal
(j)
|
03/01/2021
|
5.500%
|
|
1,248,000
|
1,301,936
|
ArcelorMittal
|
07/16/2024
|
3.600%
|
|
6,825,000
|
6,929,320
|
07/16/2029
|
4.250%
|
|
1,283,000
|
1,292,830
|
Glencore
Funding LLC(a)
|
03/12/2024
|
4.125%
|
|
2,750,000
|
2,890,110
|
Novelis
Corp.(a)
|
09/30/2026
|
5.875%
|
|
1,425,000
|
1,505,581
|
Southern
Copper Corp.
|
11/08/2022
|
3.500%
|
|
130,000
|
133,480
|
04/23/2025
|
3.875%
|
|
600,000
|
628,208
|
Teck
Resources Ltd.
|
08/15/2040
|
6.000%
|
|
1,150,000
|
1,265,519
|
Vale
Overseas Ltd.
|
01/11/2022
|
4.375%
|
|
36,000
|
37,228
|
Volcan
Cia Minera SAA(a)
|
02/02/2022
|
5.375%
|
|
100,000
|
103,530
|
Total
|
16,635,904
|
Midstream
1.2%
|
Colonial
Pipeline Co.(a)
|
10/15/2020
|
3.500%
|
|
1,519,000
|
1,535,033
|
Colorado
Interstate Gas Co. LLC/Issuing Corp.(a)
|
08/15/2026
|
4.150%
|
|
2,290,000
|
2,432,131
|
Enbridge,
Inc.(j)
|
Subordinated
|
03/01/2078
|
6.250%
|
|
601,000
|
629,820
|
Corporate
Bonds & Notes (continued)
|
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
Energy
Transfer Operating LP
|
06/01/2021
|
4.650%
|
|
395,000
|
407,928
|
03/15/2023
|
4.250%
|
|
1,890,000
|
1,983,387
|
01/15/2024
|
5.875%
|
|
3,575,000
|
3,999,331
|
06/01/2027
|
5.500%
|
|
1,758,000
|
2,010,338
|
04/15/2047
|
5.300%
|
|
1,656,000
|
1,818,169
|
Energy
Transfer Partners LP
|
10/01/2043
|
5.950%
|
|
280,000
|
322,684
|
03/15/2045
|
5.150%
|
|
2,220,000
|
2,370,096
|
Energy
Transfer Partners LP/Regency Finance Corp.
|
11/01/2023
|
4.500%
|
|
2,500,000
|
2,659,965
|
Enterprise
Products Operating LLC
|
02/01/2022
|
3.500%
|
|
802,000
|
829,293
|
02/15/2024
|
3.900%
|
|
500,000
|
534,819
|
02/15/2025
|
3.750%
|
|
600,000
|
642,865
|
05/15/2046
|
4.900%
|
|
1,809,000
|
2,139,689
|
01/31/2050
|
4.200%
|
|
269,000
|
292,744
|
Enterprise
Products Operating LLC(j)
|
08/16/2077
|
4.875%
|
|
673,000
|
644,055
|
02/15/2078
|
5.375%
|
|
5,795,000
|
5,600,676
|
EQT
Midstream Partners LP
|
07/15/2028
|
5.500%
|
|
1,360,000
|
1,374,880
|
Ferrellgas
Partners LP/Finance Corp.
|
05/01/2021
|
6.500%
|
|
350,000
|
300,759
|
01/15/2022
|
6.750%
|
|
150,000
|
128,232
|
06/15/2023
|
6.750%
|
|
200,000
|
168,213
|
Hess
Infrastructure Partners LP/Finance Corp.(a)
|
02/15/2026
|
5.625%
|
|
775,000
|
801,703
|
Kinder
Morgan Energy Partners LP
|
09/01/2024
|
4.250%
|
|
500,000
|
537,844
|
03/15/2032
|
7.750%
|
|
635,000
|
880,800
|
09/01/2039
|
6.500%
|
|
1,000,000
|
1,282,446
|
11/15/2040
|
7.500%
|
|
730,000
|
1,008,797
|
09/01/2044
|
5.400%
|
|
826,000
|
961,990
|
Magellan
Midstream Partners LP
|
09/15/2046
|
4.250%
|
|
320,000
|
348,212
|
Midwest
Connector Capital Co., LLC(a)
|
04/01/2022
|
3.625%
|
|
3,900,000
|
4,008,221
|
MPLX
LP
|
12/01/2024
|
4.875%
|
|
325,000
|
356,709
|
06/01/2025
|
4.875%
|
|
200,000
|
220,794
|
03/01/2027
|
4.125%
|
|
1,147,000
|
1,206,759
|
03/01/2047
|
5.200%
|
|
1,500,000
|
1,638,189
|
NGPL
PipeCo LLC(a)
|
08/15/2022
|
4.375%
|
|
151,000
|
156,031
|
08/15/2027
|
4.875%
|
|
412,000
|
438,650
|
ONEOK
Partners LP
|
10/01/2022
|
3.375%
|
|
1,131,000
|
1,158,627
|
The accompanying Notes to Financial Statements are an integral part
of this statement.
Multi-Manager
Total Return Bond Strategies Fund | Annual Report 2019
|
39
|
Portfolio of Investments (continued)
August 31, 2019
Corporate
Bonds & Notes (continued)
|
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
ONEOK,
Inc.
|
07/13/2047
|
4.950%
|
|
2,050,000
|
2,212,044
|
09/01/2049
|
4.450%
|
|
6,030,000
|
6,127,517
|
Peru
LNG Srl(a)
|
03/22/2030
|
5.375%
|
|
450,000
|
485,102
|
Phillips
66 Partners LP
|
02/15/2045
|
4.680%
|
|
1,300,000
|
1,403,198
|
Plains
All American Pipeline LP/Finance Corp.
|
10/15/2025
|
4.650%
|
|
3,375,000
|
3,613,778
|
06/01/2042
|
5.150%
|
|
2,185,000
|
2,276,420
|
Rockies
Express Pipeline LLC(a)
|
04/15/2020
|
5.625%
|
|
2,868,000
|
2,912,821
|
Ruby
Pipeline LLC(a)
|
04/01/2022
|
6.000%
|
|
2,363,636
|
2,458,274
|
Southern
Natural Gas Co. LLC
|
02/15/2031
|
7.350%
|
|
2,910,000
|
3,835,979
|
Spectra
Energy Partners LP
|
09/25/2043
|
5.950%
|
|
514,000
|
671,060
|
Suburban
Propane Partners LP/Energy Finance Corp.
|
03/01/2025
|
5.750%
|
|
225,000
|
228,912
|
Sunoco
Logistics Partners Operations LP
|
10/01/2047
|
5.400%
|
|
1,100,000
|
1,226,712
|
Tallgrass
Energy Partners LP/Finance Corp.(a)
|
01/15/2028
|
5.500%
|
|
942,000
|
886,195
|
Targa
Pipeline Partners LP/Finance Corp.
|
08/01/2023
|
5.875%
|
|
100,000
|
100,606
|
Targa
Resources Partners LP/Finance Corp.
|
02/01/2027
|
5.375%
|
|
512,000
|
528,675
|
Tennessee
Gas Pipeline Co. LLC
|
06/15/2032
|
8.375%
|
|
1,970,000
|
2,776,813
|
04/01/2037
|
7.625%
|
|
550,000
|
762,048
|
Texas
Eastern Transmission LP(a)
|
10/15/2022
|
2.800%
|
|
1,000,000
|
1,009,426
|
Transcontinental
Gas Pipe Line Co. LLC
|
03/15/2048
|
4.600%
|
|
4,875,000
|
5,491,093
|
Western
Gas Partners LP
|
07/01/2022
|
4.000%
|
|
296,000
|
301,535
|
Williams
Companies, Inc. (The)
|
11/15/2020
|
4.125%
|
|
1,000,000
|
1,017,006
|
01/15/2025
|
3.900%
|
|
1,050,000
|
1,105,667
|
09/15/2025
|
4.000%
|
|
1,332,000
|
1,414,747
|
06/15/2027
|
3.750%
|
|
366,000
|
382,394
|
04/15/2040
|
6.300%
|
|
2,520,000
|
3,159,059
|
Williams
Partners LP
|
03/04/2024
|
4.300%
|
|
2,787,000
|
2,982,240
|
Total
|
97,200,200
|
Corporate
Bonds & Notes (continued)
|
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
Natural
Gas 0.2%
|
Atmos
Energy Corp.
|
10/15/2044
|
4.125%
|
|
2,045,000
|
2,423,480
|
Boston
Gas Co.(a)
|
08/01/2027
|
3.150%
|
|
1,472,000
|
1,546,276
|
KeySpan
Corp.
|
11/15/2030
|
8.000%
|
|
670,000
|
948,368
|
NiSource,
Inc.
|
02/15/2023
|
3.850%
|
|
1,175,000
|
1,228,972
|
06/15/2041
|
5.950%
|
|
535,000
|
704,268
|
Sempra
Energy
|
02/01/2038
|
3.800%
|
|
1,020,000
|
1,070,956
|
02/01/2048
|
4.000%
|
|
1,420,000
|
1,533,154
|
Southern
California Gas Co.
|
02/15/2050
|
3.950%
|
|
4,495,000
|
5,221,869
|
Southern
Co. Gas Capital Corp.
|
05/30/2047
|
4.400%
|
|
752,000
|
858,762
|
Total
|
15,536,105
|
Office
REIT 0.2%
|
Boston
Properties LP
|
02/01/2023
|
3.850%
|
|
2,500,000
|
2,632,478
|
06/21/2029
|
3.400%
|
|
4,110,000
|
4,357,956
|
Highwoods
Realty LP
|
06/15/2021
|
3.200%
|
|
1,820,000
|
1,841,347
|
Kilroy
Realty LP
|
12/15/2024
|
3.450%
|
|
721,000
|
755,814
|
Select
Income REIT
|
05/15/2024
|
4.250%
|
|
1,865,000
|
1,906,401
|
SL
Green Operating Partnership LP
|
10/15/2022
|
3.250%
|
|
2,260,000
|
2,310,870
|
Total
|
13,804,866
|
Oil
Field Services 0.1%
|
Baker
Hughes, a GE Co. LLC/Co-Obligor, Inc.
|
12/15/2047
|
4.080%
|
|
2,250,000
|
2,204,539
|
Halliburton
Co.
|
08/01/2023
|
3.500%
|
|
1,308,000
|
1,363,589
|
Schlumberger
Holdings Corp.(a)
|
12/21/2025
|
4.000%
|
|
135,000
|
144,463
|
05/17/2028
|
3.900%
|
|
2,053,000
|
2,180,756
|
Schlumberger
Investment SA(a)
|
08/01/2022
|
2.400%
|
|
850,000
|
857,994
|
Schlumberger
Norge AS(a)
|
01/15/2021
|
4.200%
|
|
681,000
|
696,795
|
Transocean
Pontus Ltd.(a)
|
08/01/2025
|
6.125%
|
|
1,134,750
|
1,151,540
|
The accompanying Notes to Financial Statements are an integral part
of this statement.
40
|
Multi-Manager Total Return
Bond Strategies Fund | Annual Report 2019
|
Portfolio of Investments (continued)
August 31, 2019
Corporate
Bonds & Notes (continued)
|
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
Transocean
Poseidon Ltd.(a)
|
02/01/2027
|
6.875%
|
|
318,000
|
330,924
|
Transocean
Proteus Ltd.(a)
|
12/01/2024
|
6.250%
|
|
417,000
|
426,451
|
USA
Compression Partners LP/Finance Corp.(a)
|
09/01/2027
|
6.875%
|
|
549,000
|
563,475
|
Total
|
9,920,526
|
Other
Financial Institutions 0.1%
|
Mitsubishi
UFJ Lease & Finance Co., Ltd.(a)
|
09/19/2022
|
2.652%
|
|
3,905,000
|
3,934,119
|
Nationstar
Mortgage Holdings, Inc.(a)
|
07/15/2023
|
8.125%
|
|
2,575,000
|
2,665,586
|
ORIX
Corp.
|
12/04/2024
|
3.250%
|
|
1,560,000
|
1,629,144
|
Total
|
8,228,849
|
Other
Industry 0.3%
|
AECOM
|
03/15/2027
|
5.125%
|
|
800,000
|
836,267
|
Anixter,
Inc.
|
03/01/2023
|
5.500%
|
|
75,000
|
80,546
|
Five
Point Operating Co. LP/Capital Corp.(a)
|
11/15/2025
|
7.875%
|
|
2,350,000
|
2,360,998
|
Greystar
Real Estate Partners LLC(a)
|
12/01/2025
|
5.750%
|
|
2,175,000
|
2,228,733
|
Massachusetts
Institute of Technology
|
07/01/2114
|
4.678%
|
|
1,768,000
|
2,634,596
|
07/01/2116
|
3.885%
|
|
1,850,000
|
2,307,733
|
Northwestern
University
|
12/01/2057
|
3.662%
|
|
1,350,000
|
1,636,284
|
President
and Fellows of Harvard College
|
07/15/2046
|
3.150%
|
|
3,031,000
|
3,346,924
|
07/15/2056
|
3.300%
|
|
2,230,000
|
2,481,847
|
Trustees
of the University of Pennsylvania (The)
|
09/01/2112
|
4.674%
|
|
1,620,000
|
2,258,205
|
University
of Southern California
|
10/01/2039
|
3.028%
|
|
4,525,000
|
4,825,406
|
Total
|
24,997,539
|
Other
REIT 0.3%
|
American
Campus Communities Operating Partnership LP
|
10/01/2020
|
3.350%
|
|
2,556,000
|
2,586,470
|
04/15/2023
|
3.750%
|
|
2,400,000
|
2,513,518
|
Duke
Realty LP
|
02/15/2021
|
3.875%
|
|
2,520,000
|
2,573,242
|
EPR
Properties
|
08/15/2029
|
3.750%
|
|
4,280,000
|
4,309,776
|
Corporate
Bonds & Notes (continued)
|
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
ESH
Hospitality, Inc.(a)
|
05/01/2025
|
5.250%
|
|
805,000
|
831,744
|
Host
Hotels & Resorts LP
|
06/15/2025
|
4.000%
|
|
1,050,000
|
1,114,588
|
02/01/2026
|
4.500%
|
|
520,000
|
568,751
|
Liberty
Property LP
|
06/15/2023
|
3.375%
|
|
2,500,000
|
2,591,707
|
Life
Storage LP
|
12/15/2027
|
3.875%
|
|
2,000,000
|
2,137,542
|
ProLogis
LP
|
08/15/2023
|
4.250%
|
|
1,600,000
|
1,730,861
|
Total
|
20,958,199
|
Packaging
0.2%
|
Amcor
Finance USA, Inc.(a)
|
04/28/2026
|
3.625%
|
|
1,000,000
|
1,036,639
|
05/15/2028
|
4.500%
|
|
1,600,000
|
1,756,397
|
Ball
Corp.
|
11/15/2023
|
4.000%
|
|
300,000
|
316,186
|
03/15/2026
|
4.875%
|
|
600,000
|
657,704
|
Berry
Global Escrow Corp.(a)
|
07/15/2026
|
4.875%
|
|
580,000
|
610,562
|
Berry
Global, Inc.
|
07/15/2023
|
5.125%
|
|
168,000
|
172,243
|
OI
European Group BV(a)
|
03/15/2023
|
4.000%
|
|
134,000
|
135,384
|
Owens-Brockway
Glass Container, Inc.(a)
|
01/15/2022
|
5.000%
|
|
50,000
|
51,314
|
08/15/2023
|
5.875%
|
|
600,000
|
639,040
|
01/15/2025
|
5.375%
|
|
150,000
|
154,582
|
Reynolds
Group Issuer, Inc./LLC
|
10/15/2020
|
5.750%
|
|
8,219,972
|
8,242,240
|
Total
|
13,772,291
|
Paper
0.1%
|
Celulosa
Arauco y Constitucion SA(a)
|
04/30/2029
|
4.250%
|
|
500,000
|
526,785
|
Georgia-Pacific
LLC(a)
|
11/15/2021
|
3.163%
|
|
1,000,000
|
1,018,765
|
Plum
Creek Timberlands LP
|
03/15/2023
|
3.250%
|
|
1,630,000
|
1,674,537
|
Rayonier
AM Products, Inc.(a)
|
06/01/2024
|
5.500%
|
|
310,000
|
206,141
|
Suzano
Austria GmbH
|
01/15/2030
|
5.000%
|
|
825,000
|
850,362
|
The accompanying Notes to Financial Statements are an integral part
of this statement.
Multi-Manager
Total Return Bond Strategies Fund | Annual Report 2019
|
41
|
Portfolio of Investments (continued)
August 31, 2019
Corporate
Bonds & Notes (continued)
|
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
WRKCo,
Inc.
|
03/15/2026
|
4.650%
|
|
4,825,000
|
5,335,147
|
03/15/2029
|
4.900%
|
|
2,130,000
|
2,429,727
|
06/01/2032
|
4.200%
|
|
250,000
|
276,114
|
Total
|
12,317,578
|
Pharmaceuticals
1.3%
|
AbbVie,
Inc.
|
05/14/2020
|
2.500%
|
|
1,200,000
|
1,202,185
|
11/06/2022
|
2.900%
|
|
3,758,000
|
3,827,779
|
05/14/2025
|
3.600%
|
|
4,995,000
|
5,206,693
|
05/14/2035
|
4.500%
|
|
1,956,000
|
2,124,498
|
11/06/2042
|
4.400%
|
|
1,650,000
|
1,736,211
|
05/14/2046
|
4.450%
|
|
632,000
|
667,712
|
11/14/2048
|
4.875%
|
|
600,000
|
673,861
|
Allergan
Finance LLC
|
10/01/2022
|
3.250%
|
|
3,600,000
|
3,683,268
|
10/01/2042
|
4.625%
|
|
1,000,000
|
1,070,435
|
Allergan
Funding SCS
|
03/15/2025
|
3.800%
|
|
2,980,000
|
3,133,780
|
03/15/2035
|
4.550%
|
|
4,329,000
|
4,632,731
|
Amgen,
Inc.
|
05/01/2020
|
2.125%
|
|
609,000
|
608,641
|
05/01/2045
|
4.400%
|
|
2,190,000
|
2,491,594
|
06/15/2048
|
4.563%
|
|
751,000
|
875,897
|
06/15/2051
|
4.663%
|
|
1,633,000
|
1,941,127
|
AstraZeneca
PLC
|
11/16/2020
|
2.375%
|
|
1,020,000
|
1,022,751
|
Bausch
Health Companies, Inc.(a)
|
04/15/2025
|
6.125%
|
|
2,825,000
|
2,919,440
|
Bayer
US Finance II LLC(a),(b)
|
3-month
USD LIBOR + 0.630%
06/25/2021
|
2.979%
|
|
1,825,000
|
1,824,876
|
3-month
USD LIBOR + 1.010%
12/15/2023
|
3.420%
|
|
1,000,000
|
999,097
|
Bayer
US Finance II LLC(a)
|
06/25/2021
|
3.500%
|
|
800,000
|
816,122
|
07/15/2024
|
3.375%
|
|
3,555,000
|
3,652,133
|
12/15/2028
|
4.375%
|
|
4,500,000
|
4,910,107
|
06/25/2038
|
4.625%
|
|
1,000,000
|
1,100,985
|
06/25/2048
|
4.875%
|
|
1,250,000
|
1,405,362
|
Bayer
US Finance LLC(a)
|
10/08/2019
|
2.375%
|
|
1,310,000
|
1,309,280
|
10/08/2024
|
3.375%
|
|
520,000
|
535,128
|
Bristol-Myers
Squibb Co.(a)
|
07/26/2029
|
3.400%
|
|
2,995,000
|
3,241,402
|
06/15/2039
|
4.125%
|
|
1,372,000
|
1,597,262
|
10/26/2049
|
4.250%
|
|
2,080,000
|
2,494,407
|
Corporate
Bonds & Notes (continued)
|
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
Celgene
Corp.
|
08/15/2025
|
3.875%
|
|
1,578,000
|
1,710,767
|
05/15/2044
|
4.625%
|
|
555,000
|
670,104
|
08/15/2045
|
5.000%
|
|
3,200,000
|
4,116,659
|
11/15/2047
|
4.350%
|
|
2,060,000
|
2,488,766
|
02/20/2048
|
4.550%
|
|
2,719,000
|
3,363,765
|
Eli
Lilly & Co.
|
03/15/2049
|
3.950%
|
|
972,000
|
1,135,640
|
Gilead
Sciences, Inc.
|
12/01/2021
|
4.400%
|
|
1,364,000
|
1,427,238
|
Johnson
& Johnson
|
12/05/2033
|
4.375%
|
|
2,350,000
|
2,864,206
|
03/03/2037
|
3.625%
|
|
2,280,000
|
2,567,369
|
01/15/2038
|
3.400%
|
|
2,790,000
|
3,064,444
|
Mallinckrodt
International Finance SA/CB LLC(a)
|
04/15/2025
|
5.500%
|
|
200,000
|
92,039
|
Mylan
NV
|
12/15/2020
|
3.750%
|
|
492,000
|
499,784
|
Mylan,
Inc.(a)
|
01/15/2023
|
3.125%
|
|
2,480,000
|
2,510,611
|
Pfizer,
Inc.
|
09/15/2023
|
3.200%
|
|
799,000
|
840,809
|
Shire
Acquisitions Investments Ireland DAC
|
09/23/2021
|
2.400%
|
|
9,850,000
|
9,876,753
|
09/23/2023
|
2.875%
|
|
2,640,000
|
2,698,019
|
09/23/2026
|
3.200%
|
|
2,310,000
|
2,400,734
|
Takeda
Pharmaceutical Co., Ltd.(a)
|
11/26/2021
|
4.000%
|
|
1,293,000
|
1,339,735
|
Total
|
105,372,206
|
Property
& Casualty 0.7%
|
American
Financial Group, Inc.
|
08/15/2026
|
3.500%
|
|
2,675,000
|
2,779,296
|
Arch
Capital Finance LLC
|
12/15/2046
|
5.031%
|
|
970,000
|
1,241,693
|
Assurant,
Inc.
|
09/27/2023
|
4.200%
|
|
2,360,000
|
2,481,316
|
02/22/2030
|
3.700%
|
|
3,767,000
|
3,798,684
|
AXIS
Specialty Finance LLC
|
07/15/2029
|
3.900%
|
|
2,100,000
|
2,220,662
|
Berkshire
Hathaway Finance Corp.
|
01/15/2049
|
4.250%
|
|
2,290,000
|
2,788,201
|
Berkshire
Hathaway, Inc.
|
03/15/2023
|
2.750%
|
|
680,000
|
701,493
|
03/15/2026
|
3.125%
|
|
4,850,000
|
5,139,356
|
Chubb
INA Holdings, Inc.
|
05/15/2024
|
3.350%
|
|
910,000
|
966,928
|
The accompanying Notes to Financial Statements are an integral part
of this statement.
42
|
Multi-Manager Total Return
Bond Strategies Fund | Annual Report 2019
|
Portfolio of Investments (continued)
August 31, 2019
Corporate
Bonds & Notes (continued)
|
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
CNA
Financial Corp.
|
08/15/2021
|
5.750%
|
|
925,000
|
985,323
|
08/15/2027
|
3.450%
|
|
3,828,000
|
4,012,222
|
Enstar
Group Ltd.
|
06/01/2029
|
4.950%
|
|
3,232,000
|
3,424,876
|
Fairfax
Financial Holdings Ltd.
|
04/17/2028
|
4.850%
|
|
529,000
|
576,727
|
Fairfax
US, Inc.(a)
|
08/13/2024
|
4.875%
|
|
663,000
|
712,329
|
Farmers
Exchange Capital(a)
|
Subordinated
|
07/15/2028
|
7.050%
|
|
800,000
|
998,820
|
07/15/2048
|
7.200%
|
|
1,290,000
|
1,846,599
|
Farmers
Exchange Capital II(a),(j)
|
Subordinated
|
11/01/2053
|
6.151%
|
|
2,700,000
|
3,362,458
|
Farmers
Insurance Exchange(a)
|
05/01/2024
|
8.625%
|
|
1,165,000
|
1,418,738
|
Liberty
Mutual Group, Inc.(a)
|
05/01/2022
|
4.950%
|
|
2,570,000
|
2,732,527
|
06/15/2023
|
4.250%
|
|
275,000
|
293,006
|
05/01/2042
|
6.500%
|
|
1,080,000
|
1,537,071
|
08/01/2044
|
4.850%
|
|
1,000,000
|
1,202,390
|
06/15/2049
|
4.500%
|
|
925,000
|
1,061,549
|
Markel
Corp.
|
05/20/2049
|
5.000%
|
|
5,095,000
|
6,175,349
|
Nationwide
Mutual Insurance Co.(a),(b)
|
Subordinated
|
3-month
USD LIBOR + 2.290%
12/15/2024
|
4.700%
|
|
1,725,000
|
1,725,742
|
PartnerRe
Finance B LLC
|
07/02/2029
|
3.700%
|
|
5,860,000
|
6,192,825
|
XLIT
Ltd.
|
03/31/2045
|
5.500%
|
|
670,000
|
865,607
|
Total
|
61,241,787
|
Railroads
0.2%
|
Burlington
Northern Santa Fe LLC
|
09/15/2021
|
3.450%
|
|
295,000
|
302,757
|
09/01/2022
|
3.050%
|
|
475,000
|
488,377
|
09/01/2043
|
5.150%
|
|
989,000
|
1,284,773
|
08/01/2046
|
3.900%
|
|
1,440,000
|
1,643,710
|
02/15/2050
|
3.550%
|
|
2,580,000
|
2,827,995
|
Canadian
Pacific Railway Ltd.
|
01/15/2022
|
4.500%
|
|
600,000
|
632,542
|
CSX
Corp.
|
05/30/2042
|
4.750%
|
|
500,000
|
598,704
|
11/01/2066
|
4.250%
|
|
2,500,000
|
2,722,780
|
Norfolk
Southern Corp.
|
08/01/2025
|
3.650%
|
|
795,000
|
858,061
|
Corporate
Bonds & Notes (continued)
|
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
Union
Pacific Corp.
|
08/15/2059
|
3.950%
|
|
4,215,000
|
4,658,199
|
Total
|
16,017,898
|
Refining
0.0%
|
Marathon
Petroleum Corp.
|
03/01/2021
|
5.125%
|
|
1,000,000
|
1,040,412
|
04/01/2024
|
5.125%
|
|
225,000
|
230,566
|
09/15/2054
|
5.000%
|
|
328,000
|
350,721
|
Total
|
1,621,699
|
Restaurants
0.1%
|
1011778
BC ULC/New Red Finance, Inc.(a)
|
10/15/2025
|
5.000%
|
|
2,250,000
|
2,323,667
|
Brinker
International, Inc.(a)
|
10/01/2024
|
5.000%
|
|
1,425,000
|
1,469,229
|
KFC
Holding Co./Pizza Hut Holdings LLC/Taco Bell of America LLC(a)
|
06/01/2026
|
5.250%
|
|
188,000
|
199,726
|
McDonald’s
Corp.
|
09/01/2048
|
4.450%
|
|
740,000
|
875,374
|
Total
|
4,867,996
|
Retail
REIT 0.2%
|
Brixmor
Operating Partnership LP
|
06/15/2024
|
3.650%
|
|
2,065,000
|
2,155,513
|
Kimco
Realty Corp.
|
11/01/2022
|
3.400%
|
|
290,000
|
300,165
|
03/01/2024
|
2.700%
|
|
2,158,000
|
2,194,878
|
10/01/2049
|
3.700%
|
|
7,153,000
|
7,115,783
|
Regency
Centers LP
|
09/15/2029
|
2.950%
|
|
1,845,000
|
1,868,370
|
Total
|
13,634,709
|
Retailers
0.4%
|
Alimentation
Couche-Tard, Inc.(a)
|
07/26/2022
|
2.700%
|
|
2,100,000
|
2,124,209
|
07/26/2027
|
3.550%
|
|
2,000,000
|
2,106,680
|
AutoNation,
Inc.
|
01/15/2021
|
3.350%
|
|
660,000
|
666,265
|
11/15/2024
|
3.500%
|
|
2,185,000
|
2,228,954
|
10/01/2025
|
4.500%
|
|
2,465,000
|
2,626,344
|
AutoZone,
Inc.
|
04/21/2026
|
3.125%
|
|
415,000
|
432,391
|
Best
Buy Co., Inc.
|
10/01/2028
|
4.450%
|
|
4,280,000
|
4,670,323
|
eG
Global Finance PLC(a)
|
02/07/2025
|
6.750%
|
|
1,092,000
|
1,052,336
|
Home
Depot, Inc. (The)
|
12/06/2048
|
4.500%
|
|
784,000
|
997,114
|
The accompanying Notes to Financial Statements are an integral part
of this statement.
Multi-Manager
Total Return Bond Strategies Fund | Annual Report 2019
|
43
|
Portfolio of Investments (continued)
August 31, 2019
Corporate
Bonds & Notes (continued)
|
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
L
Brands, Inc.
|
02/15/2022
|
5.625%
|
|
4,150,000
|
4,354,047
|
10/15/2023
|
5.625%
|
|
400,000
|
420,241
|
11/01/2035
|
6.875%
|
|
141,000
|
119,582
|
Lowe’s
Companies, Inc.
|
04/15/2046
|
3.700%
|
|
685,000
|
698,716
|
Macy’s
Retail Holdings, Inc.
|
02/15/2043
|
4.300%
|
|
1,888,000
|
1,564,250
|
O’Reilly
Automotive, Inc.
|
03/15/2026
|
3.550%
|
|
680,000
|
720,254
|
PetSmart,
Inc.(a)
|
06/01/2025
|
5.875%
|
|
768,000
|
752,694
|
Ralph
Lauren Corp.
|
09/15/2025
|
3.750%
|
|
2,455,000
|
2,640,028
|
Rite
Aid Corp.(a)
|
04/01/2023
|
6.125%
|
|
2,157,000
|
1,736,732
|
Walgreens
Boots Alliance, Inc.
|
11/18/2024
|
3.800%
|
|
2,440,000
|
2,587,115
|
11/18/2044
|
4.800%
|
|
1,560,000
|
1,651,321
|
Walmart,
Inc.
|
04/22/2024
|
3.300%
|
|
3,150,000
|
3,343,618
|
Total
|
37,493,214
|
Supermarkets
0.1%
|
Ahold
Finance U.S.A. LLC
|
05/01/2029
|
6.875%
|
|
1,800,000
|
2,333,187
|
Kroger
Co. (The)
|
04/15/2042
|
5.000%
|
|
969,000
|
1,056,218
|
01/15/2048
|
4.650%
|
|
3,161,000
|
3,380,000
|
Total
|
6,769,405
|
Supranational
0.2%
|
Corporación
Andina de Fomento
|
09/27/2021
|
2.125%
|
|
4,640,000
|
4,629,365
|
06/15/2022
|
4.375%
|
|
400,000
|
423,043
|
01/06/2023
|
2.750%
|
|
3,000,000
|
3,047,661
|
Inter-American
Development Bank
|
10/15/2025
|
6.800%
|
|
2,500,000
|
3,192,695
|
07/15/2027
|
6.750%
|
|
4,000,000
|
5,365,992
|
International
Bank for Reconstruction & Development(i)
|
09/17/2030
|
0.000%
|
|
1,550,000
|
1,212,736
|
North
American Development Bank
|
10/26/2022
|
2.400%
|
|
1,950,000
|
1,971,781
|
Total
|
19,843,273
|
Technology
1.2%
|
Amphenol
Corp.
|
04/01/2024
|
3.200%
|
|
416,000
|
432,043
|
Corporate
Bonds & Notes (continued)
|
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
Analog
Devices, Inc.
|
12/05/2026
|
3.500%
|
|
363,000
|
383,971
|
Apple,
Inc.
|
02/09/2022
|
2.150%
|
|
3,460,000
|
3,491,085
|
02/09/2022
|
2.500%
|
|
540,000
|
549,076
|
01/13/2023
|
2.400%
|
|
3,464,000
|
3,530,838
|
05/11/2027
|
3.200%
|
|
3,025,000
|
3,242,234
|
09/12/2047
|
3.750%
|
|
1,849,000
|
2,102,849
|
Broadcom
Corp./Cayman Finance Ltd.
|
01/15/2020
|
2.375%
|
|
2,240,000
|
2,238,316
|
Broadcom,
Inc.(a)
|
10/15/2022
|
3.125%
|
|
6,175,000
|
6,254,003
|
CommScope
Finance LLC(a)
|
03/01/2026
|
6.000%
|
|
675,000
|
686,187
|
CommScope
Technologies LLC(a)
|
06/15/2025
|
6.000%
|
|
3,200,000
|
2,867,232
|
03/15/2027
|
5.000%
|
|
1,625,000
|
1,357,899
|
CommScope,
Inc.(a)
|
06/15/2024
|
5.500%
|
|
250,000
|
236,009
|
Corning,
Inc.
|
11/15/2057
|
4.375%
|
|
1,970,000
|
2,043,950
|
Dell
International LLC/EMC Corp.(a)
|
06/15/2023
|
5.450%
|
|
1,750,000
|
1,904,079
|
06/15/2026
|
6.020%
|
|
870,000
|
982,267
|
Everi
Payments, Inc.(a)
|
12/15/2025
|
7.500%
|
|
1,500,000
|
1,577,121
|
Fidelity
National Information Services, Inc.
|
04/15/2023
|
3.500%
|
|
2,500,000
|
2,611,647
|
Fiserv,
Inc.
|
07/01/2026
|
3.200%
|
|
1,249,000
|
1,304,586
|
Flex
Ltd.
|
06/15/2029
|
4.875%
|
|
6,280,000
|
6,678,585
|
Flextronics
International Ltd.
|
06/15/2025
|
4.750%
|
|
385,000
|
412,132
|
Genpact
Luxembourg SARL
|
04/01/2022
|
3.700%
|
|
3,425,000
|
3,469,566
|
Global
Payments, Inc.
|
02/15/2025
|
2.650%
|
|
890,000
|
894,406
|
08/15/2029
|
3.200%
|
|
820,000
|
840,006
|
08/15/2049
|
4.150%
|
|
2,125,000
|
2,245,791
|
Hewlett
Packard Enterprise Co.(a)
|
10/04/2019
|
2.100%
|
|
3,275,000
|
3,273,369
|
Hewlett
Packard Enterprise Co.(j)
|
10/15/2020
|
3.600%
|
|
690,000
|
699,621
|
Hewlett-Packard
Enterprise Co.
|
10/05/2021
|
3.500%
|
|
155,000
|
158,591
|
HP,
Inc.
|
06/01/2021
|
4.300%
|
|
1,671,000
|
1,731,631
|
The accompanying Notes to Financial Statements are an integral part
of this statement.
44
|
Multi-Manager Total Return
Bond Strategies Fund | Annual Report 2019
|
Portfolio of Investments (continued)
August 31, 2019
Corporate
Bonds & Notes (continued)
|
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
IBM
Credit LLC
|
02/06/2023
|
3.000%
|
|
1,226,000
|
1,267,194
|
Infor
US, Inc.
|
05/15/2022
|
6.500%
|
|
350,000
|
355,689
|
International
Business Machines Corp.
|
05/15/2026
|
3.300%
|
|
4,430,000
|
4,701,400
|
Jabil,
Inc.
|
12/15/2020
|
5.625%
|
|
1,000,000
|
1,038,680
|
Juniper
Networks, Inc.
|
08/15/2029
|
3.750%
|
|
4,155,000
|
4,195,291
|
Marvell
Technology Group Ltd.
|
06/22/2023
|
4.200%
|
|
3,740,000
|
3,944,062
|
Microchip
Technology, Inc.
|
06/01/2021
|
3.922%
|
|
1,845,000
|
1,883,437
|
Microsoft
Corp.
|
11/03/2045
|
4.450%
|
|
1,443,000
|
1,874,773
|
08/08/2046
|
3.700%
|
|
3,157,000
|
3,708,184
|
02/12/2055
|
4.000%
|
|
960,000
|
1,179,773
|
02/06/2057
|
4.500%
|
|
3,330,000
|
4,462,976
|
NXP
BV/Funding LLC(a)
|
06/01/2021
|
4.125%
|
|
850,000
|
872,423
|
Oracle
Corp.
|
11/15/2047
|
4.000%
|
|
1,557,000
|
1,785,742
|
Panasonic
Corp.(a)
|
07/19/2022
|
2.536%
|
|
3,975,000
|
4,013,577
|
Seagate
HDD Cayman
|
03/01/2024
|
4.875%
|
|
2,305,000
|
2,403,216
|
Sensata
Technologies UK Financing Co. PLC(a)
|
02/15/2026
|
6.250%
|
|
2,825,000
|
3,006,153
|
SS&C
Technologies, Inc.(a)
|
09/30/2027
|
5.500%
|
|
2,184,000
|
2,292,754
|
Texas
Instruments, Inc.(c)
|
09/04/2029
|
2.250%
|
|
985,000
|
988,007
|
Texas
Instruments, Inc.
|
03/15/2039
|
3.875%
|
|
675,000
|
791,848
|
Trimble,
Inc.
|
06/15/2023
|
4.150%
|
|
345,000
|
362,919
|
Total
|
103,327,188
|
Tobacco
0.1%
|
Altria
Group, Inc.
|
02/14/2029
|
4.800%
|
|
500,000
|
565,144
|
02/14/2039
|
5.800%
|
|
310,000
|
382,239
|
02/14/2049
|
5.950%
|
|
308,000
|
396,274
|
BAT
Capital Corp.
|
08/15/2037
|
4.390%
|
|
700,000
|
703,474
|
08/15/2047
|
4.540%
|
|
1,705,000
|
1,707,737
|
Corporate
Bonds & Notes (continued)
|
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
Imperial
Brands Finance PLC(a)
|
07/21/2022
|
3.750%
|
|
1,007,000
|
1,041,008
|
Philip
Morris International, Inc.
|
08/21/2042
|
3.875%
|
|
569,000
|
588,233
|
Reynolds
American, Inc.
|
06/12/2025
|
4.450%
|
|
1,325,000
|
1,433,870
|
08/04/2041
|
7.000%
|
|
1,170,000
|
1,465,935
|
09/15/2043
|
6.150%
|
|
520,000
|
609,133
|
08/15/2045
|
5.850%
|
|
2,950,000
|
3,328,093
|
Total
|
12,221,140
|
Transportation
Services 0.5%
|
ERAC
U.S.A. Finance LLC(a)
|
10/01/2020
|
5.250%
|
|
2,500,000
|
2,575,760
|
11/15/2024
|
3.850%
|
|
2,500,000
|
2,677,250
|
12/01/2026
|
3.300%
|
|
3,435,000
|
3,579,689
|
03/15/2042
|
5.625%
|
|
1,689,000
|
2,158,555
|
11/01/2046
|
4.200%
|
|
1,041,000
|
1,144,211
|
FedEx
Corp.
|
08/05/2029
|
3.100%
|
|
6,060,000
|
6,129,551
|
02/15/2048
|
4.050%
|
|
1,257,000
|
1,287,338
|
Penske
Truck Leasing Co., LP/Finance Corp.(a)
|
04/01/2021
|
3.300%
|
|
2,000,000
|
2,028,370
|
02/01/2022
|
3.375%
|
|
1,200,000
|
1,227,683
|
08/01/2023
|
4.125%
|
|
5,245,000
|
5,570,022
|
01/29/2026
|
4.450%
|
|
1,120,000
|
1,222,848
|
Ryder
System, Inc.
|
06/01/2021
|
3.500%
|
|
802,000
|
821,464
|
06/09/2023
|
3.750%
|
|
2,365,000
|
2,491,710
|
12/01/2023
|
3.875%
|
|
2,315,000
|
2,465,364
|
TTX
Co.(a)
|
01/15/2025
|
3.600%
|
|
1,620,000
|
1,727,325
|
United
Parcel Service, Inc.
|
04/01/2023
|
2.500%
|
|
1,857,000
|
1,888,385
|
09/01/2029
|
2.500%
|
|
2,505,000
|
2,532,169
|
09/01/2049
|
3.400%
|
|
935,000
|
976,908
|
Total
|
42,504,602
|
Wireless
0.4%
|
America
Movil SAB de CV
|
03/30/2020
|
5.000%
|
|
87,000
|
88,387
|
07/16/2022
|
3.125%
|
|
200,000
|
205,876
|
American
Tower Corp.
|
02/15/2024
|
5.000%
|
|
665,000
|
738,423
|
Digicel
Group One Ltd.(a)
|
12/30/2022
|
8.250%
|
|
308,000
|
172,943
|
Digicel
Group Two Ltd.(a)
|
09/30/2022
|
8.250%
|
|
292,000
|
56,224
|
SK
Telecom Co., Ltd.(a)
|
04/16/2023
|
3.750%
|
|
2,490,000
|
2,612,637
|
The accompanying Notes to Financial Statements are an integral part
of this statement.
Multi-Manager
Total Return Bond Strategies Fund | Annual Report 2019
|
45
|
Portfolio of Investments (continued)
August 31, 2019
Corporate
Bonds & Notes (continued)
|
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
Sprint
Capital Corp.
|
11/15/2028
|
6.875%
|
|
700,000
|
779,582
|
03/15/2032
|
8.750%
|
|
325,000
|
406,934
|
Sprint
Communications, Inc.(a)
|
03/01/2020
|
7.000%
|
|
1,805,000
|
1,842,001
|
Sprint
Corp.
|
09/15/2023
|
7.875%
|
|
525,000
|
590,670
|
06/15/2024
|
7.125%
|
|
425,000
|
469,550
|
02/15/2025
|
7.625%
|
|
462,000
|
518,499
|
03/01/2026
|
7.625%
|
|
198,000
|
223,758
|
Sprint
Spectrum Co. I/II/III LLC(a)
|
09/20/2021
|
3.360%
|
|
6,013,125
|
6,036,720
|
03/20/2025
|
4.738%
|
|
6,340,000
|
6,746,445
|
T-Mobile
U.S.A., Inc.
|
03/01/2023
|
6.000%
|
|
524,000
|
533,286
|
01/15/2024
|
6.500%
|
|
925,000
|
963,878
|
01/15/2026
|
6.500%
|
|
591,000
|
635,722
|
02/01/2028
|
4.750%
|
|
961,000
|
1,011,629
|
Vodafone
Group PLC
|
01/16/2024
|
3.750%
|
|
2,185,000
|
2,307,100
|
05/30/2025
|
4.125%
|
|
2,000,000
|
2,170,584
|
05/30/2048
|
5.250%
|
|
500,000
|
599,968
|
06/19/2049
|
4.875%
|
|
1,620,000
|
1,869,498
|
Total
|
31,580,314
|
Wirelines
0.9%
|
AT&T,
Inc.
|
06/01/2024
|
3.550%
|
|
895,000
|
941,411
|
02/15/2030
|
4.300%
|
|
4,102,000
|
4,552,711
|
03/01/2037
|
5.250%
|
|
7,735,000
|
9,181,136
|
03/01/2039
|
4.850%
|
|
5,326,000
|
6,122,764
|
06/15/2044
|
4.800%
|
|
4,630,000
|
5,164,932
|
11/15/2046
|
5.150%
|
|
2,390,000
|
2,801,235
|
03/01/2047
|
5.450%
|
|
175,000
|
214,785
|
03/09/2049
|
4.550%
|
|
7,850,000
|
8,579,077
|
02/15/2050
|
5.150%
|
|
2,300,000
|
2,732,842
|
AT&T,
Inc.(b)
|
3-month
USD LIBOR + 1.180%
06/12/2024
|
3.616%
|
|
3,285,000
|
3,334,935
|
C&W
Senior Financing DAC(a)
|
09/15/2027
|
6.875%
|
|
385,000
|
409,811
|
CenturyLink,
Inc.
|
04/01/2020
|
5.625%
|
|
2,500,000
|
2,530,435
|
Deutsche
Telekom International Finance BV(a)
|
06/21/2038
|
4.750%
|
|
4,405,000
|
5,110,721
|
Level
3 Financing, Inc.
|
01/15/2024
|
5.375%
|
|
50,000
|
51,027
|
Qwest
Corp.
|
09/15/2025
|
7.250%
|
|
3,978,000
|
4,483,584
|
Telecom
Italia Capital SA
|
06/04/2038
|
7.721%
|
|
755,000
|
869,212
|
Corporate
Bonds & Notes (continued)
|
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
Verizon
Communications, Inc.
|
02/15/2025
|
3.376%
|
|
622,000
|
659,935
|
03/16/2027
|
4.125%
|
|
2,733,000
|
3,048,142
|
08/10/2033
|
4.500%
|
|
3,875,000
|
4,568,431
|
11/01/2034
|
4.400%
|
|
2,000,000
|
2,320,798
|
08/21/2046
|
4.862%
|
|
3,480,000
|
4,333,703
|
09/15/2048
|
4.522%
|
|
1,570,000
|
1,883,408
|
04/15/2049
|
5.012%
|
|
2,000,000
|
2,562,554
|
Verizon
Communications, Inc.(a)
|
12/03/2029
|
4.016%
|
|
530,000
|
597,806
|
Total
|
77,055,395
|
Total
Corporate Bonds & Notes
(Cost $2,525,705,717)
|
2,672,383,050
|
|
Foreign
Government Obligations(l) 3.1%
|
|
|
|
|
|
Argentina
0.1%
|
Argentine
Republic Government International Bond
|
04/22/2021
|
6.875%
|
|
3,950,000
|
1,659,462
|
01/26/2022
|
5.625%
|
|
550,000
|
218,674
|
01/11/2023
|
4.625%
|
|
3,875,000
|
1,512,990
|
04/22/2026
|
7.500%
|
|
2,000,000
|
771,048
|
01/26/2027
|
6.875%
|
|
700,000
|
266,124
|
Argentine
Republic Government International Bond(k)
|
12/31/2033
|
0.000%
|
|
2,537,689
|
1,041,338
|
Argentine
Republic Government International Bond(j)
|
12/31/2033
|
8.280%
|
|
1,934,812
|
773,072
|
Provincia
de Buenos Aires(a)
|
06/09/2021
|
9.950%
|
|
3,370,000
|
1,299,179
|
02/15/2023
|
6.500%
|
|
1,070,000
|
379,806
|
YPF
SA(a)
|
03/23/2021
|
8.500%
|
|
350,000
|
269,601
|
Total
|
8,191,294
|
Bahrain
0.0%
|
Bahrain
Government International Bond(a)
|
10/12/2028
|
7.000%
|
|
700,000
|
803,513
|
Brazil
0.1%
|
Brazil
Minas SPE via State of Minas Gerais(a)
|
02/15/2028
|
5.333%
|
|
2,610,000
|
2,779,199
|
Brazilian
Government International Bond
|
04/07/2026
|
6.000%
|
|
750,000
|
878,384
|
01/13/2028
|
4.625%
|
|
2,575,000
|
2,776,942
|
01/20/2034
|
8.250%
|
|
150,000
|
209,439
|
01/07/2041
|
5.625%
|
|
800,000
|
916,239
|
Petrobras
Global Finance BV
|
01/17/2027
|
7.375%
|
|
3,950,000
|
4,689,092
|
Total
|
12,249,295
|
The accompanying Notes to Financial Statements are an integral part
of this statement.
46
|
Multi-Manager Total Return
Bond Strategies Fund | Annual Report 2019
|
Portfolio of Investments (continued)
August 31, 2019
Foreign
Government Obligations(l) (continued)
|
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
Canada
0.4%
|
CDP
Financial, Inc.(a)
|
11/25/2019
|
4.400%
|
|
10,000,000
|
10,049,780
|
NOVA
Chemicals Corp.(a)
|
06/01/2024
|
4.875%
|
|
120,000
|
123,154
|
06/01/2027
|
5.250%
|
|
2,200,000
|
2,302,619
|
Ontario
Teachers’ Finance Trust(a)
|
04/16/2021
|
2.750%
|
|
1,250,000
|
1,270,711
|
Province
of Alberta
|
03/15/2028
|
3.300%
|
|
3,000,000
|
3,350,598
|
Province
of British Columbia
|
09/01/2036
|
7.250%
|
|
2,000,000
|
3,375,774
|
Province
of Manitoba
|
11/30/2020
|
2.050%
|
|
2,500,000
|
2,509,210
|
06/22/2026
|
2.125%
|
|
300,000
|
306,191
|
Province
of Ontario
|
04/14/2020
|
4.400%
|
|
600,000
|
608,832
|
10/17/2023
|
3.400%
|
|
1,985,000
|
2,122,535
|
Province
of Quebec(j)
|
02/27/2026
|
7.140%
|
|
1,230,000
|
1,603,723
|
03/02/2026
|
7.485%
|
|
2,000,000
|
2,648,574
|
Total
|
30,271,701
|
Chile
0.0%
|
Corporación
Nacional del Cobre de Chile(a)
|
09/16/2025
|
4.500%
|
|
500,000
|
553,876
|
08/01/2027
|
3.625%
|
|
740,000
|
792,246
|
11/04/2044
|
4.875%
|
|
200,000
|
245,638
|
Empresa
Nacional del Petroleo(a)
|
08/05/2026
|
3.750%
|
|
750,000
|
783,841
|
11/06/2029
|
5.250%
|
|
450,000
|
522,485
|
Total
|
2,898,086
|
China
0.0%
|
Industrial
& Commercial Bank of China Ltd.(a),(j)
|
Junior
Subordinated
|
12/31/2049
|
6.000%
|
|
200,000
|
201,425
|
Colombia
0.0%
|
Colombia
Government International Bond
|
01/28/2026
|
4.500%
|
|
1,105,000
|
1,224,476
|
04/25/2027
|
3.875%
|
|
1,300,000
|
1,404,938
|
03/15/2029
|
4.500%
|
|
250,000
|
284,513
|
06/15/2045
|
5.000%
|
|
600,000
|
724,522
|
Total
|
3,638,449
|
Foreign
Government Obligations(l) (continued)
|
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
Croatia
0.0%
|
Croatia
Government International Bond(a)
|
04/04/2023
|
5.500%
|
|
500,000
|
556,264
|
01/26/2024
|
6.000%
|
|
500,000
|
578,922
|
01/26/2024
|
6.000%
|
|
300,000
|
347,354
|
Total
|
1,482,540
|
Dominican
Republic 0.1%
|
Dominican
Republic International Bond(a)
|
05/06/2021
|
7.500%
|
|
2,666,667
|
2,808,064
|
05/06/2021
|
7.500%
|
|
66,667
|
70,202
|
01/28/2024
|
6.600%
|
|
785,000
|
873,678
|
01/27/2025
|
5.500%
|
|
100,000
|
107,168
|
01/27/2025
|
5.500%
|
|
100,000
|
107,168
|
01/29/2026
|
6.875%
|
|
1,000,000
|
1,144,071
|
01/25/2027
|
5.950%
|
|
450,000
|
494,560
|
07/19/2028
|
6.000%
|
|
1,400,000
|
1,548,432
|
07/19/2028
|
6.000%
|
|
275,000
|
304,156
|
Total
|
7,457,499
|
Ecuador
0.0%
|
Ecuador
Government International Bond(a)
|
03/24/2020
|
10.500%
|
|
267,000
|
274,360
|
Egypt
0.1%
|
Egypt
Government International Bond(a)
|
02/21/2023
|
5.577%
|
|
350,000
|
360,736
|
06/11/2025
|
5.875%
|
|
250,000
|
258,468
|
02/21/2028
|
6.588%
|
|
3,900,000
|
4,001,634
|
Total
|
4,620,838
|
El
Salvador 0.0%
|
El
Salvador Government International Bond(a)
|
12/01/2019
|
7.375%
|
|
1,195,000
|
1,200,710
|
Finland
0.0%
|
Republic
of Finland
|
02/15/2026
|
6.950%
|
|
1,500,000
|
1,941,821
|
France
0.1%
|
Dexia
Credit Local SA(a)
|
09/15/2021
|
1.875%
|
|
1,750,000
|
1,753,323
|
01/29/2022
|
2.875%
|
|
750,000
|
770,278
|
09/26/2023
|
3.250%
|
|
1,500,000
|
1,587,325
|
Total
|
4,110,926
|
Hong
Kong 0.0%
|
CNAC
HK Finbridge Co., Ltd(a)
|
03/14/2028
|
5.125%
|
|
1,850,000
|
2,107,818
|
The accompanying Notes to Financial Statements are an integral part
of this statement.
Multi-Manager
Total Return Bond Strategies Fund | Annual Report 2019
|
47
|
Portfolio of Investments (continued)
August 31, 2019
Foreign
Government Obligations(l) (continued)
|
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
Hungary
0.0%
|
Hungary
Government International Bond
|
03/29/2021
|
6.375%
|
|
546,000
|
580,615
|
11/22/2023
|
5.750%
|
|
2,000,000
|
2,277,956
|
Total
|
2,858,571
|
India
0.0%
|
Export-Import
Bank of India(a)
|
08/05/2026
|
3.375%
|
|
860,000
|
888,901
|
02/01/2028
|
3.875%
|
|
1,025,000
|
1,094,488
|
Total
|
1,983,389
|
Indonesia
0.2%
|
Indonesia
Government International Bond(a)
|
01/17/2038
|
7.750%
|
|
1,000,000
|
1,536,507
|
Perusahaan
Penerbit SBSN Indonesia III(a)
|
03/01/2028
|
4.400%
|
|
500,000
|
552,006
|
02/20/2029
|
4.450%
|
|
1,400,000
|
1,563,708
|
PT
Indonesia Asahan Aluminium Persero(a)
|
11/15/2028
|
6.530%
|
|
770,000
|
955,801
|
PT
Pertamina Persero(a)
|
05/20/2043
|
5.625%
|
|
250,000
|
301,037
|
PT
Perusahaan Gas Negara Persero Tbk(a)
|
05/16/2024
|
5.125%
|
|
925,000
|
1,012,545
|
PT
Perusahaan Listrik Negara(a)
|
05/15/2027
|
4.125%
|
|
5,000,000
|
5,337,175
|
05/21/2028
|
5.450%
|
|
2,000,000
|
2,342,574
|
05/21/2028
|
5.450%
|
|
500,000
|
585,644
|
01/25/2029
|
5.375%
|
|
200,000
|
235,181
|
Total
|
14,422,178
|
Iraq
0.0%
|
Iraq
International Bond(a)
|
03/09/2023
|
6.752%
|
|
1,300,000
|
1,332,210
|
01/15/2028
|
5.800%
|
|
750,000
|
733,906
|
Total
|
2,066,116
|
Israel
0.0%
|
Israel
Electric Corp., Ltd.(a)
|
08/14/2028
|
4.250%
|
|
3,100,000
|
3,407,520
|
Italy
0.3%
|
Republic
of Italy
|
09/27/2023
|
6.875%
|
|
15,850,000
|
18,284,481
|
Republic
of Italy Government International Bond
|
06/15/2033
|
5.375%
|
|
8,205,000
|
9,600,916
|
Total
|
27,885,397
|
Foreign
Government Obligations(l) (continued)
|
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
Ivory
Coast 0.0%
|
Ivory
Coast Government International Bond(a),(j)
|
12/31/2032
|
5.750%
|
|
880,000
|
871,655
|
Japan
0.1%
|
Japan
Bank for International Cooperation
|
02/24/2020
|
2.250%
|
|
1,400,000
|
1,401,011
|
05/23/2024
|
2.500%
|
|
600,000
|
621,388
|
Japan
Finance Organization for Municipalities(a)
|
04/20/2022
|
2.625%
|
|
1,600,000
|
1,633,630
|
03/12/2024
|
3.000%
|
|
400,000
|
421,094
|
Total
|
4,077,123
|
Kazakhstan
0.1%
|
KazMunayGas
National Co. JSC(a)
|
04/24/2025
|
4.750%
|
|
950,000
|
1,036,688
|
04/19/2027
|
4.750%
|
|
1,725,000
|
1,890,029
|
04/19/2027
|
4.750%
|
|
300,000
|
328,701
|
04/24/2030
|
5.375%
|
|
2,050,000
|
2,376,370
|
04/24/2030
|
5.375%
|
|
500,000
|
579,603
|
Total
|
6,211,391
|
Kenya
0.0%
|
Kenya
Government International Bond(a)
|
05/22/2027
|
7.000%
|
|
400,000
|
422,496
|
Mexico
0.6%
|
Banco
Nacional de Comercio Exterior SNC(a),(j)
|
Subordinated
|
08/11/2026
|
3.800%
|
|
400,000
|
405,390
|
Mexico
City Airport Trust(a)
|
10/31/2026
|
4.250%
|
|
1,435,000
|
1,439,304
|
07/31/2047
|
5.500%
|
|
2,150,000
|
2,153,758
|
Mexico
Government International Bond
|
01/11/2028
|
3.750%
|
|
400,000
|
418,243
|
04/22/2029
|
4.500%
|
|
2,515,000
|
2,780,956
|
Pemex
Project Funding Master Trust
|
03/05/2020
|
6.000%
|
|
3,000,000
|
3,037,230
|
01/21/2021
|
5.500%
|
|
1,600,000
|
1,633,206
|
06/15/2038
|
6.625%
|
|
50,000
|
46,836
|
Petroleos
Mexicanos
|
02/04/2021
|
6.375%
|
|
2,625,000
|
2,708,407
|
03/13/2022
|
5.375%
|
|
5,650,000
|
5,784,267
|
12/20/2022
|
1.700%
|
|
358,750
|
354,817
|
01/15/2025
|
4.250%
|
|
300,000
|
287,729
|
08/04/2026
|
6.875%
|
|
4,810,000
|
5,052,895
|
03/13/2027
|
6.500%
|
|
10,823,000
|
11,090,198
|
02/12/2028
|
5.350%
|
|
625,000
|
592,547
|
01/23/2029
|
6.500%
|
|
5,420,000
|
5,502,059
|
01/23/2045
|
6.375%
|
|
940,000
|
866,945
|
01/23/2046
|
5.625%
|
|
300,000
|
256,567
|
09/21/2047
|
6.750%
|
|
7,669,000
|
7,263,203
|
The accompanying Notes to Financial Statements are an integral part
of this statement.
48
|
Multi-Manager Total Return
Bond Strategies Fund | Annual Report 2019
|
Portfolio of Investments (continued)
August 31, 2019
Foreign
Government Obligations(l) (continued)
|
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
02/12/2048
|
6.350%
|
|
770,000
|
708,475
|
Total
|
52,383,032
|
Netherlands
0.1%
|
Petrobras
Global Finance BV
|
02/01/2029
|
5.750%
|
|
1,700,000
|
1,842,214
|
03/19/2049
|
6.900%
|
|
1,955,000
|
2,220,659
|
Total
|
4,062,873
|
Oman
0.0%
|
Oman
Government International Bond(a)
|
01/17/2028
|
5.625%
|
|
942,000
|
927,908
|
Panama
0.0%
|
Panama
Government International Bond
|
09/22/2024
|
4.000%
|
|
400,000
|
432,723
|
03/16/2025
|
3.750%
|
|
200,000
|
214,739
|
01/26/2036
|
6.700%
|
|
840,000
|
1,227,759
|
Total
|
1,875,221
|
Paraguay
0.0%
|
Paraguay
Government International Bond(a)
|
01/25/2023
|
4.625%
|
|
400,000
|
423,787
|
Peru
0.1%
|
Corporación
Financiera de Desarrollo SA(a)
|
07/15/2025
|
4.750%
|
|
1,070,000
|
1,174,815
|
Peruvian
Government International Bond
|
03/14/2037
|
6.550%
|
|
1,785,000
|
2,712,665
|
11/18/2050
|
5.625%
|
|
150,000
|
229,403
|
Petroleos
del Peru SA(a)
|
06/19/2032
|
4.750%
|
|
3,150,000
|
3,554,652
|
Total
|
7,671,535
|
Philippines
0.0%
|
Philippine
Government International Bond
|
01/15/2032
|
6.375%
|
|
400,000
|
563,142
|
10/23/2034
|
6.375%
|
|
275,000
|
404,665
|
Total
|
967,807
|
Poland
0.0%
|
Poland
Government International Bond
|
03/17/2023
|
3.000%
|
|
300,000
|
311,910
|
Qatar
0.1%
|
Nakilat,
Inc.(a)
|
12/31/2033
|
6.067%
|
|
1,164,000
|
1,428,314
|
Qatar
Government International Bond(a)
|
04/23/2028
|
4.500%
|
|
840,000
|
985,486
|
04/23/2048
|
5.103%
|
|
1,910,000
|
2,556,172
|
Foreign
Government Obligations(l) (continued)
|
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
Ras
Laffan Liquefied Natural Gas Co., Ltd. II(a)
|
09/30/2020
|
5.298%
|
|
273,552
|
277,682
|
Total
|
5,247,654
|
Romania
0.1%
|
Romanian
Government International Bond(a)
|
08/22/2023
|
4.375%
|
|
150,000
|
160,462
|
06/15/2048
|
5.125%
|
|
4,400,000
|
5,136,767
|
Total
|
5,297,229
|
Russian
Federation 0.1%
|
Russian
Foreign Bond - Eurobond(a)
|
09/16/2023
|
4.875%
|
|
200,000
|
218,706
|
05/27/2026
|
4.750%
|
|
1,600,000
|
1,750,261
|
06/23/2027
|
4.250%
|
|
1,000,000
|
1,065,880
|
04/04/2042
|
5.625%
|
|
800,000
|
989,391
|
Total
|
4,024,238
|
Saudi
Arabia 0.1%
|
Saudi
Arabia Government International Bond(a)
|
04/17/2025
|
4.000%
|
|
2,530,000
|
2,760,354
|
Saudi
Government International Bond(a)
|
04/17/2030
|
4.500%
|
|
750,000
|
876,395
|
10/26/2046
|
4.500%
|
|
230,000
|
267,936
|
01/16/2050
|
5.250%
|
|
1,977,000
|
2,556,330
|
Total
|
6,461,015
|
South
Africa 0.1%
|
Eskom
Holdings SOC Ltd.(a)
|
01/26/2021
|
5.750%
|
|
2,300,000
|
2,307,335
|
08/06/2023
|
6.750%
|
|
200,000
|
205,286
|
02/11/2025
|
7.125%
|
|
950,000
|
978,155
|
08/10/2028
|
6.350%
|
|
1,400,000
|
1,517,015
|
Republic
of South Africa Government International Bond
|
10/12/2028
|
4.300%
|
|
1,225,000
|
1,222,004
|
South
Africa Government International Bond
|
01/17/2024
|
4.665%
|
|
640,000
|
674,220
|
Total
|
6,904,015
|
South
Korea 0.0%
|
Export-Import
Bank of Korea
|
12/30/2020
|
2.625%
|
|
400,000
|
403,063
|
Korea
Development Bank (The)
|
03/11/2020
|
2.500%
|
|
300,000
|
300,741
|
09/14/2022
|
3.000%
|
|
200,000
|
205,731
|
Total
|
909,535
|
The accompanying Notes to Financial Statements are an integral part
of this statement.
Multi-Manager
Total Return Bond Strategies Fund | Annual Report 2019
|
49
|
Portfolio of Investments (continued)
August 31, 2019
Foreign
Government Obligations(l) (continued)
|
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
Turkey
0.1%
|
Turkey
Government International Bond
|
03/30/2021
|
5.625%
|
|
3,400,000
|
3,440,664
|
03/23/2023
|
3.250%
|
|
680,000
|
620,517
|
02/05/2025
|
7.375%
|
|
1,479,000
|
1,533,127
|
Total
|
5,594,308
|
Ukraine
0.1%
|
Ukraine
Government International Bond(a)
|
09/01/2020
|
7.750%
|
|
595,000
|
611,363
|
09/01/2021
|
7.750%
|
|
2,710,000
|
2,825,638
|
09/01/2022
|
7.750%
|
|
2,410,000
|
2,552,870
|
02/01/2024
|
8.994%
|
|
1,400,000
|
1,548,382
|
Total
|
7,538,253
|
United
Arab Emirates 0.0%
|
DP
World Crescent Ltd.(a)
|
09/26/2028
|
4.848%
|
|
540,000
|
600,574
|
DP
World Ltd.(a)
|
07/02/2037
|
6.850%
|
|
300,000
|
405,367
|
Total
|
1,005,941
|
United
States 0.0%
|
Citgo
Holding, Inc.(a)
|
08/01/2024
|
9.250%
|
|
375,000
|
396,556
|
Uruguay
0.0%
|
Uruguay
Government International Bond
|
10/27/2027
|
4.375%
|
|
615,000
|
683,770
|
Virgin
Islands 0.0%
|
CNPC
General Capital Ltd.(a)
|
11/25/2019
|
2.700%
|
|
300,000
|
300,335
|
Sinopec
Group Overseas Development Ltd.(a)
|
04/28/2025
|
3.250%
|
|
400,000
|
416,394
|
04/28/2025
|
3.250%
|
|
300,000
|
312,295
|
Total
|
1,029,024
|
Total
Foreign Government Obligations
(Cost $256,192,089)
|
259,371,722
|
|
Inflation-Indexed
Bonds 0.9%
|
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
United
States 0.9%
|
U.S.
Treasury Inflation-Indexed Bond
|
04/15/2024
|
0.500%
|
|
19,499,328
|
19,906,530
|
07/15/2024
|
0.125%
|
|
3,478,937
|
3,507,866
|
07/15/2029
|
0.250%
|
|
21,833,653
|
22,478,659
|
02/15/2049
|
1.000%
|
|
23,475,040
|
27,791,191
|
Total
|
73,684,246
|
Total
Inflation-Indexed Bonds
(Cost $70,746,145)
|
73,684,246
|
|
Municipal
Bonds 0.4%
|
Issue
Description
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
Airport
0.1%
|
Chicago
O’Hare International Airport
|
Refunding
Revenue Bonds
|
Taxable
Senior Lien
|
Series
2018C
|
01/01/2049
|
4.472%
|
|
1,630,000
|
2,114,697
|
01/01/2054
|
4.572%
|
|
1,630,000
|
2,151,078
|
Total
|
4,265,775
|
Higher
Education 0.1%
|
University
of California
|
Refunding
Revenue Bonds
|
Taxable
General
|
Series
2017AX
|
07/01/2025
|
3.063%
|
|
5,700,000
|
6,031,626
|
University
of Texas System (The)
|
Revenue
Bonds
|
Taxable
Permanent University Fund
|
Series
2017
|
07/01/2047
|
3.376%
|
|
3,025,000
|
3,383,856
|
University
of Virginia
|
Revenue
Bonds
|
Taxable
|
Series
2017C
|
09/01/2117
|
4.179%
|
|
725,000
|
936,584
|
Total
|
10,352,066
|
Local
General Obligation 0.1%
|
City
of New York
|
Unlimited
General Obligation Bonds
|
Series
2010 (BAM)
|
03/01/2036
|
5.968%
|
|
3,100,000
|
4,298,212
|
The accompanying Notes to Financial Statements are an integral part
of this statement.
50
|
Multi-Manager Total Return
Bond Strategies Fund | Annual Report 2019
|
Portfolio of Investments (continued)
August 31, 2019
Municipal
Bonds (continued)
|
Issue
Description
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
Los
Angeles Unified School District
|
Unlimited
General Obligation Bonds
|
Taxable
Build America Bonds
|
Series
2009
|
07/01/2034
|
5.750%
|
|
2,685,000
|
3,591,698
|
Total
|
7,889,910
|
Municipal
Power 0.0%
|
Los
Angeles Department of Water & Power System
|
Revenue
Bonds
|
Series
2010 (BAM)
|
07/01/2045
|
6.574%
|
|
1,595,000
|
2,630,490
|
Sales
Tax 0.0%
|
Puerto
Rico Sales Tax Financing Corp. Sales Tax(m)
|
Revenue
Bonds
|
Series
2019A-1
|
07/01/2058
|
5.000%
|
|
1,100,000
|
1,146,926
|
Special
Non Property Tax 0.0%
|
State
of Illinois
|
Revenue
Bonds
|
Taxable
Sales Tax
|
Series
2013
|
06/15/2028
|
3.350%
|
|
2,500,000
|
2,557,625
|
State
General Obligation 0.0%
|
State
of California
|
Unlimited
General Obligation Bonds
|
Build
America Bonds
|
Series
2010
|
03/01/2040
|
7.625%
|
|
800,000
|
1,334,576
|
Turnpike
/ Bridge / Toll Road 0.1%
|
Bay
Area Toll Authority
|
Revenue
Bonds
|
Series
2009 (BAM)
|
04/01/2049
|
6.263%
|
|
1,920,000
|
3,149,318
|
Pennsylvania
Turnpike Commission
|
Revenue
Bonds
|
Build
America Bonds
|
Series
2009
|
12/01/2039
|
6.105%
|
|
1,620,000
|
2,320,164
|
Total
|
5,469,482
|
Total
Municipal Bonds
(Cost $31,624,254)
|
35,646,850
|
|
Residential
Mortgage-Backed Securities - Agency 23.2%
|
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
Federal
Home Loan Mortgage Corp.
|
04/01/2021
|
9.000%
|
|
16
|
16
|
03/01/2022-
08/01/2022
|
8.500%
|
|
2,768
|
2,864
|
08/01/2024-
02/01/2025
|
8.000%
|
|
15,276
|
16,387
|
10/01/2028-
07/01/2032
|
7.000%
|
|
212,158
|
245,840
|
03/01/2031-
03/01/2047
|
3.000%
|
|
54,712,505
|
56,253,210
|
10/01/2031-
07/01/2037
|
6.000%
|
|
709,244
|
815,886
|
02/01/2032
|
2.500%
|
|
21,064,566
|
21,426,176
|
04/01/2033-
09/01/2039
|
5.500%
|
|
1,328,750
|
1,493,601
|
05/01/2033-
05/01/2049
|
3.500%
|
|
165,696,500
|
173,155,540
|
10/01/2039-
08/01/2048
|
5.000%
|
|
3,683,068
|
3,955,209
|
09/01/2040-
01/01/2049
|
4.000%
|
|
34,123,233
|
36,312,891
|
09/01/2040-
10/01/2048
|
4.500%
|
|
17,870,535
|
18,938,574
|
CMO
Series 2060 Class Z
|
05/15/2028
|
6.500%
|
|
171,943
|
192,751
|
CMO
Series 2310 Class Z
|
04/15/2031
|
6.000%
|
|
131,273
|
147,413
|
CMO
Series 2725 Class TA
|
12/15/2033
|
4.500%
|
|
1,525,000
|
1,785,715
|
CMO
Series 2882 Class ZC
|
11/15/2034
|
6.000%
|
|
4,942,292
|
5,702,844
|
CMO
Series 2953 Class LZ
|
03/15/2035
|
6.000%
|
|
2,369,893
|
3,036,702
|
CMO
Series 3028 Class ZE
|
09/15/2035
|
5.500%
|
|
122,326
|
157,572
|
CMO
Series 3032 Class PZ
|
09/15/2035
|
5.800%
|
|
290,835
|
410,120
|
CMO
Series 3071 Class ZP
|
11/15/2035
|
5.500%
|
|
6,422,318
|
8,200,299
|
CMO
Series 3121 Class EZ
|
03/15/2036
|
6.000%
|
|
142,962
|
163,190
|
CMO
Series 3181 Class AZ
|
07/15/2036
|
6.500%
|
|
93,682
|
106,813
|
CMO
Series 353 Class 300
|
12/15/2046
|
3.000%
|
|
12,723,987
|
13,218,728
|
CMO
Series 3740 Class BA
|
10/15/2040
|
4.000%
|
|
3,000,000
|
3,399,207
|
CMO
Series 3741 Class PD
|
10/15/2040
|
4.000%
|
|
1,855,000
|
2,116,632
|
The accompanying Notes to Financial Statements are an integral part
of this statement.
Multi-Manager
Total Return Bond Strategies Fund | Annual Report 2019
|
51
|
Portfolio of Investments (continued)
August 31, 2019
Residential
Mortgage-Backed Securities - Agency (continued)
|
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
CMO
Series 3747 Class HY
|
10/15/2040
|
4.500%
|
|
2,991,000
|
3,528,109
|
CMO
Series 3753 Class KZ
|
11/15/2040
|
4.500%
|
|
6,048,713
|
7,146,759
|
CMO
Series 3769 Class ZC
|
12/15/2040
|
4.500%
|
|
7,174,369
|
7,950,023
|
CMO
Series 3809 Class HZ
|
02/15/2041
|
4.000%
|
|
2,476,175
|
2,758,102
|
CMO
Series 3841 Class JZ
|
04/15/2041
|
5.000%
|
|
746,425
|
878,716
|
CMO
Series 3888 Class ZG
|
07/15/2041
|
4.000%
|
|
1,596,374
|
1,731,388
|
CMO
Series 3926 Class NY
|
09/15/2041
|
4.000%
|
|
1,000,000
|
1,089,122
|
CMO
Series 3928 Class MB
|
09/15/2041
|
4.500%
|
|
2,435,000
|
2,755,561
|
CMO
Series 3934 Class CB
|
10/15/2041
|
4.000%
|
|
6,000,000
|
6,611,102
|
CMO
Series 3963 Class JB
|
11/15/2041
|
4.500%
|
|
7,142,422
|
8,420,306
|
CMO
Series 3982 Class TZ
|
01/15/2042
|
4.000%
|
|
1,353,683
|
1,526,838
|
CMO
Series 4013 Class PL
|
03/15/2042
|
3.500%
|
|
1,281,000
|
1,488,652
|
CMO
Series 4027 Class AB
|
12/15/2040
|
4.000%
|
|
4,140,763
|
4,438,962
|
CMO
Series 4034 Class PB
|
04/15/2042
|
4.500%
|
|
730,566
|
926,583
|
CMO
Series 4057 Class ZB
|
06/15/2042
|
3.500%
|
|
5,138,507
|
5,545,734
|
CMO
Series 4057 Class ZL
|
06/15/2042
|
3.500%
|
|
9,830,699
|
10,807,109
|
CMO
Series 4059 Class DY
|
06/15/2042
|
3.500%
|
|
5,074,000
|
5,642,808
|
CMO
Series 4077 Class KM
|
11/15/2041
|
3.500%
|
|
840,482
|
876,206
|
CMO
Series 4091 Class KB
|
08/15/2042
|
3.000%
|
|
6,500,000
|
6,872,523
|
CMO
Series 4182 Class QN
|
02/15/2033
|
3.000%
|
|
4,421,423
|
4,516,184
|
CMO
Series 4247 Class AY
|
09/15/2043
|
4.500%
|
|
1,500,000
|
1,828,452
|
CMO
Series 4361 Class VB
|
02/15/2038
|
3.000%
|
|
6,183,756
|
6,281,423
|
CMO
Series 4396 Class PZ
|
06/15/2037
|
3.000%
|
|
714,449
|
750,870
|
Residential
Mortgage-Backed Securities - Agency (continued)
|
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
CMO
Series 4421 Class PB
|
12/15/2044
|
4.000%
|
|
5,941,237
|
6,761,354
|
CMO
Series 4440 Class ZX
|
01/15/2045
|
4.000%
|
|
10,771,731
|
12,520,397
|
CMO
Series 4463 Class ZA
|
04/15/2045
|
4.000%
|
|
4,755,679
|
5,475,467
|
CMO
Series 4495 Class PA
|
09/15/2043
|
3.500%
|
|
484,923
|
503,855
|
CMO
Series 4496 Class PZ
|
07/15/2045
|
2.500%
|
|
634,516
|
626,072
|
CMO
Series 4627 Class PL
|
10/15/2046
|
3.000%
|
|
2,541,000
|
2,748,930
|
CMO
Series 4649 Class BP
|
01/15/2047
|
3.500%
|
|
2,286,452
|
2,476,091
|
CMO
Series 4745 Class VD
|
01/15/2040
|
4.000%
|
|
5,493,630
|
6,026,706
|
CMO
Series 4758 Class HA
|
06/15/2045
|
4.000%
|
|
3,986,861
|
4,098,248
|
CMO
Series 4767 Class HN
|
03/15/2048
|
3.500%
|
|
4,621,584
|
4,922,865
|
CMO
Series 4771 Class HZ
|
03/15/2048
|
3.500%
|
|
8,430,576
|
9,075,738
|
CMO
Series 4774 Class KA
|
12/15/2045
|
4.500%
|
|
7,509,707
|
7,760,681
|
CMO
Series 4776 Class DW
|
09/15/2044
|
4.000%
|
|
10,000,000
|
10,468,280
|
CMO
Series 4793 Class CD
|
06/15/2048
|
3.000%
|
|
4,920,983
|
4,979,724
|
CMO
Series 4800 Class KG
|
11/15/2045
|
3.500%
|
|
5,000,000
|
5,190,548
|
CMO
Series 4830 Class AP
|
02/15/2047
|
4.000%
|
|
8,995,683
|
9,658,089
|
CMO
Series 4839 Class A
|
04/15/2051
|
4.000%
|
|
6,126,399
|
6,556,239
|
CMO
Series 4846 Class MC
|
06/15/2046
|
4.000%
|
|
18,677,709
|
19,001,039
|
Federal
Home Loan Mortgage Corp.(b)
|
CMO
Series 1486 Class FA
|
1-month
USD LIBOR + 1.300%
Floor 1.300%, Cap 10.000%
04/15/2023
|
3.495%
|
|
251,887
|
255,821
|
CMO
Series 2380 Class F
|
1-month
USD LIBOR + 0.450%
Floor 0.450%, Cap 8.500%
11/15/2031
|
2.645%
|
|
288,161
|
289,280
|
The accompanying Notes to Financial Statements are an integral part
of this statement.
52
|
Multi-Manager Total Return
Bond Strategies Fund | Annual Report 2019
|
Portfolio of Investments (continued)
August 31, 2019
Residential
Mortgage-Backed Securities - Agency (continued)
|
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
CMO
Series 2557 Class FG
|
1-month
USD LIBOR + 0.400%
Floor 0.400%, Cap 8.000%
01/15/2033
|
2.595%
|
|
626,711
|
628,209
|
CMO
Series 2962 Class PF
|
1-month
USD LIBOR + 0.250%
Floor 0.250%, Cap 7.000%
03/15/2035
|
2.445%
|
|
307,256
|
304,636
|
CMO
Series 2981 Class FU
|
1-month
USD LIBOR + 0.200%
Floor 0.200%, Cap 8.000%
05/15/2030
|
2.395%
|
|
480,481
|
478,512
|
CMO
Series 3065 Class EB
|
-3.0
x 1-month USD LIBOR + 19.890%
Cap 19.890%
11/15/2035
|
13.305%
|
|
583,917
|
866,915
|
CMO
Series 3081 Class GC
|
-3.7
x 1-month USD LIBOR + 23.833%
Cap 23.833%
12/15/2035
|
15.785%
|
|
1,017,961
|
1,621,584
|
CMO
Series 3085 Class FV
|
1-month
USD LIBOR + 0.700%
Floor 0.700%, Cap 8.000%
08/15/2035
|
2.895%
|
|
1,092,195
|
1,108,581
|
CMO
Series 3564 Class FC
|
1-month
USD LIBOR + 1.250%
Floor 1.250%, Cap 6.500%
01/15/2037
|
3.480%
|
|
398,352
|
412,455
|
CMO
Series 3785 Class LS
|
-2.0
x 1-month USD LIBOR + 9.900%
Cap 9.900%
01/15/2041
|
5.510%
|
|
2,032,007
|
2,418,511
|
CMO
Series 3852 Class QN
|
-3.6
x 1-month USD LIBOR + 27.211%
Cap 5.500%
05/15/2041
|
5.500%
|
|
65,011
|
69,387
|
CMO
Series 3973 Class FP
|
1-month
USD LIBOR + 0.300%
Floor 0.300%, Cap 7.000%
12/15/2026
|
2.495%
|
|
802,982
|
804,501
|
CMO
Series 4048 Class FJ
|
1-month
USD LIBOR + 0.400%
Floor 0.400%, Cap 9,999.000%
07/15/2037
|
2.802%
|
|
443,466
|
442,961
|
CMO
Series 4203 Class QF
|
1-month
USD LIBOR + 0.250%
Floor 0.250%, Cap 6.500%
05/15/2043
|
2.445%
|
|
4,828,244
|
4,823,378
|
Residential
Mortgage-Backed Securities - Agency (continued)
|
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
CMO
Series 4238 Class FD
|
1-month
USD LIBOR + 0.300%
Floor 0.300%, Cap 7.000%
02/15/2042
|
2.495%
|
|
2,187,467
|
2,190,521
|
CMO
Series 4311 Class PF
|
1-month
USD LIBOR + 0.350%
Floor 0.350%, Cap 6.500%
06/15/2042
|
2.545%
|
|
275,844
|
276,241
|
CMO
Series 4364 Class FE
|
1-month
USD LIBOR + 0.300%
Floor 0.300%, Cap 7.000%
12/15/2039
|
2.495%
|
|
419,175
|
419,601
|
Federal
Home Loan Mortgage Corp.(b),(g)
|
CMO
Series 2014-4313 Class MS
|
-1.0
x 1-month USD LIBOR + 6.150%
Cap 6.150%
04/15/2039
|
3.955%
|
|
11,341,057
|
1,592,090
|
CMO
Series 3404 Class AS
|
-1.0
x 1-month USD LIBOR + 5.895%
Cap 5.895%
01/15/2038
|
3.700%
|
|
3,367,119
|
607,576
|
CMO
Series 3578 Class DI
|
-1.0
x 1-month USD LIBOR + 6.650%
Cap 6.650%
04/15/2036
|
4.455%
|
|
5,209,332
|
961,140
|
CMO
Series 3892 Class SC
|
-1.0
x 1-month USD LIBOR + 5.950%
Cap 5.950%
07/15/2041
|
3.755%
|
|
7,969,394
|
1,385,773
|
CMO
Series 4087 Class SC
|
-1.0
x 1-month USD LIBOR + 5.550%
Cap 5.550%
07/15/2042
|
3.355%
|
|
10,707,065
|
1,562,426
|
Federal
Home Loan Mortgage Corp.(f),(g)
|
CMO
Series 3833 Class LI
|
10/15/2040
|
1.898%
|
|
14,988,361
|
745,837
|
Federal
Home Loan Mortgage Corp.(g)
|
CMO
Series 4698 Class BI
|
07/15/2047
|
5.000%
|
|
30,100,382
|
5,212,847
|
Federal
Home Loan Mortgage Corp.(b),(d),(e)
|
CMO
Series 4910 Class SG
|
1-month
LIBID + 6.050%
Cap 6.050%
09/25/2049
|
3.884%
|
|
36,495,749
|
7,561,919
|
The accompanying Notes to Financial Statements are an integral part
of this statement.
Multi-Manager
Total Return Bond Strategies Fund | Annual Report 2019
|
53
|
Portfolio of Investments (continued)
August 31, 2019
Residential
Mortgage-Backed Securities - Agency (continued)
|
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
Federal
Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates(f),(g)
|
CMO
Series K051 Class X1
|
09/25/2025
|
0.681%
|
|
18,830,019
|
540,113
|
CMO
Series K058 Class X1
|
08/25/2026
|
1.056%
|
|
2,460,555
|
137,577
|
CMO
Series KW02 Class X1
|
12/25/2026
|
0.443%
|
|
11,583,135
|
176,192
|
Federal
National Mortgage Association
|
04/01/2023
|
8.500%
|
|
163
|
164
|
06/01/2024
|
9.000%
|
|
1,889
|
1,905
|
02/01/2025-
08/01/2027
|
8.000%
|
|
32,940
|
36,252
|
03/01/2026-
07/01/2038
|
7.000%
|
|
727,416
|
855,881
|
04/01/2027-
06/01/2032
|
7.500%
|
|
61,059
|
69,003
|
05/01/2029-
10/01/2040
|
6.000%
|
|
2,434,813
|
2,779,467
|
08/01/2029-
02/01/2048
|
3.000%
|
|
102,742,209
|
105,592,172
|
06/01/2030
|
4.960%
|
|
1,043,475
|
1,233,839
|
01/01/2031-
11/01/2046
|
2.500%
|
|
5,593,438
|
5,663,594
|
03/01/2033-
04/01/2041
|
5.500%
|
|
1,213,081
|
1,359,827
|
10/01/2033-
06/01/2049
|
3.500%
|
|
236,003,100
|
245,648,221
|
07/01/2039-
10/01/2041
|
5.000%
|
|
4,681,985
|
5,150,210
|
10/01/2040-
12/01/2048
|
4.500%
|
|
23,132,642
|
24,572,905
|
02/01/2041-
06/01/2049
|
4.000%
|
|
101,717,166
|
108,151,584
|
CMO
Series 2003-22 Class Z
|
04/25/2033
|
6.000%
|
|
171,773
|
195,309
|
CMO
Series 2003-33 Class PT
|
05/25/2033
|
4.500%
|
|
12,183
|
13,363
|
CMO
Series 2003-82 Class Z
|
08/25/2033
|
5.500%
|
|
171,954
|
195,031
|
CMO
Series 2005-110 Class GL
|
12/25/2035
|
5.500%
|
|
2,002,371
|
2,295,263
|
CMO
Series 2005-68 Class KZ
|
08/25/2035
|
5.750%
|
|
16,364,566
|
18,815,586
|
CMO
Series 2007-50 Class DZ
|
06/25/2037
|
5.500%
|
|
981,117
|
1,117,789
|
CMO
Series 2009-100 Class PL
|
12/25/2039
|
5.000%
|
|
770,652
|
940,181
|
CMO
Series 2009-111 Class DA
|
12/25/2039
|
5.000%
|
|
57,947
|
58,718
|
Residential
Mortgage-Backed Securities - Agency (continued)
|
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
CMO
Series 2010-134 Class DB
|
12/25/2040
|
4.500%
|
|
10,000,000
|
11,595,897
|
CMO
Series 2010-139 Class HA
|
11/25/2040
|
4.000%
|
|
2,000,000
|
2,232,059
|
CMO
Series 2010-37 Class A1
|
05/25/2035
|
5.410%
|
|
906,947
|
948,487
|
CMO
Series 2010-81 Class PB
|
08/25/2040
|
5.000%
|
|
829,499
|
1,000,542
|
CMO
Series 2011-18 Class ZK
|
03/25/2041
|
4.000%
|
|
7,610,297
|
8,260,202
|
CMO
Series 2011-53 Class WT
|
06/25/2041
|
4.500%
|
|
702,036
|
776,583
|
CMO
Series 2012-103 Class PY
|
09/25/2042
|
3.000%
|
|
1,000,000
|
1,070,055
|
CMO
Series 2012-112 Class DA
|
10/25/2042
|
3.000%
|
|
19,209,963
|
19,780,413
|
CMO
Series 2012-121 Class GZ
|
11/25/2042
|
3.500%
|
|
11,808,658
|
13,080,450
|
CMO
Series 2012-68 Class ZA
|
07/25/2042
|
3.500%
|
|
8,441,712
|
9,335,458
|
CMO
Series 2013-106 Class LA
|
08/25/2041
|
4.000%
|
|
3,944,491
|
4,210,077
|
CMO
Series 2013-126 Class ZA
|
07/25/2032
|
4.000%
|
|
14,153,835
|
15,223,425
|
CMO
Series 2013-15 Class BL
|
03/25/2043
|
2.500%
|
|
2,323,879
|
2,337,901
|
CMO
Series 2013-16 Class GD
|
03/25/2033
|
3.000%
|
|
9,511,589
|
9,601,957
|
CMO
Series 2013-17 Class JP
|
03/25/2043
|
3.000%
|
|
650,000
|
686,079
|
CMO
Series 2013-66 Class AP
|
05/25/2043
|
6.000%
|
|
1,441,954
|
1,620,826
|
CMO
Series 2015-18 Class NB
|
04/25/2045
|
3.000%
|
|
2,002,796
|
2,128,288
|
CMO
Series 2016-25 Class LB
|
05/25/2046
|
3.000%
|
|
5,000,000
|
5,344,668
|
CMO
Series 2016-9 Class A
|
09/25/2043
|
3.000%
|
|
661,962
|
673,644
|
CMO
Series 2017-107 Class JM
|
01/25/2048
|
3.000%
|
|
6,445,481
|
6,724,344
|
CMO
Series 2017-82 Class ML
|
10/25/2047
|
4.000%
|
|
546,948
|
639,526
|
CMO
Series 2017-82 Class PL
|
10/25/2047
|
3.000%
|
|
1,062,000
|
1,092,746
|
CMO
Series 2017-89 Class CY
|
11/25/2047
|
3.000%
|
|
2,377,511
|
2,556,221
|
The accompanying Notes to Financial Statements are an integral part
of this statement.
54
|
Multi-Manager Total Return
Bond Strategies Fund | Annual Report 2019
|
Portfolio of Investments (continued)
August 31, 2019
Residential
Mortgage-Backed Securities - Agency (continued)
|
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
CMO
Series 2018-38 Class PA
|
06/25/2047
|
3.500%
|
|
3,295,700
|
3,389,365
|
CMO
Series 2018-55 Class PA
|
01/25/2047
|
3.500%
|
|
12,319,156
|
12,744,608
|
CMO
Series 2018-64 Class ET
|
09/25/2048
|
3.000%
|
|
9,206,839
|
9,392,349
|
CMO
Series 2018-94D Class KD
|
12/25/2048
|
3.500%
|
|
6,890,912
|
6,997,878
|
CMO
Series 98-17 Class Z
|
04/18/2028
|
6.500%
|
|
152,053
|
168,370
|
Federal
National Mortgage Association(c)
|
10/16/2033-
09/12/2049
|
3.000%
|
|
50,531,000
|
51,571,527
|
09/12/2043
|
2.500%
|
|
11,225,000
|
11,292,673
|
09/12/2049
|
3.500%
|
|
25,250,000
|
25,952,266
|
09/12/2049
|
4.500%
|
|
34,652,000
|
36,482,059
|
09/12/2049
|
5.000%
|
|
8,000,000
|
8,542,500
|
Federal
National Mortgage Association(b)
|
6-month
USD LIBOR + 1.445%
Floor 1.445%, Cap 9.863%
04/01/2034
|
3.986%
|
|
94,492
|
97,185
|
CMO
Series 2002-59 Class HF
|
1-month
USD LIBOR + 0.350%
Floor 0.350%, Cap 8.000%
08/17/2032
|
2.532%
|
|
239,106
|
239,287
|
CMO
Series 2003-134 Class FC
|
1-month
USD LIBOR + 0.600%
Floor 0.600%, Cap 9.500%
12/25/2032
|
2.745%
|
|
1,693,057
|
1,711,891
|
CMO
Series 2004-93 Class FC
|
1-month
USD LIBOR + 0.200%
Floor 0.200%, Cap 8.000%
12/25/2034
|
2.345%
|
|
887,236
|
883,975
|
CMO
Series 2006-71 Class SH
|
-2.6
x 1-month USD LIBOR + 15.738%
Cap 15.738%
05/25/2035
|
10.111%
|
|
248,515
|
321,868
|
CMO
Series 2007-90 Class F
|
1-month
USD LIBOR + 0.490%
Floor 0.490%, Cap 7.000%
09/25/2037
|
2.635%
|
|
562,700
|
565,529
|
CMO
Series 2007-W7 Class 1A4
|
-6.0
x 1-month USD LIBOR + 39.180%
Cap 39.180%
07/25/2037
|
26.309%
|
|
111,635
|
196,575
|
Residential
Mortgage-Backed Securities - Agency (continued)
|
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
CMO
Series 2008-15 Class AS
|
-5.0
x 1-month USD LIBOR + 33.000%
Cap 33.000%
08/25/2036
|
22.274%
|
|
552,129
|
951,808
|
CMO
Series 2010-135 Class FD
|
1-month
USD LIBOR + 0.500%
Floor 0.500%, Cap 6.500%
06/25/2039
|
2.645%
|
|
1,613,987
|
1,617,471
|
CMO
Series 2010-142 Class HS
|
-2.0
x 1-month USD LIBOR + 10.000%
Cap 10.000%
12/25/2040
|
5.541%
|
|
1,124,332
|
1,323,460
|
CMO
Series 2010-150 Class FL
|
1-month
USD LIBOR + 0.550%
Floor 0.550%, Cap 7.000%
10/25/2040
|
2.695%
|
|
512,564
|
515,798
|
CMO
Series 2010-74 Class WF
|
1-month
USD LIBOR + 0.600%
Floor 0.600%, Cap 7.000%
07/25/2034
|
2.745%
|
|
908,449
|
917,450
|
CMO
Series 2010-86 Class FE
|
1-month
USD LIBOR + 0.450%
Floor 0.450%, Cap 6.500%
08/25/2025
|
2.595%
|
|
699,163
|
699,763
|
CMO
Series 2011-99 Class KF
|
1-month
USD LIBOR + 0.300%
Floor 0.300%, Cap 7.000%
10/25/2026
|
2.445%
|
|
774,412
|
774,834
|
CMO
Series 2012-1 Class FA
|
1-month
USD LIBOR + 0.500%
Floor 0.500%, Cap 6.500%
02/25/2042
|
2.645%
|
|
2,284,039
|
2,293,443
|
CMO
Series 2012-115 Class MT
|
-3.0
x 1-month USD LIBOR + 13.500%
Cap 4.500%
10/25/2042
|
4.500%
|
|
2,011,880
|
2,065,778
|
CMO
Series 2012-14 Class FB
|
1-month
USD LIBOR + 0.450%
Floor 0.450%, Cap 7.000%
08/25/2037
|
2.595%
|
|
146,108
|
146,545
|
CMO
Series 2012-47 Class HF
|
1-month
USD LIBOR + 0.400%
Floor 0.400%, Cap 6.500%
05/25/2027
|
2.545%
|
|
1,223,477
|
1,229,593
|
CMO
Series 2012-73 Class LF
|
1-month
USD LIBOR + 0.450%
Floor 0.450%, Cap 6.500%
06/25/2039
|
2.595%
|
|
1,286,170
|
1,288,520
|
The accompanying Notes to Financial Statements are an integral part
of this statement.
Multi-Manager
Total Return Bond Strategies Fund | Annual Report 2019
|
55
|
Portfolio of Investments (continued)
August 31, 2019
Residential
Mortgage-Backed Securities - Agency (continued)
|
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
CMO
Series 2016-32 Class GT
|
-4.5
x 1-month USD LIBOR + 18.000%
Cap 4.500%
01/25/2043
|
4.500%
|
|
1,928,491
|
1,999,810
|
CMO
Series 2017-82 Class FG
|
1-month
USD LIBOR + 0.250%
Floor 0.250%, Cap 6.500%
11/25/2032
|
2.395%
|
|
2,195,414
|
2,184,119
|
Federal
National Mortgage Association(b),(g)
|
CMO
Series 2004-29 Class PS
|
-1.0
x 1-month USD LIBOR + 7.600%
Cap 7.600%
05/25/2034
|
5.455%
|
|
2,199,656
|
383,491
|
CMO
Series 2006-43 Class SJ
|
-1.0
x 1-month USD LIBOR + 6.590%
Cap 6.590%
06/25/2036
|
4.445%
|
|
1,741,078
|
261,806
|
CMO
Series 2009-100 Class SA
|
-1.0
x 1-month USD LIBOR + 6.200%
Cap 6.200%
12/25/2039
|
4.055%
|
|
5,634,936
|
861,042
|
CMO
Series 2009-87 Class NS
|
-1.0
x 1-month USD LIBOR + 6.250%
Cap 6.250%
11/25/2039
|
4.105%
|
|
9,118,026
|
1,442,485
|
CMO
Series 2010-131 Class SA
|
-1.0
x 1-month USD LIBOR + 6.600%
Cap 6.600%
11/25/2040
|
4.455%
|
|
6,945,086
|
1,486,770
|
CMO
Series 2010-21 Class SA
|
-1.0
x 1-month USD LIBOR + 6.250%
Cap 6.250%
03/25/2040
|
4.105%
|
|
13,422,783
|
2,470,136
|
CMO
Series 2010-57 Class SA
|
-1.0
x 1-month USD LIBOR + 6.450%
Cap 6.450%
06/25/2040
|
4.305%
|
|
3,272,617
|
478,626
|
CMO
Series 2011-47 Class GS
|
-1.0
x 1-month USD LIBOR + 5.930%
Cap 5.930%
06/25/2041
|
3.785%
|
|
11,247,836
|
1,290,447
|
Residential
Mortgage-Backed Securities - Agency (continued)
|
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
CMO
Series 2012-17 Class MS
|
-1.0
x 1-month USD LIBOR + 6.700%
Cap 6.700%
03/25/2027
|
4.555%
|
|
7,511,014
|
774,587
|
CMO
Series 2013-10 Class SJ
|
-1.0
x 1-month USD LIBOR + 6.150%
Cap 6.150%
02/25/2043
|
4.005%
|
|
10,242,813
|
1,818,787
|
CMO
Series 2014-40 Class HS
|
-1.0
x 1-month USD LIBOR + 6.700%
Cap 6.700%
07/25/2044
|
4.555%
|
|
6,883,233
|
1,529,123
|
CMO
Series 2014-52 Class SL
|
-1.0
x 1-month USD LIBOR + 6.100%
Cap 6.100%
09/25/2044
|
3.955%
|
|
12,801,234
|
2,107,431
|
CMO
Series 2016-19 Class SA
|
-1.0
x 1-month USD LIBOR + 6.100%
Cap 6.100%
04/25/2046
|
3.955%
|
|
10,857,654
|
1,408,594
|
CMO
Series 2016-32 Class SA
|
-1.0
x 1-month USD LIBOR + 6.100%
Cap 6.100%
10/25/2034
|
3.955%
|
|
4,969,881
|
693,789
|
CMO
Series 2016-60 Class QS
|
-1.0
x 1-month USD LIBOR + 6.100%
Cap 6.100%
09/25/2046
|
3.955%
|
|
14,122,235
|
2,380,748
|
CMO
Series 2016-60 Class SE
|
-1.0
x 1-month USD LIBOR + 6.250%
Cap 6.250%
09/25/2046
|
4.105%
|
|
13,751,203
|
2,325,539
|
CMO
Series 2016-82 Class SG
|
-1.0
x 1-month USD LIBOR + 6.100%
Cap 6.100%
11/25/2046
|
3.955%
|
|
17,822,768
|
3,175,237
|
CMO
Series 2016-93 Class SL
|
-1.0
x 1-month USD LIBOR + 6.650%
Cap 6.650%
12/25/2046
|
4.505%
|
|
8,948,544
|
1,664,964
|
The accompanying Notes to Financial Statements are an integral part
of this statement.
56
|
Multi-Manager Total Return
Bond Strategies Fund | Annual Report 2019
|
Portfolio of Investments (continued)
August 31, 2019
Residential
Mortgage-Backed Securities - Agency (continued)
|
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
CMO
Series 2017-26 Class SA
|
-1.0
x 1-month USD LIBOR + 6.150%
Cap 6.150%
04/25/2047
|
4.005%
|
|
12,569,129
|
2,131,071
|
CMO
Series 2017-57 Class SD
|
-1.0
x 1-month USD LIBOR + 3.950%
Cap 2.750%
08/25/2047
|
1.805%
|
|
16,775,932
|
1,368,292
|
CMO
Series 2018-61 Class SA
|
1-month
USD LIBOR + 6.200%
Cap 6.200%
08/25/2048
|
4.055%
|
|
7,214,480
|
1,255,456
|
CMO
Series 2019-35 Class SH
|
-1.0
x 1-month USD LIBOR + 6.150%
Cap 6.150%
07/25/2049
|
4.005%
|
|
31,561,847
|
4,829,670
|
CMO
Series 2019-39 Class SB
|
-1.0
x 1-month USD LIBOR + 6.100%
Cap 6.100%
08/25/2049
|
3.955%
|
|
34,121,197
|
5,527,395
|
Federal
National Mortgage Association(g)
|
CMO
Series 2013-16 Class MI
|
03/25/2043
|
4.000%
|
|
9,435,572
|
1,170,142
|
CMO
Series 2013-23 Class AI
|
03/25/2043
|
5.000%
|
|
13,974,858
|
2,340,912
|
Federal
National Mortgage Association(f)
|
CMO
Series 2016-40 Class GA
|
07/25/2046
|
4.610%
|
|
5,106,642
|
5,333,346
|
Federal
National Mortgage Association(n)
|
CMO
Series G93-28 Class E
|
07/25/2022
|
0.000%
|
|
126,577
|
122,800
|
Government
National Mortgage Association
|
05/15/2040-
10/20/2048
|
5.000%
|
|
10,917,688
|
11,667,068
|
05/20/2041-
08/20/2048
|
4.500%
|
|
24,124,565
|
25,341,846
|
02/15/2042-
10/20/2048
|
4.000%
|
|
30,817,133
|
32,243,399
|
03/20/2046-
09/20/2047
|
3.500%
|
|
43,029,024
|
44,908,665
|
09/20/2046-
11/20/2047
|
3.000%
|
|
25,081,424
|
25,963,373
|
01/20/2061
|
5.304%
|
|
26,975
|
27,120
|
04/20/2061
|
4.310%
|
|
2,225
|
2,424
|
01/20/2062
|
4.391%
|
|
4,943
|
5,037
|
03/20/2062
|
4.314%
|
|
28,728
|
28,837
|
05/20/2062
|
4.295%
|
|
36,355
|
36,685
|
05/20/2062
|
4.331%
|
|
31,368
|
31,918
|
06/20/2062
|
4.416%
|
|
26,359
|
26,464
|
Residential
Mortgage-Backed Securities - Agency (continued)
|
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
07/20/2062
|
4.635%
|
|
15,172
|
15,316
|
08/20/2062
|
4.450%
|
|
77,166
|
77,623
|
10/20/2062
|
4.398%
|
|
21,777
|
22,083
|
03/20/2063
|
4.453%
|
|
52,776
|
53,462
|
04/20/2063
|
4.525%
|
|
53,553
|
54,375
|
04/20/2063
|
5.037%
|
|
1,136
|
1,154
|
06/20/2063
|
4.365%
|
|
3,203,394
|
3,265,497
|
01/20/2064
|
4.506%
|
|
17,021
|
17,264
|
01/20/2064
|
4.671%
|
|
315,650
|
336,702
|
02/20/2064
|
4.615%
|
|
419,197
|
457,252
|
05/20/2064
|
4.670%
|
|
301,247
|
324,486
|
06/20/2064
|
4.215%
|
|
423,730
|
450,289
|
12/20/2064
|
4.624%
|
|
4,057,191
|
4,449,187
|
02/20/2065
|
4.576%
|
|
328,008
|
357,148
|
01/20/2066
|
4.519%
|
|
2,789,558
|
3,064,496
|
01/20/2066
|
4.548%
|
|
809,801
|
891,220
|
01/20/2066
|
4.577%
|
|
984,540
|
1,079,978
|
02/20/2066
|
4.469%
|
|
3,443,974
|
3,823,529
|
02/20/2066
|
4.531%
|
|
2,396,202
|
2,640,175
|
04/20/2066
|
4.565%
|
|
2,463,668
|
2,715,575
|
07/20/2066
|
4.649%
|
|
507,750
|
551,621
|
08/20/2066
|
4.607%
|
|
1,050,245
|
1,175,270
|
12/20/2066
|
4.427%
|
|
510,606
|
569,820
|
12/20/2066
|
4.534%
|
|
662,321
|
738,408
|
12/20/2066
|
4.567%
|
|
2,000,139
|
2,176,224
|
01/20/2067
|
4.597%
|
|
388,116
|
422,031
|
04/20/2067
|
4.555%
|
|
2,771,119
|
3,095,763
|
04/20/2067
|
4.563%
|
|
440,337
|
477,986
|
06/20/2067
|
4.454%
|
|
1,942,046
|
2,164,781
|
06/20/2067
|
4.627%
|
|
803,359
|
906,644
|
08/20/2067
|
4.620%
|
|
775,143
|
832,232
|
08/20/2067
|
4.641%
|
|
2,258,208
|
2,561,650
|
08/20/2067
|
4.663%
|
|
962,336
|
1,089,308
|
CMO
Series 2005-45 Class ZA
|
06/16/2035
|
6.000%
|
|
1,284,083
|
1,813,843
|
CMO
Series 2009-104 Class YD
|
11/20/2039
|
5.000%
|
|
3,639,593
|
4,047,499
|
CMO
Series 2009-55 Class LX
|
07/20/2039
|
5.000%
|
|
3,918,677
|
4,354,648
|
CMO
Series 2009-67 Class DB
|
08/20/2039
|
5.000%
|
|
4,496,695
|
4,927,512
|
CMO
Series 2010-120 Class AY
|
09/20/2040
|
4.000%
|
|
4,755,301
|
5,168,075
|
CMO
Series 2010-135 Class PE
|
10/16/2040
|
4.000%
|
|
11,742,973
|
12,736,155
|
CMO
Series 2011-22 Class PL
|
02/20/2041
|
5.000%
|
|
1,935,000
|
2,379,387
|
CMO
Series 2013-116 Class BY
|
08/16/2043
|
4.000%
|
|
3,648,396
|
4,260,794
|
CMO
Series 2013-170 Class WZ
|
11/16/2043
|
3.000%
|
|
790,888
|
835,367
|
The accompanying Notes to Financial Statements are an integral part
of this statement.
Multi-Manager
Total Return Bond Strategies Fund | Annual Report 2019
|
57
|
Portfolio of Investments (continued)
August 31, 2019
Residential
Mortgage-Backed Securities - Agency (continued)
|
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
CMO
Series 2013-H07 Class JA
|
03/20/2063
|
1.750%
|
|
422,115
|
420,261
|
CMO
Series 2014-3 Class EP
|
02/16/2043
|
2.750%
|
|
15,588,562
|
15,959,557
|
CMO
Series 2018-115 Class DE
|
08/20/2048
|
3.500%
|
|
6,064,110
|
6,221,897
|
CMO
Series 2018-53 Class AL
|
11/20/2045
|
3.500%
|
|
733,755
|
778,862
|
CMO
Series 2019-H04 Class NA
|
09/20/2068
|
3.500%
|
|
962,848
|
1,036,391
|
Government
National Mortgage Association(c)
|
10/23/2047
|
4.000%
|
|
36,300,000
|
37,815,100
|
09/20/2048
|
5.000%
|
|
2,550,000
|
2,678,695
|
10/18/2048-
09/19/2049
|
3.000%
|
|
63,416,000
|
65,302,346
|
Government
National Mortgage Association(b)
|
1-year
CMT + 1.136%
03/20/2066
|
3.496%
|
|
560,812
|
570,096
|
1-year
CMT + 0.689%
04/20/2066
|
3.030%
|
|
685,443
|
693,200
|
CMO
Series 2003-60 Class GS
|
-1.7
x 1-month USD LIBOR + 12.417%
Cap 12.417%
05/16/2033
|
8.754%
|
|
243,558
|
264,087
|
CMO
Series 2006-37 Class AS
|
-6.0
x 1-month USD LIBOR + 39.660%
Cap 39.660%
07/20/2036
|
26.627%
|
|
1,091,590
|
2,041,400
|
CMO
Series 2010-H03 Class FA
|
1-month
USD LIBOR + 0.550%
Floor 0.550%, Cap 10.690%
03/20/2060
|
2.954%
|
|
918,064
|
919,631
|
CMO
Series 2010-H26 Class LF
|
1-month
USD LIBOR + 0.350%
Floor 0.350%, Cap 13.898%
08/20/2058
|
2.730%
|
|
348,957
|
348,084
|
CMO
Series 2011-114 Class KF
|
1-month
USD LIBOR + 0.450%
Floor 0.450%, Cap 6.500%
03/20/2041
|
2.622%
|
|
382,571
|
382,877
|
CMO
Series 2011-H03 Class FA
|
1-month
USD LIBOR + 0.500%
Floor 0.500%, Cap 10.650%
01/20/2061
|
2.880%
|
|
1,225,484
|
1,226,337
|
CMO
Series 2012-H20 Class BA
|
1-month
USD LIBOR + 0.560%
Floor 0.560%
09/20/2062
|
2.940%
|
|
315,149
|
315,719
|
Residential
Mortgage-Backed Securities - Agency (continued)
|
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
CMO
Series 2012-H21 Class CF
|
1-month
USD LIBOR + 0.700%
Floor 0.700%
05/20/2061
|
3.080%
|
|
13,777
|
13,826
|
CMO
Series 2012-H21 Class DF
|
1-month
USD LIBOR + 0.650%
Floor 0.650%
05/20/2061
|
3.030%
|
|
12,284
|
12,319
|
CMO
Series 2012-H22 Class FD
|
1-month
USD LIBOR + 0.470%
Floor 0.470%, Cap 5.290%
01/20/2061
|
2.850%
|
|
64,079
|
64,085
|
CMO
Series 2012-H25 Class FA
|
1-month
USD LIBOR + 0.700%
Floor 0.700%
12/20/2061
|
3.080%
|
|
198,196
|
198,559
|
CMO
Series 2013-115 Class EF
|
1-month
USD LIBOR + 0.250%
Floor 0.250%, Cap 6.500%
04/16/2028
|
2.447%
|
|
461,837
|
461,143
|
CMO
Series 2013-135 Class FH
|
1-month
USD LIBOR + 0.150%
Floor 0.150%, Cap 7.500%
09/16/2043
|
2.347%
|
|
1,603,230
|
1,601,810
|
CMO
Series 2013-H02 Class FD
|
1-month
USD LIBOR + 0.340%
Floor 0.340%, Cap 10.500%
12/20/2062
|
2.720%
|
|
413,738
|
412,606
|
CMO
Series 2013-H05 Class FB
|
1-month
USD LIBOR + 0.400%
Floor 0.400%
02/20/2062
|
2.780%
|
|
45,092
|
44,965
|
CMO
Series 2013-H08 Class BF
|
1-month
USD LIBOR + 0.400%
Floor 0.400%, Cap 10.000%
03/20/2063
|
2.780%
|
|
2,272,896
|
2,267,549
|
CMO
Series 2013-H14 Class FD
|
1-month
USD LIBOR + 0.470%
Floor 0.470%, Cap 11.000%
06/20/2063
|
2.850%
|
|
1,922,513
|
1,922,519
|
CMO
Series 2013-H17 Class FA
|
1-month
USD LIBOR + 0.550%
Floor 0.550%, Cap 11.000%
07/20/2063
|
2.930%
|
|
684,448
|
685,587
|
CMO
Series 2013-H18 Class EA
|
1-month
USD LIBOR + 0.500%
Floor 0.500%, Cap 10.190%
07/20/2063
|
2.880%
|
|
684,264
|
684,726
|
The accompanying Notes to Financial Statements are an integral part
of this statement.
58
|
Multi-Manager Total Return
Bond Strategies Fund | Annual Report 2019
|
Portfolio of Investments (continued)
August 31, 2019
Residential
Mortgage-Backed Securities - Agency (continued)
|
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
CMO
Series 2013-H19 Class FC
|
1-month
USD LIBOR + 0.600%
Floor 0.600%, Cap 11.000%
08/20/2063
|
2.980%
|
|
4,669,427
|
4,680,998
|
CMO
Series 2015-H26 Class FC
|
1-month
USD LIBOR + 0.600%
Floor 0.600%, Cap 11.000%
08/20/2065
|
2.980%
|
|
507,542
|
508,619
|
CMO
Series 2015-H31 Class FT
|
1-month
USD LIBOR + 0.650%
Floor 0.650%
11/20/2065
|
3.030%
|
|
4,680,370
|
4,701,030
|
CMO
Series 2016-H04 Class FG
|
1-month
USD LIBOR + 0.700%
Floor 0.700%, Cap 999.000%
12/20/2061
|
3.080%
|
|
77,217
|
77,415
|
CMO
Series 2016-H13 Class FT
|
1-month
USD LIBOR + 0.580%
Floor 0.580%, Cap 11.000%
05/20/2066
|
2.960%
|
|
7,458,455
|
7,470,723
|
CMO
Series 2017-H03 Class FB
|
1-month
USD LIBOR + 0.650%
Floor 0.650%
06/20/2066
|
3.030%
|
|
4,994,656
|
5,012,698
|
CMO
Series 2017-H19 Class FA
|
1-month
USD LIBOR + 0.450%
Floor 0.450%, Cap 11.000%
08/20/2067
|
2.830%
|
|
22,486,580
|
22,479,164
|
CMO
Series 2018-H04 Class FM
|
1-month
USD LIBOR + 0.300%
Floor 0.300%, Cap 11.000%
03/20/2068
|
2.680%
|
|
4,337,396
|
4,314,404
|
CMO
Series 2019-H01 Class FL
|
1-month
USD LIBOR + 0.450%
Floor 0.450%, Cap 11.000%
12/20/2068
|
2.830%
|
|
942,776
|
942,024
|
CMO
Series 2019-H05 Class FT
|
1-year
CMT + 0.430%
Floor 0.430%, Cap 12.000%
04/20/2069
|
2.830%
|
|
12,425,097
|
12,406,438
|
CMO
Series 2019-H10 Class FM
|
1-month
USD LIBOR + 0.400%
Floor 0.400%, Cap 11.000%
05/20/2069
|
2.780%
|
|
3,762,614
|
3,760,983
|
Government
National Mortgage Association(b),(g)
|
CMO
Series 2010-31 Class ES
|
-1.0
x 1-month USD LIBOR + 5.000%
Cap 5.000%
03/20/2040
|
2.828%
|
|
19,638,946
|
1,895,969
|
Residential
Mortgage-Backed Securities - Agency (continued)
|
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
CMO
Series 2011-13 Class S
|
1-month
LIBID + 5.950%
Cap 5.950%
01/16/2041
|
3.753%
|
|
9,627,400
|
1,756,235
|
CMO
Series 2011-30 Class SB
|
1-month
LIBID + 6.600%
Cap 6.600%
02/20/2041
|
4.428%
|
|
5,649,559
|
1,175,158
|
CMO
Series 2015-155 Class SA
|
-1.0
x 1-month USD LIBOR + 5.700%
Cap 5.700%
10/20/2045
|
3.528%
|
|
10,614,180
|
1,236,158
|
CMO
Series 2019-86 Class SG
|
-1.0
x 1-month USD LIBOR + 5.600%
Cap 5.600%
07/20/2049
|
3.428%
|
|
11,425,601
|
1,559,765
|
Government
National Mortgage Association(f)
|
CMO
Series 2010-H17 Class XQ
|
07/20/2060
|
5.212%
|
|
250,984
|
259,534
|
CMO
Series 2017-H04 Class DA
|
12/20/2066
|
4.609%
|
|
35,392
|
35,695
|
Series
2003-72 Class Z
|
11/16/2045
|
5.288%
|
|
476,411
|
512,631
|
Government
National Mortgage Association(f),(g)
|
CMO
Series 2014-150 Class IO
|
07/16/2056
|
0.743%
|
|
33,716,844
|
1,394,943
|
CMO
Series 2014-H05 Class AI
|
02/20/2064
|
1.351%
|
|
5,856,355
|
412,166
|
CMO
Series 2014-H14 Class BI
|
06/20/2064
|
1.660%
|
|
7,773,856
|
647,029
|
CMO
Series 2014-H15 Class HI
|
05/20/2064
|
1.428%
|
|
10,145,006
|
601,461
|
CMO
Series 2014-H20 Class HI
|
10/20/2064
|
1.225%
|
|
3,576,104
|
199,700
|
CMO
Series 2015-163 Class IO
|
12/16/2057
|
0.772%
|
|
4,797,609
|
260,163
|
CMO
Series 2015-189 Class IG
|
01/16/2057
|
0.918%
|
|
29,494,124
|
1,806,692
|
CMO
Series 2015-30 Class IO
|
07/16/2056
|
1.020%
|
|
7,379,188
|
468,980
|
CMO
Series 2015-32 Class IO
|
09/16/2049
|
0.838%
|
|
11,238,553
|
533,020
|
CMO
Series 2015-73 Class IO
|
11/16/2055
|
0.795%
|
|
7,810,376
|
401,544
|
CMO
Series 2015-9 Class IO
|
02/16/2049
|
0.963%
|
|
22,592,797
|
1,201,842
|
The accompanying Notes to Financial Statements are an integral part
of this statement.
Multi-Manager
Total Return Bond Strategies Fund | Annual Report 2019
|
59
|
Portfolio of Investments (continued)
August 31, 2019
Residential
Mortgage-Backed Securities - Agency (continued)
|
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
CMO
Series 2015-H22 Class BI
|
09/20/2065
|
1.797%
|
|
3,014,195
|
231,558
|
CMO
Series 2016-72 Class IO
|
12/16/2055
|
0.885%
|
|
16,789,010
|
1,064,472
|
Government
National Mortgage Association(g)
|
CMO
Series 2016-88 Class PI
|
07/20/2046
|
4.000%
|
|
13,531,091
|
2,166,712
|
CMO
Series 2017-52 Class AI
|
04/20/2047
|
6.000%
|
|
8,115,260
|
1,525,608
|
CMO
Series 2017-68 Class TI
|
05/20/2047
|
5.500%
|
|
3,469,042
|
627,721
|
CMO
Series 2019-108 Class MI
|
07/20/2049
|
3.500%
|
|
17,916,714
|
2,684,454
|
CMO
Series 2019-99 Class AI
|
08/16/2049
|
4.000%
|
|
6,962,986
|
1,725,305
|
Seasoned
Credit Risk Transfer Trust
|
CMO
Series 2018-2 Class MV (FHLMC)
|
11/25/2057
|
3.500%
|
|
4,776,727
|
5,206,848
|
Total
Residential Mortgage-Backed Securities - Agency
(Cost $1,907,224,894)
|
1,952,182,472
|
|
Residential
Mortgage-Backed Securities - Non-Agency 5.1%
|
|
|
|
|
|
Ajax
Mortgage Loan Trust(a)
|
CMO
Series 2017-A Class A
|
04/25/2057
|
3.470%
|
|
2,337,037
|
2,334,163
|
ASG
Resecuritization Trust(a),(f)
|
CMO
Series 2009-2 Class G75
|
05/24/2036
|
3.606%
|
|
1,358,340
|
1,358,819
|
Banc
of America Funding Trust
|
CMO
Series 2006-3 Class 4A14
|
03/25/2036
|
6.000%
|
|
1,116,461
|
1,139,298
|
CMO
Series 2006-3 Class 5A3
|
03/25/2036
|
5.500%
|
|
875,958
|
835,109
|
Banc
of America Funding Trust(o)
|
CMO
Series 2006-D Class 3A1
|
05/20/2036
|
4.254%
|
|
1,453,461
|
1,416,627
|
Banc
of America Funding Trust(b)
|
CMO
Series 2007-C Class 7A1
|
1-month
USD LIBOR + 0.210%
Floor 0.210%
05/20/2047
|
2.382%
|
|
2,960,519
|
2,859,231
|
Bayview
Opportunity Master Fund IVa Trust(a)
|
CMO
Series 2016-SPL1 Class A
|
04/28/2055
|
4.000%
|
|
1,939,320
|
1,987,734
|
Carrington
Mortgage Loan Trust(b)
|
CMO
Series 2006-NC3 Class A3
|
1-month
USD LIBOR + 0.150%
Floor 0.150%, Cap 12.500%
08/25/2036
|
2.295%
|
|
3,149,575
|
2,784,437
|
Residential
Mortgage-Backed Securities - Non-Agency (continued)
|
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
Chase
Home Lending Mortgage Trust(a),(f)
|
CMO
Series 2019-ATR1 Class A3
|
04/25/2049
|
4.000%
|
|
1,967,270
|
2,022,592
|
Chase
Mortgage Finance Corp.(a),(f)
|
Subordinated,
Series 2016-SH1 Class M2
|
04/25/2045
|
3.750%
|
|
539,952
|
559,435
|
CIM
Trust(a),(b)
|
CMO
Series 2017-3 Class A1
|
1-month
USD LIBOR + 2.000%
01/25/2057
|
4.100%
|
|
6,390,744
|
6,500,498
|
CMO
Series 2018-R6 Class A1
|
1-month
USD LIBOR + 1.076%
Floor 1.080%
09/25/2058
|
3.176%
|
|
9,294,353
|
9,229,595
|
CIM
Trust(a)
|
CMO
Series 2017-6 Class A1
|
06/25/2057
|
3.015%
|
|
12,823,236
|
12,940,301
|
Citicorp
Mortgage Securities Trust
|
CMO
Series 2007-8 Class 1A3
|
09/25/2037
|
6.000%
|
|
752,049
|
809,220
|
Citigroup
Commercial Mortgage Trust(a),(f),(g)
|
CMO
Series 2017-1500 Class XCP
|
07/15/2032
|
0.000%
|
|
153,533,000
|
154
|
Citigroup
Mortgage Loan Trust, Inc.(a),(f)
|
CMO
Series 2014-12 Class 3A1
|
10/25/2035
|
4.527%
|
|
918,437
|
934,846
|
CMO
Series 2015-A Class A4
|
06/25/2058
|
4.250%
|
|
588,955
|
617,338
|
COLT
Mortgage Loan Trust(a),(f)
|
CMO
Series 2018-1 Class M1
|
02/25/2048
|
3.661%
|
|
4,000,000
|
4,006,889
|
CMO
Series 2019-1 Class M1
|
03/25/2049
|
4.518%
|
|
2,000,000
|
2,019,802
|
Connecticut
Avenue Securities Trust(a),(b)
|
CMO
Series 2019-R01 Class 2M2
|
1-month
USD LIBOR + 2.450%
07/25/2031
|
4.595%
|
|
1,000,000
|
1,011,162
|
CMO
Series 2019-R02 Class 1M2
|
1-month
USD LIBOR + 2.300%
Floor 2.300%
08/25/2031
|
4.445%
|
|
2,000,000
|
2,017,549
|
Subordinated,
CMO Series 2018-R07 Class 1M2
|
1-month
USD LIBOR + 2.400%
04/25/2031
|
4.545%
|
|
4,100,000
|
4,138,233
|
Countrywide
Home Loan Mortgage Pass-Through Trust(f)
|
CMO
Series 2007-HY5 Class 1A1
|
09/25/2047
|
4.434%
|
|
583,422
|
574,437
|
Credit
Suisse Mortgage Capital Certificates(a),(f)
|
CMO
Series 2009-14R Class 4A9
|
10/26/2035
|
4.815%
|
|
801,626
|
817,100
|
The accompanying Notes to Financial Statements are an integral part
of this statement.
60
|
Multi-Manager Total Return
Bond Strategies Fund | Annual Report 2019
|
Portfolio of Investments (continued)
August 31, 2019
Residential
Mortgage-Backed Securities - Non-Agency (continued)
|
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
CMO
Series 2011-12R Class 3A1
|
07/27/2036
|
3.852%
|
|
891,722
|
893,566
|
Credit
Suisse Mortgage Capital Certificates(a),(b)
|
CMO
Series 2016-RPL1 Class A1
|
1-month
USD LIBOR + 3.150%
Floor 3.150%
12/26/2046
|
5.380%
|
|
4,516,250
|
4,522,498
|
Credit-Based
Asset Servicing & Securitization LLC(f)
|
CMO
Series 2007-CB1 Class AF3
|
01/25/2037
|
5.737%
|
|
4,098,314
|
1,923,327
|
CSMC
Trust(a)
|
CMO
Series 2018-RPL8 Class A1
|
07/25/2058
|
4.125%
|
|
5,963,147
|
6,024,158
|
CSMC
Trust(a),(f)
|
CMO
Series 2018-RPL9 Class A
|
09/25/2057
|
3.850%
|
|
12,049,003
|
12,591,554
|
CSMCM
Trust Certificates(a),(f)
|
CMO
Series 2018-RPL4 Class CERT
|
07/25/2050
|
3.735%
|
|
3,615,986
|
3,708,759
|
Deephaven
Residential Mortgage Trust(a),(f)
|
CMO
Series 2019-1A Class M1
|
01/25/2059
|
4.402%
|
|
2,500,000
|
2,558,361
|
Domino’s
Pizza Master Issuer LLC(a)
|
CMO
Series 2015-1A Class A2II
|
10/25/2045
|
4.474%
|
|
1,935,000
|
2,043,167
|
Downey
Savings & Loan Association Mortgage Loan Trust(b)
|
CMO
Series 2005-AR6 Class 2A1A
|
1-month
USD LIBOR + 0.290%
Floor 0.290%, Cap 11.000%
10/19/2045
|
2.472%
|
|
1,810,208
|
1,747,317
|
CMO
Series 2006-AR2 Class 2A1A
|
1-month
USD LIBOR + 0.200%
Floor 0.200%
10/19/2036
|
2.382%
|
|
2,595,409
|
2,439,412
|
Eagle
RE Ltd.(a),(b)
|
CMO
Series 2019-1 Class M1A
|
1-month
USD LIBOR + 1.250%
04/25/2029
|
3.395%
|
|
900,000
|
899,677
|
CMO
Series 2019-1 Class M1B
|
1-month
USD LIBOR + 1.800%
04/25/2029
|
3.945%
|
|
600,000
|
597,624
|
Ellington
Financial Mortgage Trust(a),(f)
|
CMO
Series 2019-1 Class M1
|
06/25/2059
|
3.587%
|
|
1,000,000
|
1,013,345
|
Fannie
Mae Connecticut Avenue Securities(b)
|
CMO
Series 2015-C02 Class 1M2
|
1-month
USD LIBOR + 4.000%
05/25/2025
|
6.145%
|
|
3,329,064
|
3,507,050
|
Residential
Mortgage-Backed Securities - Non-Agency (continued)
|
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
CMO
Series 2015-C03 Class 1M2
|
1-month
USD LIBOR + 5.000%
Floor 5.000%
07/25/2025
|
7.145%
|
|
641,315
|
688,468
|
CMO
Series 2015-C03 Class 2M2
|
1-month
USD LIBOR + 5.000%
07/25/2025
|
7.145%
|
|
1,769,709
|
1,851,386
|
CMO
Series 2015-C04 Class 1M2
|
1-month
USD LIBOR + 5.700%
04/25/2028
|
7.845%
|
|
2,756,229
|
2,990,517
|
CMO
Series 2015-C04 Class 2M2
|
1-month
USD LIBOR + 5.550%
04/25/2028
|
7.695%
|
|
2,946,387
|
3,130,121
|
CMO
Series 2016-C04 Class 1M2
|
1-month
USD LIBOR + 4.250%
01/25/2029
|
6.395%
|
|
3,300,000
|
3,475,411
|
CMO
Series 2016-C05 Class 2M2
|
1-month
USD LIBOR + 4.450%
Floor 4.450%
01/25/2029
|
6.595%
|
|
3,988,185
|
4,181,148
|
CMO
Series 2016-C07 Class 2M2
|
1-month
USD LIBOR + 4.350%
05/25/2029
|
6.495%
|
|
2,769,417
|
2,901,651
|
CMO
Series 2017-C02 Class 2M2
|
1-month
USD LIBOR + 3.650%
09/25/2029
|
5.795%
|
|
2,300,000
|
2,411,656
|
CMO
Series 2017-C03 Class 1M2
|
1-month
USD LIBOR + 3.000%
10/25/2029
|
5.145%
|
|
2,700,000
|
2,802,316
|
CMO
Series 2017-C04 Class 2M2
|
1-month
USD LIBOR + 2.850%
11/25/2029
|
4.995%
|
|
3,809,641
|
3,905,708
|
CMO
Series 2017-C05 Class 1M2
|
1-month
USD LIBOR + 2.200%
01/25/2030
|
4.345%
|
|
3,085,105
|
3,125,143
|
CMO
Series 2017-C06 Class 1M2
|
1-month
USD LIBOR + 2.650%
Floor 2.650%
02/25/2030
|
4.795%
|
|
200,000
|
204,057
|
CMO
Series 2017-C07 Class 1M2
|
1-month
USD LIBOR + 2.400%
Floor 2.400%
05/25/2030
|
4.545%
|
|
3,000,000
|
3,030,079
|
CMO
Series 2017-C07 Class 2M2
|
1-month
USD LIBOR + 2.500%
Floor 2.500%
05/25/2030
|
4.645%
|
|
3,580,000
|
3,619,347
|
The accompanying Notes to Financial Statements are an integral part
of this statement.
Multi-Manager
Total Return Bond Strategies Fund | Annual Report 2019
|
61
|
Portfolio of Investments (continued)
August 31, 2019
Residential
Mortgage-Backed Securities - Non-Agency (continued)
|
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
CMO
Series 2018-C01 Class 1M2
|
1-month
USD LIBOR + 2.250%
Floor 2.250%
07/25/2030
|
4.395%
|
|
4,400,000
|
4,441,621
|
CMO
Series 2018-C02 Class 2M2
|
1-month
USD LIBOR + 2.200%
Floor 2.200%
08/25/2030
|
4.345%
|
|
4,945,000
|
4,979,857
|
CMO
Series 2018-C05 Class 1M2
|
1-month
USD LIBOR + 2.350%
Floor 2.350%
01/25/2031
|
4.495%
|
|
4,092,949
|
4,142,338
|
CMO
Series 2018-C06 Class 1M2
|
1-month
USD LIBOR + 2.000%
Floor 2.000%
03/25/2031
|
4.145%
|
|
4,000,000
|
4,008,763
|
CMO
Series 2018-C06 Class 2M2
|
1-month
USD LIBOR + 2.100%
Floor 2.100%
03/25/2031
|
4.245%
|
|
5,900,000
|
5,909,200
|
Subordinated,
CMO Series 2018-C03 Class 1M2
|
1-month
USD LIBOR + 2.150%
Floor 2.150%
10/25/2030
|
4.295%
|
|
6,500,000
|
6,531,085
|
Federal
Home Loan Mortgage Corp. Structured Agency Credit Risk Debt Notes(b)
|
CMO
Series 2014-DN3 Class M3
|
1-month
USD LIBOR + 4.000%
08/25/2024
|
6.145%
|
|
4,556,364
|
4,783,674
|
CMO
Series 2016-DNA1 Class M3
|
1-month
USD LIBOR + 5.550%
07/25/2028
|
7.695%
|
|
5,200,000
|
5,731,393
|
CMO
Series 2017-DNA2 Class M2
|
1-month
USD LIBOR + 3.450%
10/25/2029
|
5.595%
|
|
1,500,000
|
1,574,981
|
CMO
Series 2017-DNA3 Class M2
|
1-month
USD LIBOR + 2.500%
03/25/2030
|
4.645%
|
|
3,000,000
|
3,036,314
|
CMO
Series 2017-HQA2 Class M2
|
1-month
USD LIBOR + 2.650%
12/25/2029
|
4.795%
|
|
1,250,000
|
1,272,067
|
CMO
Series 2017-HQA3 Class M2
|
1-month
USD LIBOR + 2.350%
04/25/2030
|
4.495%
|
|
1,000,000
|
1,005,691
|
CMO
Series 2018-HQA1 Class M2
|
1-month
USD LIBOR + 2.300%
09/25/2030
|
4.445%
|
|
2,000,000
|
2,014,352
|
Series
2016-HQA2 Class M3
|
1-month
USD LIBOR + 5.150%
11/25/2028
|
7.295%
|
|
2,300,000
|
2,509,034
|
Residential
Mortgage-Backed Securities - Non-Agency (continued)
|
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
Federal
Home Loan Mortgage Corp. Structured Agency Credit Risk Trust(a),(b)
|
CMO
Series 2019-DNA1 Class M2
|
1-month
USD LIBOR + 2.650%
01/25/2049
|
4.795%
|
|
1,000,000
|
1,010,425
|
CMO
Series 2019-HQA2 Class M2
|
1-month
USD LIBOR + 2.050%
Floor 2.050%
04/25/2049
|
4.195%
|
|
1,500,000
|
1,499,996
|
First
Franklin Mortgage Loan Trust(b)
|
CMO
Series 2006-FF18 Class A2D
|
1-month
USD LIBOR + 0.210%
Floor 0.210%
12/25/2037
|
2.355%
|
|
2,084,888
|
1,960,079
|
CMO
Series 2007-FF2 Class A2B
|
1-month
USD LIBOR + 0.100%
Floor 0.100%
03/25/2037
|
2.245%
|
|
4,435,869
|
2,879,393
|
First
Horizon Mortgage Pass-Through Trust(f)
|
CMO
Series 2007-AR1 Class 1A1
|
05/25/2037
|
4.805%
|
|
437,830
|
341,046
|
Freddie
Mac Structured Agency Credit Risk Debt Notes(b)
|
1-month
USD LIBOR + 3.900%
12/25/2027
|
6.045%
|
|
3,000,000
|
3,098,724
|
CMO
Series 2014-DN2 Class M2
|
1-month
USD LIBOR + 1.650%
04/25/2024
|
3.795%
|
|
941,111
|
944,392
|
Galton
Funding Mortgage Trust(a),(f)
|
CMO
Series 2019-1 Class A21
|
02/25/2059
|
4.500%
|
|
2,242,509
|
2,321,031
|
CMO
Series 2019-1 Class B1
|
02/25/2059
|
4.250%
|
|
1,689,109
|
1,827,608
|
CMO
Series 2019-1 Class B2
|
02/25/2059
|
4.500%
|
|
946,398
|
1,025,857
|
GS
Mortgage-Backed Securities Corp.(a),(f)
|
CMO
Series 2019-PJ1 Class A1
|
08/25/2049
|
4.000%
|
|
1,152,561
|
1,184,307
|
GSAMP
Trust(b)
|
CMO
Series 2004-OPT Class M1
|
1-month
USD LIBOR + 0.870%
Floor 0.870%
11/25/2034
|
3.015%
|
|
1,946,903
|
1,943,461
|
GSR
Mortgage Loan Trust(f)
|
CMO
Series 2006-AR2 Class 2A1
|
04/25/2036
|
4.153%
|
|
1,574,180
|
1,399,136
|
HarborView
Mortgage Loan Trust(b)
|
CMO
Series 2006-10 Class 1A1A
|
1-month
USD LIBOR + 0.200%
Floor 0.200%
11/19/2036
|
2.382%
|
|
8,807,323
|
8,114,705
|
The accompanying Notes to Financial Statements are an integral part
of this statement.
62
|
Multi-Manager Total Return
Bond Strategies Fund | Annual Report 2019
|
Portfolio of Investments (continued)
August 31, 2019
Residential
Mortgage-Backed Securities - Non-Agency (continued)
|
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
Homeward
Opportunities Fund Trust(a),(f)
|
CMO
Series 2019-2 Class A3
|
09/25/2059
|
3.007%
|
|
1,000,000
|
1,001,890
|
HSI
Asset Securitization Corp. Trust(b)
|
CMO
Series 2006-OPT1 Class M1
|
1-month
USD LIBOR + 0.360%
Floor 0.360%
12/25/2035
|
2.505%
|
|
5,920,000
|
5,897,815
|
JPMorgan
Alternative Loan Trust(b)
|
CMO
Series 2007-S1 Class A1
|
1-month
USD LIBOR + 0.280%
Floor 0.280%, Cap 11.500%
04/25/2047
|
2.425%
|
|
6,284,713
|
6,009,451
|
JPMorgan
Mortgage Trust
|
CMO
Series 2006-S2 Class 2A2
|
06/25/2021
|
5.875%
|
|
324,605
|
304,548
|
CMO
Series 2007-S1 Class 1A2
|
03/25/2022
|
5.500%
|
|
122,648
|
119,571
|
JPMorgan
Mortgage Trust(a),(f)
|
CMO
Series 2017-3 Class 1A13
|
08/25/2047
|
3.500%
|
|
4,239,434
|
4,292,574
|
CMO
Series 2017-4 Class A7
|
11/25/2048
|
3.500%
|
|
500,000
|
522,733
|
CMO
Series 2019-1 Class A3
|
05/25/2049
|
4.000%
|
|
5,164,089
|
5,302,183
|
CMO
Series 2019-2 Class A3
|
08/25/2049
|
4.000%
|
|
2,425,746
|
2,484,080
|
CMO
Series 2019-3 Class A3
|
09/25/2049
|
4.000%
|
|
803,174
|
823,130
|
CMO
Series 2019-5 Class A3
|
11/25/2049
|
4.000%
|
|
4,599,428
|
4,744,778
|
CMO
Series 2019-LTV1 Class A3
|
06/25/2049
|
4.000%
|
|
2,881,156
|
2,975,280
|
CMO
Series 2019-LTV2 Class A18
|
12/25/2049
|
4.000%
|
|
978,708
|
1,003,140
|
Subordinated,
CMO Series 2017-3 Class B1
|
08/25/2047
|
3.867%
|
|
1,427,083
|
1,536,179
|
Subordinated,
CMO Series 2017-6 Class B2
|
12/25/2048
|
3.838%
|
|
580,199
|
615,947
|
Subordinated,
CMO Series 2018-8 Class B1
|
01/25/2049
|
4.224%
|
|
1,178,089
|
1,298,123
|
Subordinated,
CMO Series 2018-8 Class B2
|
01/25/2049
|
4.224%
|
|
981,741
|
1,048,353
|
Subordinated,
CMO Series 2019-2 Class B2
|
08/25/2049
|
4.673%
|
|
2,282,785
|
2,500,779
|
Subordinated,
CMO Series 2019-LTV1 Class B1
|
06/25/2049
|
4.908%
|
|
2,440,724
|
2,808,864
|
Residential
Mortgage-Backed Securities - Non-Agency (continued)
|
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
Subordinated,
CMO Series 2019-LTV1 Class B2
|
06/25/2049
|
4.908%
|
|
2,094,104
|
2,375,605
|
Subordinated,
CMO Series 2019-LTV2 Class B2
|
12/25/2049
|
4.842%
|
|
998,572
|
1,128,281
|
Subordinated,
CMO Series 2019-LTV2 Class B3
|
12/25/2049
|
4.842%
|
|
998,572
|
1,111,252
|
JPMorgan
Mortgage Trust(a),(b)
|
CMO
Series 2018-7FRB Class A1
|
1-month
USD LIBOR + 0.750%
04/25/2046
|
3.016%
|
|
2,021,117
|
2,029,391
|
JPMorgan
Resecuritization Trust(a)
|
CMO
Series 2014-5 Class 6A
|
09/27/2036
|
4.000%
|
|
232,631
|
233,995
|
Legacy
Mortgage Asset Trust(a)
|
CMO
Series 2017-GS1 Class A1
|
01/25/2057
|
3.500%
|
|
3,888,725
|
3,891,841
|
CMO
Series 2019-GS1 Class A1
|
01/25/2059
|
4.000%
|
|
2,284,413
|
2,310,455
|
CMO
Series 2019-GS3 Class A1
|
04/25/2059
|
3.750%
|
|
964,825
|
982,416
|
Legacy
Mortgage Asset Trust(a),(f)
|
CMO
Series 2019-GS2 Class A1
|
01/25/2059
|
3.750%
|
|
1,965,162
|
1,984,602
|
CMO
Series 2019-GS4 Class A1
|
05/25/2059
|
3.438%
|
|
3,024,487
|
3,046,110
|
CMO
Series 2019-SL1 Class A
|
12/28/2054
|
4.000%
|
|
1,291,710
|
1,294,776
|
Lehman
XS Trust(b)
|
CMO
Series 2005-4 Class 1A3
|
1-month
USD LIBOR + 0.800%
Floor 0.800%
10/25/2035
|
3.066%
|
|
963,908
|
959,253
|
CMO
Series 2005-5N Class 3A1A
|
1-month
USD LIBOR + 0.300%
Floor 0.300%
11/25/2035
|
2.445%
|
|
2,466,941
|
2,452,757
|
CMO
Series 2006-2N Class 1A1
|
1-month
USD LIBOR + 0.260%
Floor 0.260%
02/25/2046
|
2.665%
|
|
2,152,663
|
1,982,140
|
Long
Beach Mortgage Loan Trust(b)
|
CMO
Series 2005-1 Class M3
|
1-month
USD LIBOR + 0.870%
Floor 0.870%
02/25/2035
|
3.015%
|
|
3,671,081
|
3,691,556
|
LSTAR
Securities Investment Trust(a),(b)
|
CMO
Series 2019-2 Class A1
|
1-month
USD LIBOR + 1.500%
04/01/2024
|
3.902%
|
|
1,494,015
|
1,493,405
|
The accompanying Notes to Financial Statements are an integral part
of this statement.
Multi-Manager
Total Return Bond Strategies Fund | Annual Report 2019
|
63
|
Portfolio of Investments (continued)
August 31, 2019
Residential
Mortgage-Backed Securities - Non-Agency (continued)
|
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
MASTR
Alternative Loan Trust
|
CMO
Series 2004-12 Class 4A1
|
12/25/2034
|
5.500%
|
|
805,047
|
872,373
|
Merrill
Lynch First Franklin Mortgage Loan Trust(b)
|
CMO
Series 2007-1 Class A2D
|
1-month
USD LIBOR + 0.340%
Floor 0.340%
04/25/2037
|
2.485%
|
|
21,697,165
|
12,626,665
|
Mill
City Mortgage Loan Trust(a)
|
CMO
Series 2016-1 Class A1
|
04/25/2057
|
2.500%
|
|
841,537
|
840,210
|
Morgan
Stanley Resecuritization Trust(a),(f)
|
CMO
Series 2015-R4 Class 4B1
|
08/26/2047
|
4.026%
|
|
6,245,945
|
6,311,480
|
MortgageIT
Trust(b)
|
CMO
Series 2005-5 Class A1
|
1-month
USD LIBOR + 0.260%
Floor 0.260%, Cap 11.500%
12/25/2035
|
2.665%
|
|
1,503,328
|
1,487,290
|
Nationstar
Home Equity Loan Trust(b)
|
CMO
Series 2007-B Class 2AV3
|
1-month
USD LIBOR + 0.250%
Floor 0.250%
04/25/2037
|
2.395%
|
|
3,475,034
|
3,470,023
|
New
Residential Mortgage Loan Trust(a),(b)
|
CMO
Series 2018-4A Class A1S
|
1-month
USD LIBOR + 0.750%
Floor 0.750%
01/25/2048
|
2.895%
|
|
3,225,441
|
3,216,964
|
New
Residential Mortgage Loan Trust(a),(f)
|
CMO
Series 2019-NQM2 Class A2
|
04/25/2049
|
3.701%
|
|
2,896,327
|
2,988,570
|
CMO
Series 2019-NQM3 Class A3
|
07/25/2049
|
3.086%
|
|
1,940,272
|
1,956,556
|
Nomura
Resecuritization Trust(a),(b)
|
CMO
Series 2014-6R Class 3A1
|
1-month
USD LIBOR + 0.260%
Floor 0.260%, Cap 11.500%
01/26/2036
|
2.786%
|
|
158,189
|
157,864
|
Oaktown
Re II Ltd.(a),(b)
|
CMO
Series 2018-1A Class M1
|
1-month
USD LIBOR + 1.550%
07/25/2028
|
3.695%
|
|
1,080,907
|
1,083,093
|
Oaktown
Re III Ltd.(a),(b)
|
CMO
Series 2019-1A Class M1A
|
1-month
USD LIBOR + 1.400%
Floor 1.400%
07/25/2029
|
3.666%
|
|
1,840,000
|
1,839,997
|
OBX
Trust(a),(f)
|
CMO
Series 2019-EXP1 Class 1A3
|
01/25/2059
|
4.000%
|
|
1,208,353
|
1,235,928
|
Residential
Mortgage-Backed Securities - Non-Agency (continued)
|
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
CMO
Series 2019-INV2 Class A25
|
05/27/2049
|
4.000%
|
|
941,186
|
971,146
|
PSMC
Trust(a),(f)
|
CMO
Series 2019-1 Class A1
|
07/25/2049
|
4.000%
|
|
4,129,403
|
4,257,368
|
RALI
Trust(f)
|
CMO
Series 2005-QA4 Class A41
|
04/25/2035
|
4.509%
|
|
444,114
|
413,688
|
RALI
Trust(f),(g)
|
CMO
Series 2006-QS18 Class 1AV
|
12/25/2036
|
0.437%
|
|
42,183,778
|
587,861
|
CMO
Series 2006-QS9 Class 1AV
|
07/25/2036
|
0.583%
|
|
21,252,885
|
572,621
|
CMO
Series 2007-QS1 Class 2AV
|
01/25/2037
|
0.177%
|
|
42,807,704
|
317,603
|
Residential
Asset Mortgage Products Trust(b)
|
CMO
Series 2006-RZ3 Class A3
|
1-month
USD LIBOR + 0.290%
Floor 0.290%, Cap 14.000%
08/25/2036
|
2.435%
|
|
1,307,483
|
1,307,023
|
RFMSI
Trust(f)
|
CMO
Series 2005-SA5 Class 1A
|
11/25/2035
|
4.126%
|
|
1,441,762
|
1,160,060
|
CMO
Series 2006-SA4 Class 2A1
|
11/25/2036
|
5.354%
|
|
449,108
|
431,073
|
Seasoned
Credit Risk Transfer Trust
|
CMO
Series 2017-4 Class M45T
|
06/25/2057
|
4.500%
|
|
935,473
|
997,337
|
Securitized
Asset-Backed Receivables LLC Trust(b)
|
Subordinated,
CMO Series 2006-OP1 Class M2
|
1-month
USD LIBOR + 0.390%
Floor 0.390%
10/25/2035
|
2.730%
|
|
6,167,750
|
6,147,156
|
Sequoia
Mortgage Trust(a),(f)
|
CMO
Series 2019-1 Class A1
|
02/25/2049
|
4.000%
|
|
1,888,445
|
1,955,916
|
CMO
Series 2019-3 Class A2
|
09/25/2049
|
3.500%
|
|
2,000,000
|
2,032,340
|
CMO
Series 2019-CH1 Class A1
|
03/25/2049
|
4.500%
|
|
2,963,201
|
3,070,965
|
CMO
Series 2019-CH1 Class B1B
|
03/25/2049
|
5.084%
|
|
2,975,775
|
3,426,947
|
CMO
Series 2019-CH2 Class A1
|
08/25/2049
|
4.500%
|
|
1,936,115
|
1,997,140
|
Subordinated,
CMO Series 2015-1 Class B1
|
01/25/2045
|
3.879%
|
|
887,504
|
930,333
|
Subordinated,
CMO Series 2018-6 Class B1
|
07/25/2048
|
4.208%
|
|
1,218,926
|
1,301,783
|
The accompanying Notes to Financial Statements are an integral part
of this statement.
64
|
Multi-Manager Total Return
Bond Strategies Fund | Annual Report 2019
|
Portfolio of Investments (continued)
August 31, 2019
Residential
Mortgage-Backed Securities - Non-Agency (continued)
|
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
Subordinated,
CMO Series 2019-2 Class B2
|
06/25/2049
|
4.273%
|
|
1,987,750
|
2,122,306
|
Sequoia
Mortgage Trust(f)
|
Subordinated,
CMO Series 2013-3 Class B3
|
03/25/2043
|
3.518%
|
|
1,389,434
|
1,419,533
|
Starwood
Mortgage Residential Trust(a),(f)
|
CMO
Series 2019-1 Class A3
|
06/25/2049
|
3.299%
|
|
1,506,656
|
1,514,048
|
Structured
Adjustable Rate Mortgage Loan Trust(f)
|
CMO
Series 2004-20 Class 1A2
|
01/25/2035
|
4.117%
|
|
838,248
|
836,220
|
CMO
Series 2006-5 Class 1A1
|
06/25/2036
|
4.523%
|
|
1,611,803
|
1,564,600
|
Structured
Asset Securities Corp. Mortgage Loan Trust(a),(b)
|
CMO
Series 2006-GEL4 Class A3
|
1-month
USD LIBOR + 0.300%
Floor 0.300%
10/25/2036
|
2.445%
|
|
1,639,411
|
1,638,583
|
Towd
Point Mortgage Trust(a)
|
CMO
Series 2017-1 Class A1
|
10/25/2056
|
2.750%
|
|
3,495,881
|
3,512,681
|
Towd
Point Mortgage Trust(a),(f)
|
CMO
Series 2017-6 Class A1
|
10/25/2057
|
2.750%
|
|
4,625,095
|
4,647,246
|
CMO
Series 2017-6 Class A2
|
10/25/2057
|
3.000%
|
|
2,500,000
|
2,556,585
|
Vericrest
Opportunity Loan Transferee LXII LLC(a)
|
CMO
Series 2017-NPL9 Class A1
|
09/25/2047
|
3.125%
|
|
1,076,087
|
1,075,043
|
Verus
Securitization Trust(a),(f)
|
CMO
Series 2019-1 Class A2
|
02/25/2059
|
3.938%
|
|
2,970,774
|
3,013,594
|
WaMu
Asset-Backed Certificates Trust(b)
|
CMO
Series 2007-HE1 Class 2A3
|
1-month
USD LIBOR + 0.150%
Floor 0.150%
01/25/2037
|
2.295%
|
|
4,504,557
|
2,755,365
|
WaMu
Mortgage Pass-Through Certificates Trust(f)
|
CMO
Series 2003-AR8 Class A
|
08/25/2033
|
4.401%
|
|
526,058
|
541,978
|
CMO
Series 2004-AR4 Class A6
|
06/25/2034
|
4.520%
|
|
4,399,126
|
4,458,647
|
CMO
Series 2004-AR7 Class A6
|
07/25/2034
|
4.572%
|
|
1,901,079
|
1,950,580
|
CMO
Series 2007-HY1 Class 3A3
|
02/25/2037
|
3.928%
|
|
4,543,475
|
4,319,828
|
CMO
Series 2007-HY3 Class 1A1
|
03/25/2037
|
3.547%
|
|
681,776
|
639,439
|
Residential
Mortgage-Backed Securities - Non-Agency (continued)
|
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
WaMu
Mortgage Pass-Through Certificates Trust(b)
|
CMO
Series 2005-AR11 Class A1A
|
1-month
USD LIBOR + 0.320%
Floor 0.320%, Cap 10.500%
08/25/2045
|
2.785%
|
|
1,457,325
|
1,451,822
|
CMO
Series 2005-AR17 Class A1A1
|
1-month
USD LIBOR + 0.270%
12/25/2045
|
2.685%
|
|
4,084,274
|
3,871,181
|
CMO
Series 2005-AR2 Class 2A1A
|
1-month
USD LIBOR + 0.310%
Floor 0.310%, Cap 10.500%
01/25/2045
|
2.765%
|
|
1,613,781
|
1,603,238
|
CMO
Series 2005-AR8 Class 2A1A
|
1-month
USD LIBOR + 0.290%
Floor 0.290%, Cap 10.500%
07/25/2045
|
2.725%
|
|
1,266,622
|
1,256,901
|
CMO
Series 2005-AR9 Class A1A
|
1-month
USD LIBOR + 0.640%
Floor 0.640%, Cap 10.500%
07/25/2045
|
2.785%
|
|
1,108,936
|
1,097,208
|
CMO
Series 2006-AR4 Class 1A1A
|
1-year
MTA + 0.940%
Floor 0.940%
05/25/2046
|
3.387%
|
|
2,331,108
|
2,380,314
|
CMO
Series 2006-AR5 Class A12A
|
1-year
MTA + 0.980%
Floor 0.980%
06/25/2046
|
3.427%
|
|
716,591
|
713,285
|
CMO
Series 2007-OC2 Class A3
|
1-month
USD LIBOR + 0.310%
Floor 0.310%
06/25/2037
|
2.455%
|
|
3,053,689
|
2,897,924
|
Wells
Fargo Mortgage Backed Securities Trust(a),(f)
|
CMO
Series 2019-1 Class A1
|
11/25/2048
|
4.000%
|
|
2,140,985
|
2,188,815
|
CMO
Series 2019-2 Class A1
|
04/25/2049
|
4.000%
|
|
1,305,732
|
1,330,113
|
Total
Residential Mortgage-Backed Securities - Non-Agency
(Cost $418,904,481)
|
430,771,625
|
|
Senior
Loans 0.2%
|
Borrower
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
Aerospace
& Defense 0.0%
|
TransDigm,
Inc.(b),(p)
|
Tranche
E Term Loan
|
3-month
USD LIBOR + 2.500%
05/30/2025
|
4.830%
|
|
497,481
|
492,079
|
The accompanying Notes to Financial Statements are an integral part
of this statement.
Multi-Manager
Total Return Bond Strategies Fund | Annual Report 2019
|
65
|
Portfolio of Investments (continued)
August 31, 2019
Senior
Loans (continued)
|
Borrower
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
Automotive
0.0%
|
Panther
BF Aggregator 2 LP(b),(p)
|
1st
Lien Term Loan
|
3-month
USD LIBOR + 3.500%
04/30/2026
|
5.612%
|
|
500,000
|
492,500
|
Cable
and Satellite 0.1%
|
CSC
Holdings LLC(b),(p)
|
Term
Loan
|
3-month
USD LIBOR + 2.250%
01/15/2026
|
4.445%
|
|
1,393,000
|
1,384,879
|
Telenet
Financing LLC(b),(p)
|
Term
Loan
|
3-month
USD LIBOR + 2.250%
08/15/2026
|
4.445%
|
|
750,000
|
747,562
|
Total
|
2,132,441
|
Electric
0.0%
|
Vistra
Operations Co. LLC(b),(p)
|
Term
Loan
|
3-month
USD LIBOR + 2.000%
08/04/2023
|
4.112%
|
|
473,803
|
474,068
|
Environmental
0.0%
|
Clean
Harbors, Inc.(b),(p)
|
Term
Loan
|
3-month
USD LIBOR + 1.750%
06/28/2024
|
3.862%
|
|
395,960
|
396,752
|
Finance
Companies 0.0%
|
Avolon
Borrower 1 LLC(b),(p)
|
Tranche
B3 Term Loan
|
3-month
USD LIBOR + 1.750%
Floor 0.750%
01/15/2025
|
3.922%
|
|
317,025
|
317,488
|
Delos
Finance SARL(b),(p)
|
Term
Loan
|
3-month
USD LIBOR + 1.750%
10/06/2023
|
4.080%
|
|
416,667
|
417,112
|
Total
|
734,600
|
Gaming
0.0%
|
Caesars
Entertainment Operating Co., LLC(b),(p)
|
Tranche
B Term Loan
|
3-month
USD LIBOR + 2.000%
10/07/2024
|
4.112%
|
|
415,779
|
414,935
|
Churchill
Downs, Inc.(b),(e),(p)
|
Tranche
B Term Loan
|
3-month
USD LIBOR + 2.000%
12/27/2024
|
4.120%
|
|
395,980
|
395,980
|
Senior
Loans (continued)
|
Borrower
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
MGM
Growth Properties Operating Partnership LP(b),(p)
|
Tranche
B Term Loan
|
3-month
USD LIBOR + 2.000%
Floor 0.750%
03/21/2025
|
4.112%
|
|
248,714
|
248,637
|
Total
|
1,059,552
|
Health
Care 0.1%
|
Gentiva
Health Services, Inc.(b),(p)
|
1st
Lien Term Loan
|
3-month
USD LIBOR + 3.750%
07/02/2025
|
5.875%
|
|
248,125
|
247,971
|
IQVIA,
Inc./Quintiles IMS(b),(p)
|
Tranche
B2 Term Loan
|
3-month
USD LIBOR + 2.000%
01/17/2025
|
4.330%
|
|
593,954
|
594,572
|
MPH
Acquisition Holdings LLC(b),(p)
|
Term
Loan
|
3-month
USD LIBOR + 2.750%
Floor 1.000%
06/07/2023
|
5.080%
|
|
1,960,553
|
1,820,864
|
Total
|
2,663,407
|
Integrated
Energy 0.0%
|
PowerTeam
Services, LLC(b),(p)
|
1st
Lien Term Loan
|
3-month
USD LIBOR + 3.250%
Floor 1.000%
03/06/2025
|
5.580%
|
|
1,458,435
|
1,312,591
|
Oil
Field Services 0.0%
|
EMG
Utica LLC(b),(p)
|
Term
Loan
|
3-month
USD LIBOR + 3.750%
Floor 1.000%
03/27/2020
|
6.080%
|
|
758,374
|
753,634
|
Packaging
0.0%
|
Berry
Global, Inc.(b),(p)
|
Tranche
U Term Loan
|
3-month
USD LIBOR + 2.500%
07/01/2026
|
4.701%
|
|
750,000
|
749,588
|
Reynolds
Group Holdings, Inc.(b),(p)
|
Term
Loan
|
3-month
USD LIBOR + 2.750%
Floor 1.000%
02/05/2023
|
4.862%
|
|
568,949
|
568,340
|
Total
|
1,317,928
|
The accompanying Notes to Financial Statements are an integral part
of this statement.
66
|
Multi-Manager Total Return
Bond Strategies Fund | Annual Report 2019
|
Portfolio of Investments
(continued)
August 31, 2019
Senior
Loans (continued)
|
Borrower
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
Pharmaceuticals
0.0%
|
Bausch
Health Companies, Inc.(b),(p)
|
Term
Loan
|
3-month
USD LIBOR + 3.000%
06/02/2025
|
5.201%
|
|
1,406,084
|
1,407,673
|
Restaurants
0.0%
|
New
Red Finance, Inc./Burger King/Tim Hortons(b),(p)
|
Tranche
B3 Term Loan
|
3-month
USD LIBOR + 2.250%
Floor 1.000%
02/16/2024
|
4.362%
|
|
614,338
|
613,134
|
Technology
0.0%
|
CommScope,
Inc.(b),(p)
|
Term
Loan
|
3-month
USD LIBOR + 3.250%
04/06/2026
|
5.362%
|
|
750,000
|
745,627
|
SS&C
Technologies Holdings, Inc.(b),(p)
|
Tranche
B3 Term Loan
|
3-month
USD LIBOR + 2.250%
04/16/2025
|
4.362%
|
|
171,053
|
171,224
|
Tranche
B4 Term Loan
|
3-month
USD LIBOR + 2.250%
04/16/2025
|
4.362%
|
|
117,197
|
117,315
|
Total
|
1,034,166
|
Wireless
0.0%
|
SBA
Senior Finance II LLC(b),(p)
|
Term
Loan
|
3-month
USD LIBOR + 2.000%
04/11/2025
|
4.120%
|
|
737,550
|
732,867
|
Sprint
Communications, Inc.(b),(p)
|
Term
Loan
|
3-month
USD LIBOR + 2.500%
Floor 0.750%
02/02/2024
|
4.625%
|
|
470,190
|
466,809
|
Total
|
1,199,676
|
Total
Senior Loans
(Cost $16,300,550)
|
16,084,201
|
|
Treasury
Bills 1.3%
|
Issuer
|
Effective
Yield
|
|
Principal
Amount ($)
|
Value
($)
|
United
States 1.3%
|
U.S.
Treasury
|
06/30/2021
|
1.560%
|
|
21,720,000
|
21,746,302
|
U.S.
Treasury(c)
|
08/31/2021
|
1.510%
|
|
74,115,000
|
74,103,965
|
Treasury
Bills (continued)
|
Issuer
|
Effective
Yield
|
|
Principal
Amount ($)
|
Value
($)
|
U.S.
Treasury Bills
|
09/12/2019
|
1.940%
|
|
4,855,000
|
4,851,647
|
11/07/2019
|
1.860%
|
|
5,435,000
|
5,415,942
|
U.S.
Treasury Bills(q)
|
09/26/2019
|
2.030%
|
|
3,210,000
|
3,205,192
|
Total
|
109,323,048
|
Total
Treasury Bills
(Cost $109,169,144)
|
109,323,048
|
|
U.S.
Government & Agency Obligations 0.3%
|
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
Federal
Home Loan Mortgage Corp.(i),(q)
|
12/11/2025
|
0.000%
|
|
6,135,000
|
5,433,052
|
Federal
National Mortgage Association(q)
|
10/05/2022
|
2.000%
|
|
4,030,000
|
4,094,407
|
Federal
National Mortgage Association(i)
|
STRIPS
|
05/15/2030
|
0.000%
|
|
1,000,000
|
807,875
|
Residual
Funding Corp.(i)
|
STRIPS
|
01/15/2030
|
0.000%
|
|
7,351,000
|
6,008,149
|
Resolution
Funding Corp.(i)
|
STRIPS
|
01/15/2029
|
0.000%
|
|
1,935,000
|
1,592,770
|
04/15/2029
|
0.000%
|
|
1,220,000
|
992,350
|
04/15/2030
|
0.000%
|
|
3,000,000
|
2,405,796
|
Tennessee
Valley Authority Principal STRIP(i)
|
09/15/2024
|
0.000%
|
|
530,000
|
484,660
|
Total
U.S. Government & Agency Obligations
(Cost $19,908,598)
|
21,819,059
|
|
U.S.
Treasury Obligations 11.6%
|
|
|
|
|
|
U.S.
Treasury
|
01/31/2021
|
2.500%
|
|
2,385,000
|
2,412,297
|
05/31/2021
|
2.125%
|
|
21,885,000
|
22,089,317
|
07/31/2021
|
1.750%
|
|
65,680,000
|
65,951,956
|
02/15/2022
|
2.500%
|
|
1,585,000
|
1,624,006
|
08/15/2022
|
1.500%
|
|
28,166,000
|
28,221,012
|
05/31/2024
|
2.000%
|
|
6,745,000
|
6,929,434
|
06/30/2024
|
1.750%
|
|
63,455,000
|
64,471,272
|
06/30/2024
|
2.000%
|
|
16,840,000
|
17,299,153
|
07/31/2024
|
1.750%
|
|
206,121,000
|
209,550,983
|
07/31/2026
|
1.875%
|
|
81,315,000
|
83,538,457
|
05/15/2029
|
2.375%
|
|
14,440,000
|
15,561,356
|
08/15/2029
|
1.625%
|
|
44,177,000
|
44,660,186
|
02/15/2039
|
3.500%
|
|
18,050,000
|
23,112,461
|
05/15/2039
|
4.250%
|
|
24,695,000
|
34,754,354
|
05/15/2045
|
3.000%
|
|
6,500,000
|
7,870,078
|
02/15/2049
|
3.000%
|
|
29,790,000
|
36,655,664
|
05/15/2049
|
2.875%
|
|
117,566,000
|
141,483,333
|
The accompanying Notes to Financial Statements are an integral part
of this statement.
Multi-Manager
Total Return Bond Strategies Fund | Annual Report 2019
|
67
|
Portfolio of Investments (continued)
August 31, 2019
U.S.
Treasury Obligations (continued)
|
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
08/15/2049
|
2.250%
|
|
62,850,000
|
66,768,305
|
U.S.
Treasury(q)
|
08/15/2021
|
2.125%
|
|
10,800,000
|
10,919,812
|
08/15/2043
|
3.625%
|
|
4,750,000
|
6,292,266
|
11/15/2043
|
3.750%
|
|
2,535,000
|
3,425,419
|
U.S.
Treasury(c)
|
08/31/2024
|
1.250%
|
|
58,305,000
|
57,915,124
|
U.S.
Treasury(i)
|
STRIPS
|
05/15/2043
|
0.000%
|
|
18,157,000
|
11,364,438
|
U.S.
Treasury(i),(q)
|
STRIPS
|
11/15/2043
|
0.000%
|
|
7,025,000
|
4,349,188
|
02/15/2045
|
0.000%
|
|
19,275,000
|
11,588,341
|
Total
U.S. Treasury Obligations
(Cost $936,823,254)
|
978,808,212
|
Money
Market Funds 4.2%
|
|
Shares
|
Value
($)
|
Columbia
Short-Term Cash Fund, 2.208%(r),(s)
|
352,403,791
|
352,368,551
|
Total
Money Market Funds
(Cost $352,368,551)
|
352,368,551
|
Total
Investments in Securities
(Cost: $8,417,157,663)
|
8,718,849,880
|
Other
Assets & Liabilities, Net
|
|
(308,804,235)
|
Net
Assets
|
8,410,045,645
|
At August 31, 2019, securities and/or cash totaling
$48,712,341 were pledged as collateral.
Investments in derivatives
Long
futures contracts
|
Description
|
Number
of
contracts
|
Expiration
date
|
Trading
currency
|
Notional
amount
|
Value/Unrealized
appreciation ($)
|
Value/Unrealized
depreciation ($)
|
U.S.
Long Bond
|
319
|
12/2019
|
USD
|
52,714,750
|
297,677
|
—
|
U.S.
Long Bond
|
376
|
12/2019
|
USD
|
62,134,000
|
—
|
(137,754)
|
U.S.
Treasury 10-Year Note
|
1,152
|
12/2019
|
USD
|
151,740,000
|
458,468
|
—
|
U.S.
Treasury 2-Year Note
|
769
|
12/2019
|
USD
|
166,194,118
|
68,842
|
—
|
U.S.
Treasury 5-Year Note
|
7,935
|
12/2019
|
USD
|
952,014,027
|
1,712,740
|
—
|
U.S.
Treasury 5-Year Note
|
1,409
|
12/2019
|
USD
|
169,046,977
|
774,013
|
—
|
U.S.
Treasury 5-Year Note
|
486
|
12/2019
|
USD
|
58,308,610
|
90,230
|
—
|
U.S.
Ultra Bond 10-Year Note
|
82
|
12/2019
|
USD
|
11,843,875
|
74,174
|
—
|
U.S.
Ultra Bond 10-Year Note
|
263
|
12/2019
|
USD
|
37,987,063
|
26,878
|
—
|
U.S.
Ultra Treasury Bond
|
1,023
|
12/2019
|
USD
|
201,978,563
|
2,391,213
|
—
|
U.S.
Ultra Treasury Bond
|
110
|
12/2019
|
USD
|
21,718,125
|
498,079
|
—
|
U.S.
Ultra Treasury Bond
|
339
|
12/2019
|
USD
|
66,931,313
|
—
|
(148,920)
|
Total
|
|
|
|
|
6,392,314
|
(286,674)
|
Short
futures contracts
|
Description
|
Number
of
contracts
|
Expiration
date
|
Trading
currency
|
Notional
amount
|
Value/Unrealized
appreciation ($)
|
Value/Unrealized
depreciation ($)
|
U.S.
Treasury 10-Year Note
|
(246)
|
12/2019
|
USD
|
(32,402,813)
|
18,722
|
—
|
U.S.
Treasury 10-Year Note
|
(381)
|
12/2019
|
USD
|
(50,184,844)
|
—
|
(88,335)
|
U.S.
Treasury 2-Year Note
|
(495)
|
12/2019
|
USD
|
(106,978,008)
|
—
|
(58,933)
|
U.S.
Treasury 2-Year Note
|
(1,684)
|
12/2019
|
USD
|
(363,941,345)
|
—
|
(157,276)
|
U.S.
Treasury 5-Year Note
|
(588)
|
12/2019
|
USD
|
(70,546,219)
|
—
|
(102,174)
|
U.S.
Ultra Bond 10-Year Note
|
(511)
|
12/2019
|
USD
|
(73,807,563)
|
94,780
|
—
|
U.S.
Ultra Bond 10-Year Note
|
(886)
|
12/2019
|
USD
|
(127,971,625)
|
—
|
(261,634)
|
Total
|
|
|
|
|
113,502
|
(668,352)
|
The accompanying Notes to Financial Statements are an integral
part of this statement.
68
|
Multi-Manager Total Return
Bond Strategies Fund | Annual Report 2019
|
Portfolio of Investments (continued)
August 31, 2019
Cleared
interest rate swap contracts
|
Fund
receives
|
Fund
pays
|
Payment
frequency
|
Counterparty
|
Maturity
date
|
Notional
currency
|
Notional
amount
|
Value
($)
|
Upfront
payments
($)
|
Upfront
receipts
($)
|
Unrealized
appreciation
($)
|
Unrealized
depreciation
($)
|
Fixed
rate of 2.405%
|
1-Day
Overnight Fed Funds Effective Rate
|
Receives
Annually, Pays Annually
|
JPMorgan
|
03/12/2020
|
USD
|
52,900,000
|
210,794
|
—
|
—
|
210,794
|
—
|
Fixed
rate of 2.328%
|
1-Day
Overnight Fed Funds Effective Rate
|
Receives
Annually, Pays Annually
|
JPMorgan
|
04/25/2020
|
USD
|
126,280,000
|
575,472
|
—
|
—
|
575,472
|
—
|
Fixed
rate of 2.173%
|
1-Day
Overnight Fed Funds Effective Rate
|
Receives
Annually, Pays Annually
|
JPMorgan
|
03/31/2021
|
USD
|
31,454,000
|
418,008
|
—
|
—
|
418,008
|
—
|
Fixed
rate of 1.830%
|
3-Month
USD LIBOR
|
Receives
Semi-annually, Pays Quarterly
|
JPMorgan
|
06/15/2021
|
USD
|
348,785,000
|
1,862,824
|
—
|
—
|
1,862,824
|
—
|
3-Month
USD LIBOR
|
Fixed
rate of 1.898%
|
Receives
Quarterly, Pays Semi-annually
|
JPMorgan
|
07/18/2021
|
USD
|
56,010,000
|
(341,901)
|
—
|
—
|
—
|
(341,901)
|
1-Day
Overnight Fed Funds Effective Rate
|
Fixed
rate of 2.353%
|
Receives
Annually, Pays Annually
|
JPMorgan
|
05/31/2022
|
USD
|
38,295,000
|
(1,271,556)
|
—
|
—
|
—
|
(1,271,556)
|
1-Day
Overnight Fed Funds Effective Rate
|
Fixed
rate of 2.360%
|
Receives
Annually, Pays Annually
|
JPMorgan
|
09/27/2022
|
USD
|
148,540,000
|
(5,673,979)
|
—
|
—
|
—
|
(5,673,979)
|
3-Month
USD LIBOR
|
Fixed
rate of 2.167%
|
Receives
Quarterly, Pays Semi-annually
|
JPMorgan
|
02/15/2024
|
USD
|
42,560,000
|
(1,384,678)
|
—
|
—
|
—
|
(1,384,678)
|
3-Month
USD LIBOR
|
Fixed
rate of 1.956%
|
Receives
Quarterly, Pays Semi-annually
|
JPMorgan
|
05/15/2024
|
USD
|
69,165,000
|
(2,467,602)
|
—
|
—
|
—
|
(2,467,602)
|
3-Month
USD LIBOR
|
Fixed
rate of 2.176%
|
Receives
Quarterly, Pays Semi-annually
|
JPMorgan
|
08/15/2024
|
USD
|
41,140,000
|
(1,815,796)
|
—
|
—
|
—
|
(1,815,796)
|
3-Month
USD LIBOR
|
Fixed
rate of 2.170%
|
Receives
Quarterly, Pays Semi-annually
|
JPMorgan
|
08/15/2024
|
USD
|
140,200,000
|
(6,067,319)
|
—
|
—
|
—
|
(6,067,319)
|
3-Month
USD LIBOR
|
Fixed
rate of 2.334%
|
Receives
Quarterly, Pays Semi-annually
|
JPMorgan
|
11/15/2024
|
USD
|
165,925,000
|
(9,927,401)
|
—
|
—
|
—
|
(9,927,401)
|
3-Month
USD LIBOR
|
Fixed
rate of 3.019%
|
Receives
Quarterly, Pays Semi-annually
|
JPMorgan
|
02/28/2025
|
USD
|
22,215,000
|
(2,009,286)
|
—
|
—
|
—
|
(2,009,286)
|
1-Day
Overnight Fed Funds Effective Rate
|
Fixed
rate of 2.454%
|
Receives
Annually, Pays Annually
|
JPMorgan
|
02/28/2025
|
USD
|
41,250,000
|
(3,175,877)
|
—
|
—
|
—
|
(3,175,877)
|
3-Month
USD LIBOR
|
Fixed
rate of 2.998%
|
Receives
Quarterly, Pays Semi-annually
|
JPMorgan
|
05/31/2025
|
USD
|
67,233,000
|
(6,737,642)
|
—
|
—
|
—
|
(6,737,642)
|
3-Month
USD LIBOR
|
Fixed
rate of 3.105%
|
Receives
Quarterly, Pays Semi-annually
|
JPMorgan
|
07/31/2025
|
USD
|
5,975,000
|
(616,189)
|
—
|
—
|
—
|
(616,189)
|
3-Month
USD LIBOR
|
Fixed
rate of 3.109%
|
Receives
Quarterly, Pays Semi-annually
|
JPMorgan
|
07/31/2025
|
USD
|
54,830,000
|
(5,634,277)
|
—
|
—
|
—
|
(5,634,277)
|
1-Day
Overnight Fed Funds Effective Rate
|
Fixed
rate of 2.269%
|
Receives
Annually, Pays Annually
|
JPMorgan
|
01/31/2026
|
USD
|
38,890,000
|
(2,836,388)
|
—
|
—
|
—
|
(2,836,388)
|
1-Day
Overnight Fed Funds Effective Rate
|
Fixed
rate of 2.290%
|
Receives
Annually, Pays Annually
|
JPMorgan
|
03/12/2026
|
USD
|
7,935,000
|
(617,895)
|
—
|
—
|
—
|
(617,895)
|
3-Month
USD LIBOR
|
Fixed
rate of 1.876%
|
Receives
Quarterly, Pays Semi-annually
|
JPMorgan
|
04/30/2026
|
USD
|
26,802,000
|
(853,533)
|
—
|
—
|
—
|
(853,533)
|
1-Day
Overnight Fed Funds Effective Rate
|
Fixed
rate of 1.965%
|
Receives
Annually, Pays Annually
|
JPMorgan
|
02/15/2027
|
USD
|
8,075,000
|
(504,050)
|
—
|
—
|
—
|
(504,050)
|
1-Day
Overnight Fed Funds Effective Rate
|
Fixed
rate of 1.824%
|
Receives
Annually, Pays Annually
|
JPMorgan
|
02/15/2027
|
USD
|
14,238,000
|
(858,265)
|
—
|
—
|
—
|
(858,265)
|
1-Day
Overnight Fed Funds Effective Rate
|
Fixed
rate of 2.067%
|
Receives
Annually, Pays Annually
|
JPMorgan
|
02/15/2027
|
USD
|
15,490,000
|
(1,083,329)
|
—
|
—
|
—
|
(1,083,329)
|
The accompanying Notes to Financial Statements are an integral part of this
statement.
Multi-Manager
Total Return Bond Strategies Fund | Annual Report 2019
|
69
|
Portfolio of Investments (continued)
August 31, 2019
Cleared
interest rate swap contracts (continued)
|
Fund
receives
|
Fund
pays
|
Payment
frequency
|
Counterparty
|
Maturity
date
|
Notional
currency
|
Notional
amount
|
Value
($)
|
Upfront
payments
($)
|
Upfront
receipts
($)
|
Unrealized
appreciation
($)
|
Unrealized
depreciation
($)
|
1-Day
Overnight Fed Funds Effective Rate
|
Fixed
rate of 1.823%
|
Receives
Annually, Pays Annually
|
JPMorgan
|
05/15/2027
|
USD
|
5,535,000
|
(300,386)
|
—
|
—
|
—
|
(300,386)
|
1-Day
Overnight Fed Funds Effective Rate
|
Fixed
rate of 2.579%
|
Receives
Annually, Pays Annually
|
JPMorgan
|
08/15/2028
|
USD
|
27,835,000
|
(3,120,882)
|
—
|
—
|
—
|
(3,120,882)
|
1-Day
Overnight Fed Funds Effective Rate
|
Fixed
rate of 1.369%
|
Receives
Annually, Pays Annually
|
JPMorgan
|
02/15/2042
|
USD
|
4,280,000
|
(42,756)
|
—
|
—
|
—
|
(42,756)
|
1-Day
Overnight Fed Funds Effective Rate
|
Fixed
rate of 1.380%
|
Receives
Annually, Pays Annually
|
JPMorgan
|
09/27/2046
|
USD
|
2,780,000
|
(24,735)
|
—
|
—
|
—
|
(24,735)
|
Total
|
|
|
|
|
|
|
(54,298,624)
|
—
|
—
|
3,067,098
|
(57,365,722)
|
Cleared
credit default swap contracts - buy protection
|
Reference
entity
|
Counterparty
|
Maturity
date
|
Pay
fixed
rate
(%)
|
Payment
frequency
|
Notional
currency
|
Notional
amount
|
Value
($)
|
Upfront
payments
($)
|
Upfront
receipts
($)
|
Unrealized
appreciation
($)
|
Unrealized
depreciation
($)
|
Markit
iTraxx Europe Crossover Index, Series 31
|
Morgan
Stanley
|
06/20/2024
|
5.000
|
Quarterly
|
EUR
|
92,500,000
|
(1,073,853)
|
—
|
—
|
—
|
(1,073,853)
|
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 North America High Yield Index, Series 32
|
Morgan
Stanley
|
06/20/2024
|
5.000
|
Quarterly
|
3.396
|
USD
|
101,970,000
|
(125,892)
|
—
|
—
|
—
|
(125,892)
|
*
|
Implied
credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues as of period end serve as an indicator of the current status of the payment/performance risk
and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into
the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.
|
Reference
index and values for swap contracts as of period end
|
Reference
index
|
|
Reference
rate
|
1-Day
Overnight Fed Funds Effective Rate
|
Overnight
Federal Funds Effective Rate
|
2.120%
|
3-Month
USD LIBOR
|
London
Interbank Offered Rate
|
2.138%
|
Notes to Portfolio of
Investments
(a)
|
Represents
privately placed and other securities and instruments exempt from Securities and Exchange Commission registration (collectively, private placements), such as Section 4(a)(2) and Rule 144A eligible securities, which are often sold only to qualified
institutional buyers. 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 August 31, 2019, the total value of these securities amounted to $1,951,549,180, which represents 23.20% of total net assets.
|
(b)
|
Variable
rate security. The interest rate shown was the current rate as of August 31, 2019.
|
(c)
|
Represents a
security purchased on a when-issued basis.
|
(d)
|
Represents fair
value as determined in good faith under procedures approved by the Board of Trustees. At August 31, 2019, the total value of these securities amounted to $11,542,489, which represents 0.14% of total net assets.
|
(e)
|
Valuation
based on significant unobservable inputs.
|
(f)
|
Variable
or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. The interest rate shown was the current rate as of August 31, 2019.
|
(g)
|
Represents interest
only securities which have the right to receive the monthly interest payments on an underlying pool of mortgage loans.
|
The accompanying Notes to Financial Statements are an integral part of this
statement.
70
|
Multi-Manager Total Return
Bond Strategies Fund | Annual Report 2019
|
Portfolio of Investments (continued)
August 31, 2019
Notes to Portfolio of
Investments (continued)
(h)
|
Non-income
producing investment.
|
(i)
|
Zero coupon
bond.
|
(j)
|
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 August 31, 2019.
|
(k)
|
Represents
securities that have defaulted on payment of interest. The Fund has stopped accruing interest on these securities. At August 31, 2019, the total value of these securities amounted to $1,041,617, which represents 0.01% of total net assets.
|
(l)
|
Principal
and interest may not be guaranteed by the government.
|
(m)
|
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 August 31, 2019, the total value of these securities amounted to $1,146,926,
which represents 0.01% of total net assets.
|
(n)
|
Represents
principal only securities which have the right to receive the principal portion only on an underlying pool of mortgage loans.
|
(o)
|
Represents
a variable rate security where the coupon adjusts periodically through an auction process.
|
(p)
|
The stated
interest rate represents the weighted average interest rate at August 31, 2019 of contracts within the senior loan facility. Interest rates on contracts are primarily determined either weekly, monthly or quarterly by reference to the indicated base
lending rate and spread and the reset period. These base lending rates are primarily the London Interbank Offered Rate (“LIBOR”) and other short-term rates. Base lending rates may be subject to a floor or minimum rate. The interest rate
for senior loans purchased on a when-issued or delayed delivery basis will be determined upon settlement, therefore no interest rate is disclosed. Senior loans often require prepayments from excess cash flows or permit the borrowers to repay at
their election. The degree to which borrowers repay, cannot be predicted with accuracy. As a result, remaining maturities of senior loans may be less than the stated maturities.
|
(q)
|
This
security or a portion of this security has been pledged as collateral in connection with derivative contracts.
|
(r)
|
The rate
shown is the seven-day current annualized yield at August 31, 2019.
|
(s)
|
As defined
in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. Holdings and
transactions in these affiliated companies during the year ended August 31, 2019 are as follows:
|
Issuer
|
Beginning
shares
|
Shares
purchased
|
Shares
sold
|
Ending
shares
|
Realized
gain
(loss) —
affiliated
issuers ($)
|
Net
change in
unrealized
appreciation
(depreciation) —
affiliated
issuers ($)
|
Dividends
—
affiliated
issuers ($)
|
Value
—
affiliated
issuers
at end of
period ($)
|
Columbia
Short-Term Cash Fund, 2.208%
|
|
214,471,894
|
8,515,778,267
|
(8,377,846,370)
|
352,403,791
|
(1,340)
|
3,331
|
6,430,112
|
352,368,551
|
Abbreviation Legend
AID
|
Agency for
International Development
|
AMBAC
|
Ambac
Assurance Corporation
|
BAM
|
Build
America Mutual Assurance Co.
|
CMO
|
Collateralized
Mortgage Obligation
|
FHLMC
|
Federal
Home Loan Mortgage Corporation
|
PIK
|
Payment In
Kind
|
STRIPS
|
Separate
Trading of Registered Interest and Principal Securities
|
Currency Legend
Fair value measurements
The Fund categorizes its fair value measurements according to
a three-level hierarchy that maximizes the use of observable inputs and minimizes the use of unobservable inputs by prioritizing that the most observable input be used when available. Observable inputs are those that market participants would use in
pricing an investment based on market data obtained from sources independent of the reporting entity. Unobservable inputs are those that reflect the Fund’s assumptions about the information market participants would use in pricing an
investment. An investment’s level within the fair value hierarchy is based on the lowest level of any input that is deemed significant to the asset’s or liability’s fair value measurement. The input levels are not necessarily an
indication of the risk or liquidity associated with investments at that level. For example, certain U.S. government securities are generally high quality and liquid, however, they are reflected as Level 2 because the inputs used to determine fair
value may not always be quoted prices in an active market.
Fair value inputs are summarized in the three broad levels
listed below:
The accompanying Notes to Financial Statements are an integral part of this
statement.
Multi-Manager
Total Return Bond Strategies Fund | Annual Report 2019
|
71
|
Portfolio of Investments (continued)
August 31, 2019
Fair value
measurements (continued)
■
|
Level 1 — Valuations
based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments.
|
■
|
Level 2 — Valuations
based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.).
|
■
|
Level 3 — Valuations
based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments).
|
Inputs that are used in determining fair value of an investment
may include price information, credit data, volatility statistics, and other factors. These inputs can be either observable or unobservable. The availability of observable inputs can vary between investments, and is affected by various factors such
as the type of investment, and the volume and level of activity for that investment or similar investments in the marketplace. The inputs will be considered by the Investment Manager, along with any other relevant factors in the calculation of an
investment’s fair value. The Fund uses prices and inputs that are current as of the measurement date, which may include periods of market dislocations. During these periods, the availability of prices and inputs may be reduced for many
investments. This condition could cause an investment to be reclassified between the various levels within the hierarchy.
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.
The following table is a summary of the
inputs used to value the Fund’s investments at August 31, 2019:
|
Level
1 ($)
|
Level
2 ($)
|
Level
3 ($)
|
Total
($)
|
Investments
in Securities
|
|
|
|
|
Asset-Backed
Securities — Non-Agency
|
—
|
992,301,309
|
3,980,570
|
996,281,879
|
Commercial
Mortgage-Backed Securities - Agency
|
—
|
243,613,003
|
—
|
243,613,003
|
Commercial
Mortgage-Backed Securities - Non-Agency
|
—
|
576,511,882
|
—
|
576,511,882
|
Common
Stocks
|
|
|
|
|
Energy
|
—
|
—
|
80
|
80
|
Total
Common Stocks
|
—
|
—
|
80
|
80
|
Corporate
Bonds & Notes
|
—
|
2,672,383,050
|
—
|
2,672,383,050
|
Foreign
Government Obligations
|
—
|
259,371,722
|
—
|
259,371,722
|
Inflation-Indexed
Bonds
|
—
|
73,684,246
|
—
|
73,684,246
|
Municipal
Bonds
|
—
|
35,646,850
|
—
|
35,646,850
|
Residential
Mortgage-Backed Securities - Agency
|
—
|
1,944,620,553
|
7,561,919
|
1,952,182,472
|
Residential
Mortgage-Backed Securities - Non-Agency
|
—
|
430,771,625
|
—
|
430,771,625
|
Senior
Loans
|
—
|
15,688,221
|
395,980
|
16,084,201
|
Treasury
Bills
|
109,323,048
|
—
|
—
|
109,323,048
|
U.S.
Government & Agency Obligations
|
—
|
21,819,059
|
—
|
21,819,059
|
U.S.
Treasury Obligations
|
951,506,245
|
27,301,967
|
—
|
978,808,212
|
Money
Market Funds
|
352,368,551
|
—
|
—
|
352,368,551
|
Total
Investments in Securities
|
1,413,197,844
|
7,293,713,487
|
11,938,549
|
8,718,849,880
|
Investments
in Derivatives
|
|
|
|
|
Asset
|
|
|
|
|
Futures
Contracts
|
6,505,816
|
—
|
—
|
6,505,816
|
Swap
Contracts
|
—
|
3,067,098
|
—
|
3,067,098
|
Liability
|
|
|
|
|
Futures
Contracts
|
(955,026)
|
—
|
—
|
(955,026)
|
Swap
Contracts
|
—
|
(58,565,467)
|
—
|
(58,565,467)
|
Total
|
1,418,748,634
|
7,238,215,118
|
11,938,549
|
8,668,902,301
|
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.
The accompanying Notes
to Financial Statements are an integral part of this statement.
72
|
Multi-Manager Total Return
Bond Strategies Fund | Annual Report 2019
|
Portfolio of Investments (continued)
August 31, 2019
Fair value
measurements (continued)
Derivative instruments are valued at unrealized appreciation (depreciation).
The Fund does not hold any significant investments (greater than
one percent of net assets) categorized as Level 3.
The accompanying Notes to Financial Statements are an integral part of this
statement.
Multi-Manager
Total Return Bond Strategies Fund | Annual Report 2019
|
73
|
Statement of Assets and Liabilities
August 31, 2019
Assets
|
|
Investments
in securities, at value
|
|
Unaffiliated
issuers (cost $8,064,789,112)
|
$8,366,481,329
|
Affiliated
issuers (cost $352,368,551)
|
352,368,551
|
Cash
collateral held at broker for:
|
|
TBA
|
69,000
|
Margin
deposits on:
|
|
Futures
contracts
|
3,366,959
|
Swap
contracts
|
4,950,000
|
Receivable
for:
|
|
Investments
sold
|
30,427,847
|
Investments
sold on a delayed delivery basis
|
266,764,620
|
Capital
shares sold
|
40,057,378
|
Dividends
|
462,632
|
Interest
|
45,774,353
|
Foreign
tax reclaims
|
253,840
|
Variation
margin for futures contracts
|
1,459,600
|
Variation
margin for swap contracts
|
235,136
|
Expense
reimbursement due from Investment Manager
|
7,039
|
Prepaid
expenses
|
52,105
|
Trustees’
deferred compensation plan
|
240,816
|
Total
assets
|
9,112,971,205
|
Liabilities
|
|
Due
to custodian
|
8,271,304
|
Payable
for:
|
|
Investments
purchased
|
24,115,018
|
Investments
purchased on a delayed delivery basis
|
634,784,831
|
Capital
shares purchased
|
9,563,040
|
Distributions
to shareholders
|
23,341,338
|
Variation
margin for futures contracts
|
492,991
|
Variation
margin for swap contracts
|
1,464,600
|
Management
services fees
|
104,004
|
Distribution
and/or service fees
|
79
|
Transfer
agent fees
|
282,741
|
Compensation
of chief compliance officer
|
512
|
Other
expenses
|
264,286
|
Trustees’
deferred compensation plan
|
240,816
|
Total
liabilities
|
702,925,560
|
Net
assets applicable to outstanding capital stock
|
$8,410,045,645
|
Represented
by
|
|
Paid
in capital
|
8,152,691,669
|
Total
distributable earnings (loss) (Note 2)
|
257,353,976
|
Total
- representing net assets applicable to outstanding capital stock
|
$8,410,045,645
|
Class
A
|
|
Net
assets
|
$11,537,415
|
Shares
outstanding
|
1,112,095
|
Net
asset value per share
|
$10.37
|
Institutional
Class
|
|
Net
assets
|
$8,398,508,230
|
Shares
outstanding
|
809,243,041
|
Net
asset value per share
|
$10.38
|
The accompanying Notes to Financial Statements are an integral part of this
statement.
74
|
Multi-Manager Total Return
Bond Strategies Fund | Annual Report 2019
|
Statement of Operations
Year Ended August 31, 2019
Net
investment income
|
|
Income:
|
|
Dividends
— affiliated issuers
|
$6,430,112
|
Interest
|
274,573,585
|
Total
income
|
281,003,697
|
Expenses:
|
|
Management
services fees
|
35,866,449
|
Distribution
and/or service fees
|
|
Class
A
|
30,859
|
Transfer
agent fees
|
|
Class
A
|
6,103
|
Institutional
Class
|
3,885,485
|
Compensation
of board members
|
128,060
|
Custodian
fees
|
168,141
|
Printing
and postage fees
|
392,848
|
Registration
fees
|
232,740
|
Audit
fees
|
55,199
|
Legal
fees
|
161,055
|
Interest
on interfund lending
|
201
|
Compensation
of chief compliance officer
|
3,101
|
Other
|
207,781
|
Total
expenses
|
41,138,022
|
Fees
waived or expenses reimbursed by Investment Manager and its affiliates
|
(468,552)
|
Total
net expenses
|
40,669,470
|
Net
investment income
|
240,334,227
|
Realized
and unrealized gain (loss) — net
|
|
Net
realized gain (loss) on:
|
|
Investments
— unaffiliated issuers
|
83,826,131
|
Investments
— affiliated issuers
|
(1,340)
|
Foreign
currency translations
|
(17,088)
|
Forward
foreign currency exchange contracts
|
(959,763)
|
Futures
contracts
|
124,287,967
|
Swap
contracts
|
(77,947,881)
|
Net
realized gain
|
129,188,026
|
Net
change in unrealized appreciation (depreciation) on:
|
|
Investments
— unaffiliated issuers
|
397,416,094
|
Investments
— affiliated issuers
|
3,331
|
Foreign
currency translations
|
9,556
|
Forward
foreign currency exchange contracts
|
85,686
|
Futures
contracts
|
6,012,854
|
Swap
contracts
|
(60,455,345)
|
Net
change in unrealized appreciation (depreciation)
|
343,072,176
|
Net
realized and unrealized gain
|
472,260,202
|
Net
increase in net assets resulting from operations
|
$712,594,429
|
The accompanying Notes to Financial Statements are an
integral part of this statement.
Multi-Manager
Total Return Bond Strategies Fund | Annual Report 2019
|
75
|
Statement of Changes in Net Assets
|
Year
Ended
August 31, 2019
|
Year
Ended
August 31, 2018
|
Operations
|
|
|
Net
investment income
|
$240,334,227
|
$207,423,404
|
Net
realized gain (loss)
|
129,188,026
|
(115,670,038)
|
Net
change in unrealized appreciation (depreciation)
|
343,072,176
|
(180,505,948)
|
Net
increase (decrease) in net assets resulting from operations
|
712,594,429
|
(88,752,582)
|
Distributions
to shareholders
|
|
|
Net
investment income and net realized gains
|
|
|
Class
A
|
(362,615)
|
|
Institutional
Class
|
(250,729,973)
|
|
Net
investment income
|
|
|
Class
A
|
|
(378,682)
|
Institutional
Class
|
|
(195,325,065)
|
Net
realized gains
|
|
|
Class
A
|
|
(7,581)
|
Institutional
Class
|
|
(3,047,967)
|
Total
distributions to shareholders (Note 2)
|
(251,092,588)
|
(198,759,295)
|
Increase
(decrease) in net assets from capital stock activity
|
(35,474,121)
|
701,288,464
|
Total
increase in net assets
|
426,027,720
|
413,776,587
|
Net
assets at beginning of year
|
7,984,017,925
|
7,570,241,338
|
Net
assets at end of year
|
$8,410,045,645
|
$7,984,017,925
|
Undistributed
net investment income
|
$5,377,828
|
$13,653,976
|
|
Year
Ended
|
Year
Ended
|
|
August
31, 2019
|
August
31, 2018
|
|
Shares
|
Dollars
($)
|
Shares
|
Dollars
($)
|
Capital
stock activity
|
Class
A
|
|
|
|
|
Subscriptions
|
3
|
31
|
685
|
6,764
|
Distributions
reinvested
|
36,680
|
362,320
|
38,932
|
386,032
|
Redemptions
|
(367,958)
|
(3,616,940)
|
(663,842)
|
(6,600,929)
|
Net
decrease
|
(331,275)
|
(3,254,589)
|
(624,225)
|
(6,208,133)
|
Institutional
Class
|
|
|
|
|
Subscriptions
|
147,758,591
|
1,459,502,750
|
198,219,874
|
1,965,645,540
|
Distributions
reinvested
|
25,340,321
|
250,729,752
|
20,032,838
|
198,372,778
|
Redemptions
|
(177,405,207)
|
(1,742,452,034)
|
(146,978,253)
|
(1,456,521,721)
|
Net
increase (decrease)
|
(4,306,295)
|
(32,219,532)
|
71,274,459
|
707,496,597
|
Total
net increase (decrease)
|
(4,637,570)
|
(35,474,121)
|
70,650,234
|
701,288,464
|
The accompanying Notes to Financial Statements are an integral part of this
statement.
76
|
Multi-Manager Total Return
Bond Strategies Fund | Annual Report 2019
|
[THIS PAGE INTENTIONALLY LEFT BLANK]
Multi-Manager
Total Return Bond Strategies Fund | Annual Report 2019
|
77
|
The
following table is intended to help you understand the Fund’s financial performance. Certain information reflects financial results for a single share of a class held for the periods shown. Per share net investment income (loss) amounts are
calculated based on average shares outstanding during the period. Total return assumes reinvestment of all dividends and distributions, if any. Total return does not reflect payment of sales charges, if any. Total return and portfolio turnover are
not annualized for periods of less than one year. The portfolio turnover rate is calculated without regard to purchase and sales transactions of short-term instruments and certain derivatives, if any. If such transactions were included, the
Fund’s portfolio turnover rate may be higher.
|
Net
asset value,
beginning of
period
|
Net
investment
income
|
Net
realized
and
unrealized
gain (loss)
|
Total
from
investment
operations
|
Distributions
from net
investment
income
|
Distributions
from net
realized
gains
|
Total
distributions to
shareholders
|
Class
A
|
Year
Ended 8/31/2019
|
$9.79
|
0.28
|
0.59
|
0.87
|
(0.29)
|
—
|
(0.29)
|
Year
Ended 8/31/2018
|
$10.17
|
0.24
|
(0.39)
|
(0.15)
|
(0.23)
|
(0.00)
(d)
|
(0.23)
|
Year
Ended 8/31/2017
|
$10.41
|
0.22
|
(0.11)
|
0.11
|
(0.21)
|
(0.14)
|
(0.35)
|
Year
Ended 8/31/2016
|
$10.06
|
0.20
|
0.38
|
0.58
|
(0.19)
|
(0.04)
|
(0.23)
|
Year
Ended 8/31/2015
|
$10.21
|
0.19
|
(0.14)
|
0.05
|
(0.20)
|
—
|
(0.20)
|
Institutional
Class
|
Year
Ended 8/31/2019
|
$9.80
|
0.30
|
0.59
|
0.89
|
(0.31)
|
—
|
(0.31)
|
Year
Ended 8/31/2018
|
$10.17
|
0.26
|
(0.38)
|
(0.12)
|
(0.25)
|
(0.00)
(d)
|
(0.25)
|
Year
Ended 8/31/2017(e)
|
$9.91
|
0.16
|
0.26
(f)
|
0.42
|
(0.16)
|
—
|
(0.16)
|
Notes
to Financial Highlights
|
(a)
|
In
addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense
ratios.
|
(b)
|
Total net
expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable.
|
(c)
|
Ratios
include interfund lending expense which is less than 0.01%.
|
(d)
|
Rounds to
zero.
|
(e)
|
Institutional
Class shares commenced operations on January 3, 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.
78
|
Multi-Manager Total Return
Bond Strategies 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 8/31/2019
|
$10.37
|
9.06%
|
0.77%
(c)
|
0.77%
(c)
|
2.81%
|
219%
|
$11,537
|
Year
Ended 8/31/2018
|
$9.79
|
(1.51%)
|
0.77%
|
0.77%
|
2.37%
|
228%
|
$14,135
|
Year
Ended 8/31/2017
|
$10.17
|
1.14%
|
0.79%
|
0.78%
|
2.14%
|
345%
|
$21,021
|
Year
Ended 8/31/2016
|
$10.41
|
5.82%
|
0.80%
|
0.80%
|
2.01%
|
289%
|
$6,614,680
|
Year
Ended 8/31/2015
|
$10.06
|
0.49%
|
0.80%
|
0.80%
|
1.86%
|
269%
|
$5,097,458
|
Institutional
Class
|
Year
Ended 8/31/2019
|
$10.38
|
9.33%
|
0.52%
(c)
|
0.52%
(c)
|
3.05%
|
219%
|
$8,398,508
|
Year
Ended 8/31/2018
|
$9.80
|
(1.16%)
|
0.52%
|
0.52%
|
2.66%
|
228%
|
$7,969,883
|
Year
Ended 8/31/2017(e)
|
$10.17
|
4.28%
|
0.54%
(g)
|
0.53%
(g)
|
2.48%
(g)
|
345%
|
$7,549,220
|
The accompanying Notes to Financial Statements are an integral part of this
statement.
Multi-Manager
Total Return Bond Strategies Fund | Annual Report 2019
|
79
|
Notes to Financial Statements
August 31, 2019
Note 1. Organization
Multi-Manager Total Return Bond Strategies Fund (the Fund),
a series of Columbia Funds Series Trust I (the Trust), is a diversified fund. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Massachusetts
business trust.
Fund shares
The Trust may issue an unlimited number of shares (without par
value). The Fund is offered only through certain wrap fee programs sponsored and/or managed by Ameriprise Financial, Inc. (Ameriprise Financial) or its affiliates. The Fund offers each of the share classes listed in the Statement of Assets and
Liabilities which are not subject to any front-end sales charge or contingent deferred sales charge.
Note 2. Summary of significant accounting
policies
Basis of preparation
The Fund is an investment company that applies the accounting
and reporting guidance in the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946, Financial Services - Investment Companies (ASC 946). The financial statements are prepared
in accordance with U.S. generally accepted accounting principles (GAAP), which requires management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities, the disclosure of contingent assets and
liabilities at the date of the financial statements and the reported amounts of income and expenses during the reporting period. Actual results could differ from those estimates.
The following is a summary of significant accounting policies
followed by the Fund in the preparation of its financial statements.
Security valuation
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.
Senior loan securities for which reliable market quotations
are readily available are generally valued by pricing services at the average of the bids received.
Foreign equity securities are valued based on the closing
price 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 determined at the scheduled closing time of the New York Stock Exchange. Many securities markets and exchanges outside the U.S. close prior to the close of the New York Stock Exchange; therefore, the
closing prices for securities in such markets or on such exchanges may not fully reflect events that occur after such close but before the close of the New York Stock Exchange. In those situations, foreign securities will be fair valued pursuant to
a policy adopted by the Board of Trustees. Under the policy, the Fund may utilize a third party pricing service to determine these fair values. The third-party pricing service takes into account multiple factors, including, but not limited to,
movements in the U.S. securities markets, certain depositary receipts, futures contracts
80
|
Multi-Manager Total Return
Bond Strategies Fund | Annual Report 2019
|
Notes to Financial Statements (continued)
August 31, 2019
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.
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.
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
Multi-Manager
Total Return Bond Strategies Fund | Annual Report 2019
|
81
|
Notes to Financial Statements (continued)
August 31, 2019
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 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 and to shift foreign currency exposure back to U.S. dollars. These instruments may be used for other purposes in future periods.
82
|
Multi-Manager Total Return
Bond Strategies Fund | Annual Report 2019
|
Notes to Financial Statements (continued)
August 31, 2019
The
values of forward foreign currency exchange contracts fluctuate daily with changes in foreign currency exchange rates. Changes in the value of these contracts are recorded as unrealized appreciation or depreciation until the contract is exercised or
has expired. The Fund will realize a gain or loss when the forward foreign currency exchange contract is closed or expires. Non-deliverable forward foreign currency exchange contracts are settled with the counterparty in U.S. dollars without
delivery of foreign currency.
The use of forward foreign
currency exchange contracts does not eliminate fluctuations in the prices of the Fund’s portfolio securities. The risks of forward foreign currency exchange contracts include movement in the values of the foreign currencies relative to the
U.S. dollar (or other foreign currencies) and the possibility that counterparties will not complete their contractual obligations, which may be in excess of the amount reflected, if any, in the Statement of Assets and Liabilities.
Futures contracts
Futures contracts are exchange-traded and represent
commitments for the future purchase or sale of an asset at a specified price on a specified date. The Fund bought and sold futures contracts to produce incremental earnings, to manage the duration and yield curve exposure of the Fund versus the
benchmark and to manage exposure to movements in interest rates. These instruments may be used for other purposes in future periods. Upon entering into futures contracts, the Fund bears risks that it may not achieve the anticipated benefits of the
futures contracts and may realize a loss. Additional risks include counterparty credit risk, the possibility of an illiquid market, and that a change in the value of the contract or option may not correlate with changes in the value of the
underlying asset.
Upon entering into a futures contract,
the Fund deposits cash or securities with the broker, known as a futures commission merchant (FCM), in an amount sufficient to meet the initial margin requirement. The initial margin deposit must be maintained at an established level over the life
of the contract. Cash deposited as initial margin is recorded in the Statement of Assets and Liabilities as margin deposits. Securities deposited as initial margin are designated in the Portfolio of Investments. Subsequent payments (variation
margin) are made or received by the Fund each day. The variation margin payments are equal to the daily change in the contract value and are recorded as variation margin receivable or payable and are offset in unrealized gains or losses. The Fund
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.
Multi-Manager
Total Return Bond Strategies Fund | Annual Report 2019
|
83
|
Notes to Financial Statements (continued)
August 31, 2019
Credit
default swap contracts
The Fund entered into credit
default swap contracts to increase or decrease its credit exposure to an index, to manage credit risk exposure, increase or decrease its credit exposure to a specific debt security or a basket of debt securities and as a protection buyer to reduce
overall credit 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 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 hedge the portfolio
risk associated with some or all of the Fund’s securities. These instruments may be used for other purposes in future periods. An interest rate swap 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
84
|
Multi-Manager Total Return
Bond Strategies Fund | Annual Report 2019
|
Notes to Financial Statements (continued)
August 31, 2019
agreements between
two parties that involve the exchange of one type of interest rate for another type of interest rate cash flow on specified dates in the future, based on a predetermined, specified notional amount. Certain interest rate swaps are considered
forward-starting, whereby the accrual for the exchange of cash flows does not begin until a specified date in the future. The net cash flow for a standard interest rate swap transaction is generally the difference between a floating market interest
rate versus a fixed interest rate.
Interest rate swaps
are valued daily and unrealized appreciation (depreciation) is recorded. Certain interest rate swaps may accrue periodic interest on a daily basis as a component of unrealized appreciation (depreciation); the Fund will realize a gain or loss upon
the payment or receipt of accrued interest. The Fund will realize a gain or a loss when the interest rate swap is terminated.
Effects of derivative transactions in the financial
statements
The following tables are intended to provide
additional information about the effect of derivatives on the financial statements of the Fund, including: the fair value of derivatives by risk category and the location of those fair values in the Statement of Assets and Liabilities; and the
impact of derivative transactions over the period in the Statement of Operations, including realized and unrealized gains (losses). The derivative instrument schedules following the Portfolio of Investments present additional information regarding
derivative instruments outstanding at the end of the period, if any.
The following table is a summary of the fair value of
derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) at August 31, 2019:
|
Asset
derivatives
|
|
Risk
exposure
category
|
Statement
of assets and liabilities
location
|
Fair
value ($)
|
Interest
rate risk
|
Component
of total distributable earnings (loss) — unrealized appreciation on futures contracts
|
6,505,816*
|
Interest
rate risk
|
Component
of total distributable earnings (loss) — unrealized appreciation on swap contracts
|
3,067,098*
|
Total
|
|
9,572,914
|
|
Liability
derivatives
|
|
Risk
exposure
category
|
Statement
of assets and liabilities
location
|
Fair
value ($)
|
Credit
risk
|
Component
of total distributable earnings (loss) — unrealized depreciation on swap contracts
|
1,199,745*
|
Interest
rate risk
|
Component
of total distributable earnings (loss) — unrealized depreciation on futures contracts
|
955,026*
|
Interest
rate risk
|
Component
of total distributable earnings (loss) — unrealized depreciation on swap contracts
|
57,365,722*
|
Total
|
|
59,520,493
|
*
|
Includes
cumulative appreciation (depreciation) as reported in the tables following the Portfolio of Investments. Only the current day’s variation margin is reported in receivables or payables in the Statement of Assets and Liabilities.
|
Multi-Manager
Total Return Bond Strategies Fund | Annual Report 2019
|
85
|
Notes to Financial Statements (continued)
August 31, 2019
The
following table indicates the effect of derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) in the Statement of Operations for the year ended August 31, 2019:
Amount
of realized gain (loss) on derivatives recognized in income
|
Risk
exposure category
|
Forward
foreign
currency
exchange
contracts
($)
|
Futures
contracts
($)
|
Swap
contracts
($)
|
Total
($)
|
Credit
risk
|
—
|
—
|
(21,457,708)
|
(21,457,708)
|
Foreign
exchange risk
|
(959,763)
|
—
|
—
|
(959,763)
|
Interest
rate risk
|
—
|
124,287,967
|
(56,490,173)
|
67,797,794
|
Total
|
(959,763)
|
124,287,967
|
(77,947,881)
|
45,380,323
|
|
Change
in unrealized appreciation (depreciation) on derivatives recognized in income
|
Risk
exposure category
|
Forward
foreign
currency
exchange
contracts
($)
|
Futures
contracts
($)
|
Swap
contracts
($)
|
Total
($)
|
Credit
risk
|
—
|
—
|
5,687,358
|
5,687,358
|
Foreign
exchange risk
|
85,686
|
—
|
—
|
85,686
|
Interest
rate risk
|
—
|
6,012,854
|
(66,142,703)
|
(60,129,849)
|
Total
|
85,686
|
6,012,854
|
(60,455,345)
|
(54,356,805)
|
The following table is a summary
of the average outstanding volume by derivative instrument for the year ended August 31, 2019:
Derivative
instrument
|
Average
notional
amounts ($)
|
Futures
contracts — long
|
2,281,504,924*
|
Futures
contracts — short
|
599,673,023*
|
Credit
default swap contracts — buy protection
|
201,890,523*
|
Credit
default swap contracts — sell protection
|
8,404,121**
|
Derivative
instrument
|
Average
unrealized
appreciation ($)
|
Average
unrealized
depreciation ($)
|
Forward
foreign currency exchange contracts
|
73,318**
|
(195,604)**
|
Interest
rate swap contracts
|
12,718,434*
|
(33,343,402)*
|
*
|
Based on
the ending quarterly outstanding amounts for the year ended August 31, 2019.
|
**
|
Based on
the ending daily outstanding amounts for the year ended August 31, 2019.
|
Investments in senior loans
The Fund may invest in senior loan assignments. When the Fund
purchases an assignment of a senior loan, the Fund typically has direct rights against the borrower; provided, however, that the Fund’s rights may be more limited than the lender from which it acquired the assignment and the Fund may be able
to enforce its rights only through an administrative agent. Although certain senior loan assignments are secured by collateral, the Fund could experience delays or limitations in realizing such collateral or have its interest subordinated to other
indebtedness of the obligor. In the event that the administrator or collateral agent of a loan becomes insolvent or enters into receivership or bankruptcy, the Fund may incur costs and delays in realizing payment or may suffer a loss of principal
and/or interest. The risk of loss is greater for unsecured or subordinated loans. In addition, senior loan assignments are vulnerable to market, economic or other conditions or events that may reduce the demand for senior loan assignments and
certain senior loan assignments which were liquid when purchased, may become illiquid.
86
|
Multi-Manager Total Return
Bond Strategies Fund | Annual Report 2019
|
Notes to Financial Statements (continued)
August 31, 2019
The
Fund may enter into senior loan assignments where all or a portion of the loan may be unfunded. The Fund is obligated to fund these commitments at the borrower’s discretion. These commitments, if any, are generally traded and priced in the
same manner as other senior loan securities and are disclosed as unfunded senior loan commitments in the Fund’s Portfolio of Investments with a corresponding payable for investments purchased. The Fund designates cash or liquid securities to
cover these commitments.
Asset- and mortgage-backed
securities
The Fund may invest in asset-backed and
mortgage-backed securities. The maturity dates shown represent the original maturity of the underlying obligation. Actual maturity may vary based upon prepayment activity on these obligations. All, or a portion, of the obligation may be prepaid at
any time because the underlying asset may be prepaid. As a result, decreasing market interest rates could result in an increased level of prepayment. An increased prepayment rate will have the effect of shortening the maturity of the security.
Unless otherwise noted, the coupon rates presented are fixed rates.
Delayed delivery securities
The Fund may trade securities on other than normal settlement
terms, including securities purchased or sold on a “when-issued” or "forward commitment" basis. This may increase risk to the Fund since the other party to the transaction may fail to deliver, which could cause the Fund to subsequently
invest at less advantageous prices. The Fund designates cash or liquid securities in an amount equal to the delayed delivery commitment.
To be announced securities
The Fund may trade securities on a To Be Announced (TBA)
basis. As with other delayed-delivery transactions, a seller agrees to issue a TBA security at a future date. However, the seller does not specify the particular securities to be delivered. Instead, the Fund agrees to accept any security that meets
specified terms.
In some cases, Master Securities
Forward Transaction Agreements (MSFTAs) may be used to govern transactions of certain forward-settling agency mortgage-backed securities, such as delayed-delivery and TBAs, between the Fund and counterparty. The MSFTA maintains provisions for, among
other things, initiation and confirmation, payment and transfer, events of default, termination, and maintenance of collateral relating to such transactions.
Mortgage dollar roll transactions
The Fund may enter into mortgage “dollar rolls” in
which the Fund sells securities for delivery in the current month and simultaneously contracts with the same counterparty to repurchase similar but not identical securities (same type, coupon and maturity) on a specified future date. During the roll
period, the Fund loses the right to receive principal and interest paid on the securities sold. However, the Fund will benefit because it receives negotiated amounts in the form of reductions of the purchase price for the future purchase plus the
interest earned on the cash proceeds of the securities sold until the settlement date of the forward purchase. The Fund records the incremental difference between the forward purchase and sale of each forward roll as a realized gain or loss. Unless
any realized gains exceed the income, capital appreciation, and gain or loss due to mortgage prepayments that would have been realized on the securities sold as part of the mortgage dollar roll, the use of this technique will diminish the investment
performance of the Fund compared to what the performance would have been without the use of mortgage dollar rolls. All cash proceeds will be invested in instruments that are permissible investments for the Fund. The Fund identifies cash or liquid
securities in an amount equal to the forward purchase price.
For financial reporting and tax purposes, the Fund treats
“to be announced” mortgage dollar rolls as two separate transactions, one involving the purchase of a security and a separate transaction involving a sale. These transactions may increase the Fund’s portfolio turnover rate. The
Fund does not currently enter into mortgage dollar rolls that are accounted for as financing transactions.
Mortgage dollar rolls involve the risk that the market value
of the securities the Fund is obligated to repurchase may decline below the repurchase price, or that the counterparty may default on its obligations.
Multi-Manager
Total Return Bond Strategies Fund | Annual Report 2019
|
87
|
Notes to Financial Statements (continued)
August 31, 2019
Treasury inflation protected securities
The Fund may invest in treasury inflation protected securities
(TIPS). The principal amount of TIPS is adjusted periodically and is increased for inflation or decreased for deflation based on a monthly published index. These adjustments are recorded as interest income in the Statement of Operations. Coupon
payments are based on the adjusted principal at the time the interest is paid.
Interest only and principal only securities
The Fund may invest in Interest Only (IO) or Principal Only
(PO) securities. IOs are stripped securities entitled to receive all of the security’s interest, but none of its principal. IOs are particularly sensitive to changes in interest rates and therefore subject to greater fluctuations in price than
typical interest bearing debt securities. IOs are also subject to credit risk because the Fund may not receive all or part of the interest payments if the issuer, obligor, guarantor or counterparty defaults on its obligation. Payments received for
IOs are included in interest income on the Statement of Operations. Because no principal will be received at the maturity of an IO, adjustments are made to the cost of the security on a monthly basis until maturity. These adjustments are included in
interest income on the Statement of Operations. POs are stripped securities entitled to receive the principal from the underlying obligation, but not the interest. POs are particularly sensitive to changes in interest rates and therefore are subject
to fluctuations in price. POs are also subject to credit risk because the Fund may not receive all or part of its principal if the issuer, obligor, guarantor or counterparty defaults on its obligation. The Fund may also invest in IO or PO stripped
mortgage-backed securities. Payments received for POs are treated as reductions to the cost and par value of the securities.
Offsetting of assets and liabilities
The following table presents the Fund’s gross and net
amount of assets and liabilities available for offset under netting arrangements as well as any related collateral received or pledged by the Fund as of August 31, 2019:
|
JPMorgan
($)
|
Morgan
Stanley ($)
|
Total
($)
|
Assets
|
|
|
|
Centrally
cleared credit default swap contracts (a)
|
-
|
47,258
|
47,258
|
Centrally
cleared interest rate swap contracts (a)
|
187,878
|
-
|
187,878
|
Total
assets
|
187,878
|
47,258
|
235,136
|
Liabilities
|
|
|
|
Centrally
cleared credit default swap contracts (a)
|
-
|
60,917
|
60,917
|
Centrally
cleared interest rate swap contracts (a)
|
1,403,683
|
-
|
1,403,683
|
Total
liabilities
|
1,403,683
|
60,917
|
1,464,600
|
Total
financial and derivative net assets
|
(1,215,805)
|
(13,659)
|
(1,229,464)
|
Total
collateral received (pledged) (b)
|
(1,215,805)
|
(13,659)
|
(1,229,464)
|
Net
amount (c)
|
-
|
-
|
-
|
(a)
|
Centrally
cleared swaps are included within payable/receivable for variation margin on the Statement of Assets and Liabilities.
|
(b)
|
In some
instances, the actual collateral received and/or pledged may be more than the amount shown due to overcollateralization.
|
(c)
|
Represents the
net amount due from/(to) counterparties in the event of default.
|
Security transactions
Security transactions are accounted for on the trade date.
Cost is determined and gains (losses) are based upon the specific identification method for both financial statement and federal income tax purposes.
The trade date for senior loans purchased in the primary
market is the date on which the loan is allocated. The trade date for senior loans purchased in the secondary market is the date on which the transaction is entered into.
88
|
Multi-Manager Total Return
Bond Strategies Fund | Annual Report 2019
|
Notes to Financial Statements (continued)
August 31, 2019
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.
Dividend income is recorded on the ex-dividend date.
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.
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.
The value of additional securities received as an income
payment through a payment in kind, if any, is recorded as interest income and increases the cost basis of such securities.
The Fund may receive other income from senior loans, including
amendment fees, consent fees and commitment fees. These fees are recorded as income when received by the Fund. These amounts are included in Interest Income in the Statement of Operations.
Expenses
General expenses of the Trust are allocated to the Fund and
other funds of the Trust based upon relative net assets or other expense allocation methodologies determined by the nature of the expense. Expenses directly attributable to the Fund are charged to the Fund. Expenses directly attributable to a
specific class of shares are charged to that share class.
Determination of class net asset value
All income, expenses (other than class-specific expenses,
which are charged to that share class, as shown in the Statement of Operations) and realized and unrealized gains (losses) are allocated to each class of the Fund on a daily basis, based on the relative net assets of each class, for purposes of
determining the net asset value of each class.
Federal
income tax status
The Fund intends to qualify each year
as a regulated investment company under Subchapter M of the Internal Revenue Code, as amended, and will distribute substantially all of its investment company taxable income and net capital gain, if any, for its tax year, and as such will not be
subject to federal income taxes. In addition, the Fund intends to distribute in each calendar year substantially all of its ordinary income, capital gain net income and certain other amounts, if any, such that the Fund should not be subject to
federal excise tax. Therefore, no federal income or excise tax provision is recorded.
Foreign taxes
The Fund may be subject to foreign taxes on income, gains on
investments or currency repatriation, a portion of which may be recoverable. The Fund will accrue such taxes and recoveries, as applicable, based upon its current interpretation of tax rules and regulations that exist in the markets in which it
invests.
Realized gains in certain countries may be
subject to foreign taxes at the Fund level, based on statutory rates. The Fund accrues for such foreign taxes on realized and unrealized gains at the appropriate rate for each jurisdiction, as applicable. The amount, if any, is disclosed as a
liability on the Statement of Assets and Liabilities.
Multi-Manager
Total Return Bond Strategies Fund | Annual Report 2019
|
89
|
Notes to Financial Statements (continued)
August 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. The standard is effective for annual periods beginning after December 15, 2019 and interim periods within
those fiscal years, with early adoption permitted. After evaluation, management determined to adopt the ASU effective for the period ended August 31, 2019 and all subsequent periods. As a result of the amendments, management implemented disclosure
changes which include removal of the amount and reasons for transfers between Level 1 and Level 2 of the fair value hierarchy, removal of the policy for the timing of transfers between levels, removal of the description of the Level 3 valuation
processes, as well as modifications to the measurement uncertainty disclosure.
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 Investment Manager is responsible for the ultimate oversight of investments made by the Fund. The Fund’s subadvisers (see Subadvisory agreements below) have the primary
responsibility for the day-to-day portfolio management of
90
|
Multi-Manager Total Return
Bond Strategies Fund | Annual Report 2019
|
Notes to Financial Statements (continued)
August 31, 2019
their portion of
the Fund. The management services fee is an annual fee that is equal to a percentage of the Fund’s daily net assets that declines from 0.50% to 0.34% as the Fund’s net assets increase. The effective management services fee rate for the
year ended August 31, 2019 was 0.46% of the Fund’s average daily net assets.
The Investment Manager has voluntarily agreed to waive a
portion of the management services fee on Fund assets that are invested in affiliated mutual funds, exchange-traded funds and closed-end funds that pay a management services fee, or where applicable, an advisory fee to the Investment Manager. The
Investment Manager, in its discretion, may revise or discontinue this arrangement at any time.
Subadvisory agreements
The Investment Manager has entered into Subadvisory Agreements
with Loomis Sayles & Company, L.P., PGIM, Inc., the asset management arm of Prudential Financial, TCW Investment Management Company, LLC, and, effective December 6, 2018, Voya Investment Management Co. LLC each of which manage a portion of the
assets of the Fund. New investments in the Fund, net of any redemptions, are allocated in accordance with the Investment Manager’s determination, subject to the oversight of the Fund’s Board of Trustees. Each subadviser’s
proportionate share of investments in the Fund may also vary due to market fluctuations. The Investment Manager compensates each subadviser to manage the investment of the Fund’s assets.
Compensation of board members
Members of the Board of Trustees who are not officers or
employees of the Investment Manager or Ameriprise Financial are compensated for their services to the Fund as disclosed in the Statement of Operations. 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.
For the year ended August 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
|
Institutional
Class
|
0.05
|
Multi-Manager
Total Return Bond Strategies Fund | Annual Report 2019
|
91
|
Notes to Financial Statements (continued)
August 31, 2019
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.
The Fund may pay distribution fee of up to 0.25% of the
Fund’s average daily net assets attributable to Class A shares and a service fee of up to 0.25% of the Fund’s average daily net assets attributable to Class A shares, provided that the aggregate fee shall not exceed 0.25% of the
Fund’s average daily net assets attributable to Class A shares.
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:
|
July
1, 2019
through
December 31, 2020
|
January
1, 2019
through
June 30, 2019
|
Prior
to
January 1, 2019
|
Class
A
|
0.74%
|
0.82%
|
0.86%
|
Institutional
Class
|
0.49
|
0.57
|
0.61
|
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.
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 August 31, 2019, these differences were primarily due to
differing treatment for deferral/reversal of wash sale losses, trustees’ deferred compensation, derivative investments, tax straddles, distributions, non-deductible expenses, swap investments, principal and/or interest of fixed income
securities, 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.
92
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Multi-Manager Total Return
Bond Strategies Fund | Annual Report 2019
|
Notes to Financial Statements (continued)
August 31, 2019
The
following reclassifications were made:
Undistributed
net
investment
income ($)
|
Accumulated
net realized
gain ($)
|
Paid
in
capital ($)
|
2,482,213
|
(2,482,213)
|
—
|
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 August 31, 2019
|
Year
Ended August 31, 2018
|
Ordinary
income ($)
|
Long-term
capital gains ($)
|
Total
($)
|
Ordinary
income ($)
|
Long-term
capital gains ($)
|
Total
($)
|
251,092,588
|
—
|
251,092,588
|
195,850,785
|
2,908,510
|
198,759,295
|
Short-term capital gain
distributions, if any, are considered ordinary income distributions for tax purposes.
At August 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 ($)
|
Net
unrealized
appreciation ($)
|
26,202,605
|
24,940,728
|
—
|
229,787,561
|
At August 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) ($)
|
Net
unrealized
appreciation ($)
|
8,439,114,740
|
274,606,395
|
(44,818,834)
|
229,787,561
|
Tax cost of investments and
unrealized appreciation/(depreciation) may also include timing differences that do not constitute adjustments to tax basis.
The following capital loss carryforwards, determined at August
31, 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 August 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
($)
|
—
|
—
|
—
|
120,451,960
|
—
|
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 $17,223,686,208 and $17,055,605,214, respectively, for the year ended August 31, 2019, of which $13,596,630,093 and $13,167,507,744, respectively, were U.S.
government securities. The amount of purchase and sale activity impacts the portfolio turnover rate reported in the Financial Highlights.
Multi-Manager
Total Return Bond Strategies Fund | Annual Report 2019
|
93
|
Notes to Financial Statements (continued)
August 31, 2019
Note 6. Affiliated money market fund
The Fund invests in Columbia Short-Term Cash Fund, an
affiliated money market fund established for the exclusive use by the Fund and other affiliated funds (the Affiliated MMF). The income earned by the Fund from such investments is included as Dividends - affiliated issuers in the Statement of
Operations. As an investing fund, the Fund indirectly bears its proportionate share of the expenses of the Affiliated MMF. The Affiliated MMF prices its shares with a floating net asset value. In addition, the Board of Trustees of the Affiliated MMF
may impose a fee on redemptions (sometimes referred to as a liquidity fee) or temporarily suspend redemptions (sometimes referred to as imposing a redemption gate) in the event its liquidity falls below regulatory limits.
Note 7. Interfund lending
Pursuant to an exemptive order granted by the Securities and
Exchange Commission, the Fund participates in a program (the Interfund Program) allowing each participating Columbia Fund (each, a Participating Fund) to lend money directly to and, except for closed-end funds and money market funds, borrow money
directly from other Participating Funds for temporary purposes. The amounts eligible for borrowing and lending under the Interfund Program are subject to certain restrictions.
Interfund loans are subject to the risk that the borrowing
fund could be unable to repay the loan when due, and a delay in repayment to the lending fund could result in lost opportunities and/or additional lending costs. The exemptive order is subject to conditions intended to mitigate conflicts of interest
arising from the Investment Manager’s relationship with each Participating Fund.
The Fund’s activity in the Interfund Program during the
year ended August 31, 2019 was as follows:
Borrower
or lender
|
Average
loan
balance ($)
|
Weighted
average
interest rate (%)
|
Days
outstanding
|
Borrower
|
1,300,000
|
2.83
|
2
|
Interest expense incurred by the
Fund is recorded as Interfund lending in the Statement of Operations. The Fund had no outstanding interfund loans at August 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 August 31,
2019.
Note 9. 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 defaults or otherwise becomes unable or unwilling, or is perceived to be unable or unwilling, to honor its financial obligations, such as making payments to the Fund when due. Rating agencies
assign credit ratings to certain debt instruments to indicate their credit risk. Lower rated or unrated debt instruments held by the Fund may present increased credit risk as compared to higher-rated debt instruments.
94
|
Multi-Manager Total Return
Bond Strategies Fund | Annual Report 2019
|
Notes to Financial Statements (continued)
August 31, 2019
Derivatives risk
Losses involving derivative instruments may be substantial,
because a relatively small movement in the underlying reference (which is generally the price, rate or other economic indicator associated with a security(ies), commodity, currency 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, liquidity risk and pricing risk.
Interest rate risk
Interest rate risk is the risk of losses attributable to
changes in interest rates. In general, if 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.
Mortgage- and other asset-backed securities risk
The value of any mortgage-backed and other asset-backed
securities held by the Fund may be affected by, among other things, changes or perceived changes in: interest rates; factors concerning the interests in and structure of the issuer or the originator of the mortgages or other assets; the
creditworthiness of the entities that provide any supporting letters of credit, surety bonds or other credit enhancements; or the market’s assessment of the quality of underlying assets. Payment of principal and interest on some
mortgage-backed securities (but not the market value of the securities themselves) may be guaranteed by the full faith and credit of a particular U.S. Government agency, authority, enterprise or instrumentality, and some, but not all, are also
insured or guaranteed by the U.S. Government. Mortgage-backed securities issued by non-governmental issuers (such as commercial banks, savings and loan institutions, private mortgage insurance companies, mortgage bankers and other secondary market
issuers) may entail greater risk than obligations guaranteed by the U.S. Government. Mortgage- and other asset-backed securities are subject to liquidity risk and prepayment risk. A decline or flattening of housing values may cause delinquencies in
the mortgages (especially sub-prime or non-prime mortgages) underlying mortgage-backed securities and thereby adversely affect the ability of the mortgage-backed securities issuer to make principal and/or interest payments to mortgage-backed
securities holders, including the Fund. Rising or high interest rates tend to extend the duration of mortgage- and other asset-backed securities, making their prices more volatile and more sensitive to changes in interest rates.
Shareholder concentration risk
At August 31, 2019, affiliated shareholders of record owned
100.0% of the outstanding shares of the Fund in one or more accounts. Subscription and redemption activity by concentrated accounts may have a significant effect on the operations of the Fund. In the case of a large redemption, the Fund may be
forced to sell investments at inopportune times, including its liquid positions, which may result in Fund losses and the Fund holding a higher percentage of less liquid positions. Large redemptions could result in decreased economies of scale and
increased operating expenses for non-redeeming Fund shareholders.
Multi-Manager
Total Return Bond Strategies Fund | Annual Report 2019
|
95
|
Notes to Financial Statements (continued)
August 31, 2019
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.
96
|
Multi-Manager Total Return
Bond Strategies 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 Multi-Manager Total Return Bond Strategies Fund
Opinion on the Financial Statements
We have audited the accompanying statement of assets and
liabilities, including the portfolio of investments, of Multi-Manager Total Return Bond Strategies Fund (one of the funds constituting Columbia Funds Series Trust I, hereafter referred to as the “Fund”) as of August 31, 2019, the related
statement of operations for the year ended August 31, 2019, the statement of changes in net assets for each of the two years in the period ended August 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 August 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 August 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 August 31, 2019, by correspondence with the custodian, transfer agent, agent banks, and brokers; when replies were not received from brokers, we performed other audit procedures. We believe that our audits provide a
reasonable basis for our opinion.
/s/PricewaterhouseCoopers LLP
Minneapolis, Minnesota
October 24, 2019
We have served as the auditor of one or more investment
companies within the Columbia Funds Complex since 1977.
Multi-Manager
Total Return Bond Strategies Fund | Annual Report 2019
|
97
|
Federal Income Tax Information
(Unaudited)
The Fund hereby designates the following tax attributes for
the fiscal year ended August 31, 2019. Shareholders will be notified in early 2020 of the amounts for use in preparing 2019 income tax returns.
Capital
gain
dividend
|
|
$26,187,764
|
|
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.
TRUSTEES AND OFFICERS
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), September 2007-October 2018
|
70
|
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, December 2002-May 2006; President of UAL Loyalty Services (airline marketing company), September 2001-December 2002; Executive Vice President and Chief
Financial Officer of United Airlines, July 1999-September 2001
|
70
|
Spartan
Nash Company, (food distributor); former Director, Nash Finch Company (food distributor), 2005-2013; Aircastle Limited (aircraft leasing); former Director, SeaCube Container Leasing Ltd. (container leasing), 2010-2013; 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), 1997-2010; Chair, Wellington Management Portfolios (commingled non-U.S. investment pools), 2007-2010; Director, Wellington Trust Company, NA
and other Wellington affiliates, 1997-2010
|
70
|
None
|
98
|
Multi-Manager Total Return
Bond Strategies 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
|
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
|
70
|
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
|
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, August 2007-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, August 1999-October 2005;
University Professor, Boston College, November 2005-August 2007
|
70
|
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, 1988-2014
|
70
|
Former
Director, M Fund, Inc. (M Funds mutual fund family), July 2018-July 2019
|
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, 1994-1997, President – Application Systems Division, 1991-1994, Chief Financial Officer – US Marketing & Services, 1988-1991, and Chief Information Officer, 1987-1988, IBM Corporation
(computer and technology)
|
70
|
Former
Director, Enesco Group, Inc. (producer of giftware and home and garden decor products), 2001-2006
|
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, May
2010-February 2015; President, Columbia Funds, 2009-2015; and senior officer of Columbia Funds and affiliated funds, 2003-2015
|
70
|
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
|
Multi-Manager
Total Return Bond Strategies Fund | Annual Report 2019
|
99
|
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, 2004-2010; Senior Partner, McKinsey & Company, 2001-2004
|
70
|
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, April 2016-September
2016; Senior Vice President and Chief Investment Officer, Calvert Investments, August 2008-January 2016; Section Head and Portfolio Manager, General Motors Asset Management, June 1997-August 2008
|
70
|
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
|
192
|
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, August 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.
100
|
Multi-Manager Total Return
Bond Strategies 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 as of the printing of this report, 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:
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.
|
Multi-Manager
Total Return Bond Strategies Fund | Annual Report 2019
|
101
|
Board Consideration and Approval of
Management
and Subadvisory Agreements
On June 12, 2019, the Board of Trustees (the Board) and the
Trustees who are not interested persons (as defined in the Investment Company Act of 1940) (the Independent Trustees) of Columbia Funds Series Trust I (the Trust) unanimously approved the continuation of the Management Agreement (the Management
Agreement) with Columbia Management Investment Advisers, LLC (the Investment Manager) and the Subadvisory Agreements (the Subadvisory Agreements) between the Investment Manager and Loomis, Sayles & Company, L.P., PGIM, Inc., TCW Investment
Management Company LLC and Voya Investment Management Co. LLC (the Subadvisers) with respect to Multi-Manager Total Return Bond Strategies Fund (the Fund), a series of the Trust. As detailed below, the Board’s Advisory Fees and Expenses
Committee (the Committee) and the Board met on multiple occasions to review and discuss, among themselves, with the management team of the Investment Manager and with an independent fee consultant, materials provided by the Investment Manager, the
independent fee consultant and others before determining to approve the continuation of the Management Agreement and the Subadvisory Agreements (collectively, the Agreements).
In connection with their deliberations regarding the
continuation of the Management Agreement and the Subadvisory Agreements, the Committee and the Board evaluated materials requested from the Investment Manager regarding the Fund and the Agreements, and discussed these materials with representatives
of the Investment Manager at Committee meetings held on March 5, 2019, April 25, 2019 and June 11, 2019 and at Board meetings held on March 6, 2019 and June 12, 2019. In addition, the Board and its various committees consider matters bearing on the
Agreements at other meetings throughout the year and in prior years and meet regularly with senior management of the Trust and the Investment Manager. Through the Board’s Investment Oversight Committees, Trustees also meet with selected
portfolio managers of the funds the Trustees oversee and with other investment personnel at various times throughout the year. The Committee and the Board also consulted with the independent fee consultant, Fund counsel and the Independent
Trustees’ independent legal counsel, who advised on various matters with respect to the Committee’s and the Board’s considerations and otherwise assisted the Committee and the Board in their deliberations. On June 11, 2019, the
Committee recommended that the Board approve the continuation of the Management Agreement and the Subadvisory Agreements. On June 12, 2019, the Board, including the Independent Trustees, voting separately, unanimously approved the continuation of
the Management Agreement and the Subadvisory Agreements for the Fund.
The Committee and the Board considered all information that
they, their legal counsel or the Investment Manager believed reasonably necessary to evaluate and to determine whether to recommend for approval or approve the continuation of the Management Agreement and the Subadvisory Agreements. The information
and factors considered by the Committee and the Board in recommending for approval or approving the continuation of the Management Agreement and the Subadvisory Agreements for the Fund included the following:
•
|
Information on the
investment performance of the Fund relative to the performance of a group of mutual funds determined to be comparable to the Fund by an independent third-party data provider, as well as performance relative to benchmarks;
|
•
|
Information on the
Fund’s management fees and total expenses, including information comparing the Fund’s expenses to those of a group of comparable mutual funds, as determined by the independent third-party data provider;
|
•
|
The Investment
Manager’s agreement to contractually limit or cap total operating expenses for the Fund through December 31, 2020 so that total operating expenses (excluding certain fees and expenses, such as transaction costs and certain other investment
related expenses, interest, taxes, acquired fund fees and expenses, and infrequent and/or unusual expenses) would not exceed a specified annual rate, as a percentage of the Fund’s net assets;
|
•
|
The terms and conditions of
the Agreements;
|
•
|
The subadvisory fees payable
by the Investment Manager under the Subadvisory Agreements;
|
•
|
The current and proposed
terms and conditions of other agreements and arrangements with affiliates of the Investment Manager relating to the operations of the Fund, including agreements with respect to the provision of distribution, transfer agency and shareholder services
to the Fund;
|
•
|
Descriptions of various
functions performed by the Investment Manager and the Subadvisers under the Agreements, including portfolio management and portfolio trading practices;
|
102
|
Multi-Manager Total Return
Bond Strategies Fund | Annual Report 2019
|
Board Consideration and Approval of Management
and Subadvisory Agreements (continued)
•
|
Information regarding the
management fees of similarly-managed portfolios of other clients of the Investment Manager, including institutional accounts and collective trusts;
|
•
|
Information regarding the
reputation, regulatory history and resources of the Investment Manager and Subadvisers, including information regarding senior management, portfolio managers and other personnel;
|
•
|
Information regarding the
capabilities of the Investment Manager and the Subadvisers with respect to compliance monitoring services, including an assessment of the Investment Manager’s and the Subadvisers’ compliance systems by the Fund’s Chief Compliance
Officer; and
|
•
|
The profitability to the
Investment Manager and its affiliates from their relationships with the Fund.
|
Nature, extent and quality of services provided under the
Agreements
The Committee and the Board considered the
nature, extent and quality of services provided to the Fund by the Investment Manager, the Subadvisers and the Investment Manager’s affiliates under the Agreements and under separate agreements for the provision of transfer agency and
shareholder services, and the resources dedicated to the Fund and the other Columbia Funds by the Investment Manager, the Subadvisers and the Investment Manager’s affiliates. The Committee and the Board considered, among other things, the
Investment Manager’s ability to attract, motivate and retain highly qualified research, advisory and supervisory investment professionals (including compensation programs for personnel involved in fund management, reputation and other
attributes), the portfolio management services provided by those investment professionals, and the quality of the Investment Manager’s and the Subadvisers’ investment research capabilities and trade execution services. The Committee and
the Board also considered the potential benefits to shareholders of investing in a mutual fund that is part of a fund complex offering exposure to a variety of asset classes and investment disciplines and providing a variety of fund and shareholder
services.
The Committee and the Board also considered
the professional experience and qualifications of the senior personnel of the Investment Manager and the Subadvisers, which included consideration of the Subadvisers’ experience with funds using an investment strategy similar to that used by
the Subadvisers for the Fund. The Committee and the Board noted the compliance programs of and the compliance-related resources provided to the Fund by the Investment Manager and its affiliates and the resources dedicated by the Investment Manager
and its affiliates to risk management, and considered the Investment Manager’s ability to provide administrative services to the Fund and coordinate the activities of the Fund’s other service providers. The Board also noted that, based
on information provided by the Investment Manager, the Board had approved each Subadviser’s code of ethics and compliance program, and that the Chief Compliance Officer of the Funds reports to the Trustees on each Subadviser’s compliance
program.
The Committee and the Board considered the
diligence and selection process undertaken by the Investment Manager to select each Subadviser, including the Investment Manager’s rationale for recommending the continuation of the Subadvisory Agreements, and the process for monitoring each
Subadviser’s ongoing performance of services for the Fund. As part of these deliberations, the Committee and the Board considered the ability of the Investment Manager, subject to the approval of the Board, to modify or enter into new
subadvisory agreements without a shareholder vote pursuant to an exemptive order of the Securities and Exchange Commission. The Committee and the Board also considered the scope of services provided to the Fund by the Investment Manager that are
distinct from and in addition to those provided by the Subadvisers, including cash flow management, treasury services, risk oversight, investment oversight and Subadviser selection, oversight and transition management. After reviewing these and
related factors, the Committee and the Board concluded, within the context of their overall conclusions, that the nature, extent and quality of the services provided to the Fund under the Agreements supported the continuation of the Management
Agreement and the Subadvisory Agreements.
Investment
performance
The Committee and the Board reviewed
information about the performance of the Fund over various time periods, including performance information relative to benchmarks, information that compared the performance of the Fund to the performance of a group of comparable mutual funds as
determined by the independent third-party data provider, and information and analysis provided by the independent fee consultant. The Committee and the Board also reviewed a description of the third party’s methodology for identifying the
Fund’s peer groups for purposes of performance and expense comparisons. Although
Multi-Manager
Total Return Bond Strategies Fund | Annual Report 2019
|
103
|
Board Consideration and Approval of Management
and Subadvisory Agreements (continued)
the Fund’s performance lagged that of a relevant peer group for certain
(although not necessarily all) periods, the Committee and the Board concluded that other factors relevant to performance were sufficient, in light of other considerations, to support continuation of the Management Agreement and the Subadvisory
Agreement. Those factors included one or more of the following: (i) that the Fund’s performance, although lagging in certain recent periods, was stronger over the longer term; (ii) that the underperformance was attributable, to a significant
extent, to investment decisions that were reasonable and consistent with the Fund’s investment strategy and policies and that the Fund was performing within a reasonable range of expectations, given those investment decisions, market
conditions and the Fund’s investment strategy; (iii) that the Fund’s performance was competitive when compared to other relevant performance benchmarks or peer groups; and (iv) that the Investment Manager had taken or was taking steps
designed to help improve the Fund’s investment performance, including, but not limited to, replacing portfolio managers, enhancing the resources supporting the portfolio managers, or modifying investment strategies.
The Committee and the Board noted that, through December 31,
2018, the Fund’s performance was in the eighty-fourth, fifty-sixty and sixty-first percentile (where the best performance would be in the first percentile) of its category selected by the independent third-party data provider for the purposes
of performance comparisons for the one-, three- and five-year periods, respectively.
The Committee and the Board also considered the Investment
Manager’s and Subadvisers’ performance and reputation generally, the Investment Manager’s evaluation of each Subadviser’s contribution to the Fund’s broader investment mandate, the Investment Manager’s historical
responsiveness to Board concerns about performance, and the Investment Manager’s willingness to take steps intended to improve performance. After reviewing these and related factors, the Committee and the Board concluded, within the context of
their overall conclusions, that the performance of the Fund, the Investment Manager and the Subadvisers were sufficient, in light of other considerations, to support the continuation of the Management Agreement and the Subadvisory Agreements.
Investment management fee rates and other expenses
The Committee and the Board considered the management fees
charged to the Fund under the Management Agreement and the Subadvisory Agreements, as well as the total expenses incurred by the Fund. In assessing the reasonableness of the fees under the Management Agreement, the Committee and the Board
considered, among other information, the Fund’s total expense ratio as a percentage of average daily net assets. The Committee and the Board considered data provided by the independent third-party data provider and the independent fee
consultant. The Committee and the Board noted that, as of December 31, 2018, the Fund’s actual management fee and net total expense ratio were ranked in the fifth and second quintiles, respectively, (where the lowest fees and expenses would be
in the first quintile) against the Fund’s expense universe as determined by the independent third-party data provider for purposes of expense comparison. The Committee and the Board also considered the fees that the Subadvisers charge to their
other clients and noted that the Investment Manager pays the fees of the Subadvisers. The Committee and the Board also took into account the fee waiver and expense limitation arrangements agreed to by the Investment Manager, as noted above.
The Committee and the Board also received and considered
information about the management fees charged by the Investment Manager to institutional accounts. In considering the fees charged to those accounts, the Committee and the Board took into account, among other things, the Investment Manager’s
representations about the differences between managing mutual funds as compared to other types of accounts, including differences in the services provided, differences in the risk profile of such business for the Investment Manager and the
additional resources required to manage mutual funds effectively. The Committee and the Board also received and considered information about the fees charged by the Investment Manager for sub-advisory services it provides to comparable unaffiliated
funds. In evaluating the Fund’s management fees, the Committee and the Board also took into account the demands, complexity and quality of the investment management of the Fund.
After reviewing these and related factors, the Committee and
the Board concluded, within the context of their overall conclusions, that the management fee rates and expenses of the Fund, in light of other considerations, supported the continuation of the Management Agreement and the Subadvisory
Agreements.
104
|
Multi-Manager Total Return
Bond Strategies Fund | Annual Report 2019
|
Board Consideration and Approval of Management
and Subadvisory Agreements (continued)
Costs of services provided and profitability
The Committee and the Board also took note of the costs the
Investment Manager and its affiliates incur in connection with the services provided and the profitability to the Investment Manager and its affiliates from their relationships with the Fund, and the efforts undertaken by the Investment Manager and
its affiliates to manage efficiently their costs to provide such services.
The Committee and the Board also considered the compensation
directly or indirectly received by the Investment Manager’s affiliates in connection with their relationships with the Fund. The Committee and the Board reviewed information provided by management as to the profitability to the Investment
Manager and its affiliates of their relationships with the Fund, including with respect to funds for which unaffiliated subadvisers provide services, information about changes in profitability in connection with a change in the Fund’s
subadviser, information about the allocation of expenses used to calculate profitability, and comparisons of profitability levels realized in 2018 to profitability levels realized in 2017. When reviewing profitability, the Committee and the Board
also considered court cases in which adviser profitability was an issue in whole or in part, the performance of similarly managed funds, the performance of the Fund, and the expense ratio of the Fund. In addition, the Committee and the Board
considered information provided by the Investment Manager regarding the Investment Manager’s financial condition and comparing its profitability to that of other asset management firms that are, or are subsidiaries of, publicly traded
companies. In this regard, the Committee and the Board also considered data provided by the independent fee consultant. Because the Subadvisory Agreements were negotiated at arms-length by the Investment Manager, which is responsible for payments to
the Subadvisers thereunder, the Committee and the Board did not consider the profitability to each Subadviser from its relationship with the Fund.
After reviewing these and related factors, the Committee and
the Board concluded, within the context of their overall conclusions, that the costs of services provided and the profitability to the Investment Manager and its affiliates from their relationships with the Fund supported the continuation of the
Management Agreement and the Subadvisory Agreements.
Economies of scale
The Committee and the Board considered the potential
existence of economies of scale in the provision by the Investment Manager of services to the Fund, to groups of related funds, and to the Investment Manager’s investment advisory clients as a whole, and whether those economies of scale were
shared with the Fund through breakpoints in investment management fees or other means, such as expense limitation arrangements and additional investments by the Investment Manager in investment, trading, compliance and other resources. The Committee
and the Board noted that the management fee schedules for the Fund contained breakpoints that would reduce the fee rate on assets above specified threshold levels.
The Committee and the Board noted that the breakpoints in the
Subadvisory Agreements did not occur at the same levels as the breakpoints in the Management Agreement. The Committee and the Board noted that absent a shareholder vote, the Investment Manager would bear any increase in fees payable under the
Subadvisory Agreements. The Committee and the Board also noted the potential challenges of seeking to tailor the Management Agreement breakpoints to those of a subadvisory agreement in this context, and the effect that capacity constraints on a
subadviser’s ability to manage assets could potentially have on the ability of the Investment Manager to achieve economies of scale, as new subadvisers may need to be added as the Fund grows, increasing the Investment Manager’s cost of
compensating and overseeing the Fund’s subadvisers.
In considering these matters, the Committee and the Board also
considered the costs of the services provided and the profitability to the Investment Manager and its affiliates from their relationships with the Fund, as noted above. After reviewing these and related factors, the Committee and the Board
concluded, within the context of their overall conclusions, that the extent to which any economies of scale were expected to be shared with the Fund supported the continuation of the Management Agreement and the Subadvisory Agreements.
Other benefits to the Investment Manager and
Subadvisers
The Committee and the Board received and
considered information regarding “fall-out” or ancillary benefits received by the Investment Manager and its affiliates as a result of their relationships with the Fund, such as the engagement of the Investment Manager’s affiliates
to provide distribution, transfer agency and shareholder services to the Fund. In this regard,
Multi-Manager
Total Return Bond Strategies Fund | Annual Report 2019
|
105
|
Board Consideration and Approval of Management
and Subadvisory Agreements (continued)
among other matters, the Committee and the Board considered that the
Fund’s distributor retains a portion of the distribution fees from the Fund and receives a portion of the sales charges on sales or redemptions of certain classes of shares of the Fund. The Committee and the Board also considered the benefits
of research made available to the Subadvisers by reason of brokerage commissions generated by the Fund’s securities transactions, and reviewed information about the Investment Manager’s practices with respect to considering brokerage and
research services when allocating portfolio transactions. In this connection, the Board also noted that the amount of research made available to the Investment Manager by reason of brokerage commissions had been declining over time, and may decline
further. The Committee and the Board recognized that the Investment Manager’s profitability would be somewhat lower without these benefits.
Conclusion
The Committee and the Board reviewed all of the above
considerations in reaching their decisions to recommend or approve the continuation of the Management Agreement and the Subadvisory Agreements. In their deliberations, the Trustees did not identify any particular information that was all-important
or controlling, and individual Trustees may have attributed different weights to the various factors. Based on their evaluation of all factors that they deemed to be material, including those factors described above, and assisted by the advice of
independent legal counsel, the Board, including the Independent Trustees, voting separately, unanimously approved the continuation of the Management Agreement and the Subadvisory Agreements.
106
|
Multi-Manager Total Return
Bond Strategies Fund | Annual Report 2019
|
[THIS PAGE INTENTIONALLY LEFT BLANK]
Multi-Manager Total Return Bond Strategies Fund
P.O. Box 219104
Kansas City, MO 64121-9104
Please read and consider the investment objectives, risks,
charges and expenses for any fund carefully before investing. For a prospectus and summary prospectus, which contains this and other important information about the Fund, go to
columbiathreadneedleus.com/investor/. The Fund is distributed by Columbia Management Investment Distributors, Inc., member FINRA, and managed by Columbia Management Investment Advisers, LLC.
Columbia Threadneedle Investments (Columbia Threadneedle) is
the global brand name of the Columbia and Threadneedle group of companies. All rights reserved.
© 2019 Columbia Management Investment Advisers, LLC.
columbiathreadneedleus.com/investor/
Annual
Report
August 31, 2019
Multi-Manager Small Cap Equity Strategies
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
|
|
12
|
|
13
|
|
26
|
|
27
|
|
28
|
|
30
|
|
32
|
|
40
|
|
41
|
|
41
|
|
45
|
Multi-Manager Small Cap Equity Strategies Fund (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-PORT, and for reporting periods ended prior to March 31, 2019, on Form N-Q. The Fund’s Form N-Q and Form N-PORT filings are available on the SEC’s website at sec.gov.
The Fund’s complete schedule of portfolio holdings, as filed on Form N-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 (the Investment Manager)
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
Multi-Manager Small
Cap Equity Strategies Fund | Annual Report 2019
Investment objective
The Fund seeks long-term capital
appreciation.
Portfolio
management
BMO
Asset Management Corp.
David Corris,
CFA
Thomas
Lettenberger, CFA
Columbia
Management Investment Advisers, LLC
Christian
Stadlinger, Ph.D, CFA
Jarl Ginsberg,
CFA, CAIA
Conestoga Capital
Advisors, LLC
Robert
Mitchell
Joseph Monahan,
CFA
Hotchkis
and Wiley Capital Management, LLC
Judd Peters,
CFA
Ryan
Thomes, CFA
J.P. Morgan
Investment Management Inc.
Eytan Shapiro,
CFA
Felise
Agranoff, CFA
Matthew
Cohen
Morningstar
style boxTM
The Morningstar
Style Box is based on a fund’s portfolio holdings. For equity funds, the vertical axis shows the market capitalization of the stocks owned, and the horizontal axis shows investment style (value, blend, or growth). Information shown is based on
the most recent data provided by Morningstar.
© 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 August 31, 2019)
|
|
|
Inception
|
1
Year
|
5
Years
|
Life
|
Class
A
|
04/20/12
|
-13.04
|
6.54
|
9.93
|
Institutional
Class*
|
01/03/17
|
-12.85
|
6.69
|
10.03
|
Russell
2000 Index
|
|
-12.89
|
6.41
|
10.30
|
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 Russell 2000 Index measures the performance of the
small-cap segment of the U.S. equity universe. The Russell 2000 is a subset of the Russell 3000 Index representing approximately 10% of the total market capitalization of that index. It includes the securities of approximately 2,000 of the smallest
companies in the Russell 3000 Index based on a combination of their market capitalization and current index membership.
Indices are not available for investment, are not
professionally managed and do not reflect sales charges, fees, brokerage commissions, taxes or other expenses of investing. Securities in the Fund may not match those in an index.
Multi-Manager
Small Cap Equity Strategies Fund | Annual Report 2019
|
3
|
Fund at a Glance (continued)
Performance of a
hypothetical $10,000 investment (April 20, 2012 — August 31, 2019)
The chart above shows the
change in value of a hypothetical $10,000 investment in Class A shares of Multi-Manager Small Cap Equity Strategies 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 August 31, 2019)
|
Exponent,
Inc.
|
1.0
|
Trex
Company, Inc.
|
1.0
|
Simpson
Manufacturing Co., Inc.
|
0.9
|
Cantel
Medical Corp.
|
0.9
|
Fox
Factory Holding Corp.
|
0.9
|
Descartes
Systems Group, Inc. (The)
|
0.7
|
SiteOne
Landscape Supply, Inc.
|
0.7
|
PROS
Holdings, Inc.
|
0.7
|
Repligen
Corp.
|
0.7
|
Omnicell,
Inc.
|
0.7
|
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 August 31, 2019)
|
Common
Stocks
|
97.7
|
Limited
Partnerships
|
0.2
|
Money
Market Funds
|
2.1
|
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 August 31, 2019)
|
Communication
Services
|
1.5
|
Consumer
Discretionary
|
10.9
|
Consumer
Staples
|
2.8
|
Energy
|
3.5
|
Financials
|
18.2
|
Health
Care
|
13.1
|
Industrials
|
20.4
|
Information
Technology
|
17.1
|
Materials
|
3.1
|
Real
Estate
|
5.9
|
Utilities
|
3.5
|
Total
|
100.0
|
Percentages indicated are based
upon total equity investments. The Fund’s portfolio composition is subject to change.
4
|
Multi-Manager Small Cap
Equity Strategies Fund | Annual Report 2019
|
Manager Discussion of Fund Performance
Effective February 12, 2019, Dalton, Greiner, Harman, Maher
& Co. (DGHM) no longer manages a portion of the Fund, and effective February 22, 2019, EAM Investors, LLC (EAM) no longer manages a portion of the Fund. Effective December 19, 2018, J.P. Morgan Investment Management Inc. (JPMIM) began managing a
portion of the Fund’s assets, and effective February 13, 2019, Hotchkis and Wiley Capital Management, LLC (Hotchkis & Wiley) began managing a portion of the Fund’s assets. The Fund is currently managed by four independent money
management firms and by Columbia Management Investment Advisers, LLC (CMIA) and each invests a portion of the portfolio’s assets. As of August 31, 2019, BMO Asset Management Corp. (BMO), CMIA, Conestoga Capital Advisors, LLC (Conestoga),
Hotchkis & Wiley, and JPMIM managed approximately 19%, 19%, 22%, 19% and 21% of the portfolio, respectively.
For the 12-month period that ended August 31, 2019, the
Fund’s Class A shares returned -13.04%. The Fund closely matched the performance of its benchmark, the Russell 2000 Index, which returned -12.89% over the same period. Individual stock selection and sector allocation among the Fund’s
managers generally accounted for the relative results.
Small-cap equities underperformed larger cap counterparts amid
rising volatility
Small-cap equities, particularly
those of value-oriented companies, struggled during the period, as the positive effects of tax reform faded and the negative effects of trade tensions bled into most segments of the U.S. equity market. Volatility also increased, as the U.S. and
China alternated threats with more optimistic outlooks for a trade deal. Central bank policy also left investors guessing. Following interest rate hikes through 2018, the U.S. Federal Reserve pivoted to a more dovish tone to start 2019, but then
characterized its July 2019 interest rate cut as a “mid-cycle adjustment” rather than the start of an easing cycle. These factors, along with a combination of modest U.S. economic growth and the flattening and eventual inverting U.S.
Treasury yield curve, led U.S. equity investors to favor segments of the market perceived as safer. As a result, small-cap equities underperformed large-cap equities, and cyclical sectors underperformed non-cyclical sectors without regard to
valuation.
Within the small-cap universe, as across the
capitalization spectrum, growth stocks sharply outperformed value stocks. For the period as a whole, there was also a wide dispersion of returns across sectors of the benchmark. Indeed, sector performance reflected investors’ increasing
aversion to risk, with utilities the only sector in the benchmark to deliver a positive absolute return for the period. Energy and materials were among the weakest performers, as crude oil prices fell well off the highs reached in October 2018 and
tariffs continued to threaten profit margins and supply chains.
Individual stock selection impacted Fund performance
most
DGHM: We managed
a portion of the Fund from September 1, 2018 through February 12, 2019 (the “reporting period”). Our portion of the Fund underperformed the benchmark, attributable primarily to stock selection. Sector allocation decisions overall
contributed positively as did having a modest cash balance during a reporting period when the benchmark declined. More specifically, stock selection in the retail/apparel, technology and consumer staples market segments detracted most from our
portion of the Fund’s results. Allocation positioning in technology also hurt. These detractors were partially offset by effective stock selection in the consumer durables and transportation market segments, which contributed positively.
Having an underweight allocation to health care, which underperformed the benchmark during the reporting period, also helped.
Individual positions that disappointed most during the
reporting period were Invacare, WPX Energy and Greenbrier Companies, each posting a double-digit negative absolute return that underperformed the benchmark. We sold the Fund’s position in Invacare but maintained its positions in WPX Energy and
Greenbrier Companies through the reporting period.
The
individual positions in our portion of the Fund’s portfolio that contributed most positively were Ciena, Moog and The Ensign Group.
EAM: We managed a portion of
the Fund from September 1, 2018 through February 22, 2019 (the “reporting period”). Our portion of the Fund underperformed the benchmark during the reporting period due to a combination of stock selection and sector allocation decisions.
Stock selection in consumer discretionary, industrials and consumer staples detracted most. Having an overweight to health care, the second-weakest performing sector in the benchmark during the reporting period, also hurt. These detractors were
partially offset by effective stock selection in the financials, information technology and real
Multi-Manager
Small Cap Equity Strategies Fund | Annual Report 2019
|
5
|
Manager Discussion of Fund Performance (continued)
estate sectors, which contributed positively. Having an overweight in
information technology, the second-strongest performing sector in the benchmark during the reporting period, and an underweight to energy, the weakest performing sector in the benchmark during the reporting period, also helped.
From a risk attribution perspective, our portion of the
Fund’s underperformance of the benchmark can be explained mostly by negative effects from factors, most notably medium-term momentum and volatility. The balance was due to negative effects from stock specific risk, particularly in health
care.
The biggest individual detractors from our portion
of the Fund’s results during the reporting period were Proteostasis Therapeutics, Natural Grocers by Vitamin Cottage and CURO Group Holdings. Positions in eHealth, K12 and MongoDB were top contributors to our portion of the Fund’s
results.
Conestoga: Our
portion of the Fund outperformed the benchmark during the 12-month period ended August 31, 2019 due primarily to stock selection. Sector allocation also added to relative returns, albeit more modestly. Equity factor exposures also added to relative
returns, notably our portion of the Fund’s exposures toward the profitability factor and away from the earnings variability factor. During the period, growth-oriented stocks outperformed value-oriented stocks within the benchmark, which
further benefited our strategy.
Stock selection
was strongest in the industrials and health care sectors. Having overweights in the industrials and information technology sectors, which outperformed the benchmark during the period, also helped. Only partially offsetting these positive
contributors was the detracting effect of our portion of the Fund’s underweights in the utilities, financials and real estate sectors, each of which outpaced the benchmark during the period. We typically underweight each of these sectors in
our portion of the Fund given that the benchmark constituents struggle to meet our growth-oriented purchase criteria. Our portion of the Fund held no position in either the utilities or real estate sectors during the period and held only two
positions in the financials sector.
The biggest
individual contributors to our portion of the Fund’s results were price optimization software company PROS Holdings, biotechnology industry tools and materials provider Repligen and science and engineering consulting firm Exponent. PROS
Holdings delivered strong results driven by substantial subscription revenue growth. Repligen saw its shares rise as first calendar quarter revenue and earnings per share exceeded market expectations. The momentum of Repligen’s business
appeared strong, as all three of its segments — chromatography, filtration and proteins — experienced growth. Its management also announced the acquisition of C Technologies, a deal that adds a fourth platform of process analytics to the
company’s growing bioprocessing franchise. Exponent outperformed the benchmark, as numerous tailwinds helped its organic growth accelerate. Complexities around autonomous driving and electric powered cars drove demand for Exponent’s
scientific expertise.
Positions in Ligand
Pharmaceuticals, Stamps.com and Bottomline Technologies detracted most from our portion of the Fund’s results. Drug developer Ligand Pharmaceuticals underperformed the benchmark during the period, as investors remained skeptical it could
reinvest the $827 million in gross proceeds it received for its economic interest in Promacta royalties. Stamps.com is the leading provider of internet-based mailing and shipping solutions, primarily used by high volume shippers. Its stock sold off
significantly after the company, in a surprising move, ended its exclusive relationship with the U.S. Postal Service (USPS). Software provider Bottomline Technologies underperformed the benchmark during the period on its management’s
announcement it would seek to increase investment and maintain margins at current levels for the next several years. We sold our portion of the Fund’s position in Stamps.com but maintained positions in Ligand Pharmaceuticals and Bottomline
Technologies at the end of the period.
During the
period, we established a new position in our portion of the Fund in Axon Enterprise, a provider of law enforcement technology solutions, including TASER stun guns and on-officer body cameras. Axon Enterprise has experienced rapid growth and margin
expansion as it gains leverage on its investments. We initiated a position in Paylocity Holding, a cloud-based provider of payroll and human capital management software solutions. Fourth quarter 2018 market volatility caused a decline in Paylocity
Holding’s share price, which we believe provided a compelling entry point for a stock we have been monitoring for some time. We think the company has an attractive business model featuring recurring revenue and margin expansion opportunity.
Conversely, in addition to the sale of Stamps.com, we sold our portion of the Fund’s position in Healthcare Services Group, as we believed financial challenges in its underlying customer base would persist and remain a significant headwind to
growth for the company.
6
|
Multi-Manager Small Cap
Equity Strategies Fund | Annual Report 2019
|
Manager Discussion of Fund Performance (continued)
Sector allocations were driven more by our bottom-up stock
selection process than by any top-down or sector level research. That said, our portion of the Fund’s sector weightings relative to the benchmark increased in industrials, information technology and financials and decreased in consumer
discretionary, health care and consumer staples during the period. At the end of August 2019, our portion of the Fund was overweight relative to the benchmark in industrials and consumer staples and was underweight in financials, real estate,
utilities, consumer discretionary, energy, materials and communication services.
BMO: Our portion of the Fund
underperformed the benchmark due primarily to stock selection during the 12-month period ended August 31, 2019. Our stock selection model is designed to identify fundamentally strong, attractively valued stocks with positive investor sentiment.
While investor sentiment was a positive contributor to performance, fundamentals and valuation detracted from returns during the period. In addition, our strategy’s style, i.e. its emphasis on attractively valued securities, detracted, as the
Russell 2000 Value Index underperformed the broad Russell 2000 Index for the period. Sector allocation overall contributed positively to relative results during the period.
More specifically, stock selection in the consumer
discretionary and information technology sectors detracted most from our portion of the Fund’s relative results. Having an underweight to information technology, which was the second-strongest performing sector in the benchmark during the
period, and having an overweight to energy, the weakest performing sector in the benchmark during the period, also hurt. Partially offsetting these detractors was effective stock selection in the utilities and communication services sectors, which
contributed positively. Having an overweight to utilities, the only sector in the benchmark to generate a positive absolute return during the period as investors became increasingly risk averse, also helped. Having an overweight to communication
services, which outperformed the benchmark during the period, and having an underweight to health care, which underperformed the benchmark during the period, added value as well.
From an individual holdings perspective, the biggest
detractors from our portion of the Fund’s results included Cooper-Standard Holdings, Realogy Holdings and Phibro Animal Health. Cooper-Standard Holdings manufactures and distributes automotive systems and components. During the annual period,
its attractive valuation was overshadowed by macroeconomic cycle concerns in the automotive market. Realogy Holdings, a real estate services provider, faced competitive pressure to its stock’s fundamentals from other brokerage platforms and
new entrants to the industry. Shares of Phibro Animal Health, which is an animal health and mineral nutrition company, declined significantly during the annual period, as the company reported weaker than expected quarterly results in August.
Investors focused both on weakness in the U.S. dairy market and on an outbreak of African swine fever in China, limiting the need for animal feed additives in the region.
Conversely, individual positive contributors included Sinclair
Broadcast Group, Ciena and Black Hills. Sinclair Broadcast Group, a television broadcasting company, outperformed the benchmark during the period, as a result of strong investor interest in its acquisition of 21 regional sports networks from Walt
Disney, which divested the networks as a result of its acquisition of Twenty-First Century Fox. We exited our portion of the Fund’s position in Sinclair Broadcast Group following the announcement of the deal. Ciena develops and markets
communications network platforms and software. During the period, the company saw improving growth and profitability, as it excelled in its web-scale and telecommunications business segments ahead of its 5G rollout. We trimmed the position, as the
stock grew outside of our small cap market cap range, but we continued to view the company as attractive and maintained a position. Utilities company Black Hills contributed positively to our portion of the Fund’s results, driven by improving
investor interest around several regulatory victories, increasing visibility on its near- to medium-term fundamentals. We trimmed the position due to deterioration in Black Hills’ growth metrics and to reduce our portion of the Fund’s
utilities exposure following strong performance by the sector during the period.
We established a position in our portion of the Fund in
Darling Ingredients, a developer and producer of natural ingredients from edible and inedible bio-nutrients. The purchase was based on improving investor sentiment and strong company fundamentals. What we believed to be the company’s strong
free cash flow trajectory may well continue, driven in part by its joint venture with Valero, which should enable Darling Ingredients to invest profits back into its core business. We initiated a position in BMC Stock Holdings, a provider of
building products and services in the residential construction industry, following an increase in the stock’s ranking within our stock selection model based on strong investor interest, improving fundamentals and attractive valuations.
Conversely, we sold our portion of the Fund’s position in Banner, a bank holding company. We
Multi-Manager
Small Cap Equity Strategies Fund | Annual Report 2019
|
7
|
Manager Discussion of Fund Performance (continued)
exited the position following Banner’s acquisition of Skagit Bancorp
and deterioration in its company fundamentals. We exited our portion of the Fund’s position in El Paso Electric, a utility company, after it agreed to be acquired by the Infrastructure Investments Fund.
As a result of our bottom-up stock attractiveness strategy,
our portion of the Fund’s weights to real estate, industrials and financials increased and its weights in energy, consumer discretionary and materials decreased. As of August 31, 2019, our portion of the Fund was overweight relative to the
benchmark in financials, real estate, energy, utilities and materials and was underweight relative to the benchmark in health care, consumer discretionary, information technology, consumer staples and communication services. Our portion of the Fund
was rather neutrally weighted compared to the benchmark in industrials at the end of August 2019.
JPMIM: During the period from
December 19, 2018, when we assumed management of a portion of the Fund, through August 31, 2019 (the “reporting period”), our portion of the Fund outperformed the benchmark. While growth as a style was generally rewarded, buoying our
investment approach, strong stock selection was the primary driver of our portion of the Fund’s relative outperformance during the reporting period. More specifically, stock selection proved most effective in the health care, information
technology and consumer staples sectors. Having an overweight in information technology, which significantly outpaced the benchmark during the reporting period, also helped. Only partially offsetting these positive contributors was weaker stock
selection in the consumer discretionary and financials sectors, which detracted. Having an underweight to the strongly performing utilities sectors, also hurt.
From an individual holdings perspective, the top positive
contributors to our portion of the Fund’s results were medical device company Insulet, biotechnology company Spark Therapeutics and semiconductor components provider Inphi. Insulet specializes in devices and supplies for diabetic patients. Its
shares traded higher following reports of its fiscal first and second quarter results, both of which were highlighted by better than expected revenues and a raise in guidance. Spark Therapeutics focuses on gene therapies for retinal sickness and
neurodegenerative diseases. Its shares rose after it was announced in early 2019 that the company would be acquired by Roche for a substantial premium. Inphi provides semiconductor components for communications and data center end-markets. Its
earnings results in 2019 were positive, highlighting the company’s strong competitive position despite concerns around its relationship with controversial Chinese technology company Huawei. We trimmed our portion of the Fund’s positions
in each of these three holdings during the reporting period.
Among the biggest individual detractors from our portion of
the Fund’s results were Evolent Health, Farfetch and Hudson. Evolent Health provides health system consulting services and has been a leading participant in the ongoing industry shift toward a more value-based model of health care delivery.
Its stock declined due to concerns around the solvency of a key health plan customer, weaker guidance for 2019 and its acquisition of a majority stake in a large customer, which was not well received by investors. Farfetch is a technology platform
for the luxury fashion industry. Much of its stock’s weak performance came in August 2019 when the company lowered guidance for the remainder of 2019. The company also made an acquisition that was not viewed to be core to its primary business,
which was not well received by the market. Hudson is an operator of quick-service food, convenience and travel essentials stores. Its stock came under pressure after the company’s Chief Executive Officer was unexpectedly replaced by its former
Chief Operating Officer. The company’s duty-free business was also a source of weakness during the reporting period. Our portion of the Fund maintained a position in each of these three companies at the end of the reporting period.
We established a position in Simpson Manufacturing, a provider
of wood, concrete and masonry structural connectors. Simpson Manufacturing is the dominant player with 70% market share in residential construction given its significant manufacturing scale and strong builder relationships. Building code mandates
and construction in storm-prone areas have increased the company’s penetration and drove, in our view, its secular growth opportunity. Further, we believed the company has a well-tenured management team, strong pricing power and superior free
cash flow generation. We initiated a position in our portion of the Fund in Semtech, a semiconductor company that we believed was, well positioned to take advantage of the early opportunity in LoRa, which is a long range, low power wireless
communication technology. Conversely, we sold our portion of the Fund’s position in enterprise cloud platform developer Nutanix given our confidence in its management had been waning and its customer pipeline appeared lackluster in the near to
intermediate term. Additionally, the company paused hiring in sales roles late in 2018 after a notable hiring push earlier in the year, thereby, in our view, reducing its growth trajectory.
8
|
Multi-Manager Small Cap
Equity Strategies Fund | Annual Report 2019
|
Manager Discussion of Fund Performance (continued)
We exited our portion of the Fund’s position in online
education technology provider Instructure, as we believed the company’s shift toward corporate learning and away from the slowing higher education market may take longer than expected. Further, a newly appointed Chief Executive Officer
increased potential challenges from an execution perspective, in our view.
There were no significant shifts in sector weightings within
our portion of the Fund during the reporting period, though we modestly increased exposure to the consumer discretionary sector and modestly decreased exposure to the information technology sector. Our portion of the Fund’s largest overweights
relative to the benchmark at the end of the reporting period were information technology and consumer discretionary, and its largest underweights relative to the benchmark were financials and health care.
Hotchkis & Wiley: During
the period from February 13, 2019, when we assumed management of a portion of the Fund, through August 31, 2019 (the “reporting period”), our portion of the Fund underperformed the benchmark as well as the Russell 2000 Value Index,
against which we measure our portion of the Fund. There were two stylistic factors that served as headwinds to our relative performance — value and size. Small-cap value equities significantly underperformed small-cap growth equities, which
hurt, as our portion of the Fund exhibits valuation characteristics that are at a discount to the Russell 2000 Value Index. Further, our portion of Fund’s average weight in stocks with a market capitalization below $1 billion was substantially
higher than that of the benchmark, but, during the reporting period, the smallest capitalization stocks in the benchmark significantly underperformed the benchmark as a whole.
More specifically, sector allocation positioning detracted
most from relative results. Utilities, real estate and information technology were the best performing sectors in the Russell 2000 Value Index during the reporting period, and our portion of the Fund was underweight in each. Energy was the weakest
performing in the Russell 2000 Value Index during the reporting period amid volatile oil prices, and thus our portion of the Fund’s overweight position hurt. Stock selection in information technology, real estate and energy also detracted,
with positions in communications equipment companies and energy services companies disappointing most. Only partially offsetting these detractors was the positive contributions made by having an underweight to health care, the second-weakest sector
in the Russell 2000 Value Index during the reporting period, and by effective stock selection in the health care, consumer discretionary and materials sectors.
Among the biggest individual detractors from our portion of
the Fund’s results were Nautilus, Mammoth Energy Services and Whiting Petroleum. Nautilus, which makes home fitness equipment, faced heightened competitive pressures during the reporting period. Mammoth Energy Services is an energy services
company that provides proppant sand, pressure pumping, equipment rental and other related services. This industry overall was hit hard during the reporting period, as exploration and production companies exhibited more disciplined capital spending.
Whiting Petroleum is an oil and gas exploration and production company. Because its operations are focused in the Bakken shale region in North Dakota, which is higher on the cost curve compared to Permian Basin operators, Whiting Petroleum was
disproportionately exposed to changes in oil prices. At the end of the reporting period, we maintained positions in each of these companies within our portion of the Fund.
From an individual holdings perspective, the top positive
contributors to our portion of the Fund’s results were Sonic Automotive, Rev Group and Vectrus. Sonic Automotive has more than 100 dealerships across the southern U.S., in addition to collision repair centers. During the reporting period, it
announced a positive earnings surprise driven by strong used car margins and cost cutting efforts, signaling positive steps and effective execution by its management. Rev Group manufactures specialty vehicles, like ambulances, fire trucks, street
sweepers and more. Its shares declined in late 2018 after missing earnings due to rising input costs, which can take time to pass on to customers. Subsequently, its stock rebounded when the company reported results that were better than market
expectations. Vectrus provides logistics and supply chain support for U.S. government agencies. Its shares rose significantly during the reporting period on the company’s win of a major new contract with the U.S. Army. We trimmed our portion
of the Fund’s positions in each of these companies but maintained positions in each at the end of the reporting period.
We rebalance our portion of the Fund twice per year,
triggering many buys and sells. Among those purchases made during the reporting period was Goodyear Tire. In our view, the company possesses a good brand and was trading at an attractive level with secular tailwind opportunities from high
value-added tires. We initiated a position in AAR, a company that supplies aftermarket products to the global aviation market, a niche industry in which it is, in our view, competitively well positioned. We believe AAR has a strong balance sheet and
an attractive valuation. We established a position in GrafTech International,
Multi-Manager
Small Cap Equity Strategies Fund | Annual Report 2019
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9
|
Manager Discussion of Fund Performance (continued)
which makes graphite and carbon-based products, including graphite
electrodes. It was trading, at the time of purchase, at what we felt was an attractive valuation, and we liked what we saw as a reasonable balance sheet and good competitive dynamics for the company. Conversely, we sold our portion of the
Fund’s position in auction house Sotheby’s during the reporting period. The company announced it was to be acquired at a large premium, and we exited the position. Similarly, we eliminated our portion of the Fund’s position in
Quantenna Communication upon its announcement it was to be acquired at a significant premium. We also exited our portion of the Fund’s position in Portland General Electric. The utility company’s market capitalization rose to well above
$4 billion, so we sold the position to stay within the strategy’s small cap parameters.
During the reporting period, we increased our portion of the
Fund’s relative weighting in financials, primarily though increasing the allocation to banks, which, in our view, represented the most compelling industry from both a risk/return and valuation perspective. We also modestly increased our
portion of the Fund’s weighting in industrials. We reduced our portion of the Fund’s relative weight in energy, primarily by decreasing positions in energy services companies. We also reduced the weight in information technology. At the
end of the reporting period, our portion of the Fund was overweight relative to the benchmark in financials, energy, industrials and consumer discretionary, and was underweight relative to the benchmark in health care, real estate, information
technology, communication services and consumer staples. Our portion of the Fund had rather neutral weightings relative to the benchmark in the utilities and materials sectors at the end of August 2019.
CMIA: Our portion of the Fund
closely matched the performance of the Russell 2000 Value Index, against which our portion of the Fund is managed, with stock selection modestly detracting from relative performance and sector allocation overall contributing modestly positively
during the 12-month period ended August 31, 2019.
Stock selection in financials, materials, energy, utilities
and industrial hurt most. Allocation positioning in real estate, health care, materials and financials also dampened relative results. Virtually evenly offsetting these detractors was effective stock selection in the health care, consumer
discretionary, communication services, consumer staples and real estate sectors, which contributed most positively. Having an underweighted allocation to energy, which was the weakest sector in the Russell 2000 Value Index during the period, and
having a position in cash during an period when the Russell 2000 Value Index declined substantially, also added value.
Among the biggest individual detractors from our portion of
the Fund’s results was Orion Engineered Carbons, a specialty and rubber carbon blacks supplier. Its shares fell during the period on lower volumes and on its Chief Executive Officer’s comments about softening demand. Two oil and gas
exploration and production companies — Carrizo Oil & Gas and Oasis Petroleum — also detracted, with each experiencing significant share price declines during the fourth quarter of 2018 when energy prices sharply fell. A position in
truckload carrier Covenant Transportation Group was another notable detractor. Its shares declined due to a difficult operating environment for trucking as well as some weather-related issues during the period. We maintained our portion of the
Fund’s positions in Orion Engineered Carbons, Oasis Petroleum and Covenant Transportation Group at the end of the period but sold its position in Carrizo Oil & Gas.
From an individual holdings perspective, the top positive
contributors to our portion of the Fund’s results were industrials company Armstrong World Industries, real estate investment trust PS Business Parks and industrials company MasTec. Shares of Armstrong World Industries, which designs and
manufactures ceilings and walls, rose substantially as investors rewarded its growth and margins. The company also acquired a smaller architectural specialties business that many investors felt should help expand the company’s offerings. PS
Business Parks, which invests in office buildings and industrial properties, saw its shares rise on consecutive reports of strong quarterly results and on its acquisition of a new industrial property in Virginia. Also helping PS Business Parks was
relative strength in the real estate sector broadly, as investors favored the sector’s defensive qualities. Infrastructure engineering and construction company MasTec saw its shares jump after reporting strong quarterly results that beat
consensus expectations and raising forward guidance, with such results driven by momentum across its businesses. During the period, we slightly trimmed our portion of the Fund’s position in Armstrong World Industries on its strength but
maintained positions in each of these holdings at the end of August 2019.
During the period, we established positions in TopBuild, a
homebuilding company, and Lumentum, a technology firm that manufactures optical and photonic products. We purchased these names as, in our view, each met our valuation criteria, were exhibiting upward inflection and had strong fundamentals. Each
performed well from their respective purchase dates
10
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Multi-Manager Small Cap
Equity Strategies Fund | Annual Report 2019
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Manager Discussion of Fund Performance (continued)
through the end of the period. In addition to the sale of Carrizo Oil &
Gas, already mentioned, we exited our portion of the Fund’s position in Electronics for Imaging, which designs and markets products that support printing on a variety of peripheral devices, after it was announced the company was being
acquired.
In general, changes in sector weights are a
function of the number of opportunities we can find for undervalued companies with what we view as strong underlying earnings prospects and evidence of upward inflection points. Based on our individual fundamental, bottom-up stock selection process,
notable sector shifts in our portion of the Fund during the period included increased allocations to information technology and utilities and decreased exposure to financials, materials and health care. At the end of the period, our portion of the
Fund was overweight relative to the Russell 2000 Value Index in information technology, industrials and utilities. Our portion of the Fund was underweight relative to the Russell 2000 Value Index in financials, energy and real estate at the end of
August 2019.
The Russell 2000 Value Index is an
unmanaged index that tracks the performance of those Russell 2000 Index companies with lower price-to-book ratios and lower forecasted growth values.
It is not possible to invest directly in an index.
Market risk may affect a single
issuer, sector of the economy, industry or the market as a whole. 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. Investments in small-cap companies involve risks and volatility greater than
investments in larger, more established companies. 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. The Fund is managed by multiple advisers independently of one another, which may result in contradicting trades (i.e., with no net benefit to
the Fund), while increasing transaction costs. 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.
Multi-Manager
Small Cap Equity Strategies Fund | Annual Report 2019
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11
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Understanding Your Fund’s Expenses
(Unaudited)
As an investor, you incur two types of costs. There are
shareholder transaction costs, which may include redemption fees. There are also ongoing fund costs, which generally include management fees, distribution and/or service fees, and other fund expenses. The following information is intended to help
you understand your ongoing costs (in dollars) of investing in the Fund and to help you compare these costs with the ongoing costs of investing in other mutual funds.
Analyzing your Fund’s expenses
To illustrate these ongoing costs, we have provided examples
and calculated the expenses paid by investors in each share class of the Fund during the period. The actual and hypothetical information in the table is based on an initial investment of $1,000 at the beginning of the period indicated and held for
the entire period. Expense information is calculated two ways and each method provides you with different information. The amount listed in the “Actual” column is calculated using the Fund’s actual operating expenses and total
return for the period. You may use the Actual information, together with the amount invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000
= 8.6), then multiply the results by the expenses paid during the period under the “Actual” column. The amount listed in the “Hypothetical” column assumes a 5% annual rate of return before expenses (which is not the
Fund’s actual return) and then applies the Fund’s actual expense ratio for the period to the hypothetical return. You should not use the hypothetical account values and expenses to estimate either your actual account balance at the end
of the period or the expenses you paid during the period. See “Compare with other funds” below for details on how to use the hypothetical data.
Compare with other funds
Since all mutual funds are required to include the same
hypothetical calculations about expenses in shareholder reports, you can use this information to compare the ongoing cost of investing in the Fund with other funds. To do so, compare the hypothetical example with the 5% hypothetical examples that
appear in the shareholder reports of other funds. As you compare hypothetical examples of other funds, it is important to note that hypothetical examples are meant to highlight the ongoing costs of investing in a fund only and do not reflect any
transaction costs, such as redemption or exchange fees. Therefore, the hypothetical calculations are useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. If transaction costs
were included in these calculations, your costs would be higher.
March
1, 2019 — August 31, 2019
|
|
Account
value at the
beginning of the
period ($)
|
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
|
964.50
|
1,018.65
|
6.30
|
6.48
|
1.28
|
Institutional
Class
|
1,000.00
|
1,000.00
|
965.10
|
1,019.90
|
5.07
|
5.22
|
1.03
|
Expenses paid during the period
are equal to the annualized expense ratio for each class as indicated above, multiplied by the average account value over the period and then multiplied by the number of days in the Fund’s most recent fiscal half year and divided by 365.
Expenses do not include fees and expenses incurred indirectly
by the Fund from its investment in underlying funds, including affiliated and non-affiliated pooled investment vehicles, such as mutual funds and exchange-traded funds.
Had Columbia Management Investment Advisers, LLC and/or certain
of its affiliates not waived/reimbursed certain fees and expenses, account value at the end of the period would have been reduced.
The Fund is offered only through certain wrap fee programs
sponsored and/or managed by Ameriprise Financial, Inc. or its affiliates. Participants in wrap fee programs pay other fees that are not included in the above table. Please refer to the wrap program documents for information about the fees
charged.
12
|
Multi-Manager Small Cap
Equity Strategies Fund | Annual Report 2019
|
Portfolio of Investments
August 31, 2019
(Percentages represent value of investments compared to net
assets)
Investments in securities
Common
Stocks 98.0%
|
Issuer
|
Shares
|
Value
($)
|
Communication
Services 1.4%
|
Diversified
Telecommunication Services 0.2%
|
Vonage
Holdings Corp.(a)
|
300,000
|
3,966,000
|
Entertainment
0.3%
|
Glu
Mobile, Inc.(a)
|
236,972
|
1,052,156
|
Sciplay
Corp., Class A(a)
|
95,199
|
905,342
|
World
Wrestling Entertainment, Inc., Class A
|
51,665
|
3,690,431
|
Total
|
|
5,647,929
|
Media
0.9%
|
Emerald
Expositions Events, Inc.
|
59,500
|
568,820
|
Entravision
Communications Corp., Class A
|
202,400
|
619,344
|
MDC
Partners, Inc., Class A(a)
|
299,400
|
703,590
|
Meredith
Corp.
|
12,600
|
551,628
|
MSG
Networks, Inc., Class A(a)
|
172,592
|
2,830,509
|
New
York Times Co. (The), Class A
|
142,499
|
4,160,971
|
Nexstar
Media Group, Inc., Class A
|
44,000
|
4,351,160
|
TEGNA,
Inc.
|
26,600
|
380,646
|
Total
|
|
14,166,668
|
Total
Communication Services
|
23,780,597
|
Consumer
Discretionary 10.7%
|
Auto
Components 2.2%
|
Adient
PLC
|
59,400
|
1,198,098
|
American
Axle & Manufacturing Holdings, Inc.(a)
|
78,641
|
498,584
|
Cooper
Tire & Rubber Co.
|
51,800
|
1,216,782
|
Cooper-Standard
Holding, Inc.(a)
|
51,267
|
1,919,436
|
Dana,
Inc.
|
171,423
|
2,182,215
|
Delphi
Technologies PLC
|
93,100
|
1,231,713
|
Dorman
Products, Inc.(a)
|
80,825
|
5,745,041
|
Fox
Factory Holding Corp.(a)
|
198,671
|
14,312,259
|
Goodyear
Tire & Rubber Co. (The)
|
106,500
|
1,221,555
|
Motorcar
Parts of America, Inc.(a)
|
58,900
|
855,817
|
Stoneridge,
Inc.(a)
|
82,838
|
2,543,955
|
Tower
International, Inc.
|
42,700
|
1,320,711
|
Visteon
Corp.(a)
|
36,300
|
2,503,611
|
Total
|
|
36,749,777
|
Common
Stocks (continued)
|
Issuer
|
Shares
|
Value
($)
|
Automobiles
0.3%
|
Thor
Industries, Inc.
|
26,600
|
1,221,206
|
Winnebago
Industries, Inc.
|
95,397
|
3,054,612
|
Total
|
|
4,275,818
|
Distributors
0.3%
|
Pool
Corp.
|
21,597
|
4,241,219
|
Diversified
Consumer Services 1.4%
|
Adtalem
Global Education, Inc.(a)
|
82,400
|
3,520,128
|
Bright
Horizons Family Solutions, Inc.(a)
|
31,331
|
5,171,182
|
Grand
Canyon Education, Inc.(a)
|
77,200
|
9,696,320
|
Sotheby’s
(a)
|
90,550
|
5,229,262
|
Weight
Watchers International, Inc.(a)
|
10,100
|
302,899
|
Total
|
|
23,919,791
|
Hotels,
Restaurants & Leisure 1.4%
|
Boyd
Gaming Corp.
|
187,807
|
4,514,880
|
Brinker
International, Inc.
|
89,200
|
3,389,600
|
Dine
Brands Global, Inc.
|
30,000
|
2,116,500
|
Hilton
Grand Vacations, Inc.(a)
|
37,000
|
1,249,490
|
Planet
Fitness, Inc., Class A(a)
|
50,710
|
3,580,633
|
Red
Rock Resorts, Inc., Class A
|
135,142
|
2,817,711
|
Texas
Roadhouse, Inc.
|
75,607
|
3,890,736
|
Twin
River Worldwide Holdings, Inc.
|
27,500
|
622,875
|
Wyndham
Destinations, Inc.
|
30,500
|
1,352,370
|
Total
|
|
23,534,795
|
Household
Durables 1.5%
|
Century
Communities, Inc.(a)
|
36,200
|
1,020,116
|
Ethan
Allen Interiors, Inc.
|
35,200
|
605,440
|
Flexsteel
Industries, Inc.
|
20,100
|
304,314
|
Green
Brick Partners, Inc.(a)
|
38,600
|
354,734
|
Hooker
Furniture Corp.
|
49,200
|
878,712
|
KB
Home
|
266,183
|
7,477,080
|
La-Z-Boy,
Inc.
|
52,147
|
1,661,925
|
LGI
Homes, Inc.(a)
|
13,300
|
1,084,083
|
M/I
Homes, Inc.(a)
|
11,400
|
411,996
|
Meritage
Homes Corp.(a)
|
15,900
|
1,038,906
|
Taylor
Morrison Home Corp., Class A(a)
|
52,000
|
1,240,720
|
The accompanying Notes to Financial Statements are an integral part
of this statement.
Multi-Manager
Small Cap Equity Strategies Fund | Annual Report 2019
|
13
|
Portfolio of Investments (continued)
August 31, 2019
Common
Stocks (continued)
|
Issuer
|
Shares
|
Value
($)
|
TopBuild
Corp.(a)
|
30,900
|
2,861,958
|
TRI
Pointe Group, Inc.(a)
|
246,234
|
3,447,276
|
Tupperware
Brands Corp.
|
65,500
|
852,155
|
Zagg,
Inc.(a)
|
188,300
|
1,207,003
|
Total
|
|
24,446,418
|
Internet
& Direct Marketing Retail 0.1%
|
Farfetch
Ltd., Class A(a)
|
150,141
|
1,468,379
|
PetMed
Express, Inc.
|
40,700
|
643,060
|
RealReal,
Inc. (The)(a)
|
32,469
|
424,370
|
Total
|
|
2,535,809
|
Leisure
Products 0.1%
|
Johnson
Outdoors, Inc., Class A
|
24,630
|
1,379,280
|
Nautilus,
Inc.(a)
|
329,100
|
457,449
|
Total
|
|
1,836,729
|
Multiline
Retail 0.2%
|
Dillard’s,
Inc., Class A
|
5,500
|
321,860
|
Ollie’s
Bargain Outlet Holdings, Inc.(a)
|
46,484
|
2,577,538
|
Total
|
|
2,899,398
|
Specialty
Retail 2.7%
|
Aaron’s,
Inc.
|
77,200
|
4,949,292
|
American
Eagle Outfitters, Inc.
|
362,401
|
6,095,585
|
Asbury
Automotive Group, Inc.(a)
|
10,500
|
990,150
|
AutoNation,
Inc.(a)
|
27,000
|
1,281,420
|
Bed
Bath & Beyond, Inc.
|
90,920
|
879,196
|
Buckle,
Inc. (The)
|
19,800
|
388,080
|
Camping
World Holdings, Inc., Class A
|
77,100
|
585,960
|
Children’s
Place, Inc. (The)
|
37,000
|
3,228,250
|
Genesco,
Inc.(a)
|
85,822
|
3,062,129
|
Group
1 Automotive, Inc.
|
15,700
|
1,173,104
|
Haverty
Furniture Companies, Inc.
|
38,400
|
735,360
|
Hibbett
Sports, Inc.(a)
|
162,105
|
2,681,217
|
Hudson
Ltd., Class A(a)
|
258,508
|
2,804,812
|
Lithia
Motors, Inc., Class A
|
42,817
|
5,612,024
|
National
Vision Holdings, Inc.(a)
|
196,631
|
5,576,455
|
Office
Depot, Inc.
|
639,700
|
831,610
|
Penske
Automotive Group, Inc.
|
21,000
|
898,380
|
Sally
Beauty Holdings, Inc.(a)
|
78,500
|
960,055
|
Sonic
Automotive, Inc., Class A
|
47,000
|
1,264,770
|
Common
Stocks (continued)
|
Issuer
|
Shares
|
Value
($)
|
Sportsman’s
Warehouse Holdings, Inc.(a)
|
78,700
|
332,114
|
Urban
Outfitters, Inc.(a)
|
28,000
|
655,480
|
Zumiez,
Inc.(a)
|
13,700
|
355,926
|
Total
|
|
45,341,369
|
Textiles,
Apparel & Luxury Goods 0.5%
|
Deckers
Outdoor Corp.(a)
|
14,929
|
2,201,281
|
G-III
Apparel Group Ltd.(a)
|
29,100
|
596,841
|
Movado
Group, Inc.
|
45,700
|
983,464
|
Unifi,
Inc.(a)
|
15,000
|
288,600
|
Vera
Bradley, Inc.(a)
|
109,938
|
1,164,244
|
Wolverine
World Wide, Inc.
|
143,114
|
3,713,808
|
Total
|
|
8,948,238
|
Total
Consumer Discretionary
|
178,729,361
|
Consumer
Staples 2.8%
|
Beverages
0.3%
|
MGP
Ingredients, Inc.
|
121,350
|
5,845,429
|
Food
& Staples Retailing 1.2%
|
BJ’s
Wholesale Club Holdings, Inc.(a)
|
160,900
|
4,225,234
|
Grocery
Outlet Holding Corp.(a)
|
43,359
|
1,753,872
|
Performance
Food Group Co.(a)
|
169,832
|
7,946,439
|
SpartanNash
Co.
|
52,343
|
563,734
|
The
Chefs’ Warehouse(a)
|
129,500
|
4,996,110
|
Village
Super Market, Inc., Class A
|
24,900
|
621,753
|
Total
|
|
20,107,142
|
Food
Products 0.5%
|
Freshpet,
Inc.(a)
|
91,583
|
4,494,894
|
TreeHouse
Foods, Inc.(a)
|
73,100
|
3,702,515
|
Total
|
|
8,197,409
|
Household
Products 0.5%
|
Central
Garden & Pet Co., Class A(a)
|
88,831
|
2,137,274
|
Energizer
Holdings, Inc.
|
32,300
|
1,243,550
|
WD-40
Co.
|
27,000
|
4,922,100
|
Total
|
|
8,302,924
|
Personal
Products 0.2%
|
Nu
Skin Enterprises, Inc., Class A
|
33,000
|
1,340,460
|
Usana
Health Sciences, Inc.(a)
|
19,800
|
1,345,806
|
Total
|
|
2,686,266
|
The accompanying Notes to Financial Statements are an integral part
of this statement.
14
|
Multi-Manager Small Cap
Equity Strategies Fund | Annual Report 2019
|
Portfolio of Investments (continued)
August 31, 2019
Common
Stocks (continued)
|
Issuer
|
Shares
|
Value
($)
|
Tobacco
0.1%
|
Universal
Corp.
|
24,600
|
1,231,476
|
Total
Consumer Staples
|
46,370,646
|
Energy
3.3%
|
Energy
Equipment & Services 1.0%
|
C&J
Energy Services, Inc.(a)
|
133,022
|
1,271,690
|
Cactus,
Inc., Class A(a)
|
24,200
|
616,374
|
Frank’s
International NV(a)
|
280,200
|
1,218,870
|
FTS
International, Inc.(a)
|
427,876
|
1,073,969
|
Keane
Group, Inc.(a)
|
168,100
|
890,930
|
Liberty
Oilfield Services, Inc., Class A
|
86,900
|
935,913
|
Mammoth
Energy Services, Inc.
|
165,300
|
601,692
|
Matrix
Service Co.(a)
|
95,682
|
1,901,201
|
Newpark
Resources, Inc.(a)
|
347,533
|
2,297,193
|
Nine
Energy Service, Inc.(a)
|
54,000
|
295,920
|
Patterson-UTI
Energy, Inc.
|
246,600
|
2,133,090
|
ProPetro
Holding Corp.(a)
|
201,441
|
2,145,347
|
Solaris
Oilfield Infrastructure, Inc., Class A
|
96,400
|
1,325,500
|
Total
|
|
16,707,689
|
Oil,
Gas & Consumable Fuels 2.3%
|
Altus
Midstream Co., Class A(a)
|
262,300
|
605,913
|
Amplify
Energy Corp.(a)
|
83,592
|
498,208
|
Antero
Resources Corp.(a)
|
155,900
|
494,203
|
Arch
Coal, Inc.
|
49,000
|
3,751,440
|
Berry
Petroleum Corp.
|
140,800
|
1,124,992
|
Bonanza
Creek Energy, Inc.(a)
|
61,200
|
1,380,672
|
Callon
Petroleum Co.(a)
|
580,000
|
2,383,800
|
Centennial
Resource Development, Inc., Class A(a)
|
135,781
|
654,464
|
Contango
Oil & Gas Co.(a)
|
124,000
|
121,520
|
Delek
U.S. Holdings, Inc.
|
198,601
|
6,504,183
|
Earthstone
Energy, Inc., Class A(a)
|
234,300
|
805,992
|
Hoegh
LNG Partners LP
|
18,800
|
274,856
|
Kosmos
Energy Ltd.
|
195,500
|
1,235,560
|
Laredo
Petroleum, Inc.(a)
|
314,736
|
780,545
|
Matador
Resources Co.(a)
|
124,800
|
1,953,120
|
Oasis
Petroleum, Inc.(a)
|
358,000
|
1,116,960
|
Par
Pacific Holdings, Inc.(a)
|
32,500
|
706,550
|
PBF
Energy, Inc., Class A
|
38,700
|
917,190
|
Common
Stocks (continued)
|
Issuer
|
Shares
|
Value
($)
|
Range
Resources Corp.
|
245,300
|
873,268
|
Renewable
Energy Group, Inc.(a)
|
52,000
|
632,840
|
REX
American Resources Corp.(a)
|
13,800
|
947,784
|
SM
Energy Co.
|
134,000
|
1,270,320
|
Southwestern
Energy Co.(a)
|
412,000
|
650,960
|
SRC
Energy, Inc.(a)
|
550,371
|
2,762,863
|
Talos
Energy, Inc.(a)
|
15,500
|
295,120
|
W&T
Offshore, Inc.(a)
|
256,668
|
1,124,206
|
Whiting
Petroleum Corp.(a)
|
82,600
|
547,638
|
World
Fuel Services Corp.
|
93,224
|
3,579,802
|
Total
|
|
37,994,969
|
Total
Energy
|
54,702,658
|
Financials
17.8%
|
Banks
10.1%
|
1st
Source Corp.
|
46,470
|
2,061,874
|
Amalgamated
Bank, Class A
|
37,500
|
601,875
|
Ameris
Bancorp
|
95,300
|
3,353,607
|
Associated
Banc-Corp.
|
60,508
|
1,164,174
|
Atlantic
Capital Bancshares, Inc.(a)
|
66,504
|
1,084,015
|
Atlantic
Union Bankshares Corp.
|
153,200
|
5,532,052
|
BankUnited,
Inc.
|
38,900
|
1,235,464
|
Bar
Harbor Bankshares
|
28,100
|
620,167
|
Boston
Private Financial Holdings, Inc.
|
285,544
|
3,032,477
|
Bridge
Bancorp, Inc.
|
21,400
|
575,874
|
Brookline
Bancorp, Inc.
|
65,900
|
925,236
|
Bryn
Mawr Bank Corp.
|
8,800
|
300,080
|
Camden
National Corp.
|
15,900
|
659,214
|
Carolina
Financial Corp.
|
27,600
|
942,540
|
Cathay
General Bancorp
|
265,943
|
8,826,648
|
Central
Pacific Financial Corp.
|
91,597
|
2,548,229
|
City
Holding Co.
|
9,100
|
676,585
|
Community
Bank System, Inc.
|
88,800
|
5,415,912
|
Community
Trust Bancorp, Inc.
|
49,714
|
1,933,875
|
ConnectOne
Bancorp, Inc.
|
44,300
|
907,264
|
Customers
Bancorp, Inc.(a)
|
62,300
|
1,176,847
|
Eagle
Bancorp, Inc.
|
16,700
|
680,358
|
Enterprise
Financial Services Corp.
|
40,420
|
1,593,356
|
Equity
Bancshares, Inc., Class A(a)
|
36,600
|
925,980
|
Financial
Institutions, Inc.
|
59,859
|
1,739,503
|
The accompanying Notes to Financial Statements are an integral part
of this statement.
Multi-Manager
Small Cap Equity Strategies Fund | Annual Report 2019
|
15
|
Portfolio of Investments
(continued)
August 31, 2019
Common
Stocks (continued)
|
Issuer
|
Shares
|
Value
($)
|
First
BanCorp
|
123,100
|
1,179,298
|
First
BanCorp
|
36,492
|
1,285,248
|
First
Business Financial Services, Inc.
|
15,800
|
356,290
|
First
Commonwealth Financial Corp.
|
168,058
|
2,078,878
|
First
Financial Bancorp
|
41,500
|
971,930
|
First
Financial Bankshares, Inc.
|
89,667
|
2,745,604
|
First
Financial Corp.
|
21,900
|
889,140
|
First
Hawaiian, Inc.
|
51,000
|
1,310,700
|
First
Internet Bancorp
|
36,700
|
742,074
|
First
Mid Bancshares, Inc.
|
9,900
|
317,691
|
First
of Long Island Corp. (The)
|
45,200
|
983,552
|
Flushing
Financial Corp.
|
45,400
|
875,766
|
FNB
Corp.
|
86,100
|
925,575
|
Franklin
Financial Network, Inc.
|
42,800
|
1,238,204
|
Fulton
Financial Corp.
|
82,254
|
1,311,951
|
Great
Southern Bancorp, Inc.
|
35,350
|
1,991,619
|
Great
Western Bancorp, Inc.
|
153,496
|
4,578,786
|
Hancock
Whitney Corp.
|
218,658
|
7,677,082
|
Hanmi
Financial Corp.
|
174,492
|
3,125,152
|
Heritage
Commerce Corp.
|
138,300
|
1,602,897
|
Heritage
Financial Corp.
|
101,700
|
2,662,506
|
Hilltop
Holdings, Inc.
|
183,354
|
4,354,658
|
Home
Bancshares, Inc.
|
35,400
|
627,288
|
HomeTrust
Bancshares, Inc.
|
12,700
|
320,294
|
Hope
Bancorp, Inc.
|
94,100
|
1,261,881
|
Horizon
Bancorp, Inc.
|
40,600
|
660,156
|
Iberiabank
Corp.
|
63,737
|
4,397,216
|
Independent
Bank Corp.
|
64,000
|
4,327,040
|
International
Bancshares Corp.
|
121,439
|
4,322,014
|
Investors
Bancorp, Inc.
|
219,304
|
2,434,274
|
Lakeland
Bancorp, Inc.
|
84,300
|
1,254,384
|
Live
Oak Bancshares, Inc.
|
66,700
|
1,196,598
|
Metropolitan
Bank Holding Corp.(a)
|
7,600
|
275,120
|
Midland
States Bancorp, Inc.
|
49,300
|
1,270,461
|
MidWestOne
Financial Group, Inc.
|
11,600
|
336,052
|
Northrim
BanCorp, Inc.
|
9,000
|
325,800
|
Old
National Bancorp
|
20,169
|
338,839
|
Opus
Bank
|
31,800
|
660,168
|
Orrstown
Financial Services, Inc.
|
16,800
|
358,512
|
Common
Stocks (continued)
|
Issuer
|
Shares
|
Value
($)
|
Pacific
Premier Bancorp, Inc.
|
141,000
|
4,153,860
|
Park
National Corp.
|
3,500
|
315,280
|
Peapack
Gladstone Financial Corp.
|
82,393
|
2,317,715
|
Peoples
Bancorp, Inc.
|
24,038
|
738,207
|
Preferred
Bank
|
29,268
|
1,462,229
|
RBB
Bancorp
|
15,900
|
293,037
|
Renasant
Corp.
|
126,200
|
4,138,098
|
Republic
Bancorp, Inc.
|
12,900
|
547,605
|
Sandy
Spring Bancorp, Inc.
|
225,515
|
7,550,242
|
Signature
Bank
|
20,299
|
2,367,878
|
Simmons
First National Corp., Class A
|
28,800
|
691,200
|
South
State Corp.
|
9,000
|
662,220
|
Southern
National Bancorp of Virginia, Inc.
|
43,400
|
634,508
|
TCF
Financial Corp.
|
190,495
|
7,345,487
|
Texas
Capital Bancshares, Inc.(a)
|
56,663
|
3,053,002
|
Towne
Bank
|
12,700
|
333,629
|
Trico
Bancshares
|
17,900
|
632,944
|
Triumph
Bancorp, Inc.(a)
|
21,200
|
635,788
|
Trustmark
Corp.
|
30,600
|
1,000,008
|
UMB
Financial Corp.
|
69,000
|
4,300,080
|
Umpqua
Holdings Corp.
|
19,900
|
312,629
|
Univest
Corporation of Pennsylvania
|
55,583
|
1,406,806
|
Valley
National Bancorp
|
130,000
|
1,366,300
|
Webster
Financial Corp.
|
37,274
|
1,668,384
|
WesBanco,
Inc.
|
8,700
|
297,714
|
West
Bancorporation, Inc.
|
15,000
|
312,600
|
Wintrust
Financial Corp.
|
55,982
|
3,517,349
|
Total
|
|
168,138,703
|
Capital
Markets 1.8%
|
Artisan
Partners Asset Management, Inc., Class A
|
23,900
|
636,696
|
Bright
sphere Investment Group, Inc.
|
59,200
|
538,128
|
Cowen,
Inc.(a)
|
149,731
|
2,337,301
|
Evercore,
Inc., Class A
|
50,042
|
3,991,350
|
GAIN
Capital Holdings, Inc.
|
72,300
|
328,965
|
GAMCO
Investors, Inc., Class A
|
16,600
|
293,322
|
Greenhill
& Co., Inc.
|
73,234
|
1,028,205
|
Houlihan
Lokey, Inc.
|
87,500
|
3,865,750
|
INTL
FCStone, Inc.(a)
|
17,000
|
666,570
|
Legg
Mason, Inc.
|
35,300
|
1,298,687
|
The accompanying Notes to Financial Statements are an integral part
of this statement.
16
|
Multi-Manager Small Cap
Equity Strategies Fund | Annual Report 2019
|
Portfolio of Investments (continued)
August 31, 2019
Common
Stocks (continued)
|
Issuer
|
Shares
|
Value
($)
|
Moelis
& Co., ADR, Class A
|
46,300
|
1,552,439
|
Och-Ziff
Capital Management Group, Inc., Class A
|
28,800
|
648,000
|
Oppenheimer
Holdings, Inc., Class A
|
38,500
|
1,068,760
|
PennantPark
Investment Corp.
|
158,896
|
1,002,634
|
Stifel
Financial Corp.
|
83,003
|
4,434,020
|
Victory
Capital Holdings, Inc., Class A(a)
|
57,300
|
915,081
|
Virtu
Financial, Inc. Class A
|
77,200
|
1,451,360
|
Virtus
Investment Partners, Inc.
|
8,600
|
917,534
|
Waddell
& Reed Financial, Inc., Class A
|
179,894
|
2,908,886
|
Westwood
Holdings Group, Inc.
|
33,000
|
905,850
|
Total
|
|
30,789,538
|
Consumer
Finance 0.3%
|
Navient
Corp.
|
100,100
|
1,275,274
|
Nelnet,
Inc., Class A
|
33,787
|
2,265,419
|
SLM
Corp.
|
252,100
|
2,127,724
|
Total
|
|
5,668,417
|
Diversified
Financial Services 0.1%
|
FGL
Holdings
|
118,300
|
944,034
|
Insurance
2.4%
|
Ambac
Financial Group, Inc.(a)
|
67,800
|
1,223,112
|
American
Equity Investment Life Holding Co.
|
225,997
|
4,870,235
|
AMERISAFE,
Inc.
|
60,500
|
4,156,350
|
Argo
Group International Holdings Ltd.
|
118,501
|
7,787,886
|
CNO
Financial Group, Inc.
|
78,763
|
1,140,488
|
eHealth,
Inc.(a)
|
10,664
|
888,418
|
Employers
Holdings, Inc.
|
105,518
|
4,550,991
|
Enstar
Group Ltd.(a)
|
7,700
|
1,375,374
|
Global
Indemnity Ltd
|
21,000
|
540,750
|
Horace
Mann Educators Corp.
|
30,704
|
1,346,985
|
MBIA,
Inc.(a)
|
411,300
|
3,701,700
|
National
General Holdings Corp.
|
64,069
|
1,510,747
|
National
Western Life Group, Inc., Class A
|
5,100
|
1,314,882
|
ProAssurance
Corp.
|
34,400
|
1,344,008
|
Safety
Insurance Group, Inc.
|
23,568
|
2,272,898
|
Stewart
Information Services Corp.
|
23,500
|
841,770
|
Third
Point Reinsurance Ltd.(a)
|
92,500
|
871,350
|
United
Fire Group, Inc.
|
13,400
|
605,144
|
Total
|
|
40,343,088
|
Common
Stocks (continued)
|
Issuer
|
Shares
|
Value
($)
|
Mortgage
Real Estate Investment Trusts (REITS) 0.6%
|
Blackstone
Mortgage Trust, Inc.
|
91,900
|
3,198,120
|
Colony
Credit Real Estate, Inc.
|
98,500
|
1,234,205
|
Ellington
Financial, Inc.
|
71,200
|
1,243,864
|
Exantas
Capital Corp.
|
117,100
|
1,312,691
|
Great
Ajax Corp.
|
49,400
|
720,252
|
Invesco
Mortgage Capital, Inc.
|
77,200
|
1,160,316
|
Ready
Capital Corp.
|
64,603
|
948,372
|
Total
|
|
9,817,820
|
Thrifts
& Mortgage Finance 2.5%
|
Axos
Financial, Inc.(a)
|
170,487
|
4,417,318
|
Capitol
Federal Financial, Inc.
|
52,800
|
711,216
|
Dime
Community Bancshares, Inc.
|
69,100
|
1,370,253
|
Essent
Group Ltd.(a)
|
59,671
|
2,894,044
|
First
Defiance Financial Corp.
|
45,618
|
1,192,911
|
FS
Bancorp, Inc.
|
6,700
|
324,280
|
Hingham
Institution for Savings
|
3,300
|
594,330
|
HomeStreet,
Inc.(a)
|
46,800
|
1,234,116
|
Luther
Burbank Corp.
|
67,800
|
709,188
|
Merchants
Bancorp
|
34,500
|
547,170
|
Meridian
Bancorp, Inc.
|
37,200
|
650,256
|
MGIC
Investment Corp.
|
334,000
|
4,225,100
|
NMI
Holdings, Inc., Class A(a)
|
101,633
|
2,880,279
|
Northfield
Bancorp, Inc.
|
70,300
|
1,091,056
|
OceanFirst
Financial Corp.
|
122,300
|
2,570,746
|
Oritani
Financial Corp.
|
80,400
|
1,377,252
|
Southern
Missouri Bancorp, Inc.
|
9,500
|
317,300
|
Sterling
Bancorp, Inc.
|
66,400
|
619,512
|
Territorial
Bancorp, Inc.
|
12,700
|
347,345
|
TrustCo
Bank Corp.
|
362,140
|
2,777,614
|
United
Financial Bancorp, Inc.
|
72,000
|
900,000
|
Walker
& Dunlop, Inc.
|
66,133
|
3,694,189
|
Washington
Federal, Inc.
|
38,844
|
1,382,846
|
Waterstone
Financial, Inc.
|
38,900
|
645,351
|
WSFS
Financial Corp.
|
101,700
|
4,192,074
|
Total
|
|
41,665,746
|
Total
Financials
|
297,367,346
|
The accompanying Notes to Financial Statements are an integral part
of this statement.
Multi-Manager
Small Cap Equity Strategies Fund | Annual Report 2019
|
17
|
Portfolio of Investments (continued)
August 31, 2019
Common
Stocks (continued)
|
Issuer
|
Shares
|
Value
($)
|
Health
Care 12.9%
|
Biotechnology
3.6%
|
ACADIA
Pharmaceuticals, Inc.(a)
|
62,002
|
1,714,975
|
Adverum
Biotechnologies, Inc.(a)
|
70,304
|
726,240
|
Alder
Biopharmaceuticals, Inc.(a)
|
92,900
|
831,455
|
Atara
Biotherapeutics, Inc.(a)
|
107,743
|
1,454,531
|
Avrobio,
Inc.(a)
|
98,216
|
1,913,248
|
Biohaven
Pharmaceutical Holding Co., Ltd.(a)
|
72,143
|
2,827,284
|
BridgeBio
Pharma, Inc.(a)
|
27,544
|
839,541
|
CareDx,
Inc.(a)
|
20,471
|
467,148
|
Clementia
Pharmaceuticals, Inc.(a),(b),(c),(d)
|
134,864
|
0
|
Coherus
Biosciences, Inc.(a)
|
181,340
|
4,023,935
|
Emergent
Biosolutions, Inc.(a)
|
32,982
|
1,444,612
|
FibroGen,
Inc.(a)
|
87,879
|
3,924,676
|
G1
Therapeutics, Inc.(a)
|
81,944
|
2,974,567
|
Global
Blood Therapeutics, Inc.(a)
|
20,026
|
920,795
|
Halozyme
Therapeutics, Inc.(a)
|
237,173
|
3,918,098
|
Heron
Therapeutics, Inc.(a)
|
94,097
|
1,742,676
|
Homology
Medicines, Inc.(a)
|
101,559
|
1,920,481
|
Immunomedics,
Inc.(a)
|
90,000
|
1,152,000
|
Intercept
Pharmaceuticals, Inc.(a)
|
30,725
|
1,971,931
|
Ligand
Pharmaceuticals, Inc.(a)
|
62,150
|
5,650,057
|
Myriad
Genetics, Inc.(a)
|
41,663
|
980,330
|
REGENXBIO,
Inc.(a)
|
53,737
|
1,853,389
|
Repligen
Corp.(a)
|
117,100
|
10,868,051
|
Rubius
Therapeutics, Inc.(a)
|
52,335
|
485,669
|
Sage
Therapeutics, Inc.(a)
|
11,175
|
1,918,412
|
Spark
Therapeutics, Inc.(a)
|
5,154
|
502,051
|
Twist
Bioscience Corp.(a)
|
105,101
|
3,051,082
|
Total
|
|
60,077,234
|
Health
Care Equipment & Supplies 4.4%
|
Cantel
Medical Corp.
|
159,000
|
14,616,870
|
CONMED
Corp.
|
33,968
|
3,422,955
|
Insulet
Corp.(a)
|
33,047
|
5,094,856
|
Integer
Holdings Corp.(a)
|
23,820
|
1,724,568
|
iRhythm
Technologies, Inc.(a)
|
51,888
|
3,949,714
|
Lantheus
Holdings, Inc.(a)
|
98,918
|
2,152,456
|
LeMaitre
Vascular, Inc.
|
172,400
|
5,458,184
|
Meridian
Bioscience, Inc.
|
117,490
|
1,084,433
|
Common
Stocks (continued)
|
Issuer
|
Shares
|
Value
($)
|
Merit
Medical Systems, Inc.(a)
|
168,550
|
5,862,169
|
Mesa
Laboratories, Inc.
|
43,600
|
9,645,628
|
Natus
Medical, Inc.(a)
|
46,667
|
1,291,743
|
Neogen
Corp.(a)
|
151,450
|
10,680,254
|
Nevro
Corp.(a)
|
55,145
|
4,617,291
|
Orthofix
Medical, Inc.(a)
|
48,948
|
2,488,516
|
Shockwave
Medical, Inc.(a)
|
21,319
|
892,200
|
Total
|
|
72,981,837
|
Health
Care Providers & Services 1.3%
|
Acadia
Healthcare Co., Inc.(a)
|
82,755
|
2,189,697
|
Amedisys,
Inc.(a)
|
41,036
|
5,281,744
|
Hanger,
Inc.(a)
|
64,600
|
1,219,648
|
LHC
Group, Inc.(a)
|
31,400
|
3,720,900
|
Magellan
Health, Inc.(a)
|
19,200
|
1,209,792
|
Mednax,
Inc.(a)
|
54,900
|
1,157,292
|
National
Research Corp., Class A
|
58,950
|
3,774,568
|
Patterson
Companies, Inc.
|
76,000
|
1,270,720
|
R1
RCM, Inc.(a)
|
164,000
|
1,912,240
|
Total
|
|
21,736,601
|
Health
Care Technology 1.7%
|
Computer
Programs & Systems, Inc.
|
61,500
|
1,300,725
|
Evolent
Health, Inc., Class A(a)
|
173,157
|
1,189,589
|
HMS
Holdings Corp.(a)
|
84,090
|
3,071,808
|
Omnicell,
Inc.(a)
|
149,850
|
10,759,230
|
Teladoc
Health, Inc.(a)
|
89,863
|
5,201,270
|
Vocera
Communications, Inc.(a)
|
291,675
|
6,693,941
|
Total
|
|
28,216,563
|
Life
Sciences Tools & Services 0.7%
|
Adaptive
Biotechnologies Corp.(a)
|
21,666
|
1,101,716
|
Bio-Techne
Corp.
|
30,125
|
5,771,047
|
Luminex
Corp.
|
101,574
|
2,082,267
|
Medpace
Holdings, Inc.(a)
|
11,200
|
906,192
|
Personalis,
Inc.(a)
|
37,246
|
720,710
|
Syneos
Health, Inc.(a)
|
31,200
|
1,638,936
|
Total
|
|
12,220,868
|
The accompanying Notes to Financial Statements are an integral part
of this statement.
18
|
Multi-Manager Small Cap
Equity Strategies Fund | Annual Report 2019
|
Portfolio of Investments (continued)
August 31, 2019
Common
Stocks (continued)
|
Issuer
|
Shares
|
Value
($)
|
Pharmaceuticals
1.2%
|
Assertio
Therapeutics, Inc.(a)
|
203,660
|
293,270
|
Horizon
Therapeutics PLC(a)
|
319,294
|
8,822,093
|
Optinose,
Inc.(a)
|
129,427
|
991,411
|
Phibro
Animal Health Corp., Class A
|
85,927
|
1,774,393
|
Revance
Therapeutics, Inc.(a)
|
125,428
|
1,329,537
|
Taro
Pharmaceutical Industries Ltd.
|
15,100
|
1,160,586
|
TherapeuticsMD,
Inc.(a)
|
549,168
|
1,587,095
|
Tricida,
Inc.(a)
|
85,121
|
2,969,872
|
Total
|
|
18,928,257
|
Total
Health Care
|
214,161,360
|
Industrials
20.0%
|
Aerospace
& Defense 1.4%
|
AAR
Corp.
|
31,400
|
1,348,944
|
Axon
Enterprise, Inc.(a)
|
74,625
|
4,475,261
|
Hexcel
Corp.
|
51,453
|
4,329,770
|
Mercury
Systems, Inc.(a)
|
119,600
|
10,241,348
|
Moog,
Inc., Class A
|
3,600
|
292,500
|
National
Presto Industries, Inc.
|
14,200
|
1,217,082
|
Vectrus,
Inc.(a)
|
30,600
|
1,238,076
|
Total
|
|
23,142,981
|
Air
Freight & Logistics 0.1%
|
Atlas
Air Worldwide Holdings, Inc.(a)
|
38,214
|
987,832
|
Airlines
0.4%
|
Hawaiian
Holdings, Inc.
|
105,334
|
2,571,203
|
Skywest,
Inc.
|
69,500
|
3,979,570
|
Spirit
Airlines, Inc.(a)
|
26,300
|
987,302
|
Total
|
|
7,538,075
|
Building
Products 3.7%
|
AAON,
Inc.
|
166,300
|
7,977,411
|
Advanced
Drainage Systems, Inc.
|
144,747
|
4,543,608
|
Apogee
Enterprises, Inc.
|
67,186
|
2,481,179
|
Armstrong
Flooring, Inc.(a)
|
183,100
|
1,239,587
|
Armstrong
World Industries, Inc.
|
43,500
|
4,152,945
|
Builders
FirstSource, Inc.(a)
|
92,017
|
1,789,731
|
Caesarstone
Ltd.
|
84,400
|
1,265,156
|
Continental
Building Product(a)
|
26,300
|
661,182
|
Insteel
Industries, Inc.
|
46,200
|
863,940
|
Common
Stocks (continued)
|
Issuer
|
Shares
|
Value
($)
|
Masonite
International Corp.(a)
|
68,533
|
3,658,977
|
Quanex
Building Products Corp.
|
100,910
|
1,737,670
|
Simpson
Manufacturing Co., Inc.
|
234,611
|
15,062,026
|
Trex
Company, Inc.(a)
|
182,234
|
15,586,474
|
Universal
Forest Products, Inc.
|
8,800
|
344,080
|
Total
|
|
61,363,966
|
Commercial
Services & Supplies 1.8%
|
ACCO
Brands Corp.
|
287,294
|
2,663,215
|
Brink’s
Co. (The)
|
28,605
|
2,152,526
|
Casella
Waste Systems, Inc., Class A(a)
|
88,000
|
4,004,000
|
Deluxe
Corp.
|
23,200
|
1,069,056
|
Ennis,
Inc.
|
42,300
|
850,653
|
Herman
Miller, Inc.
|
49,424
|
2,089,647
|
Interface,
Inc.
|
56,600
|
625,430
|
Kimball
International, Inc., Class B
|
62,604
|
1,098,700
|
Knoll,
Inc.
|
33,100
|
763,286
|
MSA
Safety, Inc.
|
48,528
|
5,126,013
|
Quad/Graphics,
Inc.
|
146,600
|
1,317,934
|
Steelcase,
Inc., Class A
|
279,120
|
4,334,734
|
Unifirst
Corp.
|
23,221
|
4,549,226
|
Total
|
|
30,644,420
|
Construction
& Engineering 0.8%
|
Arcosa,
Inc.
|
8,700
|
282,663
|
Granite
Construction, Inc.
|
80,000
|
2,275,200
|
Great
Lakes Dredge & Dock Corp.(a)
|
199,768
|
2,165,485
|
MasTec,
Inc.(a)
|
86,400
|
5,431,968
|
MYR
Group, Inc.(a)
|
9,000
|
258,030
|
Primoris
Services Corp.
|
49,800
|
973,092
|
Tutor
Perini Corp.(a)
|
127,000
|
1,268,730
|
Valmont
Industries, Inc.
|
8,000
|
1,084,000
|
Total
|
|
13,739,168
|
Electrical
Equipment 1.0%
|
AZZ,
Inc.
|
22,300
|
920,321
|
Encore
Wire Corp.
|
28,878
|
1,559,123
|
EnerSys
|
20,200
|
1,131,200
|
Generac
Holdings, Inc.(a)
|
85,430
|
6,662,686
|
GrafTech
International Ltd.
|
114,900
|
1,400,631
|
Preformed
Line Products Co.
|
10,700
|
548,375
|
The accompanying Notes to Financial Statements are an integral part
of this statement.
Multi-Manager
Small Cap Equity Strategies Fund | Annual Report 2019
|
19
|
Portfolio of Investments (continued)
August 31, 2019
Common
Stocks (continued)
|
Issuer
|
Shares
|
Value
($)
|
Sunrun,
Inc.(a)
|
240,000
|
3,679,200
|
Thermon
(a)
|
14,100
|
306,675
|
Total
|
|
16,208,211
|
Machinery
5.1%
|
Albany
International Corp., Class A
|
57,900
|
4,760,538
|
Astec
Industries, Inc.
|
33,300
|
919,080
|
Blue
Bird Corp.(a)
|
65,800
|
1,200,192
|
Chart
Industries, Inc.(a)
|
40,332
|
2,534,463
|
Columbus
McKinnon Corp.
|
37,879
|
1,226,143
|
Commercial
Vehicle Group, Inc.(a)
|
177,100
|
1,124,585
|
Douglas
Dynamics, Inc.
|
181,125
|
7,563,780
|
EnPro
Industries, Inc.
|
20,100
|
1,251,828
|
ESCO
Technologies, Inc.
|
118,350
|
9,009,985
|
Evoqua
Water Technologies Corp.(a)
|
192,000
|
2,968,320
|
Graco,
Inc.
|
76,585
|
3,489,978
|
Graham
Corp.
|
32,100
|
590,961
|
Greenbrier
Companies, Inc. (The)
|
54,032
|
1,258,405
|
Helios
Technologies, Inc.
|
147,450
|
6,309,386
|
Hillenbrand,
Inc.
|
34,100
|
935,704
|
Hyster-Yale
Materials Handling, Inc.
|
12,200
|
665,510
|
ITT,
Inc.
|
68,810
|
3,916,665
|
John
Bean Technologies Corp.
|
103,726
|
10,613,244
|
Kennametal,
Inc.
|
58,100
|
1,736,609
|
Meritor,
Inc.(a)
|
72,900
|
1,226,178
|
Miller
Industries, Inc.
|
21,400
|
669,606
|
Mueller
Water Products, Inc., Class A
|
63,800
|
667,348
|
Navistar
International Corp.(a)
|
146,500
|
3,369,500
|
Omega
Flex, Inc.
|
200
|
16,840
|
Oshkosh
Corp.
|
20,027
|
1,407,297
|
Proto
Labs, Inc.(a)
|
59,000
|
5,589,660
|
RBC
Bearings, Inc.(a)
|
23,150
|
3,693,120
|
REV
Group, Inc.
|
47,000
|
605,830
|
Spartan
Motors, Inc.
|
30,500
|
384,605
|
SPX
FLOW, Inc.(a)
|
57,791
|
1,948,135
|
Terex
Corp.
|
50,800
|
1,261,364
|
Timken
Co. (The)
|
15,600
|
626,808
|
Wabash
National Corp.
|
158,693
|
2,164,573
|
Total
|
|
85,706,240
|
Common
Stocks (continued)
|
Issuer
|
Shares
|
Value
($)
|
Marine
0.2%
|
Kirby
Corp.(a)
|
22,545
|
1,659,087
|
Matson,
Inc.
|
36,000
|
1,279,080
|
Total
|
|
2,938,167
|
Professional
Services 2.1%
|
BG
Staffing, Inc.
|
29,700
|
556,578
|
CBIZ,
Inc.(a)
|
103,153
|
2,304,438
|
Exponent,
Inc.
|
233,525
|
16,554,588
|
GP
Strategies Corp.(a)
|
41,300
|
531,944
|
ICF
International, Inc.
|
50,200
|
4,249,932
|
InnerWorkings,
Inc.(a)
|
169,100
|
716,984
|
Kelly
Services, Inc., Class A
|
38,500
|
932,085
|
Kforce,
Inc.
|
88,100
|
2,866,774
|
Korn/Ferry
International
|
86,000
|
3,360,880
|
Resources
Connection, Inc.
|
40,000
|
662,000
|
TrueBlue,
Inc.(a)
|
107,242
|
2,081,567
|
Total
|
|
34,817,770
|
Road
& Rail 1.0%
|
ArcBest
Corp.
|
56,011
|
1,658,486
|
Covenant
Transportation Group, Inc., Class A(a)
|
244,294
|
3,512,948
|
Hertz
Global Holdings, Inc.(a)
|
102,246
|
1,238,199
|
Ryder
System, Inc.
|
49,556
|
2,387,112
|
Saia,
Inc.(a)
|
67,552
|
5,778,398
|
Schneider
National, Inc., Class B
|
18,000
|
349,920
|
Universal
Logistics Holdings, Inc.
|
29,600
|
620,120
|
Werner
Enterprises, Inc.
|
21,500
|
702,620
|
Total
|
|
16,247,803
|
Trading
Companies & Distributors 2.4%
|
Aircastle
Ltd.
|
117,383
|
2,564,818
|
Applied
Industrial Technologies, Inc.
|
50,116
|
2,675,693
|
BMC
Stock Holdings, Inc.(a)
|
97,118
|
2,469,711
|
DXP
Enterprises, Inc.(a)
|
19,800
|
642,510
|
EVI
Industries, Inc.
|
49,975
|
1,489,755
|
Foundation
Building Materials, Inc.(a)
|
70,998
|
1,216,196
|
H&E
Equipment Services, Inc.
|
95,237
|
2,313,307
|
Herc
Holdings Inc(a)
|
26,053
|
1,075,468
|
NOW,
Inc.(a)
|
169,900
|
2,020,111
|
Rush
Enterprises, Inc., Class A
|
203,256
|
7,339,574
|
The accompanying Notes to Financial Statements are an integral part
of this statement.
20
|
Multi-Manager Small Cap
Equity Strategies Fund | Annual Report 2019
|
Portfolio of Investments (continued)
August 31, 2019
Common
Stocks (continued)
|
Issuer
|
Shares
|
Value
($)
|
SiteOne
Landscape Supply, Inc.(a)
|
146,279
|
11,439,018
|
Triton
International Ltd.
|
74,100
|
2,382,315
|
WESCO
International, Inc.(a)
|
69,896
|
3,150,911
|
Total
|
|
40,779,387
|
Total
Industrials
|
334,114,020
|
Information
Technology 16.8%
|
Communications
Equipment 1.2%
|
Casa
Systems, Inc.(a)
|
117,000
|
673,920
|
Ciena
Corp.(a)
|
213,738
|
8,748,296
|
CommScope
Holding Co., Inc.(a)
|
57,300
|
615,402
|
Comtech
Telecommunications Corp.
|
28,405
|
759,834
|
Lumentum
Holdings, Inc.(a)
|
65,500
|
3,652,280
|
NETGEAR,
Inc.(a)
|
19,800
|
687,456
|
Plantronics,
Inc.
|
31,300
|
972,491
|
Viavi
Solutions, Inc.(a)
|
241,900
|
3,359,991
|
Total
|
|
19,469,670
|
Electronic
Equipment, Instruments & Components 3.1%
|
Anixter
International, Inc.(a)
|
22,400
|
1,343,328
|
AVX
Corp.
|
90,600
|
1,227,630
|
Belden,
Inc.
|
67,153
|
3,062,848
|
Benchmark
Electronics, Inc.
|
108,666
|
2,877,476
|
CTS
Corp.
|
26,713
|
762,122
|
ePlus,
Inc.(a)
|
9,200
|
751,824
|
Fabrinet
(a)
|
57,253
|
2,890,704
|
Insight
Enterprises, Inc.(a)
|
81,383
|
3,911,267
|
Kimball
Electronics, Inc.(a)
|
69,300
|
915,453
|
Littelfuse,
Inc.
|
16,329
|
2,548,467
|
Methode
Electronics, Inc.
|
38,700
|
1,228,338
|
MTS
Systems Corp.
|
33,902
|
1,928,007
|
Novanta,
Inc.(a)
|
70,525
|
5,289,375
|
PC
Connection, Inc.
|
27,200
|
958,256
|
Plexus
Corp.(a)
|
23,800
|
1,361,598
|
Rogers
Corp.(a)
|
54,400
|
7,203,648
|
Sanmina
Corp.(a)
|
44,000
|
1,271,600
|
Scansource,
Inc.(a)
|
30,300
|
856,278
|
SYNNEX
Corp.
|
46,000
|
3,855,260
|
Tech
Data Corp.(a)
|
46,171
|
4,281,437
|
Vishay
Intertechnology, Inc.
|
252,682
|
3,999,956
|
Total
|
|
52,524,872
|
Common
Stocks (continued)
|
Issuer
|
Shares
|
Value
($)
|
IT
Services 1.7%
|
Cass
Information Systems, Inc.
|
14,200
|
718,520
|
CSG
Systems International, Inc.
|
23,100
|
1,244,628
|
KBR,
Inc.
|
181,800
|
4,639,536
|
Mantech
International Corp., Class A
|
74,924
|
5,265,659
|
MongoDB,
Inc.(a)
|
16,552
|
2,521,035
|
NIC,
Inc.
|
44,000
|
916,080
|
Presidio,
Inc.
|
129,757
|
2,078,707
|
Science
Applications International Corp.
|
39,900
|
3,511,599
|
Sykes
Enterprises, Inc.(a)
|
93,471
|
2,710,659
|
Wix.com
Ltd.(a)
|
32,578
|
4,569,065
|
Total
|
|
28,175,488
|
Semiconductors
& Semiconductor Equipment 2.6%
|
Amkor
Technology, Inc.(a)
|
377,358
|
3,301,883
|
Cohu,
Inc.
|
147,000
|
1,752,240
|
Diodes,
Inc.(a)
|
121,775
|
4,450,876
|
Entegris,
Inc.
|
209,057
|
8,953,911
|
Inphi
Corp.(a)
|
92,434
|
5,656,036
|
Kulicke
& Soffa Industries, Inc.
|
115,000
|
2,395,450
|
MKS
Instruments, Inc.
|
60,672
|
4,750,011
|
Monolithic
Power Systems, Inc.
|
37,134
|
5,590,895
|
Photronics,
Inc.(a)
|
117,900
|
1,273,320
|
Rudolph
Technologies, Inc.(a)
|
87,903
|
1,932,987
|
Semtech
Corp.(a)
|
88,337
|
3,707,504
|
Total
|
|
43,765,113
|
Software
8.1%
|
ACI
Worldwide, Inc.(a)
|
262,175
|
7,807,571
|
Altair
Engineering, Inc., Class A(a)
|
98,900
|
3,398,204
|
Anaplan,
Inc.(a)
|
78,262
|
4,251,974
|
Avaya
Holdings Corp.(a)
|
235,000
|
3,318,200
|
Blackbaud,
Inc.
|
100,275
|
9,122,017
|
Blackline,
Inc.(a)
|
116,650
|
5,940,985
|
Bottomline
Technologies de, Inc.(a)
|
191,150
|
7,883,026
|
Coupa
Software, Inc.(a)
|
18,207
|
2,529,499
|
CyberArk
Software Ltd.(a)
|
25,551
|
2,870,399
|
Descartes
Systems Group, Inc. (The)(a)
|
340,825
|
12,092,471
|
Dynatrace,
Inc.(a)
|
59,409
|
1,365,219
|
Ebix,
Inc.
|
34,900
|
1,236,158
|
The accompanying Notes to Financial Statements are an integral part
of this statement.
Multi-Manager
Small Cap Equity Strategies Fund | Annual Report 2019
|
21
|
Portfolio of Investments
(continued)
August 31, 2019
Common
Stocks (continued)
|
Issuer
|
Shares
|
Value
($)
|
Elastic
NV(a)
|
33,634
|
2,956,092
|
Envestnet,
Inc.(a)
|
86,804
|
4,966,057
|
Five9,
Inc.(a)
|
50,825
|
3,212,648
|
HubSpot,
Inc.(a)
|
14,093
|
2,814,090
|
Medallia,
Inc.(a)
|
20,348
|
724,796
|
New
Relic, Inc.(a)
|
16,324
|
936,018
|
Pagerduty,
Inc.(a)
|
40,002
|
1,570,879
|
Paylocity
Holding Corp.(a)
|
59,525
|
6,501,321
|
Pluralsight,
Inc., Class A(a)
|
111,514
|
1,795,375
|
Proofpoint,
Inc.(a)
|
37,049
|
4,209,137
|
PROS
Holdings, Inc.(a)
|
156,525
|
11,116,405
|
RingCentral,
Inc., Class A(a)
|
13,067
|
1,844,146
|
SailPoint
Technologies Holding, Inc.(a)
|
152,553
|
3,437,019
|
Smartsheet,
Inc., Class A(a)
|
66,633
|
3,238,364
|
SPS
Commerce, Inc.(a)
|
124,550
|
6,294,757
|
Trade
Desk, Inc. (The), Class A(a)
|
5,642
|
1,386,634
|
Tyler
Technologies, Inc.(a)
|
28,575
|
7,330,631
|
Verint
Systems, Inc.(a)
|
56,000
|
2,984,240
|
Zendesk,
Inc.(a)
|
31,427
|
2,520,445
|
Zscaler,
Inc.(a)
|
43,907
|
3,018,167
|
Total
|
|
134,672,944
|
Technology
Hardware, Storage & Peripherals 0.1%
|
Super
Micro Computer, Inc.(a)
|
68,000
|
1,282,140
|
Total
Information Technology
|
279,890,227
|
Materials
3.1%
|
Chemicals
1.6%
|
American
Vanguard Corp.
|
46,300
|
656,071
|
Balchem
Corp.
|
80,475
|
7,145,375
|
Cabot
Corp.
|
21,100
|
844,000
|
Ferro
Corp.(a)
|
157,475
|
1,604,670
|
FutureFuel
Corp.
|
55,700
|
600,446
|
Innophos
Holdings, Inc.
|
33,200
|
932,588
|
Koppers
Holdings, Inc.(a)
|
13,800
|
365,838
|
Kraton
Performance Polymers, Inc.(a)
|
94,123
|
2,582,735
|
Livent
Corp.(a)
|
306,500
|
1,884,975
|
Minerals
Technologies, Inc.
|
11,900
|
573,580
|
Orion
Engineered Carbons SA
|
134,500
|
1,870,895
|
PolyOne
Corp.
|
22,200
|
710,622
|
Stepan
Co.
|
34,452
|
3,286,377
|
Common
Stocks (continued)
|
Issuer
|
Shares
|
Value
($)
|
Trinseo
SA
|
94,190
|
3,305,127
|
Valvoline,
Inc.
|
36,100
|
815,860
|
Total
|
|
27,179,159
|
Containers
& Packaging 0.1%
|
Greif,
Inc., Class A
|
10,400
|
365,976
|
Silgan
Holdings, Inc.
|
21,900
|
651,744
|
Total
|
|
1,017,720
|
Metals
& Mining 1.0%
|
Allegheny
Technologies, Inc.(a)
|
88,564
|
1,755,338
|
Carpenter
Technology Corp.
|
66,900
|
3,254,016
|
Century
Aluminum Co.(a)
|
114,400
|
630,344
|
Cleveland-Cliffs,
Inc.
|
450,300
|
3,575,382
|
Kaiser
Aluminum Corp.
|
10,147
|
897,299
|
Materion
Corp.
|
61,200
|
3,601,008
|
Schnitzer
Steel Industries, Inc., Class A
|
55,047
|
1,218,741
|
Worthington
Industries, Inc.
|
27,200
|
943,840
|
Total
|
|
15,875,968
|
Paper
& Forest Products 0.4%
|
Boise
Cascade Co.
|
101,028
|
3,172,279
|
Domtar
Corp.
|
30,774
|
1,014,003
|
Louisiana-Pacific
Corp.
|
92,410
|
2,221,537
|
Mercer
International, Inc.
|
51,200
|
616,448
|
Total
|
|
7,024,267
|
Total
Materials
|
51,097,114
|
Real
Estate 5.8%
|
Equity
Real Estate Investment Trusts (REITS) 5.2%
|
Alexander
& Baldwin, Inc.
|
146,726
|
3,358,558
|
American
Assets Trust, Inc.
|
152,652
|
7,153,273
|
Braemar
Hotels & Resorts, Inc.
|
115,972
|
1,063,463
|
Brandywine
Realty Trust
|
181,200
|
2,600,220
|
CareTrust
REIT, Inc.
|
133,306
|
3,171,350
|
Chesapeake
Lodging Trust
|
115,930
|
2,985,197
|
Colony
Capital, Inc.
|
278,300
|
1,252,350
|
CoreCivic,
Inc.
|
94,000
|
1,593,300
|
CubeSmart
|
63,210
|
2,268,607
|
EastGroup
Properties, Inc.
|
21,953
|
2,733,588
|
First
Industrial Realty Trust, Inc.
|
263,180
|
10,250,861
|
Getty
Realty Corp.
|
59,742
|
1,897,406
|
The accompanying Notes to Financial Statements are an integral part
of this statement.
22
|
Multi-Manager Small Cap
Equity Strategies Fund | Annual Report 2019
|
Portfolio of Investments (continued)
August 31, 2019
Common
Stocks (continued)
|
Issuer
|
Shares
|
Value
($)
|
Hudson
Pacific Properties, Inc.
|
92,100
|
3,131,400
|
Lexington
Realty Trust
|
170,311
|
1,769,531
|
Mack-Cali
Realty Corp.
|
153,200
|
3,120,684
|
National
Health Investors, Inc.
|
24,822
|
2,059,233
|
National
Storage Affiliates Trust
|
103,165
|
3,451,901
|
Physicians
Realty Trust
|
155,468
|
2,692,706
|
Piedmont
Office Realty Trust, Inc.
|
201,020
|
3,968,135
|
Preferred
Apartment Communities, Inc., Class A
|
73,517
|
989,539
|
PS
Business Parks, Inc.
|
48,146
|
8,647,503
|
Saul
Centers, Inc.
|
23,337
|
1,172,218
|
Seritage
Growth Properties, Class A
|
32,400
|
1,266,516
|
STAG
Industrial, Inc.
|
42,056
|
1,222,988
|
Sunstone
Hotel Investors, Inc.
|
497,075
|
6,531,565
|
Terreno
Realty Corp.
|
48,057
|
2,429,762
|
Xenia
Hotels & Resorts, Inc.
|
171,347
|
3,462,923
|
Total
|
|
86,244,777
|
Real
Estate Management & Development 0.6%
|
Consolidated-Tomoka
Land Co.
|
16,400
|
1,046,976
|
FirstService
Corp.
|
67,825
|
7,046,339
|
Five
Point Holdings LLC, Class A(a)
|
88,400
|
620,568
|
Marcus
& Millichap, Inc.(a)
|
21,300
|
768,504
|
Realogy
Holdings Corp.
|
135,571
|
648,029
|
Total
|
|
10,130,416
|
Total
Real Estate
|
96,375,193
|
Utilities
3.4%
|
Electric
Utilities 1.6%
|
Allete,
Inc.
|
15,200
|
1,303,096
|
El
Paso Electric Co.
|
19,925
|
1,328,998
|
IDACORP,
Inc.
|
32,050
|
3,519,410
|
Otter
Tail Corp.
|
25,058
|
1,268,436
|
PNM
Resources, Inc.
|
166,158
|
8,475,720
|
Portland
General Electric Co.
|
166,242
|
9,457,507
|
Spark
Energy, Inc., Class A
|
98,600
|
932,756
|
Total
|
|
26,285,923
|
Common
Stocks (continued)
|
Issuer
|
Shares
|
Value
($)
|
Gas
Utilities 1.2%
|
New
Jersey Resources Corp.
|
106,900
|
4,889,606
|
Northwest
Natural Holding Co.
|
18,900
|
1,348,704
|
ONE
Gas, Inc.
|
51,000
|
4,672,110
|
South
Jersey Industries, Inc.
|
148,800
|
4,812,192
|
Southwest
Gas Holdings, Inc.
|
37,100
|
3,384,633
|
Spire,
Inc.
|
14,900
|
1,265,010
|
Star
Group LP
|
66,700
|
613,640
|
Total
|
|
20,985,895
|
Multi-Utilities
0.5%
|
Avista
Corp.
|
29,100
|
1,364,790
|
Black
Hills Corp.
|
53,478
|
4,102,297
|
NorthWestern
Corp.
|
17,785
|
1,288,346
|
Unitil
Corp.
|
21,500
|
1,297,955
|
Total
|
|
8,053,388
|
Water
Utilities 0.1%
|
California
Water Service Group
|
21,800
|
1,230,392
|
Total
Utilities
|
56,555,598
|
Total
Common Stocks
(Cost $1,610,431,528)
|
1,633,144,120
|
|
Limited
Partnerships 0.2%
|
|
|
|
Energy
0.1%
|
Oil,
Gas & Consumable Fuels 0.1%
|
CNX
Midstream Partners LP
|
45,800
|
648,070
|
Hess
Midstream Partners LP
|
31,800
|
603,882
|
Noble
Midstream Partners LP
|
21,700
|
527,961
|
Oasis
Midstream Partners LP
|
35,600
|
540,052
|
Total
|
|
2,319,965
|
Total
Energy
|
2,319,965
|
Utilities
0.1%
|
Gas
Utilities 0.1%
|
Suburban
Propane Partners LP
|
53,700
|
1,252,284
|
Total
Utilities
|
1,252,284
|
Total
Limited Partnerships
(Cost $3,904,953)
|
3,572,249
|
|
The accompanying Notes to Financial Statements are an integral part
of this statement.
Multi-Manager
Small Cap Equity Strategies Fund | Annual Report 2019
|
23
|
Portfolio of Investments (continued)
August 31, 2019
Money
Market Funds 2.1%
|
|
Shares
|
Value
($)
|
Columbia
Short-Term Cash Fund, 2.208%(e),(f)
|
34,979,407
|
34,975,909
|
Total
Money Market Funds
(Cost $34,975,910)
|
34,975,909
|
Total
Investments in Securities
(Cost: $1,649,312,391)
|
1,671,692,278
|
Other
Assets & Liabilities, Net
|
|
(4,306,613)
|
Net
Assets
|
1,667,385,665
|
Notes to Portfolio of Investments
(a)
|
Non-income
producing investment.
|
(b)
|
Represents fair
value as determined in good faith under procedures approved by the Board of Trustees. At August 31, 2019, the total value of these securities amounted to $0, which represents less than 0.01% of total net assets.
|
(c)
|
Negligible market
value.
|
(d)
|
Valuation
based on significant unobservable inputs.
|
(e)
|
The rate
shown is the seven-day current annualized yield at August 31, 2019.
|
(f)
|
As
defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. Holdings and
transactions in these affiliated companies during the year ended August 31, 2019 are as follows:
|
Issuer
|
Beginning
shares
|
Shares
purchased
|
Shares
sold
|
Ending
shares
|
Realized
gain
(loss) —
affiliated
issuers ($)
|
Net
change in
unrealized
appreciation
(depreciation) —
affiliated
issuers ($)
|
Dividends
—
affiliated
issuers ($)
|
Value
—
affiliated
issuers
at end of
period ($)
|
Columbia
Short-Term Cash Fund, 2.208%
|
|
52,399,234
|
570,823,291
|
(588,243,118)
|
34,979,407
|
93
|
79
|
1,030,835
|
34,975,909
|
Abbreviation Legend
ADR
|
American
Depositary Receipt
|
Fair value
measurements
The Fund categorizes its fair value
measurements according to a three-level hierarchy that maximizes the use of observable inputs and minimizes the use of unobservable inputs by prioritizing that the most observable input be used when available. Observable inputs are those that market
participants would use in pricing an investment based on market data obtained from sources independent of the reporting entity. Unobservable inputs are those that reflect the Fund’s assumptions about the information market participants would
use in pricing an investment. An investment’s level within the fair value hierarchy is based on the lowest level of any input that is deemed significant to the asset’s or liability’s fair value measurement. The input levels are not
necessarily an indication of the risk or liquidity associated with investments at that level. For example, certain U.S. government securities are generally high quality and liquid, however, they are reflected as Level 2 because the inputs used to
determine fair value may not always be quoted prices in an active market.
Fair value inputs are summarized in the three broad levels
listed below:
■
|
Level 1 — Valuations
based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments.
|
■
|
Level 2 — Valuations
based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.).
|
■
|
Level 3 — Valuations
based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments).
|
Inputs that are used in determining fair value of an investment
may include price information, credit data, volatility statistics, and other factors. These inputs can be either observable or unobservable. The availability of observable inputs can vary between investments, and is affected by various factors such
as the type of investment, and the volume and level of activity for that investment or similar investments in the marketplace. The inputs will be considered by the Investment Manager, along with any other relevant factors in the calculation of an
investment’s fair value. The Fund uses prices and inputs that are current as of the measurement date, which may include periods of market dislocations. During these periods, the availability of prices and inputs may be reduced for many
investments. This condition could cause an investment to be reclassified between the various levels within the hierarchy.
Investments falling into the Level 3 category are primarily
supported by quoted prices from brokers and dealers participating in the market for those investments. However, these may be classified as Level 3 investments due to lack of market transparency and corroboration to support these quoted prices.
Additionally, valuation models may be used as the pricing source for any remaining investments classified as Level 3. These models may rely on one or more significant unobservable inputs and/or significant assumptions by the Investment Manager.
Inputs used in valuations may include, but are not limited to, financial statement analysis, capital account balances, discount rates and estimated cash flows, and comparable company data.
The accompanying Notes
to Financial Statements are an integral part of this statement.
24
|
Multi-Manager Small Cap
Equity Strategies Fund | Annual Report 2019
|
Portfolio of Investments (continued)
August 31, 2019
Fair value
measurements (continued)
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.
The
following table is a summary of the inputs used to value the Fund’s investments at August 31, 2019:
|
Level
1 ($)
|
Level
2 ($)
|
Level
3 ($)
|
Total
($)
|
Investments
in Securities
|
|
|
|
|
Common
Stocks
|
|
|
|
|
Communication
Services
|
23,780,597
|
—
|
—
|
23,780,597
|
Consumer
Discretionary
|
178,729,361
|
—
|
—
|
178,729,361
|
Consumer
Staples
|
46,370,646
|
—
|
—
|
46,370,646
|
Energy
|
54,702,658
|
—
|
—
|
54,702,658
|
Financials
|
297,367,346
|
—
|
—
|
297,367,346
|
Health
Care
|
214,161,360
|
—
|
0*
|
214,161,360
|
Industrials
|
334,114,020
|
—
|
—
|
334,114,020
|
Information
Technology
|
278,608,087
|
1,282,140
|
—
|
279,890,227
|
Materials
|
51,097,114
|
—
|
—
|
51,097,114
|
Real
Estate
|
96,375,193
|
—
|
—
|
96,375,193
|
Utilities
|
56,555,598
|
—
|
—
|
56,555,598
|
Total
Common Stocks
|
1,631,861,980
|
1,282,140
|
0*
|
1,633,144,120
|
Limited
Partnerships
|
|
|
|
|
Energy
|
2,319,965
|
—
|
—
|
2,319,965
|
Utilities
|
1,252,284
|
—
|
—
|
1,252,284
|
Total
Limited Partnerships
|
3,572,249
|
—
|
—
|
3,572,249
|
Money
Market Funds
|
34,975,909
|
—
|
—
|
34,975,909
|
Total
Investments in Securities
|
1,670,410,138
|
1,282,140
|
0*
|
1,671,692,278
|
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.
The Fund does not hold any significant investments (greater
than one percent of net assets) categorized as Level 3.
The accompanying Notes to Financial Statements are an integral part of this
statement.
Multi-Manager
Small Cap Equity Strategies Fund | Annual Report 2019
|
25
|
Statement of Assets and Liabilities
August 31, 2019
Assets
|
|
Investments
in securities, at value
|
|
Unaffiliated
issuers (cost $1,614,336,481)
|
$1,636,716,369
|
Affiliated
issuers (cost $34,975,910)
|
34,975,909
|
Receivable
for:
|
|
Investments
sold
|
5,123,587
|
Capital
shares sold
|
2,476,243
|
Dividends
|
1,343,411
|
Foreign
tax reclaims
|
2,659
|
Expense
reimbursement due from Investment Manager
|
3,759
|
Prepaid
expenses
|
10,844
|
Trustees’
deferred compensation plan
|
64,987
|
Total
assets
|
1,680,717,768
|
Liabilities
|
|
Payable
for:
|
|
Investments
purchased
|
10,502,660
|
Capital
shares purchased
|
2,262,439
|
Management
services fees
|
37,248
|
Distribution
and/or service fees
|
21
|
Transfer
agent fees
|
280,306
|
Compensation
of chief compliance officer
|
117
|
Other
expenses
|
184,325
|
Trustees’
deferred compensation plan
|
64,987
|
Total
liabilities
|
13,332,103
|
Net
assets applicable to outstanding capital stock
|
$1,667,385,665
|
Represented
by
|
|
Paid
in capital
|
1,610,060,378
|
Total
distributable earnings (loss) (Note 2)
|
57,325,287
|
Total
- representing net assets applicable to outstanding capital stock
|
$1,667,385,665
|
Class
A
|
|
Net
assets
|
$3,035,245
|
Shares
outstanding
|
210,957
|
Net
asset value per share
|
$14.39
|
Institutional
Class
|
|
Net
assets
|
$1,664,350,420
|
Shares
outstanding
|
115,645,806
|
Net
asset value per share
|
$14.39
|
The accompanying Notes to Financial Statements are an integral part of this
statement.
26
|
Multi-Manager Small Cap
Equity Strategies Fund | Annual Report 2019
|
Statement of Operations
Year Ended August 31, 2019
Net
investment income
|
|
Income:
|
|
Dividends
— unaffiliated issuers
|
$21,217,767
|
Dividends
— affiliated issuers
|
1,030,835
|
Interfund
lending
|
337
|
Foreign
taxes withheld
|
(34,133)
|
Total
income
|
22,214,806
|
Expenses:
|
|
Management
services fees
|
14,241,229
|
Distribution
and/or service fees
|
|
Class
A
|
8,742
|
Transfer
agent fees
|
|
Class
A
|
7,249
|
Institutional
Class
|
3,599,036
|
Compensation
of board members
|
38,379
|
Custodian
fees
|
60,945
|
Printing
and postage fees
|
380,955
|
Registration
fees
|
142,371
|
Audit
fees
|
57,013
|
Legal
fees
|
36,593
|
Compensation
of chief compliance officer
|
709
|
Other
|
47,478
|
Total
expenses
|
18,620,699
|
Fees
waived or expenses reimbursed by Investment Manager and its affiliates
|
(266,244)
|
Total
net expenses
|
18,354,455
|
Net
investment income
|
3,860,351
|
Realized
and unrealized gain (loss) — net
|
|
Net
realized gain (loss) on:
|
|
Investments
— unaffiliated issuers
|
45,356,314
|
Investments
— affiliated issuers
|
93
|
Net
realized gain
|
45,356,407
|
Net
change in unrealized appreciation (depreciation) on:
|
|
Investments
— unaffiliated issuers
|
(278,000,641)
|
Investments
— affiliated issuers
|
79
|
Net
change in unrealized appreciation (depreciation)
|
(278,000,562)
|
Net
realized and unrealized loss
|
(232,644,155)
|
Net
decrease in net assets resulting from operations
|
$(228,783,804)
|
The accompanying Notes to Financial Statements are an
integral part of this statement.
Multi-Manager
Small Cap Equity Strategies Fund | Annual Report 2019
|
27
|
Statement of Changes in Net Assets
|
Year
Ended
August 31, 2019
|
Year
Ended
August 31, 2018
|
Operations
|
|
|
Net
investment income (loss)
|
$3,860,351
|
$(487,060)
|
Net
realized gain
|
45,356,407
|
134,891,945
|
Net
change in unrealized appreciation (depreciation)
|
(278,000,562)
|
162,272,949
|
Net
increase (decrease) in net assets resulting from operations
|
(228,783,804)
|
296,677,834
|
Distributions
to shareholders
|
|
|
Net
investment income and net realized gains
|
|
|
Class
A
|
(236,989)
|
|
Institutional
Class
|
(122,843,093)
|
|
Net
investment income
|
|
|
Institutional
Class
|
|
(690,526)
|
Net
realized gains
|
|
|
Class
A
|
|
(382,132)
|
Institutional
Class
|
|
(90,388,847)
|
Total
distributions to shareholders (Note 2)
|
(123,080,082)
|
(91,461,505)
|
Increase
in net assets from capital stock activity
|
219,818,477
|
624,555,700
|
Total
increase (decrease) in net assets
|
(132,045,409)
|
829,772,029
|
Net
assets at beginning of year
|
1,799,431,074
|
969,659,045
|
Net
assets at end of year
|
$1,667,385,665
|
$1,799,431,074
|
Undistributed
(excess of distributions over) net investment income
|
$1,954,037
|
$(49,275)
|
|
Year
Ended
|
Year
Ended
|
|
August
31, 2019
|
August
31, 2018
|
|
Shares
|
Dollars
($)
|
Shares
|
Dollars
($)
|
Capital
stock activity
|
Class
A
|
|
|
|
|
Subscriptions
|
—
|
—
|
48
|
794
|
Distributions
reinvested
|
17,334
|
236,782
|
24,862
|
381,884
|
Redemptions
|
(62,137)
|
(934,343)
|
(115,727)
|
(1,865,179)
|
Net
decrease
|
(44,803)
|
(697,561)
|
(90,817)
|
(1,482,501)
|
Institutional
Class
|
|
|
|
|
Subscriptions
|
38,644,630
|
587,799,886
|
49,283,161
|
820,047,143
|
Distributions
reinvested
|
9,006,079
|
122,842,918
|
5,948,999
|
91,079,165
|
Redemptions
|
(33,136,170)
|
(490,126,766)
|
(17,613,056)
|
(285,088,107)
|
Net
increase
|
14,514,539
|
220,516,038
|
37,619,104
|
626,038,201
|
Total
net increase
|
14,469,736
|
219,818,477
|
37,528,287
|
624,555,700
|
The accompanying Notes to Financial Statements are an integral part of this
statement.
28
|
Multi-Manager Small Cap
Equity Strategies Fund | Annual Report 2019
|
[THIS PAGE INTENTIONALLY LEFT BLANK]
Multi-Manager
Small Cap Equity Strategies Fund | Annual Report 2019
|
29
|
The
following table is intended to help you understand the Fund’s financial performance. Certain information reflects financial results for a single share of a class held for the periods shown. Per share net investment income (loss) amounts are
calculated based on average shares outstanding during the period. Total return assumes reinvestment of all dividends and distributions, if any. Total return does not reflect payment of sales charges, if any. Total return and portfolio turnover are
not annualized for periods of less than one year. The portfolio turnover rate is calculated without regard to purchase and sales transactions of short-term instruments and certain derivatives, if any. If such transactions were included, the
Fund’s portfolio turnover rate may be higher.
|
Net
asset value,
beginning of
period
|
Net
investment
income
(loss)
|
Net
realized
and
unrealized
gain (loss)
|
Total
from
investment
operations
|
Distributions
from net
investment
income
|
Distributions
from net
realized
gains
|
Total
distributions to
shareholders
|
Class
A
|
Year
Ended 8/31/2019
|
$17.77
|
(0.01)
|
(2.36)
|
(2.37)
|
(0.01)
|
(1.00)
|
(1.01)
|
Year
Ended 8/31/2018
|
$15.23
|
(0.05)
|
3.80
|
3.75
|
—
|
(1.21)
|
(1.21)
|
Year
Ended 8/31/2017
|
$13.39
|
(0.02)
|
2.04
|
2.02
|
(0.01)
|
(0.17)
|
(0.18)
|
Year
Ended 8/31/2016
|
$12.79
|
(0.00)
(d)
|
0.86
|
0.86
|
—
|
(0.26)
|
(0.26)
|
Year
Ended 8/31/2015
|
$13.68
|
(0.05)
|
0.28
(e)
|
0.23
|
—
|
(1.12)
|
(1.12)
|
Institutional
Class
|
Year
Ended 8/31/2019
|
$17.75
|
0.03
|
(2.37)
|
(2.34)
|
(0.02)
|
(1.00)
|
(1.02)
|
Year
Ended 8/31/2018
|
$15.18
|
(0.01)
|
3.80
|
3.79
|
(0.01)
|
(1.21)
|
(1.22)
|
Year
Ended 8/31/2017(f)
|
$14.60
|
(0.04)
|
0.62
|
0.58
|
—
|
—
|
—
|
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)
|
Ratios
include line of credit interest expense which is less than 0.01%.
|
(d)
|
Rounds to
zero.
|
(e)
|
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.
|
(f)
|
Institutional
Class shares commenced operations on January 3, 2017. Per share data and total return reflect activity from that date.
|
(g)
|
Annualized.
|
The accompanying Notes to Financial Statements are an
integral part of this statement.
30
|
Multi-Manager Small Cap
Equity Strategies 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 8/31/2019
|
$14.39
|
(13.04%)
|
1.31%
|
1.30%
|
(0.04%)
|
97%
|
$3,035
|
Year
Ended 8/31/2018
|
$17.77
|
25.88%
|
1.42%
(c)
|
1.34%
(c)
|
(0.29%)
|
82%
|
$4,545
|
Year
Ended 8/31/2017
|
$15.23
|
15.12%
|
1.59%
|
1.36%
|
(0.12%)
|
85%
|
$5,278
|
Year
Ended 8/31/2016
|
$13.39
|
6.91%
|
1.52%
|
1.38%
|
0.00%
(d)
|
115%
|
$950,597
|
Year
Ended 8/31/2015
|
$12.79
|
1.90%
|
1.58%
(c)
|
1.37%
(c)
|
(0.38%)
|
75%
|
$1,340,275
|
Institutional
Class
|
Year
Ended 8/31/2019
|
$14.39
|
(12.85%)
|
1.06%
|
1.05%
|
0.22%
|
97%
|
$1,664,350
|
Year
Ended 8/31/2018
|
$17.75
|
26.26%
|
1.17%
(c)
|
1.09%
(c)
|
(0.04%)
|
82%
|
$1,794,886
|
Year
Ended 8/31/2017(f)
|
$15.18
|
3.97%
|
1.33%
(g)
|
1.09%
(g)
|
(0.37%)
(g)
|
85%
|
$964,381
|
The accompanying Notes to Financial Statements are an integral part of this
statement.
Multi-Manager
Small Cap Equity Strategies Fund | Annual Report 2019
|
31
|
Notes to Financial Statements
August 31, 2019
Note 1. Organization
Multi-Manager Small Cap Equity Strategies Fund (the Fund), a
series of Columbia Funds Series Trust I (the Trust), is a diversified fund. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Massachusetts
business trust.
Fund shares
The Trust may issue an unlimited number of shares (without par
value). The Fund is offered only through certain wrap fee programs sponsored and/or managed by Ameriprise Financial, Inc. (Ameriprise Financial) or its affiliates. The Fund offers each of the share classes listed in the Statement of Assets and
Liabilities which are not subject to any front-end sales charge or contingent deferred sales charge.
Note 2. Summary of significant accounting
policies
Basis of preparation
The Fund is an investment company that applies the accounting
and reporting guidance in the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946, Financial Services - Investment Companies (ASC 946). The financial statements are prepared
in accordance with U.S. generally accepted accounting principles (GAAP), which requires management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities, the disclosure of contingent assets and
liabilities at the date of the financial statements and the reported amounts of income and expenses during the reporting period. Actual results could differ from those estimates.
The following is a summary of significant accounting policies
followed by the Fund in the preparation of its financial statements.
Security valuation
All equity securities are valued at the close of business of
the New York Stock Exchange. Equity securities are valued at the official closing price on the principal exchange or market on which they trade. 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 determined at the scheduled closing time of the New York Stock Exchange. Many securities markets and exchanges outside the U.S. close prior to the close of the New York Stock Exchange; therefore, the
closing prices for securities in such markets or on such exchanges may not fully reflect events that occur after such close but before the close of the New York Stock Exchange. In those situations, foreign securities will be fair valued pursuant to
a policy adopted by the Board of Trustees. Under the policy, the Fund may utilize a third party pricing service to determine these fair values. The third-party pricing service takes into account multiple factors, including, but not limited to,
movements in the U.S. securities markets, certain depositary receipts, futures contracts and foreign exchange rates that have occurred subsequent to the close of the foreign exchange or market, to determine a good faith estimate that reasonably
reflects the current market conditions as of the close of the New York Stock Exchange. The fair value of a security is likely to be different from the quoted or published price, if available.
Investments in open-end investment companies, 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.
32
|
Multi-Manager Small Cap
Equity Strategies Fund | Annual Report 2019
|
Notes to Financial Statements (continued)
August 31, 2019
GAAP
requires disclosure regarding the inputs and valuation techniques used to measure fair value and any changes in valuation inputs or techniques. In addition, investments shall be disclosed by major category. This information is disclosed following
the Fund’s Portfolio of Investments.
Security
transactions
Security transactions are accounted for on
the trade date. Cost is determined and gains (losses) are based upon the specific identification method for both financial statement and federal income tax purposes.
Income recognition
Corporate actions and dividend income are generally recorded
net of any non-reclaimable tax withholdings, on the ex-dividend date or upon receipt of 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.
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.
Multi-Manager
Small Cap Equity Strategies Fund | Annual Report 2019
|
33
|
Notes to Financial Statements (continued)
August 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. The standard is effective for annual periods beginning after December 15, 2019 and interim periods within
those fiscal years, with early adoption permitted. After evaluation, management determined to adopt the ASU effective for the period ended August 31, 2019 and all subsequent periods. As a result of the amendments, management implemented disclosure
changes which include removal of the amount and reasons for transfers between Level 1 and Level 2 of the fair value hierarchy, removal of the policy for the timing of transfers between levels, removal of the description of the Level 3 valuation
processes, as well as modifications to the measurement uncertainty disclosure.
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 Investment Manager is responsible for the ultimate oversight of investments made by the Fund. The Fund’s subadvisers (see Subadvisory agreements below) have the primary
responsibility for the day-to-day portfolio management of
34
|
Multi-Manager Small Cap
Equity Strategies Fund | Annual Report 2019
|
Notes to Financial Statements (continued)
August 31, 2019
their portion of
the Fund. The management services fee is an annual fee that is equal to a percentage of the Fund’s daily net assets that declines from 0.87% to 0.75% as the Fund’s net assets increase. The effective management services fee rate for the
year ended August 31, 2019 was 0.81% of the Fund’s average daily net assets.
Subadvisory agreements
The Investment Manager has entered into Subadvisory Agreements
with BMO Asset Management Corp. and Conestoga Capital Advisors, LLC, with each serving as a subadviser to the Fund. Prior to February 12, 2019 and February 22, 2019, Dalton, Greiner, Hartman, Maher & Co., LLC (DGHM) and EAM Investors, LLC,
respectively, served as subadvisers to the Fund. In addition, Real Estate Management Services Group, LLC provided advisory services with respect to REITs in DGHM’s sleeve. Effective December 19, 2018 and February 13, 2019, the Investment
Manager has entered into a Subadvisory Agreement with J.P. Morgan Investment Management Inc. and Hotchkis and Wiley Capital Management, LLC, respectively, with each serving as a subadviser to the Fund. New investments in the Fund, net of any
redemptions, are allocated in accordance with the Investment Manager’s determination, subject to the oversight of the Fund’s Board of Trustees. Each subadviser’s proportionate share of investments in the Fund will vary due to
market fluctuations. The Investment Manager compensates each subadviser to manage the investment of the Fund’s assets.
Compensation of board members
Members of the Board of Trustees who are not officers or
employees of the Investment Manager or Ameriprise Financial are compensated for their services to the Fund as disclosed in the Statement of Operations. 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.
For the year ended August 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
|
0.21
|
Institutional
Class
|
0.21
|
Multi-Manager
Small Cap Equity Strategies Fund | Annual Report 2019
|
35
|
Notes to Financial Statements (continued)
August 31, 2019
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.
The Fund may pay distribution fee of up to 0.25% of the
Fund’s average daily net assets attributable to Class A shares and a service fee of up to 0.25% of the Fund’s average daily net assets attributable to Class A shares, provided that the aggregate fee shall not exceed 0.25% of the
Fund’s average daily net assets attributable to Class A shares.
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:
|
July
1, 2019
through
December 31, 2020
|
Prior
to
July 1, 2019
|
Class
A
|
1.24%
|
1.34%
|
Institutional
Class
|
0.99
|
1.09
|
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. 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.
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 August 31, 2019, these differences were primarily due to
differing treatment for deferral/reversal of wash sale losses, trustees’ deferred compensation, non-deductible expenses, re-characterization of distributions for investments, distribution reclassifications, earnings and profits distributed to
shareholders on the redemption of shares, investments in partnerships, and PFIC holdings. 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.
36
|
Multi-Manager Small Cap
Equity Strategies Fund | Annual Report 2019
|
Notes to Financial Statements (continued)
August 31, 2019
The
following reclassifications were made:
Undistributed
net
investment
income ($)
|
Accumulated
net realized
gain ($)
|
Paid
in
capital ($)
|
443,946
|
(1,174,915)
|
730,969
|
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 August 31, 2019
|
Year
Ended August 31, 2018
|
Ordinary
income ($)
|
Long-term
capital gains ($)
|
Total
($)
|
Ordinary
income ($)
|
Long-term
capital gains ($)
|
Total
($)
|
42,164,215
|
80,915,867
|
123,080,082
|
24,393,485
|
67,068,020
|
91,461,505
|
Short-term capital gain
distributions, if any, are considered ordinary income distributions for tax purposes.
At August 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 ($)
|
Net
unrealized
appreciation ($)
|
2,287,745
|
45,401,898
|
—
|
9,703,219
|
At August 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) ($)
|
Net
unrealized
appreciation ($)
|
1,661,989,059
|
185,346,738
|
(175,643,519)
|
9,703,219
|
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 $1,787,964,649 and $1,666,168,122, respectively, for the year ended August 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.
Multi-Manager
Small Cap Equity Strategies Fund | Annual Report 2019
|
37
|
Notes to Financial Statements (continued)
August 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 August 31, 2019 was as follows:
Borrower
or lender
|
Average
loan
balance ($)
|
Weighted
average
interest rate (%)
|
Days
outstanding
|
Lender
|
4,400,000
|
2.76
|
1
|
Interest income earned by the Fund
is recorded as Interfund lending in the Statement of Operations. The Fund had no outstanding interfund loans at August 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 August 31,
2019.
Note 9. Significant risks
Industrials sector risk
The Fund may be more susceptible to the particular risks that
may affect companies in the industrials sector than if it were invested in a wider variety of companies in unrelated sectors. Companies in the industrials sector are subject to certain risks, including changes in supply and demand for their specific
product or service and for industrial sector products in general, including decline in demand for such products due to rapid technological developments and frequent new product introduction. Performance of such companies may be affected by factors
including government regulation, world events and economic conditions and risks for environmental damage and product liability claims.
Shareholder concentration risk
At August 31, 2019, affiliated shareholders of record owned
100.0% of the outstanding shares of the Fund in one or more accounts. Subscription and redemption activity by concentrated accounts may have a significant effect on the operations of the Fund. In the case of a large redemption, the Fund may be
forced to sell investments at inopportune times, including its liquid positions, which may result in Fund losses and the Fund holding a higher percentage of less liquid positions. Large redemptions could result in decreased economies of scale and
increased operating expenses for non-redeeming Fund shareholders.
38
|
Multi-Manager Small Cap
Equity Strategies Fund | Annual Report 2019
|
Notes to Financial Statements (continued)
August 31, 2019
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.
Multi-Manager
Small Cap Equity Strategies Fund | Annual Report 2019
|
39
|
Report of Independent Registered Public Accounting Firm
To the
Board of Trustees of Columbia Funds Series Trust I and Shareholders of Multi-Manager Small Cap Equity Strategies Fund
Opinion on the Financial Statements
We have audited the accompanying statement of assets and
liabilities, including the portfolio of investments, of Multi-Manager Small Cap Equity Strategies Fund (one of the funds constituting Columbia Funds Series Trust I, hereafter referred to as the “Fund”) as of August 31, 2019, the related
statement of operations for the year ended August 31, 2019, the statement of changes in net assets for each of the two years in the period ended August 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 August 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 August 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 August 31, 2019, by correspondence with the custodian, transfer agent, and brokers; when replies were not received from brokers, we performed other audit procedures. We believe that our audits provide a reasonable basis for
our opinion.
/s/PricewaterhouseCoopers LLP
Minneapolis, Minnesota
October 24, 2019
We have served as the auditor of one or more investment
companies within the Columbia Funds Complex since 1977.
40
|
Multi-Manager Small Cap
Equity Strategies Fund | Annual Report 2019
|
Federal Income Tax Information
(Unaudited)
The Fund hereby designates the following tax attributes for
the fiscal year ended August 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
|
27.89%
|
27.49%
|
$53,624,123
|
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.
TRUSTEES AND OFFICERS
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), September 2007-October 2018
|
70
|
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, December 2002-May 2006; President of UAL Loyalty Services (airline marketing company), September 2001-December 2002; Executive Vice President and Chief
Financial Officer of United Airlines, July 1999-September 2001
|
70
|
Spartan
Nash Company, (food distributor); former Director, Nash Finch Company (food distributor), 2005-2013; Aircastle Limited (aircraft leasing); former Director, SeaCube Container Leasing Ltd. (container leasing), 2010-2013; and Travelport Worldwide
Limited (travel information technology)
|
Multi-Manager
Small Cap Equity Strategies Fund | Annual Report 2019
|
41
|
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
|
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), 1997-2010; Chair, Wellington Management Portfolios (commingled non-U.S. investment pools), 2007-2010; Director, Wellington Trust Company, NA
and other Wellington affiliates, 1997-2010
|
70
|
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
|
70
|
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
|
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, August 2007-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, August 1999-October 2005;
University Professor, Boston College, November 2005-August 2007
|
70
|
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, 1988-2014
|
70
|
Former
Director, M Fund, Inc. (M Funds mutual fund family), July 2018-July 2019
|
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, 1994-1997, President – Application Systems Division, 1991-1994, Chief Financial Officer – US Marketing & Services, 1988-1991, and Chief Information Officer, 1987-1988, IBM Corporation
(computer and technology)
|
70
|
Former
Director, Enesco Group, Inc. (producer of giftware and home and garden decor products), 2001-2006
|
42
|
Multi-Manager Small Cap
Equity Strategies Fund | Annual Report 2019
|
TRUSTEES AND OFFICERS (continued)
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, May
2010-February 2015; President, Columbia Funds, 2009-2015; and senior officer of Columbia Funds and affiliated funds, 2003-2015
|
70
|
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
|
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, 2004-2010; Senior Partner, McKinsey & Company, 2001-2004
|
70
|
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, April 2016-September
2016; Senior Vice President and Chief Investment Officer, Calvert Investments, August 2008-January 2016; Section Head and Portfolio Manager, General Motors Asset Management, June 1997-August 2008
|
70
|
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
|
192
|
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, August 2006 - January 2013
|
Multi-Manager
Small Cap Equity Strategies Fund | Annual Report 2019
|
43
|
TRUSTEES AND OFFICERS (continued)
*
|
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.
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 as of the printing of this report, 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.
|
44
|
Multi-Manager Small Cap
Equity Strategies Fund | Annual Report 2019
|
TRUSTEES AND OFFICERS (continued)
Fund officers (continued)
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
|
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.
|
Board Consideration and Approval of
Management
and Subadvisory Agreements
On June 12, 2019, the Board of Trustees (the Board) and the
Trustees who are not interested persons (as defined in the Investment Company Act of 1940) (the Independent Trustees) of Columbia Funds Series Trust I (the Trust) unanimously approved the continuation of the Management Agreement (the Management
Agreement) with Columbia Management Investment Advisers, LLC (the Investment Manager) and the Subadvisory Agreements (the Subadvisory Agreements) between the Investment Manager and BMO Asset Management Corp., Conestoga Capital Advisors, LLC,
Hotchkis and Wiley Capital Management, LLC and J.P. Morgan Investment Management Inc. (the Subadvisers) with respect to Multi-Manager Small Cap Equity Strategies Fund (the Fund), a series of the Trust. As detailed below, the Board’s Advisory
Fees and Expenses Committee (the Committee) and the Board met on multiple occasions to review and discuss, among themselves, with the management team of the Investment Manager and with an independent fee consultant, materials provided by the
Investment Manager, the independent fee consultant and others before determining to approve the continuation of the Management Agreement and the Subadvisory Agreements (collectively, the Agreements).
In connection with their deliberations regarding the
continuation of the Management Agreement and the Subadvisory Agreements, the Committee and the Board evaluated materials requested from the Investment Manager regarding the Fund and the Agreements, and discussed these materials with representatives
of the Investment Manager at Committee meetings held on March 5, 2019, April 25, 2019 and June 11, 2019 and at Board meetings held on March 6, 2019 and June 12, 2019. In addition, the Board and its various committees consider matters bearing on the
Agreements at other meetings throughout the year and in prior years and meet regularly with senior management of the Trust and the Investment Manager. Through the Board’s Investment Oversight Committees, Trustees also meet with selected
portfolio managers of the funds the Trustees oversee and with other investment personnel at various times throughout the year. The Committee and the Board also consulted with the independent fee consultant, Fund counsel and the Independent
Trustees’ independent legal counsel, who advised on various matters with respect to the Committee’s and the Board’s considerations and otherwise assisted the Committee and the Board in their deliberations. On June 11, 2019, the
Committee recommended that the Board approve the continuation of the Management Agreement and the Subadvisory Agreements. On June 12, 2019, the Board, including the Independent Trustees, voting separately, unanimously approved the continuation of
the Management Agreement and the Subadvisory Agreements for the Fund.
The Committee and the Board considered all information that
they, their legal counsel or the Investment Manager believed reasonably necessary to evaluate and to determine whether to recommend for approval or approve the continuation of the Management Agreement and the Subadvisory Agreements. The information
and factors considered by the Committee and the Board in recommending for approval or approving the continuation of the Management Agreement and the Subadvisory Agreements for the Fund included the following:
•
|
Information on the
investment performance of the Fund relative to the performance of a group of mutual funds determined to be comparable to the Fund by an independent third-party data provider, as well as performance relative to benchmarks;
|
Multi-Manager
Small Cap Equity Strategies Fund | Annual Report 2019
|
45
|
Board Consideration and Approval of Management
and Subadvisory Agreements (continued)
•
|
Information on the
Fund’s management fees and total expenses, including information comparing the Fund’s expenses to those of a group of comparable mutual funds, as determined by the independent third-party data provider;
|
•
|
The Investment
Manager’s agreement to contractually limit or cap total operating expenses for the Fund through December 31, 2020 so that total operating expenses (excluding certain fees and expenses, such as transaction costs and certain other investment
related expenses, interest, taxes, and infrequent and/or unusual expenses) would not exceed a specified annual rate, as a percentage of the Fund’s net assets;
|
•
|
The terms and conditions of
the Agreements;
|
•
|
The subadvisory fees payable
by the Investment Manager under the Subadvisory Agreements;
|
•
|
The current and proposed
terms and conditions of other agreements and arrangements with affiliates of the Investment Manager relating to the operations of the Fund, including agreements with respect to the provision of distribution, transfer agency and shareholder services
to the Fund;
|
•
|
Descriptions of various
functions performed by the Investment Manager and the Subadvisers under the Agreements, including portfolio management and portfolio trading practices;
|
•
|
Information regarding the
management fees of similarly-managed portfolios of other clients of the Investment Manager, including institutional accounts and collective trusts;
|
•
|
Information regarding the
reputation, regulatory history and resources of the Investment Manager and Subadvisers, including information regarding senior management, portfolio managers and other personnel;
|
•
|
Information regarding the
capabilities of the Investment Manager and the Subadvisers with respect to compliance monitoring services, including an assessment of the Investment Manager’s and the Subadvisers’ compliance systems by the Fund’s Chief Compliance
Officer; and
|
•
|
The profitability to the
Investment Manager and its affiliates from their relationships with the Fund.
|
Nature, extent and quality of services provided under the
Agreements
The Committee and the Board considered the
nature, extent and quality of services provided to the Fund by the Investment Manager, the Subadvisers and the Investment Manager’s affiliates under the Agreements and under separate agreements for the provision of transfer agency and
shareholder services, and the resources dedicated to the Fund and the other Columbia Funds by the Investment Manager, the Subadvisers and the Investment Manager’s affiliates. The Committee and the Board considered, among other things, the
Investment Manager’s ability to attract, motivate and retain highly qualified research, advisory and supervisory investment professionals (including compensation programs for personnel involved in fund management, reputation and other
attributes), the portfolio management services provided by those investment professionals, and the quality of the Investment Manager’s and the Subadvisers’ investment research capabilities and trade execution services. The Committee and
the Board also considered the potential benefits to shareholders of investing in a mutual fund that is part of a fund complex offering exposure to a variety of asset classes and investment disciplines and providing a variety of fund and shareholder
services.
The Committee and the Board also considered
the professional experience and qualifications of the senior personnel of the Investment Manager and the Subadvisers, which included consideration of the Investment Manager’s and the Subadvisers’ experience with funds using an investment
strategy similar to that used by the Investment Manager and the Subadvisers for the Fund. The Committee and the Board noted the compliance programs of and the compliance-related resources provided to the Fund by the Investment Manager and its
affiliates and the resources dedicated by the Investment Manager and its affiliates to risk management, and considered the Investment Manager’s ability to provide administrative services to the Fund and coordinate the activities of the
Fund’s other service providers. The Board also noted that, based on information provided by the Investment Manager, the Board had approved each Subadviser’s code of ethics and compliance program, and that the Chief Compliance Officer of
the Funds reports to the Trustees on each Subadviser’s compliance program.
46
|
Multi-Manager Small Cap
Equity Strategies Fund | Annual Report 2019
|
Board Consideration and Approval of Management
and Subadvisory Agreements (continued)
The Committee and the Board considered the diligence and selection process
undertaken by the Investment Manager to select each Subadviser, including the Investment Manager’s rationale for recommending the continuation of the Subadvisory Agreements, and the process for monitoring each Subadviser’s ongoing
performance of services for the Fund. As part of these deliberations, the Committee and the Board considered the ability of the Investment Manager, subject to the approval of the Board, to modify or enter into new subadvisory agreements without a
shareholder vote pursuant to an exemptive order of the Securities and Exchange Commission. The Committee and the Board also considered the scope of services provided to the Fund by the Investment Manager that are distinct from and in addition to
those provided by the Subadvisers, including cash flow management, treasury services, risk oversight, investment oversight and Subadviser selection, oversight and transition management. After reviewing these and related factors, the Committee and
the Board concluded, within the context of their overall conclusions, that the nature, extent and quality of the services provided to the Fund under the Agreements supported the continuation of the Management Agreement and the Subadvisory
Agreements.
Investment performance
The Committee and the Board reviewed information about the
performance of the Fund over various time periods, including performance information relative to benchmarks, information that compared the performance of the Fund to the performance of a group of comparable mutual funds as determined by the
independent third-party data provider, and information and analysis provided by the independent fee consultant. The Committee and the Board also reviewed a description of the third party’s methodology for identifying the Fund’s peer
groups for purposes of performance and expense comparisons.
The Committee and the Board noted that, through December 31,
2018, the Fund’s performance was in the thirty-first, twenty-ninth and thirty-ninth percentile (where the best performance would be in the first percentile) of its category selected by the independent third-party data provider for the purposes
of performance comparisons for the one-, three- and five-year periods, respectively.
The Committee and the Board also considered the Investment
Manager’s and Subadvisers’ performance and reputation generally, the Investment Manager’s evaluation of each Subadviser’s contribution to the Fund’s broader investment mandate, the Investment Manager’s historical
responsiveness to Board concerns about performance, and the Investment Manager’s willingness to take steps intended to improve performance. After reviewing these and related factors, the Committee and the Board concluded, within the context of
their overall conclusions, that the performance of the Fund, the Investment Manager and the Subadvisers were sufficient, in light of other considerations, to support the continuation of the Management Agreement and the Subadvisory Agreements.
Investment management fee rates and other expenses
The Committee and the Board considered the management fees
charged to the Fund under the Management Agreement and the Subadvisory Agreements, as well as the total expenses incurred by the Fund. In assessing the reasonableness of the fees under the Management Agreement, the Committee and the Board
considered, among other information, the Fund’s total expense ratio as a percentage of average daily net assets. The Committee and the Board considered data provided by the independent third-party data provider and the independent fee
consultant. The Committee and the Board noted that, as of December 31, 2018, the Fund’s actual management fee and net total expense ratio were both ranked in the third quintile (where the lowest fees and expenses would be in the first
quintile) against the Fund’s expense universe as determined by the independent third-party data provider for purposes of expense comparison. The Committee and the Board also considered the fees that the Subadvisers charge to their other
clients, to the extent publicly available, and noted that the Investment Manager pays the fees of the Subadvisers. The Committee and the Board also took into account the fee waiver and expense limitation arrangements agreed to by the Investment
Manager, as noted above.
The Committee and the Board
also received and considered information about the management fees charged by the Investment Manager to institutional accounts. In considering the fees charged to those accounts, the Committee and the Board took into account, among other things, the
Investment Manager’s representations about the differences between managing mutual funds as compared to other types of accounts, including differences in the services provided, differences in the risk profile of such business for the
Investment Manager and the additional resources required to manage mutual funds
Multi-Manager
Small Cap Equity Strategies Fund | Annual Report 2019
|
47
|
Board Consideration and Approval of Management
and Subadvisory Agreements (continued)
effectively. The Committee and the Board also received and considered
information about the fees charged by the Investment Manager for sub-advisory services it provides to comparable unaffiliated funds. In evaluating the Fund’s management fees, the Committee and the Board also took into account the demands,
complexity and quality of the investment management of the Fund.
After reviewing these and related factors, the Committee and
the Board concluded, within the context of their overall conclusions, that the management fee rates and expenses of the Fund, in light of other considerations, supported the continuation of the Management Agreement and the Subadvisory
Agreements.
Costs of services provided and
profitability
The Committee and the Board also took
note of the costs the Investment Manager and its affiliates incur in connection with the services provided and the profitability to the Investment Manager and its affiliates from their relationships with the Fund, and the efforts undertaken by the
Investment Manager and its affiliates to manage efficiently their costs to provide such services.
The Committee and the Board also considered the compensation
directly or indirectly received by the Investment Manager’s affiliates in connection with their relationships with the Fund. The Committee and the Board reviewed information provided by management as to the profitability to the Investment
Manager and its affiliates of their relationships with the Fund, including with respect to funds for which unaffiliated subadvisers provide services, information about changes in profitability in connection with a change in the Fund’s
subadviser, information about the allocation of expenses used to calculate profitability, and comparisons of profitability levels realized in 2018 to profitability levels realized in 2017. When reviewing profitability, the Committee and the Board
also considered court cases in which adviser profitability was an issue in whole or in part, the performance of similarly managed funds, the performance of the Fund, and the expense ratio of the Fund. In addition, the Committee and the Board
considered information provided by the Investment Manager regarding the Investment Manager’s financial condition and comparing its profitability to that of other asset management firms that are, or are subsidiaries of, publicly traded
companies. In this regard, the Committee and the Board also considered data provided by the independent fee consultant. Because the Subadvisory Agreements were negotiated at arms-length by the Investment Manager, which is responsible for payments to
the Subadvisers thereunder, the Committee and the Board did not consider the profitability to each Subadviser from its relationship with the Fund.
After reviewing these and related factors, the Committee and
the Board concluded, within the context of their overall conclusions, that the costs of services provided and the profitability to the Investment Manager and its affiliates from their relationships with the Fund supported the continuation of the
Management Agreement and the Subadvisory Agreements.
Economies of scale
The Committee and the Board considered the potential
existence of economies of scale in the provision by the Investment Manager of services to the Fund, to groups of related funds, and to the Investment Manager’s investment advisory clients as a whole, and whether those economies of scale were
shared with the Fund through breakpoints in investment management fees or other means, such as expense limitation arrangements and additional investments by the Investment Manager in investment, trading, compliance and other resources. The Committee
and the Board noted that the management fee schedules for the Fund contained breakpoints that would reduce the fee rate on assets above specified threshold levels.
The Committee and the Board noted that the breakpoints, if
any, in the Subadvisory Agreements did not occur at the same levels as the breakpoints in the Management Agreement. The Committee and the Board noted that absent a shareholder vote, the Investment Manager would bear any increase in fees payable
under the Subadvisory Agreements. The Committee and the Board also noted the potential challenges of seeking to tailor the Management Agreement breakpoints to those of a subadvisory agreement in this context, and the effect that capacity constraints
on a subadviser’s ability to manage assets could potentially have on the ability of the Investment Manager to achieve economies of scale, as new subadvisers may need to be added as the Fund grows, increasing the Investment Manager’s cost
of compensating and overseeing the Fund’s subadvisers.
48
|
Multi-Manager Small Cap
Equity Strategies Fund | Annual Report 2019
|
Board Consideration and Approval of Management
and Subadvisory Agreements (continued)
In considering these matters, the Committee and the Board also considered the
costs of the services provided and the profitability to the Investment Manager and its affiliates from their relationships with the Fund, as noted above. After reviewing these and related factors, the Committee and the Board concluded, within the
context of their overall conclusions, that the extent to which any economies of scale were expected to be shared with the Fund supported the continuation of the Management Agreement and the Subadvisory Agreements.
Other benefits to the Investment Manager and
Subadvisers
The Committee and the Board received and
considered information regarding “fall-out” or ancillary benefits received by the Investment Manager and its affiliates as a result of their relationships with the Fund, such as the engagement of the Investment Manager’s affiliates
to provide distribution, transfer agency and shareholder services to the Fund. In this regard, among other matters, the Committee and the Board considered that the Fund’s distributor retains a portion of the distribution fees from the Fund and
receives a portion of the sales charges on sales or redemptions of certain classes of shares of the Fund. The Committee and the Board also considered the benefits of research made available to the Investment Manager and the Subadvisers by reason of
brokerage commissions generated by the Fund’s securities transactions, and reviewed information about the Investment Manager’s practices with respect to considering brokerage and research services when allocating portfolio transactions.
In this connection, the Board also noted that the amount of research made available to the Investment Manager by reason of brokerage commissions had been declining over time, and may decline further. The Committee and the Board recognized that the
Investment Manager’s profitability would be somewhat lower without these benefits.
Conclusion
The Committee and the Board reviewed all of the above
considerations in reaching their decisions to recommend or approve the continuation of the Management Agreement and the Subadvisory Agreements. In their deliberations, the Trustees did not identify any particular information that was all-important
or controlling, and individual Trustees may have attributed different weights to the various factors. Based on their evaluation of all factors that they deemed to be material, including those factors described above, and assisted by the advice of
independent legal counsel, the Board, including the Independent Trustees, voting separately, unanimously approved the continuation of the Management Agreement and the Subadvisory Agreements.
Multi-Manager
Small Cap Equity Strategies Fund | Annual Report 2019
|
49
|
[THIS PAGE INTENTIONALLY LEFT BLANK]
[THIS PAGE INTENTIONALLY LEFT BLANK]
Multi-Manager Small Cap Equity Strategies Fund
P.O. Box 219104
Kansas City, MO 64121-9104
Please read and consider the investment objectives, risks,
charges and expenses for any fund carefully before investing. For a prospectus and summary prospectus, which contains this and other important information about the Fund, go to
columbiathreadneedleus.com/investor/. The Fund is distributed by Columbia Management Investment Distributors, Inc., member FINRA, and managed by Columbia Management Investment Advisers, LLC.
Columbia Threadneedle Investments (Columbia Threadneedle) is
the global brand name of the Columbia and Threadneedle group of companies. All rights reserved.
© 2019 Columbia Management Investment Advisers, LLC.
columbiathreadneedleus.com/investor/
Annual
Report
August 31, 2019
Multi-Manager Alternative Strategies
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
|
|
6
|
|
13
|
|
14
|
|
53
|
|
55
|
|
56
|
|
58
|
|
60
|
|
78
|
|
79
|
|
79
|
|
83
|
Multi-Manager Alternative Strategies Fund (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 (the Investment Manager)
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
Multi-Manager
Alternative Strategies Fund | Annual Report 2019
Investment objective
The Fund seeks capital appreciation
with an emphasis on absolute (positive) returns.
Portfolio
management
AlphaSimplex Group,
LLC
Alexander Healy,
Ph.D.
Kathryn
Kaminski, Ph.D., CAIA
Philippe
Lüdi, Ph.D., CFA
John Perry,
Ph.D.
Robert
Rickard
AQR
Capital Management, LLC
Clifford Asness,
Ph.D., M.B.A.
Brian
Hurst
John
Liew, Ph.D., M.B.A.
Yao Hua
Ooi
Ari
Levine, M.S.
Manulife
Investment Management (US) LLC
Daniel Janis
III
Christopher
Chapman, CFA
Thomas
Goggins
Kisoo Park
TCW Investment
Management Company LLC
Stephen Kane,
CFA
Laird
Landmann
Tad
Rivelle
Bryan Whalen,
CFA
Water
Island Capital, LLC
Edward
Chen
Roger
Foltynowicz, CFA, CAIA
Gregg
Loprete
Todd Munn
Average
annual total returns (%) (for the period ended August 31, 2019)
|
|
|
Inception
|
1
Year
|
5
Years
|
Life
|
Class
A
|
04/23/12
|
4.36
|
-0.32
|
1.38
|
Institutional
Class*
|
01/03/17
|
4.62
|
-0.14
|
1.50
|
FTSE
Three-Month U.S. Treasury Bill Index
|
|
2.36
|
0.92
|
0.64
|
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 FTSE Three-Month U.S. Treasury Bill Index, an unmanaged
index, is representative of the performance of three-month Treasury bills.
Indices are not available for investment, are not
professionally managed and do not reflect sales charges, fees, brokerage commissions, taxes or other expenses of investing. Securities in the Fund may not match those in an index.
Multi-Manager
Alternative Strategies Fund | Annual Report 2019
|
3
|
Fund at a Glance (continued)
Performance of a
hypothetical $10,000 investment (April 23, 2012 — August 31, 2019)
The chart above shows the
change in value of a hypothetical $10,000 investment in Class A shares of Multi-Manager Alternative Strategies 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 — long positions (%) (at August 31, 2019)
|
Asset-Backed
Securities — Non-Agency
|
5.2
|
Commercial
Mortgage-Backed Securities - Agency
|
3.5
|
Commercial
Mortgage-Backed Securities - Non-Agency
|
2.4
|
Common
Stocks
|
18.3
|
Convertible
Bonds
|
0.9
|
Convertible
Preferred Stocks
|
0.6
|
Corporate
Bonds & Notes
|
20.5
|
Foreign
Government Obligations
|
6.9
|
Limited
Partnerships
|
2.0
|
Municipal
Bonds
|
0.4
|
Options
Purchased Calls
|
0.0
(a)
|
Options
Purchased Puts
|
0.1
|
Preferred
Debt
|
0.0
(a)
|
Preferred
Stocks
|
0.2
|
Residential
Mortgage-Backed Securities - Agency
|
0.6
|
Residential
Mortgage-Backed Securities - Non-Agency
|
8.6
|
Treasury
Bills
|
5.8
|
U.S.
Government & Agency Obligations
|
0.2
|
U.S.
Treasury Obligations
|
2.4
|
Warrants
|
0.0
(a)
|
Short-Term
Investments Segregated in Connection with Open Derivatives Contracts(b)
|
26.0
|
Total
|
104.6
|
(a)
|
Rounds to
zero.
|
(b)
|
Includes
investments in Money Market Funds (amounting to $122.9 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 Consolidated Portfolio of Investments and Note 2 to the Notes to Consolidated Financial Statements.
|
Percentages indicated are based upon total investments
including options purchased, net of investments sold short and excluding all other investments in derivatives, if any. The Fund’s portfolio composition is subject to change.
4
|
Multi-Manager Alternative
Strategies Fund | Annual Report 2019
|
Fund at a Glance (continued)
Portfolio
breakdown — short positions (%) (at August 31, 2019)
|
Common
Stocks
|
(4.3)
|
Exchange-Traded
Funds
|
(0.3)
|
Rights
|
(0.0)
(a)
|
Total
|
(4.6)
|
Percentages indicated are based
upon total investments including options purchased, net of investments sold short and excluding all other investments in derivatives, if any. The Fund’s portfolio composition is subject to change.
Market
exposure through derivatives investments (% of notional exposure) (at August 31, 2019)(a)
|
|
Long
|
Short
|
Net
|
Fixed
Income Derivative Contracts
|
127.7
|
(6.8)
|
120.9
|
Commodities
Derivative Contracts
|
3.3
|
(7.4)
|
(4.1)
|
Equity
Derivative Contracts
|
7.8
|
(4.1)
|
3.7
|
Foreign
Currency Derivative Contracts
|
34.6
|
(55.1)
|
(20.5)
|
Total
Notional Market Value of Derivative Contracts
|
173.4
|
(73.4)
|
100.0
|
(a) The Fund has market exposure
(long and/or short) to fixed income, commodity and equity asset classes and foreign currency through its investments in derivatives. The notional exposure of a financial instrument is the nominal or face amount that is used to calculate payments
made on that instrument and/or changes in value for the instrument. The notional exposure is a hypothetical underlying quantity upon which payment obligations are computed. Notional exposures provide a gauge for how the Fund may behave given changes
in individual markets. For a description of the Fund’s investments in derivatives, see Investments in derivatives following the Consolidated Portfolio of Investments, and Note 2 of the Notes to Consolidated Financial Statements.
Multi-Manager
Alternative Strategies Fund | Annual Report 2019
|
5
|
Manager Discussion of Fund Performance
Multi-Manager Alternative Strategies Fund is currently
managed by five independent money management firms and each invests a portion of the portfolio’s assets. As of August 31, 2019, AQR Capital Management, LLC (AQR), Water Island Capital, LLC (Water Island), TCW Investment Management Company, LLC
(TCW), Manulife Investment Management (US) LLC (Manulife) and AlphaSimplex Group, LLC (AlphaSimplex) managed approximately 12.0%, 24.9%, 30.4%, 19.8% and 12.9% of the portfolio, respectively.
For the 12-month period that ended August 31, 2019, the
Fund’s Class A shares returned 4.36%. The Fund outperformed its benchmark, the FTSE Three-Month U.S. Treasury Bill Index, which returned 2.36% over the same period. The Fund’s outperformance can be attributed primarily to implementation
of various alternative strategies.
Capital markets
were resilient amid heightened volatility and uncertainty
During the latter months of 2018, capital markets were
weighed down by expectations for Federal Reserve (Fed) tightening and concerns about the U.S.-China trade war. Markets reversed course to start 2019 on the dovish pivot by the Fed, as the Fed’s softened rhetoric suppressed volatility and
provided cover for higher valuations. In July 2019, the Fed cut interest rates — by 25 basis points — for the first time since 2008, the impetus being weak global economic data, especially in manufacturing, and persistently low cost
pressures. (A basis point is 1/100th of a percentage point.) Nevertheless, with the implementation of tariffs between the world’s two largest economies and a worsening outlook in trade negotiations, the period ended with heightened volatility,
exacerbated by global recessionary concerns. A bid for safety pushed U.S. Treasury yields lower, and the yield curve, or spectrum of maturities, inverted, notably between the three-month and 10-year segments, the part of the curve whose inversion
has presaged multiple recessions. (An inverted yield curve is one wherein yields on shorter term maturities are higher than yields on longer term maturities.) Global sovereign yields also plummeted, many into negative territory, with a
three-month/10-year inversion occurring in a host of other countries.
Somewhat remarkably, U.S. equities were able to withstand the
concerns of trade uncertainty and disappointing manufacturing metrics to post positive returns for the period, with the S&P 500 Index advancing an impressive 18.34% on a year-to-date basis through August 31, 2019 and 2.92% for the period
overall. Fixed-income markets, too, were fueled by renewed expectations for Fed support, and the Bloomberg Barclays U.S. Aggregate Bond Index posted a total return of 10.17% for the period, as U.S. Treasury yields fell significantly. Municipal bonds
led among fixed-income sectors, while corporate credit also performed strongly. Securitized products also fared well, including commercial mortgage-backed securities. Agency mortgage-backed securities also posted strong returns but trailed
duration-matched U.S. Treasuries for the period.
Money
management firms delivered results based on variety of alternative strategies
AQR: Our portion of the
Fund, which pursues an active managed futures strategy, outperformed the benchmark during the annual period. We invest in a diverse portfolio of futures and forward contracts, both long and short, across the global equity, fixed-income, commodity
and currency markets. In implementing our strategy, we utilize both short-term and long-term trend-following signals to attempt to profit from different types of trends that occur in each of these markets. Trend following can be simply described as
taking long positions in markets that are rising in price and taking short positions in markets that are falling in price. In addition to trend-following signals, we also incorporate signals that seek to identify over-extended trends and seek to
reduce risk when the chance of a reversal is perceived as higher than normal, since market reversals generally cause losses for trend-following strategies. A resurgence of trends in 2019 through August drove strong gains for our portion of the Fund
during the period, enabling our portion of the Fund to recoup losses generated in late 2018. In late 2018, changing expectations for economic growth, rising global political and trade risks, shifting tones in monetary policy rhetoric, and changing
global energy dynamics caused reversals across asset classes. Notably, our portion of the Fund generated a positive return in December 2018 from the significant sell-off in global equities, as our positioning was net short in light of weakness in
equity markets from earlier in the year, especially in emerging markets and Europe. As headwinds to global economic growth intensified and the Fed pivoted to a dovish stance in early 2019, global bonds staged a significant rally through August
2019.
By asset class, fixed income contributed
positively to our portion of the Fund’s results, while commodities, equities and currencies detracted. By signal, short-term trend following signals contributed most positively, with additional gains from long-term trend following signals.
Over-extended trend signals, which attempt to identify trends that have gone too far and are due for reversals, detracted.
6
|
Multi-Manager Alternative
Strategies Fund | Annual Report 2019
|
Manager Discussion of Fund Performance (continued)
TCW: Our portion of the Fund,
which implements an unconstrained bond strategy, outperformed the benchmark during the period, largely due to its duration positioning of approximately two years, which was rewarded amid a falling rate backdrop. During the period, two-year,
intermediate (five- to ten-year) and 30-year U.S. Treasury yields fell approximately 112, 135 and 105 basis points, respectively. Another significant driver of our portion of the Fund’s outperformance during the period was its exposure to
investment-grade and high-yield corporate credit, with the biggest contributions coming from the communications, consumer non-cyclicals and banking industries. A modest exposure to emerging markets debt also added value, despite spread, or yield
differentials to U.S. Treasuries, widening toward the end of the period. Finally, notwithstanding a modest headwind from exposure to agency mortgage-backed securities and asset-backed securities, our portion of the Fund’s allocation to
securitized products benefited returns given strong performance from legacy non-agency residential mortgage-backed securities and commercial mortgage-backed securities holdings.
In addition to the modest drag from its agency mortgage-backed
securities exposure, our portion of the Fund’s student loan asset-backed securities holdings weighed on our portion of the Fund’s performance during the period, largely due to their floating rate nature amid a falling rate environment.
There was also drag from certain independent energy names within the corporate credit sector, as the commodity complex came under pressure.
Water Island: Our portion of
the Fund, which employs a variety of alternative strategies, outperformed the benchmark during the period. Two of the three sub-strategies we employ — merger arbitrage and credit opportunities — contributed positively to our portion of
the Fund’s results during the period, while equity special situations detracted.
The sectors that contributed most to returns were
communication services and consumer discretionary. Performance in communication services was driven primarily by two competitive bidding situations, both involving Twenty-First Century Fox and Comcast. In the consumer discretionary sector,
performance was driven primarily by private equity firm Vintage Capital Management’s attempted acquisition of Rent-a-Center and by an investment, via our credit opportunities strategy, in GameStop bonds, which was predicated on a speculative
merger and acquisition scenario. On an individual event or deal basis, the largest contributors during the period were merger arbitrage positions in the bidding wars for Anadarko Petroleum between Chevron and Occidental Petroleum and for
Twenty-First Century Fox between Walt Disney and Comcast as well as the aforementioned attempted acquisition of Rent-a-Center by Vintage Capital. The countries that made the strongest positive contributions to performance during the period were the
U.S. and the U.K.
The sectors that detracted most from
returns were consumer staples and information technology. The performance in consumer staples was driven primarily by our investment in Hain Celestial Group via our equity special situations strategy. In information technology, the biggest detractor
was our merger arbitrage position in NVIDIA’s bid for Mellanox Technologies. In addition to these two deals, another significant detractor from our portion of the Fund’s results was our merger arbitrage position in the Pacific
Biosciences of California/Illumina deal. The country that detracted most from our portion of the Fund’s performance was Israel, as a result of the losses experienced in our investment in NVIDIA’s bid for Israel-based Mellanox
Technologies.
Manulife:
Our portion of the Fund outperformed the benchmark during the period. Our portion of the Fund, employing a strategic fixed-income opportunity strategy, primarily seeks to add alpha, or value, through security selection, sector rotation, regional
allocation and opportunistic currency investments. During the period, we sought opportunities to balance income and stability and looked to position the portfolio more defensively from a credit, currency and liquidity standpoint, while also focusing
on portfolio liquidity to minimize the impact of market volatility and an uncertain economic growth outlook.
Relative to the benchmark, the single largest driver of our
portion of the Fund’s performance during the period was our long duration profile, which helped as central banks shifted to a more dovish policy stance and yields moved sharply lower globally. From a sector perspective, our portion of the
Fund’s allocation to emerging markets sovereign debt contributed positively, as local yields remained attractive relative to developed markets. Sector allocations to convertibles and high-yield corporate bonds also added value during the
period. Within the high-yield corporate bond sector, our portion of the Fund was defensively positioned in both industry allocation and overall quality, favoring issues within the communications, energy and capital goods industries. The largest
contributors to performance from a non-U.S. country perspective were the eurozone, Brazil and the Philippines. Our portion of the Fund’s euro-denominated government holdings, including supranationals, benefited from high prices and lower
long-term yields throughout the region. In Brazil, progress on pension reform was viewed positively and supported demand for assets in the country, sending yields lower.
Multi-Manager
Alternative Strategies Fund | Annual Report 2019
|
7
|
Manager Discussion of Fund Performance (continued)
Only partially offsetting these positive contributors was
currency management overall, which detracted, as the U.S. dollar strengthened during the period. Within the currency allocation, overweights to the euro and the Colombian peso were the primary detractors. Developed market currencies were under
pressure, as subdued economic growth and negative rates dampened demand for these assets. The Colombian peso was somewhat pressured by lower energy prices. Our portion of the Fund’s equity allocation also hurt, with exposure to energy names
especially weighing on relative results as the industry came under pressure from slowing global economic growth and lower crude oil prices. Local market positioning in Japan and Mexico were the only two detractors during the period from a country
allocation perspective. While the local market in Japan performed poorly, we still found Japanese government bonds attractive on a fully-hedged basis where we could pick up incremental yield over U.S. Treasuries. The local market in Mexico saw a
decline in demand for assets in the country following heightened concerns about some of the policy decisions made by its current administration in late 2018.
AlphaSimplex: During the
period, our portion of the Fund, which utilizes a managed futures strategy, outperformed the benchmark. Positive returns primarily came from fixed income. In aggregate, equities, commodities and currencies detracted from performance.
In fixed income, the biggest positive contributors were long
positions in Australian 10-year notes, German bunds and French government bonds. Some developed market currencies, including the euro, the British pound and Australian dollar, also contributed positively.
Our portion of the Fund’s losses were driven by
equities, especially U.S. and international developed market equities. The largest detractors were futures contracts on the U.S. small-cap and mid-cap equity indexes and on the Japanese equity market. Commodities also detracted, especially long
positions in energies and short positions in agricultural commodities. Short positions in natural gas and aluminum provided some positive returns. Currency losses came from the Japanese yen, New Zealand dollar and South African rand.
Within the different model types we employ, we saw positive
performance across the board, especially from the adaptive models within fixed income. Short-horizon and basic trend approaches also contributed positively.
Changes to the Fund’s portfolio based on strategy
implementation
The Fund’s portfolio turnover
rate for the 12-month period was 226%. A significant portion of the turnover was the result of rolling-maturity mortgage securities, processing of prepayments and opportunistic changes our managers made at the margin in response to valuations or
market developments.
AQR: Our portion of the Fund
aims to take a risk-balanced approach to asset classes, allowing for tactical deviation as a result of attractiveness of trends. Overall, the largest positive contributors during the period were trend following in the euro, the Korean won and
Eurodollar futures. These positive contributors were only partially offset by trend following in the New Zealand dollar, Canadian dollar and South African rand, which detracted.
By asset class, trend following in fixed income contributed
positively. Global fixed-income markets realized significant directional moves, as central banks pivoted toward more accommodative outlooks and policies. Gains were shared among short-term and long-term trend following signals, as fixed-income
markets broadly sustained bullish trends during the period. Despite starting the period net short U.S. fixed income, the large reversals in late 2018 caused our portion of the Fund’s positioning to flip long, leading to gains that accounted
for nearly half of the overall fixed-income attribution during the period. International bond markets also contributed, as they sustained bullish trends, with meaningful contributions from European and Australian bonds, which also trended higher on
accommodative monetary outlooks and policy.
Conversely,
trend following in equities detracted from our portion of the Fund’s performance during the period. Global equities reversed long-term trends several times during the period but sustained intermittent short-term trends. Longer term bullish
trends from early in the period reversed significantly in October 2018, resulting in overall net equity positioning in our portion of the Fund to flip from long to short. Short positioning helped as the sell-off continued through December 2018 but
detracted in early 2019 when global equities reversed and strongly rallied, re-establishing bullish trends. Those trends reversed again in
8
|
Multi-Manager Alternative
Strategies Fund | Annual Report 2019
|
Manager Discussion of Fund Performance (continued)
May and August 2019, however, on heightened trade tensions between the U.S.
and China, leading to losses from net long exposures. Long-term trend reversals drove losses, while short-term trend following signals contributed positively to performance, as their views changed to align with new equity market trends and
contributed positively as those trends persisted.
Trend
following in currencies also detracted during the period. Changing risk sentiment and uncertainty around U.S.-China trade negotiations drove reversals and losses during the period. The New Zealand dollar detracted, as it reversed on changing
outlooks for trade and interest rate policy. The Japanese yen fluctuated during the period in connection with changes in risk sentiment. The Canadian dollar detracted, as reversals in crude oil and related products weighed on the currency. Theses
losses were partly offset by gains from sustained trends in other currencies. In particular, sustained longer-term bearish trends in the euro and Korean won contributed positively to performance, as weakness in economic data from those regions,
increased trade tensions and slowing global economic growth concerns weighed on the currencies. These dynamics drove losses for short-term signals, while sustained bearish trends in the euro and Korean won drove positive attribution to long-term
signals. Over-extended signals detracted, as they viewed the U.S. dollar as expensive, but the currency broadly appreciated during the period.
Trend following in commodities detracted from our portion of
the Fund’s results during the period. Several reversals in crude oil and related commodities drove most of the losses. First, the U.S. offered sanction waivers allowing trade partners to import Iranian oil in November 2018, causing a
significant reversal and sell-off. Other reversals took place around heightened concerns about global economic growth, trade tensions and geopolitical events later in the period, leading to a lack of clear market direction. Sustained bearish trends
in the soy complex contributed positively and offset some of the losses, as did a sustained bearish trend in natural gas. Long-term signals drove losses, mainly due to the significant directional shifts in energies during the period. Over-extended
signals also detracted, as they viewed crude oil and related commodities as cheap, but these commodities overall declined.
At the end of the period, equity positioning within our
portion of the Fund was net neutral. Within fixed income, our portion of the Fund ended the period broadly long across geographies on continued agreement between short-term and long-term trend following signals. Within currencies, our portion of the
Fund ended the period net long U.S. dollar and Japanese yen crosses and net short European and emerging market crosses. (Currency crosses are transactions consisting of a pair of currencies traded in foreign exchanges.) Within commodities, our
portion of the Fund ended the period net long precious metals and net short energies, base metals and agricultural products.
TCW: As U.S. Treasury yields
marched higher in 2018, we extended our portion of the Fund’s duration in a disciplined fashion, dollar cost averaging the position to approximately 2.2 years at the end of December 2018. Similarly, we adjusted the duration position as rates
fell during the remainder of the period, moving slightly shorter to close August 2019 at 1.8 years.
In terms of sector allocation, our portion of the Fund’s
overall positioning remained defensive, with our corporate credit exposure emphasizing regulated financials and industries like communications, consumer non-cyclicals and banking. Of note, as risk premiums increased in the fourth quarter of 2018,
our portion of the Fund took advantage of the market volatility by incrementally adding to its credit allocation across a variety of industries, including autos and manufacturing. Indiscriminate selling in the high-yield corporate bond and emerging
markets debt markets also provided opportunities, we felt, to expand our portion of the Fund’s risk exposure in a disciplined fashion. Consistent with our value discipline, we subsequently trimmed these exposures, as spreads tightened in early
2019. Finally, an emphasis on the senior area of the securitized markets remained intact, though we actively sought attractive opportunities to add risk exposure.
Water Island: During the
period, we established a merger arbitrage position in the acquisition of WellCare Health Plans, a U.S.-based provider of managed care services, by Centene, a local managed care organization, for $15.9 billion in cash and stock. The spread
subsequently widened on news an activist investor was attempting to push Centene to cancel the transaction with WellCare Health Plans and instead sell itself. We viewed the volatility as an opportunity to increase our portion of the Fund’s
position, and we were rewarded when Centene’s Chief Executive Officer publicly stated he would complete the acquisition. This led to spread tightening gains for our portion of the Fund. The companies subsequently held successful shareholder
votes in late June 2019, and the transaction is expected to close in the first half of 2020 pending required regulatory approvals. We also initiated a merger arbitrage position in the transaction between Tribune Media and
Multi-Manager
Alternative Strategies Fund | Annual Report 2019
|
9
|
Manager Discussion of Fund Performance (continued)
Nexstar Media Group. During the first quarter of 2019, the companies
announced they had reached agreements to sell 19 stations in 15 markets as part of an effort to comply with FCC ownership restrictions and antitrust concerns. In July 2019, the merger received Department of Justice approval, leaving FCC approval as
the final hurdle. We expect the transaction to close during the third quarter of 2019. Conversely, upon a successful deal closing, our portion of the Fund no longer held a position in the acquisition of Red Hat by IBM. Similarly, upon the successful
closing of the transaction to merge L3 Technologies and Harris to create the newly formed L3Harris Technologies, our portion of the Fund exited the position.
Any shifts in sector exposure are largely the result of the
available opportunity set in terms of corporate activity and the subset of events that meet our risk/reward criteria. That said, the sectors in which we saw the highest levels of corporate activity during the period included industrials, information
technology, health care and consumer discretionary. While there were no changes to our portion of the Fund’s credit portfolio with regard to quality emphasis, yield curve or duration positioning, it is worth noting that we focused on
maintaining a short duration in the portfolio’s credit sleeve. We maintained this focus not only from the perspective of effective duration but also when viewed through the lens of “duration to catalyst” — our proprietary
metric that takes into account the potential for a shortened timeline should a particular expected corporate event come to fruition. As always, we seek returns driven by the outcomes of specific, idiosyncratic corporate events, rather than by the
overall market. Our strategy is agnostic in terms of capitalization, style, sector or country weighting.
Manulife: Among sector and
quality allocations, we positioned our portion of the Fund more defensively given headwinds to global economic growth mounting and central banks shifting policy direction. As it became clear that rates were headed lower globally, we looked to extend
duration, buying U.S. Treasuries and exiting bank loans. Overall portfolio duration moved from 1.6 years at the end of August 2018 to about 3.9 years at the end of August 2019. In addition, we reduced positions in equities, convertibles and
high-yield corporate bonds and added to our portion of the Fund’s investment-grade corporate bond allocation.
From a regional and country allocation perspective, we
increased exposure to the U.S. and reduced non-U.S. developed market and supranational allocations, as economic growth and inflation came in below expectations and yields moved lower. We favored higher quality emerging markets, where fundamentals
are strong or improving and that have less volatile currency profiles. Within the sector, we exited all positions in Mexico on concerns about the policy direction of its current administration and added to positions in Brazil and Colombia. In
addition, we initiated positions in Saudi Arabia and Qatar, where we were finding attractive yields on what we saw as stable, high-quality issues. We also added high quality, defensive positions in both U.S. Treasuries and Japanese government bonds
to add liquidity and dampen the effect of potential short-term market volatility.
At the end of the period, our portion of the Fund was balanced
rather evenly between high-yield and investment-grade corporate bonds. Additionally, our portion of the Fund ended the period with allocations to U.S. Treasuries, emerging markets sovereign debt, asset-backed securities, convertibles, non-agency
mortgage-backed securities, commercial mortgage-backed securities and equities. From a regional/country perspective, our portion of the Fund held its primary exposure to the U.S. but also held core developed market positions in Canada, Ireland and
Norway. In emerging markets, our portion of the Fund favored investment grade countries, such as Indonesia, the Philippines and Brazil.
AlphaSimplex: Our team focuses
on developing quantitative and automated investment processes rather than employing discretion in managing portfolios. All aspects of our trading — which typically includes 18 to 25 securities per day — are governed by systematic
algorithms. That said, shifts in positioning were made over the course of the period, as the algorithms mandated. For example, overall, long positions in equities decreased, and long positions in bonds increased. Our portion of the Fund maintained
short positions in currencies and commodities overall throughout the period, but we moderately reduced the short positions in each asset class. Our portion of the Fund shifted from a short position in interest rates at the start of the period to a
long exposure overall.
At the end of the annual
period, as a whole, our portion of the Fund had long exposures, all via futures contracts, to bonds, interest rates and equities, and short exposures, all via futures contracts, to currencies and commodities.
10
|
Multi-Manager Alternative
Strategies Fund | Annual Report 2019
|
Manager Discussion of Fund Performance (continued)
Derivative positions in the Fund
AQR: Our portion of the Fund
invests mostly via derivatives, primarily futures contracts and futures-related instruments. These include global developed and emerging market equity index futures; global developed and emerging market currency forwards; commodity futures and swaps
on commodity futures; and global developed market bonds and interest rate futures as well as swaps on bond futures. The overall impact of derivatives on performance was varied and linked to the strategies within which they are
implemented.
TCW:
Our portion of the Fund held U.S. Treasury futures as a method of managing duration. The use of these futures was effectively used to manage duration but detracted from performance on a total return basis during the period. Our portion of the Fund
also used currency swaps, maintaining a position in Japanese government bonds, with the yen exposure fully hedged out using a U.S. dollar-yen cross currency swap given what we saw as an attractive yield premium. The currency swap position added
value during the period. We exited the swap position when the value proposition became, in our view, less attractive.
Water Island: During the
period, our portion of the Fund employed total return equity swaps, equity options and currency forwards for four core purposes: to hedge currency risk, to invest outside the U.S. more efficiently, to create income and optionality, and to limit
volatility and correlation. During the period, derivatives contributed positively to our portion of the Fund’s performance.
Manulife: During the period,
our portion of the Fund used interest rate futures and currency forwards to manage risk, provide diversification and enhance returns. The impact of currency forwards was mixed, as it also reflects hedging effects. However, overall, currency-related
investments, including derivatives, detracted. U.S. Treasury futures were used to hedge some of the rate exposure associated with our portion of the Fund’s U.S. Treasury position, which, as a whole, contributed positively.
AlphaSimplex: Our portion of
the Fund invests mostly via derivatives, primarily futures contracts and futures-related instruments. The derivatives employed are primarily exchange-traded futures contracts, which are used to gain liquid exposure to and rotate among a broad array
of markets. We used these derivatives in pursuit of our portion of the Fund’s investment objective, to manage overall market exposure, and for alpha, or value, generation. Derivatives may be used to obtain long or short exposure to a
particular asset class, region, currency, commodity or index. With the exception of returns generated by our portion of the Fund’s short-term cash portfolio, the overall impact of derivatives on performance was varied and linked to the asset
class, region, currency, commodity or index within which they are implemented.
Market risk may affect a single
issuer, sector of the economy, industry or the market as a whole. 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. Fixed-income securities present issuer default risk. Non-investment-grade (high-yield or junk) securities present greater price
volatility and more risk to principal and income than higher rated securities. 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. 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. International investing involves certain risks and volatility due to potential political, economic or currency instabilities and different financial and accounting standards. Certain
issuer events, including initial public offerings, business consolidation or restructuring, may present heightened risks to securities from the high degree of uncertainty associated with such events.
Short positions (where the underlying asset is not owned) can create unlimited risk. Risks are enhanced for emerging market and sovereigndebt issuers. The Fund is managed by multiple advisers independently of one another, which may result in contradicting trades (i.e., with no net benefit to the fund), while increasing
transaction costs. As a non-diversified fund, fewer investments could have a greater effect on performance. 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
Multi-Manager
Alternative Strategies Fund | Annual Report 2019
|
11
|
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.
12
|
Multi-Manager Alternative
Strategies 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 may include redemption fees. There are also ongoing fund costs, which generally include management fees, distribution and/or service fees, and other fund expenses. The following information is intended to help
you understand your ongoing costs (in dollars) of investing in the Fund and to help you compare these costs with the ongoing costs of investing in other mutual funds.
Analyzing your Fund’s expenses
To illustrate these ongoing costs, we have provided examples
and calculated the expenses paid by investors in each share class of the Fund during the period. The actual and hypothetical information in the table is based on an initial investment of $1,000 at the beginning of the period indicated and held for
the entire period. Expense information is calculated two ways and each method provides you with different information. The amount listed in the “Actual” column is calculated using the Fund’s actual operating expenses and total
return for the period. You may use the Actual information, together with the amount invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000
= 8.6), then multiply the results by the expenses paid during the period under the “Actual” column. The amount listed in the “Hypothetical” column assumes a 5% annual rate of return before expenses (which is not the
Fund’s actual return) and then applies the Fund’s actual expense ratio for the period to the hypothetical return. You should not use the hypothetical account values and expenses to estimate either your actual account balance at the end
of the period or the expenses you paid during the period. See “Compare with other funds” below for details on how to use the hypothetical data.
Compare with other funds
Since all mutual funds are required to include the same
hypothetical calculations about expenses in shareholder reports, you can use this information to compare the ongoing cost of investing in the Fund with other funds. To do so, compare the hypothetical example with the 5% hypothetical examples that
appear in the shareholder reports of other funds. As you compare hypothetical examples of other funds, it is important to note that hypothetical examples are meant to highlight the ongoing costs of investing in a fund only and do not reflect any
transaction costs, such as redemption or exchange fees. Therefore, the hypothetical calculations are useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. If transaction costs
were included in these calculations, your costs would be higher.
March
1, 2019 — August 31, 2019
|
|
Account
value at the
beginning of the
period ($)
|
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
|
1,060.20
|
1,017.55
|
7.75
|
7.59
|
1.50
|
Institutional
Class
|
1,000.00
|
1,000.00
|
1,061.20
|
1,018.80
|
6.46
|
6.33
|
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.
The Fund is offered only through certain wrap fee programs
sponsored and/or managed by Ameriprise Financial, Inc. or its affiliates. Participants in wrap fee programs pay other fees that are not included in the above table. Please refer to the wrap program documents for information about the fees
charged.
Multi-Manager
Alternative Strategies Fund | Annual Report 2019
|
13
|
Consolidated Portfolio of Investments
August 31, 2019
(Percentages represent value of investments compared to net
assets)
Investments in securities
Asset-Backed
Securities — Non-Agency 4.9%
|
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
American
Express Credit Account Master Trust
|
Series
2019-1 Class A
|
10/15/2024
|
2.870%
|
|
160,000
|
164,902
|
Barings
CLO Ltd.(a),(b)
|
Series
2013-IA Class AR
|
3-month
USD LIBOR + 0.800%
Floor 0.800%
01/20/2028
|
3.078%
|
|
120,000
|
119,605
|
Series
2018-3A Class A1
|
3-month
USD LIBOR + 0.950%
07/20/2029
|
3.228%
|
|
450,000
|
448,067
|
BlueMountain
CLO Ltd.(a),(b)
|
Series
2013-1A Class A1R2
|
3-month
USD LIBOR + 1.230%
Floor 1.230%
01/20/2029
|
3.508%
|
|
400,000
|
400,223
|
Series
2015-2A Class A1R
|
3-month
USD LIBOR + 0.930%
Floor 0.930%
07/18/2027
|
3.230%
|
|
425,000
|
423,639
|
Cedar
Funding II CLO Ltd.(a),(b)
|
Series
2013-1A Class A1R
|
3-month
USD LIBOR + 1.230%
06/09/2030
|
3.683%
|
|
750,000
|
750,031
|
Coinstar
Funding LLC(a)
|
CMO
Series 2017-1 Class A2
|
04/25/2047
|
5.216%
|
|
337,237
|
348,920
|
Conseco
Finance Corp.(c)
|
Series
2096-9 Class M1
|
08/15/2027
|
7.630%
|
|
622,645
|
679,151
|
DB
Master Finance LLC(a)
|
CMO
Series 2017-1A Class A2I
|
11/20/2047
|
3.629%
|
|
98,250
|
101,476
|
Series
2019-1A Class A2I
|
05/20/2049
|
3.787%
|
|
189,525
|
198,540
|
Series
2019-1A Class A2II
|
05/20/2049
|
4.021%
|
|
99,750
|
103,216
|
Discover
Card Execution Note Trust
|
Series
2016-A4 Class A4
|
03/15/2022
|
1.390%
|
|
575,000
|
574,837
|
Series
2019-A1 Class A1
|
07/15/2024
|
3.040%
|
|
150,000
|
154,743
|
Domino’s
Pizza Master Issuer LLC(a),(b)
|
CMO
Series 2017-1A Class A2I
|
3-month
USD LIBOR + 1.250%
07/25/2047
|
3.526%
|
|
367,500
|
365,905
|
Asset-Backed
Securities — Non-Agency (continued)
|
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
Dryden
30 Senior Loan Fund(a),(b)
|
Series
2013-30A Class AR
|
3-month
USD LIBOR + 0.820%
11/15/2028
|
2.978%
|
|
260,000
|
258,397
|
Eaton
Vance CLO Ltd.(a),(b)
|
Series
2013-1A Class A1RR
|
3-month
USD LIBOR + 1.160%
01/15/2028
|
3.377%
|
|
310,000
|
310,000
|
Education
Loan Asset-Backed Trust I(a),(b)
|
Series
2013-1 Class A2
|
1-month
USD LIBOR + 0.800%
Floor 0.800%
04/26/2032
|
2.945%
|
|
436,000
|
432,745
|
EFS
Volunteer No. 2 LLC(a),(b)
|
Series
2012-1 Class A2
|
1-month
USD LIBOR + 1.350%
Floor 1.350%
03/25/2036
|
3.495%
|
|
555,000
|
559,168
|
FOCUS
Brands Funding LLC(a)
|
CMO
Series 2017-1 Class A2II
|
04/30/2047
|
5.093%
|
|
161,287
|
170,287
|
Ford
Credit Auto Owner Trust
|
Series
2016-C Class A3
|
03/15/2021
|
1.220%
|
|
82,793
|
82,607
|
GoldenTree
Loan Opportunities IX Ltd.(a),(b)
|
Series
2014-9A Class AR2
|
3-month
USD LIBOR + 1.110%
Floor 1.110%
10/29/2029
|
3.366%
|
|
190,000
|
189,997
|
Jack
In The Box Funding LLC(a)
|
Series
2019-1A Class A2II
|
08/25/2049
|
4.476%
|
|
125,000
|
128,120
|
JG
Wentworth XXII LLC(a)
|
Series
2010-3A Class A
|
12/15/2048
|
3.820%
|
|
609,060
|
633,236
|
LCM
(a),(b)
|
Series
2019A Class AR
|
3-month
USD LIBOR + 1.240%
Floor 1.240%
07/15/2027
|
3.543%
|
|
200,000
|
200,003
|
LCM
XXI LP(a),(b)
|
Series
20 18-21A Class AR
|
3-month
USD LIBOR + 0.880%
04/20/2028
|
3.158%
|
|
450,000
|
447,849
|
Madison
Park Funding XXX Ltd.(a),(b)
|
Series
2018-30A Class A
|
3-month
USD LIBOR + 0.750%
Floor 0.750%
04/15/2029
|
3.053%
|
|
400,000
|
395,168
|
The accompanying Notes to Consolidated Financial Statements are an
integral part of this statement.
14
|
Multi-Manager Alternative
Strategies Fund | Annual Report 2019
|
Consolidated Portfolio of Investments (continued)
August 31, 2019
Asset-Backed
Securities — Non-Agency (continued)
|
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
Magnetite
VII Ltd.(a),(b)
|
Series
2012-7A Class A1R2
|
3-month
USD LIBOR + 0.800%
01/15/2028
|
3.103%
|
|
425,000
|
422,024
|
MVW
Owner Trust(a)
|
Series
2018-1A Class A
|
01/21/2036
|
3.450%
|
|
112,381
|
116,429
|
Navient
Student Loan Trust(b)
|
Series
2014-1 Class A3
|
1-month
USD LIBOR + 0.510%
Floor 0.510%
06/25/2031
|
2.655%
|
|
597,688
|
593,073
|
Navient
Student Loan Trust(a),(b)
|
Series
2016-1A Class A
|
1-month
USD LIBOR + 0.700%
02/25/2070
|
2.845%
|
|
525,817
|
523,870
|
Series
2016-2 Class A3
|
1-month
USD LIBOR + 1.500%
06/25/2065
|
3.645%
|
|
729,000
|
754,469
|
Series
2017-3A Class A3
|
1-month
USD LIBOR + 1.050%
07/26/2066
|
3.195%
|
|
750,000
|
753,741
|
Series
2018-3A Class A3
|
1-month
USD LIBOR + 0.800%
03/25/2067
|
2.945%
|
|
900,000
|
896,111
|
Nelnet
Student Loan Trust(a),(b)
|
Series
2012-1A Class A
|
1-month
USD LIBOR + 0.800%
Floor 0.800%
12/27/2039
|
2.945%
|
|
476,599
|
475,230
|
NextGear
Floorplan Master Owner Trust(a)
|
Series
2018-2A Class A2
|
10/16/2023
|
3.690%
|
|
175,000
|
181,883
|
Recette
CLO Ltd.(a),(b)
|
Series
2015-1A Class AR
|
3-month
USD LIBOR + 0.920%
10/20/2027
|
3.198%
|
|
215,000
|
214,784
|
SLC
Student Loan Trust(b)
|
Series
2006-1 Class A6
|
3-month
USD LIBOR + 0.160%
Floor 0.160%
03/15/2055
|
2.570%
|
|
841,000
|
793,550
|
SLM
Student Loan Trust(a),(b)
|
Series
2003-10A Class A3
|
3-month
USD LIBOR + 0.470%
12/15/2027
|
2.880%
|
|
365,377
|
365,423
|
Series
2004-3 Class A6A
|
3-month
USD LIBOR + 0.550%
Floor 0.550%
10/25/2064
|
2.826%
|
|
900,000
|
885,217
|
Asset-Backed
Securities — Non-Agency (continued)
|
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
SLM
Student Loan Trust(b)
|
Series
2007-3 Class A4
|
3-month
USD LIBOR + 0.060%
Floor 0.060%
01/25/2022
|
2.336%
|
|
801,174
|
778,075
|
Series
2007-6 Class A4
|
3-month
USD LIBOR + 0.380%
Floor 0.380%
10/25/2024
|
2.656%
|
|
294,485
|
294,211
|
Series
2008-2 Class B
|
3-month
USD LIBOR + 1.200%
Floor 1.200%
01/25/2083
|
3.476%
|
|
740,000
|
706,250
|
Series
2008-4 Class A4
|
3-month
USD LIBOR + 1.650%
Floor 1.650%
07/25/2022
|
3.926%
|
|
441,399
|
445,922
|
Series
2008-5 Class A4
|
3-month
USD LIBOR + 1.700%
Floor 1.700%
07/25/2023
|
3.976%
|
|
301,770
|
304,738
|
Series
2008-6 Class A4
|
3-month
USD LIBOR + 1.100%
07/25/2023
|
3.376%
|
|
363,184
|
361,753
|
Series
2008-7 Class B
|
3-month
USD LIBOR + 1.850%
Floor 1.850%
07/26/2083
|
4.126%
|
|
500,000
|
498,600
|
Series
2008-9 Class A
|
3-month
USD LIBOR + 1.500%
Floor 1.500%
04/25/2023
|
3.776%
|
|
266,897
|
269,203
|
Series
2011-2 Class A2
|
1-month
USD LIBOR + 1.200%
Floor 1.200%
10/25/2034
|
3.345%
|
|
1,040,000
|
1,055,668
|
Series
2012-1 Class A3
|
1-month
USD LIBOR + 0.950%
Floor 0.950%
09/25/2028
|
3.095%
|
|
538,347
|
530,525
|
Series
2014-2 Class A3
|
1-month
USD LIBOR + 0.590%
Floor 0.590%
03/25/2055
|
2.735%
|
|
451,635
|
445,409
|
Subordinated
Series 2004-10 Class B
|
3-month
USD LIBOR + 0.370%
Floor 0.370%
01/25/2040
|
2.646%
|
|
445,297
|
408,020
|
Subordinated
Series 2007-2 Class B
|
3-month
USD LIBOR + 0.170%
07/25/2025
|
2.446%
|
|
700,000
|
638,365
|
The accompanying Notes to Consolidated Financial Statements are an
integral part of this statement.
Multi-Manager
Alternative Strategies Fund | Annual Report 2019
|
15
|
Consolidated Portfolio of Investments (continued)
August 31, 2019
Asset-Backed
Securities — Non-Agency (continued)
|
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
Subordinated
Series 2007-3 Class B
|
3-month
USD LIBOR + 0.150%
Floor 0.150%
01/25/2028
|
2.426%
|
|
700,000
|
638,830
|
Subordinated
Series 2012-7 Class B
|
1-month
USD LIBOR + 1.800%
Floor 1.800%
09/25/2043
|
3.945%
|
|
550,000
|
538,261
|
Taco
Bell Funding LLC(a)
|
Series
2016-1A Class A23
|
05/25/2046
|
4.970%
|
|
376,337
|
401,977
|
Treman
Park CLO Ltd.(a),(b)
|
Series
2015-1A Class ARR
|
3-month
USD LIBOR + 1.070%
Floor 1.070%
10/20/2028
|
3.348%
|
|
850,000
|
849,992
|
Total
Asset-Backed Securities — Non-Agency
(Cost $24,607,027)
|
24,782,435
|
|
Commercial
Mortgage-Backed Securities - Agency 3.3%
|
|
|
|
|
|
Federal
Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates(c),(d)
|
CMO
Series K014 Class X1
|
04/25/2021
|
1.324%
|
|
5,092,561
|
80,562
|
CMO
Series K057 Class X1
|
07/25/2026
|
1.324%
|
|
3,961,499
|
267,841
|
Series
2016-KIR1 Class X
|
03/25/2026
|
1.213%
|
|
2,550,547
|
152,419
|
Series
2018-K732 Class X3
|
05/25/2046
|
2.247%
|
|
1,350,000
|
152,588
|
Series
2019-K093 Class XAM
|
05/25/2029
|
1.331%
|
|
1,770,000
|
185,158
|
Series
K006 Class AX1
|
01/25/2020
|
1.064%
|
|
6,998,086
|
8,528
|
Series
K015 Class X3
|
08/25/2039
|
2.896%
|
|
2,000,000
|
103,020
|
Series
K021 Class X3
|
07/25/2040
|
2.034%
|
|
1,550,000
|
81,605
|
Series
K022 Class X3
|
08/25/2040
|
1.875%
|
|
1,550,000
|
78,459
|
Series
K025 Class X3
|
11/25/2040
|
1.811%
|
|
2,400,000
|
127,139
|
Series
K035 Class X3
|
12/25/2041
|
1.852%
|
|
3,000,000
|
200,185
|
Series
K043 Class X3
|
02/25/2043
|
1.691%
|
|
3,951,044
|
312,993
|
Series
K0728 Class X3
|
11/25/2045
|
2.016%
|
|
1,975,000
|
172,470
|
Commercial
Mortgage-Backed Securities - Agency (continued)
|
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
Series
K712 Class X1
|
11/25/2019
|
1.379%
|
|
2,998,316
|
1,433
|
Series
K712 Class X3
|
05/25/2040
|
1.461%
|
|
6,500,000
|
22,327
|
Series
K714 Class X1
|
10/25/2020
|
0.793%
|
|
6,002,179
|
31,424
|
Series
K717 Class X3
|
11/25/2042
|
1.681%
|
|
3,500,000
|
114,934
|
Series
K734 Class X1
|
02/25/2026
|
0.787%
|
|
4,148,819
|
152,749
|
Series
Q004 Class XFL
|
10/25/2021
|
1.096%
|
|
4,994,229
|
138,416
|
Federal
Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates
|
CMO
Series K151 Class A3
|
04/25/2030
|
3.511%
|
|
710,000
|
785,864
|
Series
KJ05 Class A1
|
05/25/2021
|
1.418%
|
|
18,110
|
18,036
|
Series
KJ13
|
09/25/2021
|
2.055%
|
|
136,354
|
135,915
|
Series
Q007 Class APT2
|
10/25/2047
|
3.325%
|
|
736,762
|
795,107
|
Federal
Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates(c)
|
Series
Q004 Class A2H
|
01/25/2021
|
3.054%
|
|
683,978
|
687,766
|
Series
Q006 Class APT1
|
07/25/2026
|
2.620%
|
|
879,430
|
903,280
|
Series
Q010 Class APT1
|
04/25/2046
|
2.934%
|
|
750,662
|
759,578
|
Series
Q010 Class APT2
|
12/25/2047
|
2.950%
|
|
380,000
|
385,641
|
Federal
National Mortgage Association
|
12/01/2020
|
3.270%
|
|
15,956
|
16,208
|
12/01/2021
|
3.300%
|
|
781,452
|
805,293
|
09/01/2025
|
3.420%
|
|
375,000
|
396,544
|
08/01/2027
|
3.980%
|
|
544,148
|
612,424
|
04/01/2028
|
3.050%
|
|
390,000
|
419,804
|
12/01/2028
|
3.950%
|
|
200,000
|
228,944
|
05/01/2029
|
3.580%
|
|
196,914
|
219,247
|
05/01/2029
|
3.970%
|
|
190,549
|
221,129
|
01/01/2030
|
3.370%
|
|
439,679
|
486,634
|
02/01/2030
|
3.130%
|
|
100,000
|
108,536
|
11/01/2030
|
3.820%
|
|
400,000
|
461,279
|
03/01/2031
|
3.030%
|
|
394,804
|
425,955
|
07/01/2032
|
3.010%
|
|
303,437
|
329,597
|
04/01/2033
|
3.430%
|
|
250,000
|
281,498
|
11/01/2033
|
4.030%
|
|
95,000
|
113,399
|
11/01/2033
|
4.095%
|
|
75,000
|
88,639
|
01/01/2034
|
3.900%
|
|
150,000
|
173,478
|
01/01/2034
|
4.170%
|
|
105,000
|
125,131
|
05/01/2034
|
3.450%
|
|
610,000
|
692,348
|
The accompanying Notes to Consolidated Financial Statements are an
integral part of this statement.
16
|
Multi-Manager Alternative
Strategies Fund | Annual Report 2019
|
Consolidated Portfolio of Investments (continued)
August 31, 2019
Commercial
Mortgage-Backed Securities - Agency (continued)
|
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
11/01/2037
|
3.210%
|
|
853,115
|
926,354
|
12/01/2037
|
3.260%
|
|
500,000
|
551,932
|
04/01/2043
|
4.100%
|
|
392,096
|
432,556
|
Series
2012-M1 Class A2
|
10/25/2021
|
2.729%
|
|
683,053
|
692,099
|
Federal
National Mortgage Association(b),(d)
|
Series
2011-M9 Class SA
|
-1.0
x 1-month USD LIBOR + 6.350%
Cap 6.350%
01/25/2021
|
4.084%
|
|
1,184,594
|
32,042
|
Federal
National Mortgage Association(c),(d)
|
Series
2012-M14 Class X2
|
09/25/2022
|
0.485%
|
|
6,130,371
|
65,122
|
Series
2016-M11B Class X2
|
07/25/2039
|
2.705%
|
|
2,854,400
|
103,010
|
Series
2016-M4 Class X2
|
01/25/2039
|
2.671%
|
|
870,441
|
73,414
|
Government
National Mortgage Association(c),(d)
|
CMO
Series 2014-103 Class IO
|
05/16/2055
|
0.592%
|
|
2,945,483
|
85,826
|
Series
2011-53 Class IO
|
05/16/2051
|
0.000%
|
|
2,804,047
|
5,750
|
Series
2012-4 Class IO
|
05/16/2052
|
0.168%
|
|
6,789,850
|
47,790
|
Series
2014-88 Class IE
|
03/16/2055
|
0.323%
|
|
4,171,044
|
96,571
|
Government
National Mortgage Association(c)
|
Series
2011-65
|
09/16/2050
|
4.043%
|
|
441,941
|
450,454
|
Total
Commercial Mortgage-Backed Securities - Agency
(Cost $16,668,182)
|
16,624,444
|
|
Commercial
Mortgage-Backed Securities - Non-Agency 2.3%
|
|
|
|
|
|
BBCMS
Mortgage Trust(a),(b)
|
Subordinated
Series 2018-TALL Class E
|
1-month
USD LIBOR + 2.437%
03/15/2037
|
4.633%
|
|
160,000
|
160,500
|
BB-UBS
Trust(a)
|
Series
2012-SHOW Class A
|
11/05/2036
|
3.430%
|
|
190,000
|
201,873
|
BHMS
Mortgage Trust(a),(b)
|
Series
2018-ATLS Class C
|
1-month
USD LIBOR + 1.900%
Floor 1.900%
07/15/2035
|
4.095%
|
|
140,000
|
140,130
|
BX
Commercial Mortgage Trust(a),(b)
|
Series
2018-BIOA Class E
|
1-month
USD LIBOR + 1.951%
Floor 1.978%
03/15/2037
|
4.145%
|
|
305,000
|
305,289
|
Commercial
Mortgage-Backed Securities - Non-Agency (continued)
|
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
CALI
Mortgage Trust(a)
|
Series
2019-101C Class A
|
03/10/2039
|
3.957%
|
|
395,000
|
449,882
|
Citigroup
Commercial Mortgage Trust(c),(d)
|
Series
2013-GC15 Class XA
|
09/10/2046
|
1.085%
|
|
6,347,551
|
201,976
|
Citigroup
Commercial Mortgage Trust
|
Series
2015-GC33 Class A4
|
09/10/2058
|
3.778%
|
|
750,000
|
819,552
|
CLNS
Trust(a),(b)
|
Subordinated
Series 2017-IKPR Class C
|
1-month
USD LIBOR + 1.100%
Floor 1.100%
06/11/2032
|
3.323%
|
|
100,000
|
99,842
|
COMM
Mortgage Trust(a),(c),(d)
|
Series
2013-LC6 Class XB
|
01/10/2046
|
0.474%
|
|
11,750,000
|
142,685
|
Commercial
Mortgage Pass-Through Certificates(c),(d)
|
Series
2012-CR3 Class XA
|
10/15/2045
|
2.022%
|
|
1,724,284
|
81,972
|
Commercial
Mortgage Trust(c),(d)
|
Series
2012-CR4 Class XA
|
10/15/2045
|
1.913%
|
|
3,746,428
|
153,653
|
Series
2013-CR13 Class XA
|
11/12/2046
|
0.955%
|
|
2,715,982
|
78,120
|
Series
2013-LC6 Class XA
|
01/10/2046
|
1.491%
|
|
1,956,558
|
73,360
|
Commercial
Mortgage Trust(a),(c),(d)
|
Series
2012-LC4 Class XA
|
12/10/2044
|
2.289%
|
|
2,877,141
|
118,481
|
Commercial
Mortgage Trust(a),(c)
|
Series
2014-277P Class A
|
08/10/2049
|
3.732%
|
|
165,000
|
177,660
|
Commercial
Mortgage Trust
|
Series
2014-UBS4 Class A2
|
08/10/2047
|
2.963%
|
|
21,636
|
21,705
|
Series
2014-UBS6 Class A5
|
12/10/2047
|
3.644%
|
|
300,000
|
322,523
|
Core
Industrial Trust(a)
|
Series
2015-CALW Class A
|
02/10/2034
|
3.040%
|
|
232,424
|
238,408
|
Series
2015-TEXW Class A
|
02/10/2034
|
3.077%
|
|
277,899
|
286,165
|
Subordinated
Series 2015-WEST Class B
|
02/10/2037
|
3.574%
|
|
60,000
|
66,001
|
Corevest
American Finance Trust(a),(c),(d)
|
Series
2019-1 Class XA
|
03/15/2052
|
2.165%
|
|
1,091,439
|
102,529
|
The accompanying Notes to Consolidated Financial Statements are an
integral part of this statement.
Multi-Manager
Alternative Strategies Fund | Annual Report 2019
|
17
|
Consolidated Portfolio of Investments (continued)
August 31, 2019
Commercial
Mortgage-Backed Securities - Non-Agency (continued)
|
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
Credit
Suisse First Boston Mortgage Securities Corp.(c),(d)
|
Series
98-C1 Class AX
|
05/17/2040
|
2.029%
|
|
324,061
|
3,622
|
Credit
Suisse Mortgage Capital Certificates(a),(b)
|
Series
2019-ICE4 Class D
|
1-month
USD LIBOR + 1.600%
Floor 1.600%
05/15/2036
|
3.994%
|
|
180,000
|
180,224
|
CSAIL
Commercial Mortgage Trust(c),(d)
|
Series
2015-C3 Class XA
|
08/15/2048
|
0.947%
|
|
11,432,950
|
361,849
|
CSAIL
Commercial Mortgage Trust
|
Series
2016-C6 Class A3
|
01/15/2049
|
2.956%
|
|
750,000
|
774,511
|
DBGS
Mortgage Trust(a),(b)
|
Series
2018-BIOD Class B
|
1-month
USD LIBOR + 0.888%
Floor 0.888%
05/15/2035
|
3.083%
|
|
143,862
|
143,139
|
Eleven
Madison Trust Mortgage Trust(a),(c)
|
Series
2015-11MD Class A
|
09/10/2035
|
3.673%
|
|
300,000
|
325,432
|
GS
Mortgage Securities Trust(a),(c),(d)
|
08/10/2043
|
1.473%
|
|
6,728,901
|
55,466
|
Series
2012-GC6 Class XB
|
01/10/2045
|
0.257%
|
|
10,648,392
|
56,967
|
GS
Mortgage Securities Trust(a),(b)
|
Series
2018-TWR Class A
|
1-month
USD LIBOR + 0.900%
Floor 0.850%
07/15/2031
|
3.095%
|
|
135,000
|
135,044
|
Home
Partners of America Trust(a)
|
Series
2019-1 Class B
|
09/17/2039
|
3.157%
|
|
100,000
|
103,411
|
Home
Partners of America Trust(a),(b)
|
Subordinated
Series 2018-1 Class D
|
1-month
USD LIBOR + 1.450%
Floor 1.450%
07/17/2037
|
3.632%
|
|
120,000
|
119,216
|
JPMBB
Commercial Mortgage Securities Trust(c),(d)
|
Series
2014-C21 Class XA
|
08/15/2047
|
1.163%
|
|
1,064,185
|
41,731
|
Series
2014-C23 Class XA
|
09/15/2047
|
0.835%
|
|
3,369,701
|
85,751
|
Series
2014-C26 Class XA
|
01/15/2048
|
1.159%
|
|
3,310,815
|
127,830
|
JPMorgan
Chase Commercial Mortgage Securities Trust(a)
|
Series
2009-IWST Class A2
|
12/05/2027
|
5.633%
|
|
650,000
|
654,688
|
Commercial
Mortgage-Backed Securities - Non-Agency (continued)
|
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
Series
2019-OSB Class A
|
06/05/2039
|
3.397%
|
|
375,000
|
410,691
|
JPMorgan
Chase Commercial Mortgage Securities Trust(c),(d)
|
Series
2012-LC9 Class XA
|
12/15/2047
|
1.656%
|
|
3,468,510
|
139,641
|
JPMorgan
Chase Commercial Mortgage Securities Trust(a),(c)
|
Series
2018-AON Class D
|
07/05/2031
|
4.767%
|
|
55,000
|
58,893
|
JPMorgan
Chase Commercial Mortgage Securities Trust(a),(b)
|
Series
2018-PHH Class C
|
1-month
USD LIBOR + 1.360%
Floor 1.410%
06/15/2035
|
3.555%
|
|
55,000
|
55,017
|
Madison
Avenue Trust(a)
|
Series
2013-650M Class A
|
10/12/2032
|
3.843%
|
|
155,000
|
156,930
|
Morgan
Stanley Bank of America Merrill Lynch Trust
|
Series
2015-C23 Class A3
|
07/15/2050
|
3.451%
|
|
300,000
|
321,236
|
Series
2016-C28 Class A3
|
01/15/2049
|
3.272%
|
|
700,000
|
742,052
|
Morgan
Stanley Capital I Trust(a),(c),(d)
|
Series
2012-C4 Class XA
|
03/15/2045
|
2.257%
|
|
3,378,043
|
138,070
|
Morgan
Stanley Capital I Trust
|
Series
2019-H6 Class A2
|
06/15/2052
|
3.228%
|
|
235,000
|
246,527
|
One
Bryant Park Trust(a)
|
Series
2019-OBP Class A
|
09/13/2049
|
2.516%
|
|
245,000
|
248,662
|
RBS
Commercial Funding, Inc., Trust(a),(c)
|
Series
2013-GSP Class A
|
01/15/2032
|
3.961%
|
|
165,000
|
175,000
|
SFAVE
Commercial Mortgage Securities Trust(a),(c)
|
Subordinated
Series 2015-5AVE Class D
|
01/05/2043
|
4.534%
|
|
200,000
|
193,778
|
UBS
Commercial Mortgage Trust(a),(c),(d)
|
Series
2012-C1 Class XA
|
05/10/2045
|
2.243%
|
|
2,372,268
|
100,817
|
VNDO
Mortgage Trust(a)
|
Series
2012-6AVE Class A
|
11/15/2030
|
2.996%
|
|
170,000
|
175,467
|
Vornado
DP LLC Trust(a)
|
Series
2010-VNO Class A2FX
|
09/13/2028
|
4.004%
|
|
335,000
|
338,440
|
WF-RBS
Commercial Mortgage Trust(a),(c),(d)
|
Series
2012-C8 Class XA
|
08/15/2045
|
1.979%
|
|
1,645,268
|
71,623
|
The accompanying Notes to Consolidated Financial Statements are an
integral part of this statement.
18
|
Multi-Manager Alternative
Strategies Fund | Annual Report 2019
|
Consolidated Portfolio of Investments (continued)
August 31, 2019
Commercial
Mortgage-Backed Securities - Non-Agency (continued)
|
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
Series
2012-C9 Class XA
|
11/15/2045
|
2.062%
|
|
1,636,029
|
80,642
|
WF-RBS
Commercial Mortgage Trust(c),(d)
|
Series
2014-C24 Class XA
|
11/15/2047
|
1.005%
|
|
2,711,312
|
89,285
|
Series
2014-LC14 Class XA
|
03/15/2047
|
1.397%
|
|
1,980,889
|
83,645
|
Worldwide
Plaza Trust(a),(c)
|
Series
2017-WWP Class D
|
11/10/2036
|
3.715%
|
|
120,000
|
125,688
|
Total
Commercial Mortgage-Backed Securities - Non-Agency
(Cost $11,258,769)
|
11,363,291
|
Common
Stocks 17.2%
|
Issuer
|
Shares
|
Value
($)
|
Communication
Services 1.6%
|
Diversified
Telecommunication Services 0.3%
|
Inmarsat
PLC
|
160,216
|
1,175,986
|
Entertainment
0.0%
|
Entertainment
One Ltd.
|
23,562
|
167,957
|
Media
1.3%
|
Axel
Springer SE(e)
|
27,158
|
1,865,499
|
Discovery,
Inc., Class C(e)
|
11,622
|
302,521
|
Gannett
Co., Inc.
|
67,422
|
709,279
|
Tribune
Media Co.
|
79,560
|
3,705,905
|
Total
|
|
6,583,204
|
Total
Communication Services
|
7,927,147
|
Consumer
Discretionary 3.1%
|
Auto
Components 0.4%
|
Tower
International, Inc.
|
62,596
|
1,936,094
|
Diversified
Consumer Services 0.4%
|
Sotheby’s
(e)
|
34,444
|
1,989,141
|
Hotels,
Restaurants & Leisure 1.2%
|
Caesars
Entertainment Corp.(e),(f),(g)
|
122,809
|
1,413,531
|
Greene
King PLC
|
85,604
|
877,949
|
International
Speedway Corp., Class A
|
54,482
|
2,452,780
|
Parques
Reunidos Servicios Centrales SAU(a)
|
50,694
|
765,527
|
Wyndham
Hotels & Resorts, Inc.
|
6,568
|
337,464
|
Total
|
|
5,847,251
|
Common
Stocks (continued)
|
Issuer
|
Shares
|
Value
($)
|
Internet
& Direct Marketing Retail 0.7%
|
Shutterfly,
Inc.(e)
|
74,081
|
3,769,241
|
Specialty
Retail 0.4%
|
BCA
Marketplace PLC
|
209,753
|
616,629
|
GrandVision
NV(a)
|
11,679
|
352,612
|
Lowe’s
Companies, Inc.
|
7,799
|
875,048
|
Rent-A-Center,
Inc.(e)
|
1,200
|
30,636
|
Total
|
|
1,874,925
|
Total
Consumer Discretionary
|
15,416,652
|
Consumer
Staples 0.1%
|
Food
Products 0.1%
|
Dole
Food Co., Inc.(e),(h),(i)
|
96,900
|
31,764
|
Pioneer
Foods Group Ltd.
|
65,366
|
454,626
|
Total
|
|
486,390
|
Total
Consumer Staples
|
486,390
|
Financials
0.2%
|
Banks
0.2%
|
JPMorgan
Chase & Co.
|
2,590
|
284,537
|
Royal
Bank of Canada
|
3,314
|
247,755
|
U.S.
Bancorp
|
4,845
|
255,283
|
Total
|
|
787,575
|
Total
Financials
|
787,575
|
Health
Care 6.6%
|
Biotechnology
2.1%
|
Celgene
Corp.(e),(f),(g)
|
90,886
|
8,797,765
|
Genomic
Health, Inc.(e)
|
19,929
|
1,527,757
|
Spark
Therapeutics, Inc.(e)
|
800
|
77,928
|
Total
|
|
10,403,450
|
Health
Care Equipment & Supplies 0.3%
|
Corindus
Vascular Robotics, Inc.(e)
|
294,206
|
1,250,376
|
Health
Care Providers & Services 1.6%
|
Avaya,
Inc. Escrow(e),(h),(i)
|
6,409,000
|
6
|
Avaya,
Inc. Escrow(e),(h),(i)
|
2,397,000
|
2
|
WellCare
Health Plans, Inc.(e),(f),(g)
|
29,667
|
8,032,044
|
Total
|
|
8,032,052
|
Health
Care Technology 1.1%
|
Medidata
Solutions, Inc.(e),(f),(g)
|
62,541
|
5,727,505
|
The accompanying Notes to Consolidated Financial Statements are an
integral part of this statement.
Multi-Manager
Alternative Strategies Fund | Annual Report 2019
|
19
|
Consolidated Portfolio of Investments
(continued)
August 31, 2019
Common
Stocks (continued)
|
Issuer
|
Shares
|
Value
($)
|
Life
Sciences Tools & Services 0.6%
|
Cambrex
Corp.(e)
|
23,412
|
1,403,081
|
Pacific
Biosciences of California, Inc.(e),(f),(g)
|
313,666
|
1,740,846
|
Total
|
|
3,143,927
|
Pharmaceuticals
0.9%
|
Allergan
PLC(f),(g)
|
28,053
|
4,480,625
|
Paratek
Pharmaceuticals, Inc.(e),(f),(g)
|
49,710
|
185,916
|
Total
|
|
4,666,541
|
Total
Health Care
|
33,223,851
|
Industrials
1.9%
|
Aerospace
& Defense 0.3%
|
Cobham
PLC(e)
|
413,792
|
815,193
|
Wesco
Aircraft Holdings, Inc.(e)
|
65,564
|
721,204
|
Total
|
|
1,536,397
|
Building
Products 0.1%
|
Masco
Corp.
|
14,746
|
600,605
|
Commercial
Services & Supplies 0.1%
|
Quad/Graphics,
Inc.
|
40,597
|
364,967
|
Construction
& Engineering 0.0%
|
HC2
Holdings, Inc.(e)
|
11,950
|
23,900
|
Machinery
0.9%
|
Milacron
Holdings Corp.(e)
|
109,525
|
1,735,971
|
WABCO
Holdings, Inc.(e),(f),(g)
|
19,213
|
2,565,128
|
Total
|
|
4,301,099
|
Professional
Services 0.4%
|
Navigant
Consulting, Inc.
|
71,476
|
1,992,036
|
Trading
Companies & Distributors 0.1%
|
Herc
Holdings Inc(e),(f),(g)
|
13,953
|
575,980
|
Total
Industrials
|
9,394,984
|
Information
Technology 3.5%
|
Communications
Equipment 0.3%
|
Acacia
Communications, Inc.(e)
|
22,995
|
1,449,835
|
Common
Stocks (continued)
|
Issuer
|
Shares
|
Value
($)
|
IT
Services 0.4%
|
Altran
Technologies SA
|
34,208
|
544,484
|
LiveRamp
Holdings, Inc.(e)
|
9,152
|
387,679
|
Presidio,
Inc.
|
75,190
|
1,204,544
|
Total
System Services, Inc.
|
20
|
2,684
|
Total
|
|
2,139,391
|
Semiconductors
& Semiconductor Equipment 1.3%
|
Cypress
Semiconductor Corp.(f),(g)
|
21,543
|
495,704
|
Mellanox
Technologies Ltd.(e),(f),(g)
|
55,175
|
5,906,484
|
Total
|
|
6,402,188
|
Software
1.5%
|
Avaya
Holdings Corp.(e),(f),(g)
|
65,200
|
920,624
|
Carbon
Black, Inc.(e)
|
84,687
|
2,210,330
|
LogMeIn,
Inc.
|
8,619
|
576,094
|
MINDBODY,
Inc., Class A(e),(h),(i)
|
47,120
|
1,719,880
|
Monotype
Imaging Holdings, Inc.
|
76,779
|
1,516,385
|
Pivotal
Software, Inc., Class A(e)
|
45,170
|
673,485
|
Symantec
Corp.
|
6,400
|
148,800
|
Total
|
|
7,765,598
|
Technology
Hardware, Storage & Peripherals 0.0%
|
Cray,
Inc.(e)
|
4,529
|
158,198
|
Total
Information Technology
|
17,915,210
|
Materials
0.1%
|
Chemicals
0.1%
|
Omnova
Solutions, Inc.(e)
|
60,952
|
612,568
|
Total
Materials
|
612,568
|
Real
Estate 0.0%
|
Real
Estate Management & Development 0.0%
|
Atrium
European Real Estate Ltd.(e)
|
57,497
|
230,651
|
Total
Real Estate
|
230,651
|
Utilities
0.1%
|
Electric
Utilities 0.1%
|
El
Paso Electric Co.(f),(g)
|
9,171
|
611,706
|
Total
Utilities
|
611,706
|
Total
Common Stocks
(Cost $88,285,172)
|
86,606,734
|
The accompanying Notes to Consolidated Financial Statements are an
integral part of this statement.
20
|
Multi-Manager Alternative
Strategies Fund | Annual Report 2019
|
Consolidated Portfolio of Investments (continued)
August 31, 2019
Convertible
Bonds 0.8%
|
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
Aerospace
& Defense 0.5%
|
RTI
International Metals, Inc.
|
10/15/2019
|
1.625%
|
|
2,588,000
|
2,584,871
|
Cable
and Satellite 0.0%
|
DISH
Network Corp.
|
08/15/2026
|
3.375%
|
|
80,000
|
73,620
|
Electric
0.0%
|
NRG
Energy, Inc.
|
06/01/2048
|
2.750%
|
|
200,000
|
218,210
|
Healthcare
Insurance 0.0%
|
Anthem,
Inc.
|
10/15/2042
|
2.750%
|
|
51,000
|
184,763
|
Technology
0.2%
|
Avaya
Holdings Corp.
|
06/15/2023
|
2.250%
|
|
210,000
|
195,767
|
IAC
Financeco 2, Inc.(a)
|
06/15/2026
|
0.875%
|
|
250,000
|
279,210
|
Sony
Corp.(j)
|
09/30/2022
|
0.000%
|
JPY
|
26,000,000
|
330,262
|
Total
|
805,239
|
Wirelines
0.1%
|
GCI
Liberty, Inc.(a)
|
09/30/2046
|
1.750%
|
|
325,000
|
394,672
|
Total
Convertible Bonds
(Cost $4,074,240)
|
4,261,375
|
Convertible
Preferred Stocks 0.6%
|
Issuer
|
|
Shares
|
Value
($)
|
Health
Care 0.1%
|
Health
Care Equipment & Supplies 0.1%
|
Becton
Dickinson and Co.
|
6.125%
|
7,700
|
477,169
|
Total
Health Care
|
477,169
|
Industrials
0.1%
|
Machinery
0.1%
|
Fortive
Corp.
|
5.000%
|
700
|
655,856
|
Total
Industrials
|
655,856
|
Real
Estate 0.1%
|
Equity
Real Estate Investment Trusts (REITS) 0.1%
|
Crown
Castle International Corp.
|
6.875%
|
260
|
338,026
|
Total
Real Estate
|
338,026
|
Convertible
Preferred Stocks (continued)
|
Issuer
|
|
Shares
|
Value
($)
|
Utilities
0.3%
|
Electric
Utilities 0.2%
|
American
Electric Power Co., Inc.
|
6.125%
|
7,750
|
434,804
|
Southern
Co. (The)
|
6.750%
|
8,350
|
433,866
|
Total
|
|
|
868,670
|
Gas
Utilities 0.0%
|
South
Jersey Industries, Inc.
|
7.250%
|
3,350
|
174,703
|
Multi-Utilities
0.1%
|
Dominion
Energy, Inc.
|
7.250%
|
5,400
|
549,828
|
Total
Utilities
|
1,593,201
|
Total
Convertible Preferred Stocks
(Cost $2,965,740)
|
3,064,252
|
Corporate
Bonds & Notes(k) 19.2%
|
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
Aerospace
& Defense 0.2%
|
Boeing
Co. (The)
|
02/01/2027
|
2.700%
|
|
225,000
|
231,234
|
L3Harris
Technologies, Inc.(a)
|
06/15/2028
|
4.400%
|
|
260,000
|
294,705
|
Northrop
Grumman Corp.
|
01/15/2025
|
2.930%
|
|
355,000
|
367,866
|
Total
|
893,805
|
Airlines
0.1%
|
American
Airlines Pass-Through Trust
|
Series
2016-2 Class AA
|
06/15/2028
|
3.200%
|
|
219,250
|
226,814
|
Continental
Airlines Pass-Through Trust
|
04/19/2022
|
5.983%
|
|
113,304
|
120,206
|
U.S.
Airways Pass-Through Trust
|
04/22/2023
|
6.250%
|
|
241,764
|
264,811
|
Total
|
611,831
|
Apartment
REIT 0.1%
|
Mid-America
Apartments LP
|
10/15/2023
|
4.300%
|
|
325,000
|
348,790
|
Automotive
0.6%
|
Daimler
Finance North America LLC(a),(b)
|
3-month
USD LIBOR + 0.900%
02/15/2022
|
3.058%
|
|
385,000
|
386,530
|
The accompanying Notes to Consolidated Financial Statements are an
integral part of this statement.
Multi-Manager
Alternative Strategies Fund | Annual Report 2019
|
21
|
Consolidated Portfolio of Investments (continued)
August 31, 2019
Corporate
Bonds & Notes(k) (continued)
|
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
Ford
Motor Credit Co. LLC
|
01/15/2020
|
8.125%
|
|
600,000
|
612,017
|
11/02/2020
|
2.343%
|
|
260,000
|
259,131
|
01/15/2021
|
3.200%
|
|
380,000
|
381,851
|
03/28/2022
|
3.339%
|
|
200,000
|
201,237
|
Ford
Motor Credit Co. LLC(b)
|
3-month
USD LIBOR + 0.880%
10/12/2021
|
3.220%
|
|
200,000
|
197,578
|
3-month
USD LIBOR + 1.080%
08/03/2022
|
3.367%
|
|
255,000
|
250,788
|
General
Motors Financial Co., Inc.
|
04/13/2020
|
2.650%
|
|
370,000
|
370,283
|
07/13/2020
|
3.200%
|
|
200,000
|
201,090
|
Total
|
2,860,505
|
Banking
2.4%
|
Bank
of America Corp.(l)
|
12/20/2023
|
3.004%
|
|
1,159,000
|
1,189,171
|
12/20/2028
|
3.419%
|
|
345,000
|
364,668
|
07/23/2029
|
4.271%
|
|
270,000
|
304,556
|
Bank
of Ireland Group PLC(a)
|
11/25/2023
|
4.500%
|
|
200,000
|
210,521
|
Citigroup,
Inc.(b)
|
3-month
AUD BBR + 1.550%
05/04/2021
|
2.539%
|
AUD
|
280,000
|
191,151
|
Citigroup,
Inc.(a),(b)
|
3-month
Euribor + 0.500%
03/21/2023
|
0.164%
|
EUR
|
190,000
|
209,470
|
Goldman
Sachs Group, Inc. (The)(b)
|
3-month
USD LIBOR + 0.750%
02/23/2023
|
2.898%
|
|
280,000
|
279,689
|
Goldman
Sachs Group, Inc. (The)(a)
|
05/15/2024
|
1.375%
|
EUR
|
186,000
|
213,908
|
Goldman
Sachs Group, Inc. (The)
|
01/23/2025
|
3.500%
|
|
500,000
|
525,837
|
05/22/2025
|
3.750%
|
|
400,000
|
426,586
|
Goldman
Sachs Group, Inc. (The)(l)
|
09/29/2025
|
3.272%
|
|
260,000
|
269,881
|
JPMorgan
Chase & Co.
|
06/15/2026
|
3.200%
|
|
145,000
|
151,792
|
JPMorgan
Chase & Co.(l)
|
01/29/2027
|
3.960%
|
|
750,000
|
816,732
|
01/23/2029
|
3.509%
|
|
450,000
|
482,109
|
05/06/2030
|
3.702%
|
|
170,000
|
185,586
|
JPMorgan
Chase & Co., Subordinated
|
12/15/2026
|
4.125%
|
|
90,000
|
99,058
|
12/01/2027
|
3.625%
|
|
165,000
|
175,446
|
Lloyds
Banking Group PLC(l)
|
11/07/2023
|
2.907%
|
|
200,000
|
200,636
|
Corporate
Bonds & Notes(k) (continued)
|
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
Lloyds
Banking Group PLC
|
03/12/2024
|
3.900%
|
|
200,000
|
209,588
|
Morgan
Stanley(b)
|
3-month
USD LIBOR + 0.930%
07/22/2022
|
3.208%
|
|
800,000
|
805,180
|
Nationwide
Building Society(a),(l)
|
08/01/2024
|
4.363%
|
|
100,000
|
105,183
|
Popular,
Inc.
|
09/14/2023
|
6.125%
|
|
320,000
|
345,811
|
Santander
UK Group Holdings PLC
|
10/16/2020
|
2.875%
|
|
500,000
|
502,232
|
Santander
UK PLC
|
06/01/2021
|
3.400%
|
|
370,000
|
377,465
|
Synovus
Financial Corp.(l)
|
Subordinated
|
12/15/2025
|
5.750%
|
|
335,000
|
340,286
|
U.S.
Bancorp
|
06/07/2024
|
0.850%
|
EUR
|
100,000
|
115,046
|
04/27/2027
|
3.150%
|
|
195,000
|
208,854
|
Subordinated
|
09/11/2024
|
3.600%
|
|
62,000
|
66,325
|
U.S.
Bancorp, Subordinated
|
07/30/2029
|
3.000%
|
|
155,000
|
162,407
|
U.S.
Bank NA
|
01/27/2025
|
2.800%
|
|
250,000
|
259,255
|
US
Bancorp
|
02/05/2024
|
3.375%
|
|
103,000
|
108,979
|
US
Bank NA
|
02/04/2021
|
3.000%
|
|
310,000
|
314,172
|
05/23/2022
|
2.650%
|
|
185,000
|
188,471
|
Wells
Fargo & Co.(b)
|
3-month
AUD BBR + 1.320%
07/27/2021
|
2.348%
|
AUD
|
300,000
|
204,350
|
Wells
Fargo & Co.
|
04/27/2022
|
3.250%
|
AUD
|
300,000
|
211,084
|
07/22/2022
|
2.625%
|
|
80,000
|
81,286
|
04/22/2026
|
3.000%
|
|
260,000
|
269,429
|
Wells
Fargo Bank NA(b)
|
SOFR
+ 0.480%
03/25/2020
|
2.600%
|
|
750,000
|
750,883
|
Westpac
Banking Corp.(a)
|
10/21/2019
|
5.000%
|
GBP
|
150,000
|
183,545
|
Zions
Bancorp(l)
|
Junior
Subordinated
|
12/31/2049
|
5.800%
|
|
99,000
|
98,275
|
Total
|
12,204,903
|
The accompanying Notes to Consolidated Financial Statements are an
integral part of this statement.
22
|
Multi-Manager Alternative
Strategies Fund | Annual Report 2019
|
Consolidated Portfolio of Investments (continued)
August 31, 2019
Corporate
Bonds & Notes(k) (continued)
|
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
Brokerage/Asset
Managers/Exchanges 0.1%
|
Raymond
James Financial, Inc.
|
07/15/2046
|
4.950%
|
|
200,000
|
243,250
|
Building
Materials 0.0%
|
Owens
Corning
|
08/15/2029
|
3.950%
|
|
110,000
|
113,849
|
Cable
and Satellite 0.8%
|
Cablevision
Systems Corp.
|
09/15/2022
|
5.875%
|
|
120,000
|
128,326
|
CCO
Holdings LLC/Capital Corp.(a)
|
05/01/2027
|
5.125%
|
|
285,000
|
301,692
|
02/01/2028
|
5.000%
|
|
240,000
|
251,876
|
06/01/2029
|
5.375%
|
|
165,000
|
176,463
|
Charter
Communications Operating LLC/Capital
|
07/23/2025
|
4.908%
|
|
210,000
|
231,675
|
07/01/2049
|
5.125%
|
|
380,000
|
413,757
|
Comcast
Corp.
|
02/15/2028
|
3.150%
|
|
150,000
|
157,971
|
CSC
Holdings LLC(a)
|
05/15/2026
|
5.500%
|
|
250,000
|
264,325
|
04/15/2027
|
5.500%
|
|
200,000
|
214,001
|
02/01/2028
|
5.375%
|
|
485,000
|
518,217
|
01/15/2030
|
5.750%
|
|
305,000
|
318,695
|
Intelsat
Jackson Holdings SA
|
08/01/2023
|
5.500%
|
|
208,000
|
189,144
|
Intelsat
Jackson Holdings SA(a)
|
07/15/2025
|
9.750%
|
|
173,000
|
177,551
|
Sirius
XM Radio, Inc.(a)
|
05/15/2023
|
4.625%
|
|
220,000
|
224,149
|
07/15/2026
|
5.375%
|
|
215,000
|
227,588
|
08/01/2027
|
5.000%
|
|
115,000
|
121,446
|
Time
Warner Cable LLC
|
09/01/2041
|
5.500%
|
|
200,000
|
214,699
|
Total
|
4,131,575
|
Chemicals
0.0%
|
International
Flavors & Fragrances, Inc.
|
09/26/2048
|
5.000%
|
|
160,000
|
179,800
|
Construction
Machinery 0.1%
|
United
Rentals North America, Inc.
|
05/15/2027
|
5.500%
|
|
225,000
|
241,402
|
01/15/2028
|
4.875%
|
|
225,000
|
236,364
|
Total
|
477,766
|
Consumer
Cyclical Services 0.4%
|
Amazon.com,
Inc.
|
08/22/2027
|
3.150%
|
|
405,000
|
435,121
|
Corporate
Bonds & Notes(k) (continued)
|
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
Cimpress
NV(a)
|
06/15/2026
|
7.000%
|
|
165,000
|
173,140
|
Expedia
Group, Inc.
|
02/15/2026
|
5.000%
|
|
275,000
|
311,491
|
02/15/2028
|
3.800%
|
|
250,000
|
265,383
|
IHS
Markit Ltd.
|
08/01/2028
|
4.750%
|
|
515,000
|
581,174
|
Matthews
International Corp.(a)
|
12/01/2025
|
5.250%
|
|
85,000
|
81,609
|
Service
Corp. International
|
06/01/2029
|
5.125%
|
|
15,000
|
16,045
|
Uber
Technologies, Inc.(a)
|
11/01/2026
|
8.000%
|
|
275,000
|
288,762
|
Total
|
2,152,725
|
Consumer
Products 0.3%
|
Avon
International Operations, Inc.(a)
|
08/15/2022
|
7.875%
|
|
878,000
|
916,291
|
First
Quality Finance Co., Inc.(a)
|
07/01/2025
|
5.000%
|
|
30,000
|
31,154
|
Natura
Cosmeticos SA(a)
|
02/01/2023
|
5.375%
|
|
200,000
|
209,278
|
Walnut
Bidco PLC(a)
|
08/01/2024
|
6.750%
|
EUR
|
110,000
|
126,138
|
08/01/2024
|
9.125%
|
|
200,000
|
206,695
|
Total
|
1,489,556
|
Diversified
Manufacturing 0.2%
|
General
Electric Co.
|
05/04/2020
|
5.550%
|
|
350,000
|
356,344
|
03/15/2032
|
6.750%
|
|
50,000
|
61,437
|
Vertiv
Group Corp.(a)
|
10/15/2024
|
9.250%
|
|
848,000
|
805,823
|
Total
|
1,223,604
|
Electric
0.8%
|
Adani
Green Energy UP Ltd./Prayatna Developers Pvt Ltd./Parampujya Solar Energy Pvt Ltd.(a)
|
12/10/2024
|
6.250%
|
|
200,000
|
205,447
|
AES
Corp. (The)
|
09/01/2027
|
5.125%
|
|
10,000
|
10,734
|
Covanta
Holding Corp.
|
01/01/2027
|
6.000%
|
|
49,000
|
50,926
|
Duke
Energy Progress LLC
|
12/01/2044
|
4.150%
|
|
425,000
|
500,218
|
Indiana
Michigan Power Co.
|
03/15/2023
|
3.200%
|
|
300,000
|
311,110
|
The accompanying Notes to Consolidated Financial Statements are an
integral part of this statement.
Multi-Manager
Alternative Strategies Fund | Annual Report 2019
|
23
|
Consolidated Portfolio of Investments (continued)
August 31, 2019
Corporate
Bonds & Notes(k) (continued)
|
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
ITC
Holdings Corp.
|
11/15/2027
|
3.350%
|
|
150,000
|
159,562
|
MidAmerican
Energy Co.
|
05/01/2046
|
4.250%
|
|
400,000
|
485,667
|
NextEra
Energy Capital Holdings, Inc.(b)
|
3-month
USD LIBOR + 0.480%
05/04/2021
|
2.767%
|
|
520,000
|
520,577
|
NRG
Energy, Inc.
|
01/15/2027
|
6.625%
|
|
220,000
|
239,088
|
NRG
Energy, Inc.(a)
|
06/15/2029
|
5.250%
|
|
15,000
|
15,990
|
NSTAR
Electric Co.
|
05/15/2027
|
3.200%
|
|
520,000
|
551,789
|
Tucson
Electric Power Co.
|
11/15/2021
|
5.150%
|
|
450,000
|
470,948
|
Vistra
Operations Co. LLC(a)
|
07/15/2024
|
3.550%
|
|
415,000
|
419,720
|
09/01/2026
|
5.500%
|
|
95,000
|
100,018
|
02/15/2027
|
5.625%
|
|
65,000
|
68,881
|
07/31/2027
|
5.000%
|
|
65,000
|
67,375
|
Total
|
4,178,050
|
Environmental
0.0%
|
GFL
Environmental, Inc.(a)
|
03/01/2023
|
5.375%
|
|
100,000
|
100,566
|
Finance
Companies 0.6%
|
AerCap
Ireland Capital DAC/Global Aviation Trust
|
05/15/2021
|
4.500%
|
|
250,000
|
258,285
|
Air
Lease Corp.
|
01/15/2020
|
2.125%
|
|
400,000
|
399,716
|
Avolon
Holdings Funding Ltd.(a)
|
10/01/2023
|
5.125%
|
|
104,000
|
110,837
|
CIT
Group, Inc.
|
03/07/2025
|
5.250%
|
|
10,000
|
11,184
|
GE
Capital International Funding Co. Unlimited Co.
|
11/15/2020
|
2.342%
|
|
1,200,000
|
1,191,802
|
11/15/2035
|
4.418%
|
|
815,000
|
828,240
|
Park
Aerospace Holdings Ltd.(a)
|
02/15/2024
|
5.500%
|
|
160,000
|
173,785
|
Total
|
2,973,849
|
Food
and Beverage 0.7%
|
Anheuser-Busch
Companies LLC/InBev Worldwide, Inc.
|
02/01/2046
|
4.900%
|
|
120,000
|
143,025
|
Anheuser-Busch
InBev Worldwide, Inc.
|
01/23/2029
|
4.750%
|
|
360,000
|
420,053
|
Corporate
Bonds & Notes(k) (continued)
|
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
Aramark
Services, Inc.(a)
|
04/01/2025
|
5.000%
|
|
126,000
|
130,123
|
Bacardi
Ltd.(a)
|
05/15/2028
|
4.700%
|
|
165,000
|
181,759
|
Darling
Ingredients, Inc.(a)
|
04/15/2027
|
5.250%
|
|
10,000
|
10,668
|
Kraft
Heinz Foods Co. (The)
|
07/15/2025
|
3.950%
|
|
110,000
|
114,187
|
06/01/2026
|
3.000%
|
|
50,000
|
49,186
|
01/30/2029
|
4.625%
|
|
275,000
|
296,888
|
06/04/2042
|
5.000%
|
|
25,000
|
25,740
|
07/15/2045
|
5.200%
|
|
50,000
|
53,187
|
06/01/2046
|
4.375%
|
|
200,000
|
191,942
|
Molson
Coors Brewing Co.
|
07/15/2024
|
1.250%
|
EUR
|
200,000
|
230,147
|
Pilgrim’s
Pride Corp.(a)
|
09/30/2027
|
5.875%
|
|
45,000
|
48,485
|
Post
Holdings, Inc.(a)
|
08/15/2026
|
5.000%
|
|
445,000
|
463,903
|
03/01/2027
|
5.750%
|
|
410,000
|
436,822
|
01/15/2028
|
5.625%
|
|
250,000
|
264,482
|
12/15/2029
|
5.500%
|
|
150,000
|
158,529
|
Tyson
Foods, Inc.
|
03/01/2026
|
4.000%
|
|
75,000
|
81,749
|
Total
|
3,300,875
|
Gaming
0.7%
|
Churchill
Downs, Inc.(a)
|
04/01/2027
|
5.500%
|
|
190,000
|
201,927
|
01/15/2028
|
4.750%
|
|
30,000
|
30,882
|
GLP
Capital LP/Financing II, Inc.
|
06/01/2025
|
5.250%
|
|
130,000
|
143,103
|
04/15/2026
|
5.375%
|
|
230,000
|
252,595
|
06/01/2028
|
5.750%
|
|
5,000
|
5,700
|
01/15/2029
|
5.300%
|
|
130,000
|
145,106
|
01/15/2030
|
4.000%
|
|
110,000
|
110,883
|
Jack
Ohio Finance LLC/1 Corp.(a)
|
11/15/2021
|
6.750%
|
|
2,278,000
|
2,332,289
|
MGM
Growth Properties Operating Partnership LP/Finance Co-Issuer, Inc.
|
05/01/2024
|
5.625%
|
|
75,000
|
81,923
|
Twin
River Worldwide Holdings, Inc.(a)
|
06/01/2027
|
6.750%
|
|
50,000
|
52,666
|
Total
|
3,357,074
|
Health
Care 1.1%
|
Baylor
Scott & White Holdings
|
11/15/2026
|
2.650%
|
|
500,000
|
497,249
|
Becton
Dickinson and Co.
|
12/15/2019
|
2.675%
|
|
106,000
|
106,024
|
The accompanying Notes to Consolidated Financial Statements are an
integral part of this statement.
24
|
Multi-Manager Alternative
Strategies Fund | Annual Report 2019
|
Consolidated Portfolio of Investments (continued)
August 31, 2019
Corporate
Bonds & Notes(k) (continued)
|
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
Becton
Dickinson Euro Finance Sarl
|
06/04/2026
|
1.208%
|
EUR
|
155,000
|
178,436
|
CHS/Community
Health Systems, Inc.(a)
|
03/15/2026
|
8.000%
|
|
34,000
|
32,789
|
Cigna
Corp.
|
11/15/2025
|
4.125%
|
|
850,000
|
921,681
|
CommonSpirit
Health
|
10/01/2029
|
3.347%
|
|
120,000
|
123,449
|
CVS
Health Corp.
|
03/25/2048
|
5.050%
|
|
435,000
|
507,574
|
Hackensack
Meridian Health, Inc.
|
07/01/2057
|
4.500%
|
|
300,000
|
378,984
|
HCA
Healthcare, Inc.
|
Junior
Subordinated
|
02/15/2021
|
6.250%
|
|
320,000
|
336,864
|
HCA,
Inc.
|
05/01/2023
|
4.750%
|
|
84,000
|
90,268
|
03/15/2024
|
5.000%
|
|
215,000
|
235,427
|
02/01/2025
|
5.375%
|
|
270,000
|
299,907
|
06/15/2049
|
5.250%
|
|
275,000
|
308,853
|
IQVIA,
Inc.(a)
|
05/15/2027
|
5.000%
|
|
200,000
|
210,661
|
New
York and Presbyterian Hospital (The)
|
08/01/2036
|
3.563%
|
|
390,000
|
424,489
|
Tenet
Healthcare Corp.
|
06/01/2020
|
4.750%
|
|
175,000
|
178,036
|
10/01/2020
|
6.000%
|
|
5,000
|
5,196
|
10/01/2021
|
4.375%
|
|
75,000
|
78,535
|
07/15/2024
|
4.625%
|
|
54,000
|
55,542
|
Thermo
Fisher Scientific, Inc.
|
09/12/2024
|
0.750%
|
EUR
|
100,000
|
113,894
|
Zimmer
Biomet Holdings, Inc.(b)
|
3-month
USD LIBOR + 0.750%
03/19/2021
|
3.169%
|
|
200,000
|
199,766
|
Total
|
5,283,624
|
Healthcare
Insurance 0.2%
|
Centene
Corp.
|
02/15/2021
|
5.625%
|
|
155,000
|
156,874
|
Cigna
Corp.
|
04/15/2025
|
3.250%
|
|
150,000
|
155,201
|
10/15/2027
|
3.050%
|
|
200,000
|
203,729
|
10/15/2047
|
3.875%
|
|
75,000
|
76,767
|
Molina
Healthcare, Inc.(a)
|
06/15/2025
|
4.875%
|
|
112,000
|
114,526
|
WellCare
Health Plans, Inc.(a)
|
08/15/2026
|
5.375%
|
|
102,000
|
108,684
|
Total
|
815,781
|
Corporate
Bonds & Notes(k) (continued)
|
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
Healthcare
REIT 0.2%
|
Healthcare
Realty Trust, Inc.
|
04/15/2023
|
3.750%
|
|
600,000
|
621,854
|
Ventas
Realty LP
|
04/01/2027
|
3.850%
|
|
300,000
|
321,742
|
Total
|
943,596
|
Home
Construction 0.1%
|
Lennar
Corp.
|
11/29/2027
|
4.750%
|
|
400,000
|
434,911
|
Independent
Energy 1.3%
|
Aker
BP ASA(a)
|
06/15/2024
|
4.750%
|
|
155,000
|
159,332
|
Antero
Resources Corp.
|
12/01/2022
|
5.125%
|
|
69,000
|
63,777
|
03/01/2025
|
5.000%
|
|
266,000
|
231,409
|
Centennial
Resource Production LLC(a)
|
01/15/2026
|
5.375%
|
|
50,000
|
47,727
|
04/01/2027
|
6.875%
|
|
15,000
|
14,999
|
Concho
Resources, Inc.
|
08/15/2028
|
4.300%
|
|
670,000
|
727,875
|
Continental
Resources, Inc.
|
01/15/2028
|
4.375%
|
|
380,000
|
390,792
|
CrownRock
LP/Finance, Inc.(a)
|
10/15/2025
|
5.625%
|
|
43,000
|
42,474
|
Diamondback
Energy, Inc.
|
11/01/2024
|
4.750%
|
|
160,000
|
165,576
|
05/31/2025
|
5.375%
|
|
415,000
|
437,083
|
Endeavor
Energy Resources LP/Finance, Inc.(a)
|
01/30/2026
|
5.500%
|
|
35,000
|
36,454
|
EOG
Resources, Inc.
|
01/15/2026
|
4.150%
|
|
90,000
|
100,324
|
EQT
Corp.
|
10/01/2027
|
3.900%
|
|
370,000
|
321,083
|
Gulfport
Energy Corp.
|
05/15/2025
|
6.375%
|
|
21,000
|
15,378
|
Marathon
Oil Corp.
|
07/15/2027
|
4.400%
|
|
460,000
|
494,543
|
Matador
Resources Co.
|
09/15/2026
|
5.875%
|
|
79,000
|
76,807
|
Medco
Oak Tree Pte Ltd.(a)
|
05/14/2026
|
7.375%
|
|
240,000
|
238,985
|
Murphy
Oil Corp.(l)
|
12/01/2022
|
4.200%
|
|
15,000
|
15,155
|
Occidental
Petroleum Corp.
|
08/15/2022
|
2.700%
|
|
300,000
|
302,819
|
The accompanying Notes to Consolidated Financial Statements are an
integral part of this statement.
Multi-Manager
Alternative Strategies Fund | Annual Report 2019
|
25
|
Consolidated Portfolio of Investments (continued)
August 31, 2019
Corporate
Bonds & Notes(k) (continued)
|
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
Parsley
Energy LLC/Finance Corp.(a)
|
01/15/2025
|
5.375%
|
|
455,000
|
463,862
|
08/15/2025
|
5.250%
|
|
60,000
|
60,932
|
10/15/2027
|
5.625%
|
|
453,000
|
467,929
|
QEP
Resources, Inc.
|
03/01/2021
|
6.875%
|
|
977,000
|
969,763
|
Range
Resources Corp.
|
05/15/2025
|
4.875%
|
|
85,000
|
70,488
|
WPX
Energy, Inc.
|
06/01/2026
|
5.750%
|
|
449,000
|
465,618
|
Total
|
6,381,184
|
Media
and Entertainment 1.2%
|
Clear
Channel International BV(a)
|
12/15/2020
|
8.750%
|
|
58,000
|
59,268
|
Diamond
Sports Group LLC/Finance Co.(a)
|
08/15/2026
|
5.375%
|
|
265,000
|
278,204
|
08/15/2027
|
6.625%
|
|
330,000
|
345,113
|
Graham
Holdings Co.(a)
|
06/01/2026
|
5.750%
|
|
175,000
|
187,611
|
Lions
Gate Capital Holdings LLC(a)
|
02/01/2024
|
6.375%
|
|
285,000
|
300,696
|
11/01/2024
|
5.875%
|
|
105,000
|
108,534
|
McGraw-Hill
Global Education Holdings LLC/Finance(a)
|
05/15/2024
|
7.875%
|
|
97,000
|
87,615
|
Netflix,
Inc.
|
11/15/2026
|
4.375%
|
|
20,000
|
20,602
|
Netflix,
Inc.(a)
|
11/15/2029
|
5.375%
|
|
230,000
|
250,067
|
Nielsen
Finance Co. SARL(a)
|
10/01/2021
|
5.500%
|
|
1,949,000
|
1,954,206
|
Tribune
Media Co.
|
07/15/2022
|
5.875%
|
|
1,954,000
|
1,982,704
|
Viacom,
Inc.
|
03/15/2043
|
4.375%
|
|
100,000
|
106,423
|
Viacom,
Inc.(l)
|
Junior
Subordinated
|
02/28/2057
|
6.250%
|
|
350,000
|
375,486
|
WMG
Acquisition Corp.(a)
|
04/15/2026
|
5.500%
|
|
220,000
|
229,511
|
Total
|
6,286,040
|
Metals
and Mining 0.0%
|
Indika
Energy Capital III Pte, Ltd.(a)
|
11/09/2024
|
5.875%
|
|
200,000
|
190,138
|
Corporate
Bonds & Notes(k) (continued)
|
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
Midstream
1.2%
|
Cheniere
Corpus Christi Holdings LLC
|
06/30/2027
|
5.125%
|
|
20,000
|
22,151
|
Cheniere
Energy Partners LP
|
10/01/2026
|
5.625%
|
|
20,000
|
21,133
|
DCP
Midstream Operating LP
|
03/15/2023
|
3.875%
|
|
15,000
|
15,142
|
07/15/2025
|
5.375%
|
|
410,000
|
435,643
|
05/15/2029
|
5.125%
|
|
210,000
|
214,938
|
Enbridge,
Inc.
|
12/01/2026
|
4.250%
|
|
500,000
|
550,875
|
Enbridge,
Inc.(l)
|
01/15/2077
|
6.000%
|
|
269,000
|
278,410
|
Energy
Transfer Operating LP
|
01/15/2024
|
5.875%
|
|
92,000
|
102,920
|
06/01/2027
|
5.500%
|
|
175,000
|
200,119
|
Energy
Transfer Partners LP
|
03/15/2045
|
5.150%
|
|
370,000
|
395,016
|
Enterprise
Products Operating LLC
|
07/31/2029
|
3.125%
|
|
500,000
|
518,066
|
EQT
Midstream Partners LP
|
07/15/2028
|
5.500%
|
|
160,000
|
161,751
|
Kinder
Morgan Energy Partners LP
|
09/01/2023
|
3.500%
|
|
200,000
|
207,844
|
Kinder
Morgan, Inc.
|
06/01/2025
|
4.300%
|
|
90,000
|
97,689
|
MPLX
LP
|
04/15/2048
|
4.700%
|
|
495,000
|
507,452
|
NGPL
PipeCo LLC(a)
|
08/15/2022
|
4.375%
|
|
95,000
|
98,165
|
Rockies
Express Pipeline LLC(a)
|
04/15/2020
|
5.625%
|
|
343,000
|
348,360
|
Sabine
Pass Liquefaction LLC
|
03/15/2027
|
5.000%
|
|
90,000
|
99,444
|
Sunoco
Logistics Partners Operations LP
|
10/01/2047
|
5.400%
|
|
111,000
|
123,786
|
Targa
Resources Partners LP/Finance Corp.
|
04/15/2026
|
5.875%
|
|
165,000
|
173,163
|
01/15/2028
|
5.000%
|
|
15,000
|
15,069
|
Targa
Resources Partners LP/Finance Corp.(a)
|
07/15/2027
|
6.500%
|
|
15,000
|
16,259
|
Texas
Eastern Transmission LP(a)
|
10/15/2022
|
2.800%
|
|
250,000
|
252,356
|
TransCanada
PipeLines Ltd.
|
05/15/2028
|
4.250%
|
|
90,000
|
100,420
|
TransMontaigne
Partners LP/TLP Finance Corp.
|
02/15/2026
|
6.125%
|
|
64,000
|
61,854
|
The accompanying Notes to Consolidated Financial Statements are an
integral part of this statement.
26
|
Multi-Manager Alternative
Strategies Fund | Annual Report 2019
|
Consolidated Portfolio of Investments (continued)
August 31, 2019
Corporate
Bonds & Notes(k) (continued)
|
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
Williams
Companies, Inc. (The)
|
03/15/2022
|
3.600%
|
|
250,000
|
257,352
|
06/24/2024
|
4.550%
|
|
378,000
|
409,177
|
09/15/2025
|
4.000%
|
|
225,000
|
238,977
|
Williams
Partners LP
|
03/04/2024
|
4.300%
|
|
90,000
|
96,305
|
Total
|
6,019,836
|
Natural
Gas 0.1%
|
NiSource,
Inc.
|
11/17/2022
|
2.650%
|
|
250,000
|
253,554
|
Office
REIT 0.2%
|
Boston
Properties LP
|
02/01/2024
|
3.800%
|
|
500,000
|
530,987
|
Hudson
Pacific Properties LP
|
11/01/2027
|
3.950%
|
|
160,000
|
170,645
|
SL
Green Operating Partnership LP
|
10/15/2022
|
3.250%
|
|
260,000
|
265,853
|
Total
|
967,485
|
Oil
Field Services 0.2%
|
Schlumberger
Holdings Corp.(a)
|
05/17/2028
|
3.900%
|
|
350,000
|
371,780
|
Transocean
Pontus Ltd.(a)
|
08/01/2025
|
6.125%
|
|
46,280
|
46,965
|
Transocean
Poseidon Ltd.(a)
|
02/01/2027
|
6.875%
|
|
111,000
|
115,511
|
Transocean
Proteus Ltd.(a)
|
12/01/2024
|
6.250%
|
|
75,000
|
76,700
|
USA
Compression Partners LP/Finance Corp.
|
04/01/2026
|
6.875%
|
|
212,000
|
217,518
|
USA
Compression Partners LP/Finance Corp.(a)
|
09/01/2027
|
6.875%
|
|
19,000
|
19,501
|
Total
|
847,975
|
Other
Financial Institutions 0.1%
|
Icahn
Enterprises LP/Finance Corp.(a)
|
05/15/2026
|
6.250%
|
|
15,000
|
15,693
|
Swiss
Insured Brazil Power Finance SARL(a)
|
07/16/2032
|
9.850%
|
BRL
|
2,230,000
|
606,120
|
Total
|
621,813
|
Other
Industry 0.1%
|
AECOM
|
10/15/2024
|
5.875%
|
|
255,000
|
275,387
|
03/15/2027
|
5.125%
|
|
415,000
|
433,814
|
Total
|
709,201
|
Corporate
Bonds & Notes(k) (continued)
|
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
Other
REIT 0.1%
|
American
Campus Communities Operating Partnership LP
|
04/15/2023
|
3.750%
|
|
500,000
|
523,649
|
ESH
Hospitality, Inc.(a)
|
05/01/2025
|
5.250%
|
|
175,000
|
180,814
|
Total
|
704,463
|
Other
Utility 0.0%
|
American
Water Capital Corp.
|
06/01/2029
|
3.450%
|
|
200,000
|
215,773
|
Packaging
0.6%
|
Ardagh
Packaging Finance PLC/Holdings U.S.A., Inc.(a)
|
09/15/2022
|
4.250%
|
|
200,000
|
203,258
|
Ball
Corp.
|
12/15/2020
|
4.375%
|
|
170,000
|
174,254
|
11/15/2023
|
4.000%
|
|
380,000
|
400,503
|
07/01/2025
|
5.250%
|
|
275,000
|
308,568
|
03/15/2026
|
4.875%
|
|
365,000
|
400,103
|
Berry
Global Escrow Corp.(a)
|
07/15/2026
|
4.875%
|
|
51,000
|
53,687
|
07/15/2027
|
5.625%
|
|
10,000
|
10,515
|
Crown
Americas LLC/Capital Corp. IV
|
01/15/2023
|
4.500%
|
|
325,000
|
341,503
|
Crown
Americas LLC/Capital Corp. V
|
09/30/2026
|
4.250%
|
|
10,000
|
10,437
|
Crown
Cork & Seal Co., Inc.
|
12/15/2026
|
7.375%
|
|
195,000
|
237,703
|
Reynolds
Group Issuer, Inc./LLC
|
10/15/2020
|
5.750%
|
|
314,960
|
315,813
|
Sealed
Air Corp.(a)
|
12/01/2024
|
5.125%
|
|
213,000
|
228,198
|
09/15/2025
|
5.500%
|
|
90,000
|
97,926
|
Total
|
2,782,468
|
Paper
0.1%
|
Graphic
Packaging International LLC(a)
|
07/15/2027
|
4.750%
|
|
75,000
|
78,901
|
Graphic
Packaging International, Inc.
|
11/15/2022
|
4.875%
|
|
150,000
|
158,003
|
Klabin
Austria GmbH(a)
|
04/03/2029
|
5.750%
|
|
200,000
|
209,648
|
WRKCo,
Inc.
|
03/15/2026
|
4.650%
|
|
165,000
|
182,446
|
Total
|
628,998
|
The accompanying Notes to Consolidated Financial Statements are an
integral part of this statement.
Multi-Manager
Alternative Strategies Fund | Annual Report 2019
|
27
|
Consolidated Portfolio of Investments (continued)
August 31, 2019
Corporate
Bonds & Notes(k) (continued)
|
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
Pharmaceuticals
0.5%
|
AbbVie,
Inc.
|
11/14/2028
|
4.250%
|
|
125,000
|
136,168
|
Allergan
Funding SCS
|
06/01/2024
|
1.250%
|
EUR
|
100,000
|
115,074
|
03/15/2035
|
4.550%
|
|
110,000
|
117,718
|
Amgen,
Inc.
|
05/01/2045
|
4.400%
|
|
200,000
|
227,543
|
AstraZeneca
PLC
|
11/16/2025
|
3.375%
|
|
300,000
|
318,390
|
Bausch
Health Companies, Inc.(a)
|
04/15/2025
|
6.125%
|
|
20,000
|
20,669
|
12/15/2025
|
9.000%
|
|
20,000
|
22,482
|
Bayer
US Finance II LLC(a),(b)
|
3-month
USD LIBOR + 1.010%
12/15/2023
|
3.420%
|
|
400,000
|
399,639
|
Bayer
US Finance II LLC(a)
|
12/15/2028
|
4.375%
|
|
345,000
|
376,442
|
Celgene
Corp.
|
08/15/2045
|
5.000%
|
|
200,000
|
257,291
|
Elanco
Animal Health, Inc.
|
08/28/2023
|
4.272%
|
|
345,000
|
360,734
|
Total
|
2,352,150
|
Property
& Casualty 0.3%
|
Berkshire
Hathaway Finance Corp.
|
06/19/2039
|
2.375%
|
GBP
|
125,000
|
164,590
|
Farmers
Exchange Capital III(a),(l)
|
Subordinated
|
10/15/2054
|
5.454%
|
|
500,000
|
593,962
|
MGIC
Investment Corp.
|
08/15/2023
|
5.750%
|
|
175,000
|
191,090
|
Nationwide
Mutual Insurance Co.(a),(b)
|
Subordinated
|
3-month
USD LIBOR + 2.290%
12/15/2024
|
4.700%
|
|
450,000
|
450,194
|
Total
|
1,399,836
|
Railroads
0.0%
|
Union
Pacific Corp.
|
09/10/2028
|
3.950%
|
|
175,000
|
196,725
|
Refining
0.1%
|
Marathon
Petroleum Corp.
|
12/15/2026
|
5.125%
|
|
150,000
|
167,900
|
PBF
Holding Co., LLC/Finance Corp.
|
06/15/2025
|
7.250%
|
|
415,000
|
429,644
|
Corporate
Bonds & Notes(k) (continued)
|
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
Valero
Energy Corp.
|
09/15/2026
|
3.400%
|
|
95,000
|
98,203
|
Total
|
695,747
|
Restaurants
0.3%
|
1011778
BC ULC/New Red Finance, Inc.(a)
|
01/15/2022
|
4.625%
|
|
280,000
|
280,924
|
05/15/2024
|
4.250%
|
|
285,000
|
294,584
|
10/15/2025
|
5.000%
|
|
265,000
|
273,676
|
KFC
Holding Co./Pizza Hut Holdings LLC/Taco Bell of America LLC(a)
|
06/01/2024
|
5.000%
|
|
130,000
|
135,013
|
06/01/2026
|
5.250%
|
|
290,000
|
308,089
|
06/01/2027
|
4.750%
|
|
160,000
|
168,024
|
Total
|
1,460,310
|
Retailers
0.1%
|
Alimentation
Couche-Tard, Inc.(a)
|
07/26/2022
|
2.700%
|
|
80,000
|
80,922
|
Cumberland
Farms, Inc.(a)
|
05/01/2025
|
6.750%
|
|
120,000
|
129,657
|
eG
Global Finance PLC(a)
|
02/07/2025
|
6.750%
|
|
158,000
|
152,261
|
Rite
Aid Corp.(a)
|
04/01/2023
|
6.125%
|
|
317,000
|
255,236
|
Total
|
618,076
|
Supermarkets
0.0%
|
Kroger
Co. (The)
|
01/15/2049
|
5.400%
|
|
86,000
|
102,320
|
Supranational
0.5%
|
Asian
Development Bank
|
03/09/2022
|
5.000%
|
AUD
|
165,000
|
122,076
|
European
Financial Stability Facility(a)
|
01/20/2023
|
0.500%
|
EUR
|
135,000
|
154,273
|
05/23/2023
|
1.875%
|
EUR
|
190,000
|
228,911
|
10/17/2023
|
0.125%
|
EUR
|
350,000
|
397,302
|
European
Investment Bank(a)
|
05/12/2022
|
1.500%
|
NOK
|
2,060,000
|
227,020
|
International
Bank for Reconstruction & Development
|
03/12/2020
|
2.500%
|
AUD
|
355,000
|
240,863
|
01/13/2021
|
2.800%
|
AUD
|
190,000
|
131,000
|
01/22/2021
|
3.500%
|
NZD
|
190,000
|
123,607
|
08/20/2021
|
7.450%
|
IDR
|
3,250,000,000
|
231,992
|
10/06/2021
|
4.625%
|
NZD
|
230,000
|
155,340
|
01/25/2022
|
3.375%
|
NZD
|
385,000
|
255,278
|
Nordic
Investment Bank
|
03/19/2020
|
4.125%
|
NZD
|
300,000
|
192,025
|
Total
|
2,459,687
|
The accompanying Notes to Consolidated Financial Statements are an
integral part of this statement.
28
|
Multi-Manager Alternative
Strategies Fund | Annual Report 2019
|
Consolidated Portfolio of Investments (continued)
August 31, 2019
Corporate
Bonds & Notes(k) (continued)
|
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
Technology
0.9%
|
Apple,
Inc.
|
05/24/2025
|
0.875%
|
EUR
|
200,000
|
234,476
|
Banff
Merger Sub, Inc.(a)
|
09/01/2026
|
9.750%
|
|
175,000
|
159,723
|
Broadcom,
Inc.(a)
|
04/15/2029
|
4.750%
|
|
339,000
|
357,251
|
CDK
Global, Inc.(l)
|
10/15/2024
|
5.000%
|
|
10,000
|
10,530
|
Dell
International LLC/EMC Corp.(a)
|
10/01/2029
|
5.300%
|
|
450,000
|
486,919
|
07/15/2046
|
8.350%
|
|
465,000
|
612,256
|
Diamond
1 Finance Corp./Diamond 2 Finance Corp.(a)
|
07/15/2036
|
8.100%
|
|
155,000
|
196,953
|
Fidelity
National Information Services, Inc.
|
05/21/2027
|
1.500%
|
EUR
|
105,000
|
125,855
|
Fiserv,
Inc.
|
07/01/2027
|
1.125%
|
EUR
|
100,000
|
115,618
|
07/01/2029
|
3.500%
|
|
135,000
|
143,365
|
07/01/2049
|
4.400%
|
|
202,000
|
232,694
|
KLA-Tencor
Corp.
|
03/15/2029
|
4.100%
|
|
344,000
|
381,425
|
Micron
Technology, Inc.
|
02/06/2029
|
5.327%
|
|
275,000
|
303,347
|
02/15/2030
|
4.663%
|
|
256,000
|
266,716
|
Microsoft
Corp.
|
11/03/2022
|
2.650%
|
|
95,000
|
97,723
|
08/08/2026
|
2.400%
|
|
330,000
|
340,863
|
NXP
BV/Funding LLC/USA, Inc.(a)
|
06/18/2026
|
3.875%
|
|
270,000
|
283,814
|
SS&C
Technologies, Inc.(a)
|
09/30/2027
|
5.500%
|
|
167,000
|
175,316
|
Total
|
4,524,844
|
Tobacco
0.1%
|
BAT
Capital Corp.
|
08/15/2047
|
4.540%
|
|
100,000
|
100,161
|
Reynolds
American, Inc.
|
08/15/2045
|
5.850%
|
|
180,000
|
203,070
|
Total
|
303,231
|
Wireless
0.5%
|
American
Tower Corp.
|
06/15/2023
|
3.000%
|
|
140,000
|
143,764
|
05/22/2026
|
1.950%
|
EUR
|
100,000
|
120,844
|
Crown
Castle International Corp.
|
02/15/2028
|
3.800%
|
|
185,000
|
198,191
|
Corporate
Bonds & Notes(k) (continued)
|
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
SBA
Communications Corp.
|
09/01/2024
|
4.875%
|
|
160,000
|
166,198
|
Sprint
Communications, Inc.(a)
|
03/01/2020
|
7.000%
|
|
62,000
|
63,271
|
Sprint
Corp.
|
03/01/2026
|
7.625%
|
|
27,000
|
30,513
|
Sprint
Spectrum Co. I/II/III LLC(a)
|
09/20/2021
|
3.360%
|
|
293,625
|
294,777
|
03/20/2025
|
4.738%
|
|
345,000
|
367,117
|
T-Mobile
U.S.A., Inc.
|
03/01/2023
|
6.000%
|
|
4,000
|
4,071
|
01/15/2024
|
6.500%
|
|
41,000
|
42,723
|
04/15/2024
|
6.000%
|
|
100,000
|
104,403
|
03/01/2025
|
6.375%
|
|
100,000
|
103,545
|
04/15/2025
|
5.125%
|
|
100,000
|
104,242
|
01/15/2026
|
6.500%
|
|
400,000
|
430,268
|
02/01/2026
|
4.500%
|
|
169,000
|
175,378
|
02/01/2028
|
4.750%
|
|
138,000
|
145,270
|
Vodafone
Group PLC
|
06/19/2049
|
4.875%
|
|
90,000
|
103,861
|
Total
|
2,598,436
|
Wirelines
1.0%
|
AT&T,
Inc.
|
03/01/2037
|
5.250%
|
|
145,000
|
172,109
|
06/15/2044
|
4.800%
|
|
700,000
|
780,875
|
C&W
Senior Financing DAC(a)
|
09/15/2027
|
6.875%
|
|
200,000
|
212,889
|
GCI
LLC(a)
|
06/15/2024
|
6.625%
|
|
315,000
|
336,098
|
HC2
Holdings, Inc.(a)
|
12/01/2021
|
11.500%
|
|
145,000
|
126,827
|
Koninklijke
KPN NV
|
10/01/2030
|
8.375%
|
|
200,000
|
274,291
|
Level
3 Financing, Inc.
|
02/01/2023
|
5.625%
|
|
100,000
|
101,690
|
01/15/2024
|
5.375%
|
|
45,000
|
45,925
|
05/01/2025
|
5.375%
|
|
95,000
|
98,944
|
Qwest
Corp.
|
12/01/2021
|
6.750%
|
|
90,000
|
97,091
|
Verizon
Communications, Inc.
|
02/15/2025
|
3.376%
|
|
150,000
|
159,148
|
09/21/2028
|
4.329%
|
|
186,000
|
213,431
|
08/21/2046
|
4.862%
|
|
285,000
|
354,915
|
Zayo
Group LLC/Capital, Inc.
|
04/01/2023
|
6.000%
|
|
1,317,000
|
1,354,068
|
The accompanying Notes to Consolidated Financial Statements are an
integral part of this statement.
Multi-Manager
Alternative Strategies Fund | Annual Report 2019
|
29
|
Consolidated Portfolio of Investments (continued)
August 31, 2019
Corporate
Bonds & Notes(k) (continued)
|
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
Zayo
Group LLC/Capital, Inc.(a)
|
01/15/2027
|
5.750%
|
|
779,000
|
799,453
|
Total
|
5,127,754
|
Total
Corporate Bonds & Notes
(Cost $93,762,400)
|
96,768,329
|
|
Foreign
Government Obligations(k),(m) 6.5%
|
|
|
|
|
|
Australia
0.1%
|
Queensland
Treasury Corp.(a)
|
02/21/2020
|
6.250%
|
AUD
|
325,000
|
224,233
|
Austria
0.1%
|
Republic
of Austria Government Bond(a)
|
02/20/2029
|
0.500%
|
EUR
|
220,000
|
264,063
|
Brazil
0.5%
|
Brazil
Notas do Tesouro Nacional
|
01/01/2021
|
10.000%
|
BRL
|
2,185,000
|
564,838
|
Brazil
Notas do Tesouro Nacional Series F
|
01/01/2023
|
10.000%
|
BRL
|
4,725,000
|
1,272,144
|
Brazilian
Government International Bond
|
01/13/2028
|
4.625%
|
|
275,000
|
296,567
|
Petrobras
Global Finance BV
|
05/23/2026
|
8.750%
|
|
110,000
|
137,902
|
01/17/2027
|
7.375%
|
|
260,000
|
308,649
|
Total
|
2,580,100
|
Canada
0.5%
|
Canadian
Government Bond
|
09/01/2020
|
0.750%
|
CAD
|
895,000
|
666,943
|
03/01/2024
|
2.250%
|
CAD
|
1,343,000
|
1,054,010
|
Province
of Alberta
|
12/01/2023
|
3.400%
|
CAD
|
120,000
|
96,528
|
Province
of British Columbia(a)
|
01/09/2020
|
6.600%
|
INR
|
11,000,000
|
153,536
|
Province
of Ontario
|
06/02/2024
|
3.500%
|
CAD
|
910,000
|
740,833
|
Total
|
2,711,850
|
Chile
0.1%
|
Corporación
Nacional del Cobre de Chile(a)
|
08/01/2027
|
3.625%
|
|
300,000
|
321,181
|
Colombia
0.3%
|
Colombia
Government International Bond
|
01/28/2026
|
4.500%
|
|
625,000
|
692,577
|
Foreign
Government Obligations(k),(m) (continued)
|
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
Colombian
TES
|
09/11/2019
|
7.000%
|
COP
|
661,100,000
|
192,196
|
07/24/2020
|
11.000%
|
COP
|
1,187,900,000
|
364,707
|
05/04/2022
|
7.000%
|
COP
|
1,389,000,000
|
424,103
|
Total
|
1,673,583
|
Dominican
Republic 0.0%
|
Dominican
Republic International Bond(a)
|
01/28/2024
|
6.600%
|
|
100,000
|
111,297
|
Finland
0.1%
|
Finland
Government Bond(a)
|
09/15/2028
|
0.500%
|
EUR
|
215,000
|
258,173
|
Germany
0.2%
|
Kreditanstalt
fuer Wiederaufbau
|
08/20/2020
|
6.000%
|
AUD
|
435,000
|
306,863
|
03/15/2023
|
0.375%
|
EUR
|
160,000
|
182,668
|
08/15/2023
|
2.125%
|
EUR
|
280,000
|
342,698
|
Kreditanstalt
fuer Wiederaufbau(j)
|
09/15/2023
|
0.000%
|
EUR
|
80,000
|
90,434
|
Total
|
922,663
|
Hungary
0.2%
|
Hungary
Government International Bond
|
01/29/2020
|
6.250%
|
|
385,000
|
391,736
|
03/29/2021
|
6.375%
|
|
438,000
|
465,768
|
Total
|
857,504
|
India
0.1%
|
NTPC
Ltd.(a)
|
05/03/2022
|
7.250%
|
INR
|
20,000,000
|
280,159
|
Indonesia
0.8%
|
Indonesia
Government International Bond(a)
|
06/14/2023
|
2.625%
|
EUR
|
225,000
|
269,851
|
07/18/2024
|
2.150%
|
EUR
|
200,000
|
236,296
|
Indonesia
Treasury Bond
|
07/15/2021
|
8.250%
|
IDR
|
260,000,000
|
18,903
|
05/15/2023
|
5.625%
|
IDR
|
289,000,000
|
19,665
|
03/15/2024
|
8.375%
|
IDR
|
2,201,000,000
|
164,532
|
06/15/2025
|
6.500%
|
IDR
|
1,604,000,000
|
111,426
|
09/15/2026
|
8.375%
|
IDR
|
1,782,000,000
|
133,188
|
05/15/2027
|
7.000%
|
IDR
|
2,047,000,000
|
141,798
|
05/15/2028
|
6.125%
|
IDR
|
3,489,000,000
|
226,268
|
03/15/2029
|
9.000%
|
IDR
|
2,112,000,000
|
163,414
|
05/15/2029
|
8.250%
|
IDR
|
1,034,000,000
|
77,559
|
09/15/2030
|
7.000%
|
IDR
|
2,128,000,000
|
146,122
|
05/15/2031
|
8.750%
|
IDR
|
3,900,000,000
|
297,557
|
08/15/2032
|
7.500%
|
IDR
|
340,000,000
|
23,496
|
05/15/2033
|
6.625%
|
IDR
|
509,000,000
|
32,530
|
06/15/2035
|
7.500%
|
IDR
|
1,095,000,000
|
75,879
|
05/15/2038
|
7.500%
|
IDR
|
1,751,000,000
|
119,239
|
The accompanying Notes to Consolidated Financial Statements are an
integral part of this statement.
30
|
Multi-Manager Alternative
Strategies Fund | Annual Report 2019
|
Consolidated Portfolio of Investments (continued)
August 31, 2019
Foreign
Government Obligations(k),(m) (continued)
|
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
Pelabuhan
Indonesia II PT(a)
|
05/05/2025
|
4.250%
|
|
225,000
|
239,288
|
Perusahaan
Penerbit SBSN Indonesia III(a)
|
03/29/2027
|
4.150%
|
|
270,000
|
292,798
|
PT
Indonesia Asahan Aluminium Persero(a)
|
11/15/2028
|
6.530%
|
|
400,000
|
496,520
|
PT
Jasa Marga Persero Tbk(a)
|
12/11/2020
|
7.500%
|
IDR
|
2,000,000,000
|
136,959
|
PT
Pertamina Persero(a)
|
05/20/2023
|
4.300%
|
|
270,000
|
285,185
|
PT
Perusahaan Listrik Negara(a)
|
05/15/2027
|
4.125%
|
|
280,000
|
298,882
|
Total
|
4,007,355
|
Ireland
0.4%
|
Ireland
Government Bond(a)
|
03/20/2023
|
3.900%
|
EUR
|
770,000
|
984,495
|
03/18/2024
|
3.400%
|
EUR
|
675,000
|
877,251
|
Total
|
1,861,746
|
Israel
0.1%
|
Israel
Electric Corp., Ltd.(a)
|
06/21/2023
|
6.875%
|
|
200,000
|
230,196
|
11/12/2024
|
5.000%
|
|
200,000
|
222,030
|
Total
|
452,226
|
Japan
0.2%
|
Japan
Government Five-Year Bond
|
12/20/2023
|
0.100%
|
JPY
|
111,800,000
|
1,073,049
|
Kazakhstan
0.1%
|
KazMunayGas
National Co. JSC(a)
|
04/24/2030
|
5.375%
|
|
215,000
|
249,229
|
Malaysia
0.3%
|
Malaysia
Government Bond
|
07/15/2021
|
4.160%
|
MYR
|
1,300,000
|
315,045
|
11/30/2021
|
3.620%
|
MYR
|
450,000
|
108,191
|
09/30/2024
|
4.059%
|
MYR
|
975,000
|
240,627
|
03/14/2025
|
3.882%
|
MYR
|
545,000
|
133,557
|
11/16/2027
|
3.899%
|
MYR
|
650,000
|
160,597
|
06/15/2028
|
3.733%
|
MYR
|
375,000
|
91,785
|
04/15/2033
|
3.844%
|
MYR
|
1,223,000
|
300,632
|
Total
|
1,350,434
|
Mauritius
0.0%
|
Greenko
Solar Mauritius Ltd.(a)
|
01/29/2025
|
5.550%
|
|
200,000
|
198,507
|
Foreign
Government Obligations(k),(m) (continued)
|
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
Mexico
0.2%
|
Banco
Nacional de Comercio Exterior SNC(a),(l)
|
Subordinated
|
08/11/2026
|
3.800%
|
|
200,000
|
202,695
|
Petroleos
Mexicanos
|
03/13/2022
|
5.375%
|
|
320,000
|
327,604
|
01/23/2029
|
6.500%
|
|
175,000
|
177,650
|
06/15/2035
|
6.625%
|
|
115,000
|
112,217
|
09/21/2047
|
6.750%
|
|
150,000
|
142,063
|
Total
|
962,229
|
Netherlands
0.2%
|
BNG
Bank NV(a)
|
02/22/2023
|
0.250%
|
EUR
|
160,000
|
181,560
|
06/07/2024
|
0.250%
|
EUR
|
155,000
|
177,683
|
Greenko
Dutch BV(a)
|
07/24/2024
|
5.250%
|
|
225,000
|
225,440
|
Petrobras
Global Finance BV
|
02/01/2029
|
5.750%
|
|
345,000
|
373,861
|
03/19/2049
|
6.900%
|
|
160,000
|
181,742
|
Total
|
1,140,286
|
Norway
0.3%
|
Nordea
Eiendomskreditt AS(b)
|
3-month
NIBOR + 0.300%
06/21/2023
|
1.820%
|
NOK
|
2,000,000
|
220,496
|
3-month
NIBOR + 0.340%
06/19/2024
|
1.860%
|
NOK
|
2,000,000
|
220,422
|
Norway
Government Bond(a)
|
05/25/2021
|
3.750%
|
NOK
|
6,480,000
|
742,951
|
05/24/2023
|
2.000%
|
NOK
|
3,675,000
|
416,433
|
Total
|
1,600,302
|
Oman
0.0%
|
Oman
Government International Bond(a)
|
01/17/2028
|
5.625%
|
|
200,000
|
197,008
|
Peru
0.1%
|
Corporación
Financiera de Desarrollo SA(a)
|
07/15/2025
|
4.750%
|
|
220,000
|
241,551
|
Petroleos
del Peru SA(a)
|
06/19/2047
|
5.625%
|
|
215,000
|
261,304
|
Total
|
502,855
|
Philippines
0.5%
|
Philippine
Government Bond
|
11/22/2019
|
3.875%
|
PHP
|
6,290,000
|
120,849
|
01/12/2020
|
3.375%
|
PHP
|
2,190,000
|
42,004
|
04/11/2020
|
4.250%
|
PHP
|
3,645,000
|
70,209
|
08/20/2020
|
3.375%
|
PHP
|
1,550,000
|
29,652
|
03/20/2021
|
3.500%
|
PHP
|
8,160,000
|
155,953
|
The accompanying Notes to Consolidated Financial Statements are an
integral part of this statement.
Multi-Manager
Alternative Strategies Fund | Annual Report 2019
|
31
|
Consolidated Portfolio of Investments (continued)
August 31, 2019
Foreign
Government Obligations(k),(m) (continued)
|
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
04/28/2021
|
6.500%
|
PHP
|
1,220,000
|
24,422
|
03/08/2023
|
5.500%
|
PHP
|
4,650,000
|
93,532
|
04/21/2023
|
3.500%
|
PHP
|
15,650,000
|
294,659
|
03/12/2024
|
6.250%
|
PHP
|
7,955,000
|
166,194
|
07/19/2031
|
8.000%
|
PHP
|
18,000,000
|
455,788
|
Philippine
Government International Bond
|
01/15/2021
|
4.950%
|
PHP
|
12,000,000
|
233,252
|
05/17/2027
|
0.875%
|
EUR
|
305,000
|
347,781
|
01/14/2036
|
6.250%
|
PHP
|
20,000,000
|
459,192
|
Total
|
2,493,487
|
Portugal
0.2%
|
Portugal
Government International Bond(a)
|
10/15/2024
|
5.125%
|
|
375,000
|
429,897
|
Portugal
Obrigacoes do Tesouro OT(a)
|
04/15/2021
|
3.850%
|
EUR
|
395,000
|
465,919
|
Total
|
895,816
|
Qatar
0.2%
|
Qatar
Government International Bond(a)
|
03/14/2029
|
4.000%
|
|
425,000
|
486,098
|
03/14/2049
|
4.817%
|
|
200,000
|
258,042
|
Total
|
744,140
|
Russian
Federation 0.0%
|
Russian
Foreign Bond - Eurobond(a)
|
03/21/2029
|
4.375%
|
|
200,000
|
215,411
|
Saudi
Arabia 0.2%
|
Saudi
Arabian Oil Co.(a)
|
04/16/2029
|
3.500%
|
|
445,000
|
474,800
|
04/16/2039
|
4.250%
|
|
200,000
|
226,604
|
04/16/2049
|
4.375%
|
|
200,000
|
228,058
|
Saudi
Government International Bond(a)
|
03/04/2028
|
3.625%
|
|
200,000
|
217,201
|
Total
|
1,146,663
|
Singapore
0.3%
|
BOC
Aviation Ltd.(a),(b)
|
3-month
USD LIBOR + 1.050%
05/02/2021
|
3.316%
|
|
200,000
|
200,987
|
BOC
Aviation Ltd.(a)
|
09/18/2022
|
2.750%
|
|
200,000
|
200,805
|
Singapore
Government Bond
|
09/01/2020
|
3.250%
|
SGD
|
1,295,000
|
947,439
|
04/01/2022
|
1.750%
|
SGD
|
425,000
|
306,890
|
Total
|
1,656,121
|
South
Africa 0.0%
|
South
Africa Government International Bond
|
01/17/2024
|
4.665%
|
|
100,000
|
105,347
|
Foreign
Government Obligations(k),(m) (continued)
|
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
Sweden
0.1%
|
Sweden
Government International Bond(a)
|
04/24/2023
|
0.125%
|
EUR
|
480,000
|
544,457
|
Turkey
0.0%
|
Turkey
Government International Bond
|
03/23/2023
|
3.250%
|
|
240,000
|
219,006
|
United
Arab Emirates 0.0%
|
DP
World Crescent Ltd.(a)
|
09/26/2028
|
4.848%
|
|
200,000
|
222,435
|
United
Kingdom 0.0%
|
United
Kingdom Gilt(a)
|
09/07/2020
|
3.750%
|
GBP
|
90,000
|
113,116
|
United
States 0.1%
|
Colombian
TES
|
07/24/2024
|
10.000%
|
COP
|
1,270,600,000
|
443,506
|
Uruguay
0.0%
|
Uruguay
Government International Bond
|
10/27/2027
|
4.375%
|
|
125,000
|
138,978
|
Total
Foreign Government Obligations
(Cost $33,202,841)
|
32,738,515
|
Limited
Partnerships 1.9%
|
Issuer
|
Shares
|
Value
($)
|
Energy
1.4%
|
Oil,
Gas & Consumable Fuels 1.4%
|
Buckeye
Partners LP(f),(g)
|
167,044
|
6,853,815
|
Total
Energy
|
6,853,815
|
Financials
0.5%
|
Capital
Markets 0.5%
|
Oaktree
Capital Group LLC
|
47,405
|
2,475,963
|
Total
Financials
|
2,475,963
|
Total
Limited Partnerships
(Cost $9,408,717)
|
9,329,778
|
The accompanying Notes to Consolidated Financial Statements are an
integral part of this statement.
32
|
Multi-Manager Alternative
Strategies Fund | Annual Report 2019
|
Consolidated Portfolio of Investments
(continued)
August 31, 2019
Municipal
Bonds 0.4%
|
Issue
Description
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
Local
General Obligation 0.0%
|
Los
Angeles Unified School District
|
Unlimited
General Obligation Bonds
|
Build
America Bonds -Taxable
|
Series
2009
|
07/01/2029
|
5.755%
|
|
250,000
|
313,068
|
Sales
Tax 0.1%
|
Santa
Clara Valley Transportation Authority
|
Revenue
Bonds
|
Build
America Bonds
|
Series
2010
|
04/01/2032
|
5.876%
|
|
250,000
|
319,307
|
State
General Obligation 0.1%
|
State
of California
|
Unlimited
General Obligation Bonds
|
Taxable
High Speed Passenger Train
|
Series
2017
|
04/01/2047
|
2.193%
|
|
500,000
|
500,165
|
Transportation
0.1%
|
Metropolitan
Transportation Authority
|
Revenue
Bonds
|
Build
America Bonds
|
Series
2010
|
11/15/2031
|
6.548%
|
|
250,000
|
337,970
|
Water
& Sewer 0.1%
|
Metropolitan
Water District of Southern California
|
Revenue
Bonds
|
Build
America Bonds
|
Subordinated
Series 2010
|
07/01/2040
|
6.947%
|
|
400,000
|
416,844
|
Total
Municipal Bonds
(Cost $1,824,419)
|
1,887,354
|
Preferred
Debt 0.0%
|
Issuer
|
Coupon
Rate
|
|
Shares
|
Value
($)
|
Banking
0.0%
|
Wells
Fargo & Co.(l)
|
12/31/2049
|
5.850%
|
|
8,485
|
224,004
|
Total
Preferred Debt
(Cost $230,368)
|
224,004
|
Preferred
Stocks 0.2%
|
Issuer
|
|
Shares
|
Value
($)
|
Financials
0.2%
|
Banks
0.2%
|
U.S.
Bancorp(l)
|
3.617%
|
480
|
410,400
|
U.S.
Bancorp
|
5.500%
|
8,300
|
225,926
|
Valley
National Bancorp(l)
|
5.500%
|
6,350
|
164,275
|
Total
|
|
|
800,601
|
Total
Financials
|
800,601
|
Total
Preferred Stocks
(Cost $812,639)
|
800,601
|
Residential
Mortgage-Backed Securities - Agency 0.5%
|
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
Federal
Home Loan Mortgage Corp.(b)
|
CMO
Series 4638 Class UF
|
1-month
USD LIBOR + 1.000%
Floor 1.000%, Cap 6.000%
09/15/2044
|
3.230%
|
|
550,788
|
555,456
|
Federal
National Mortgage Association(b)
|
CMO
Series 2013-5 Class GF
|
1-month
USD LIBOR + 1.100%
Floor 1.100%, Cap 5.000%
10/25/2042
|
3.245%
|
|
571,265
|
564,502
|
Government
National Mortgage Association(n)
|
11/19/2048
|
4.500%
|
|
750,000
|
783,926
|
Government
National Mortgage Association(d)
|
CMO
Series 2017-136 Class IO
|
09/20/2047
|
5.000%
|
|
2,062,343
|
310,664
|
CMO
Series 2018-63 Class IO
|
09/20/2047
|
4.000%
|
|
2,347,519
|
337,840
|
Government
National Mortgage Association(b)
|
CMO
Series 2018-91 Class WF
|
1-month
USD LIBOR + 1.000%
Floor 1.000%, Cap 5.000%
07/20/2048
|
3.230%
|
|
51,225
|
51,079
|
Total
Residential Mortgage-Backed Securities - Agency
(Cost $2,783,383)
|
2,603,467
|
|
Residential
Mortgage-Backed Securities - Non-Agency 8.0%
|
|
|
|
|
|
Adjustable
Rate Mortgage Trust(b)
|
CMO
Series 2005-9 Class 5A3
|
1-month
USD LIBOR + 0.640%
Floor 0.640%, Cap 11.000%
11/25/2035
|
2.785%
|
|
441,063
|
438,796
|
Alternative
Loan Trust(c)
|
CMO
Series 2005-43 Class 1A
|
10/25/2035
|
3.984%
|
|
410,589
|
398,017
|
The accompanying Notes to Consolidated Financial Statements are an
integral part of this statement.
Multi-Manager
Alternative Strategies Fund | Annual Report 2019
|
33
|
Consolidated Portfolio of Investments (continued)
August 31, 2019
Residential
Mortgage-Backed Securities - Non-Agency (continued)
|
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
American
Home Mortgage Investment Trust(b)
|
CMO
Series 2005-1 Class 6A
|
6-month
USD LIBOR + 2.000%
Floor 2.000%
06/25/2045
|
4.031%
|
|
403,008
|
410,390
|
Ameriquest
Mortgage Securities, Inc. Asset Backed Pass-Through Certificates(b)
|
CMO
Series 2005-R11 Class M1
|
1-month
USD LIBOR + 0.450%
Floor 0.450%
01/25/2036
|
2.595%
|
|
352,771
|
353,060
|
Arroyo
Mortgage Trust(a),(c)
|
CMO
Series 2018-1 Class A1
|
04/25/2048
|
3.763%
|
|
194,310
|
198,900
|
CMO
Series 2019-1 Class A1
|
01/25/2049
|
3.805%
|
|
242,340
|
248,428
|
CMO
Series 2019-2 Class A1
|
04/25/2049
|
3.347%
|
|
339,349
|
347,319
|
CMO
Series 2019-3 Class A1
|
10/25/2048
|
2.962%
|
|
189,330
|
189,653
|
Asset-Backed
Securities Corp. Home Equity Loan Trust(b)
|
CMO
Series 2004-HE6 Class M1
|
1-month
USD LIBOR + 0.945%
Floor 0.945%
09/25/2034
|
3.090%
|
|
398,507
|
401,884
|
Banc
of America Funding Trust(b)
|
CMO
Series 2006-G Class 2A1
|
1-month
USD LIBOR + 0.220%
Floor 0.220%, Cap 10.500%
07/20/2036
|
2.612%
|
|
368,398
|
367,047
|
Banc
of America Funding Trust(a),(c)
|
CMO
Series 2016-R1 Class A1
|
03/25/2040
|
2.500%
|
|
302,673
|
302,072
|
Subordinated
CMO Series 2014-R6 Class 2A13
|
07/26/2036
|
2.526%
|
|
925,000
|
896,099
|
BCAP
LLC Trust(a),(b)
|
CMO
Series 2014-RR2 Class 6A1
|
1-month
USD LIBOR + 0.240%
Floor 0.240%
10/26/2036
|
2.506%
|
|
364,265
|
362,070
|
CMO
Series 2014-RR5 Class 1A4
|
1-month
USD LIBOR + 0.225%
Floor 0.220%, Cap 14.000%
01/26/2036
|
2.716%
|
|
849,000
|
832,908
|
Bear
Stearns Alt-A Trust(b)
|
CMO
Series 2004-6 Class M1
|
1-month
USD LIBOR + 0.825%
Floor 0.825%, Cap 11.500%
07/25/2034
|
2.970%
|
|
788,770
|
774,344
|
Residential
Mortgage-Backed Securities - Non-Agency (continued)
|
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
Bear
Stearns Mortgage Funding Trust(b)
|
CMO
Series 2006-AR3 Class 1A1
|
1-month
USD LIBOR + 0.180%
Floor 0.180%, Cap 10.500%
10/25/2036
|
2.325%
|
|
668,318
|
636,854
|
CMO
Series 2006-AR4 Class A1
|
1-month
USD LIBOR + 0.210%
Floor 0.210%, Cap 10.500%
12/25/2036
|
2.355%
|
|
461,991
|
471,078
|
CMO
Series 2007-AR3 Class 21A1
|
1-month
USD LIBOR + 0.150%
Floor 0.150%, Cap 10.500%
04/25/2037
|
2.295%
|
|
684,887
|
676,871
|
Bear
Stearns Trust(b)
|
CMO
Series 2005-1 Class A1
|
1-month
USD LIBOR + 0.560%
Floor 0.560%, Cap 11.500%
01/25/2035
|
2.705%
|
|
75,079
|
75,157
|
Centex
Home Equity Loan Trust(b)
|
CMO
Series 2005-A Class M1
|
1-month
USD LIBOR + 0.720%
Floor 0.480%
01/25/2035
|
2.865%
|
|
523,672
|
523,791
|
CMO
Series 2005-D Class M3
|
1-month
USD LIBOR + 0.480%
Floor 0.480%
10/25/2035
|
2.865%
|
|
900,000
|
902,825
|
CIM
Trust(a),(c)
|
CMO
Series 2017-5 Class A1
|
05/25/2057
|
2.300%
|
|
12,025
|
11,999
|
CMO
Series 2018-R2 Class A1
|
08/27/2057
|
3.690%
|
|
712,967
|
718,036
|
CMO
Series 2018-R4 Class A1
|
12/26/2057
|
4.070%
|
|
707,518
|
717,381
|
CIM
Trust(a)
|
CMO
Series 2017-7 Class A
|
04/25/2057
|
3.000%
|
|
622,319
|
625,633
|
Citigroup
Mortgage Loan Trust, Inc.(c)
|
CMO
Series 2006-AR2 Class 1A1
|
03/25/2036
|
4.743%
|
|
436,575
|
408,106
|
Citigroup
Mortgage Loan Trust, Inc.(b)
|
CMO
Series 2006-HE1 Class M2
|
1-month
USD LIBOR + 0.340%
Floor 0.340%
01/25/2036
|
2.655%
|
|
33,465
|
33,470
|
CMO
Series 2006-HE1 Class M3
|
1-month
USD LIBOR + 0.360%
Floor 0.360%
01/25/2036
|
2.685%
|
|
750,000
|
751,013
|
The accompanying Notes to Consolidated Financial Statements are an
integral part of this statement.
34
|
Multi-Manager Alternative
Strategies Fund | Annual Report 2019
|
Consolidated Portfolio of Investments (continued)
August 31, 2019
Residential
Mortgage-Backed Securities - Non-Agency (continued)
|
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
Connecticut
Avenue Securities Trust(a),(b)
|
CMO
Series 2019-R04 Class 2M2
|
1-month
USD LIBOR + 2.100%
06/25/2039
|
4.245%
|
|
200,000
|
200,505
|
Countrywide
Asset-Backed Certificates(b)
|
CMO
Series 2004-AB2 Class M2
|
1-month
USD LIBOR + 0.855%
Floor 0.855%
05/25/2036
|
3.000%
|
|
535,256
|
536,673
|
CMO
Series 2007-13 Class 2A1
|
1-month
USD LIBOR + 0.900%
Floor 0.900%
10/25/2047
|
3.045%
|
|
238,415
|
232,384
|
CMO
Series 2007-13 Class 2A2
|
1-month
USD LIBOR + 0.800%
Floor 0.800%
10/25/2047
|
2.945%
|
|
473,940
|
459,119
|
Credit
Suisse Mortgage Capital Trust(a)
|
CMO
Series 2015-2R Class 1A1
|
08/27/2037
|
3.000%
|
|
388,841
|
393,280
|
CMO
Series 20154R Class 5A1
|
10/27/2036
|
3.000%
|
|
299,588
|
301,842
|
Credit-Based
Asset Servicing & Securitization LLC(b)
|
CMO
Series 2005-CB4 Class M2
|
1-month
USD LIBOR + 0.450%
Floor 0.450%
07/25/2035
|
2.595%
|
|
451,477
|
453,016
|
CSMC
Trust(a),(c)
|
CMO
Series 2011-5R Class 6A9
|
11/27/2037
|
3.949%
|
|
539,341
|
552,147
|
CWABS
Asset-Backed Certificates Trust(b)
|
CMO
Series 2005-14 Class M2
|
1-month
USD LIBOR + 0.470%
Floor 0.470%
04/25/2036
|
2.615%
|
|
880,000
|
880,924
|
CMO
Series 2005-17 Class MV1
|
1-month
USD LIBOR + 0.460%
Floor 0.460%
05/25/2036
|
2.605%
|
|
850,000
|
838,002
|
Deephaven
Residential Mortgage Trust(a),(c)
|
CMO
Series 2017-1A Class A1
|
12/26/2046
|
2.725%
|
|
134,444
|
133,999
|
CMO
Series 2019-3A Class A1
|
07/25/2059
|
2.964%
|
|
726,190
|
728,500
|
Fannie
Mae Connecticut Avenue Securities(b)
|
CMO
Series 2016-C06 Class 1M1
|
1-month
USD LIBOR + 1.300%
04/25/2029
|
3.445%
|
|
132,607
|
132,944
|
CMO
Series 2017-C03 Class 1M1
|
1-month
USD LIBOR + 0.950%
10/25/2029
|
3.095%
|
|
333,023
|
333,591
|
Residential
Mortgage-Backed Securities - Non-Agency (continued)
|
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
CMO
Series 2017-C04 Class 2M1
|
1-month
USD LIBOR + 0.850%
Floor 0.850%
11/25/2029
|
2.995%
|
|
178,828
|
178,927
|
CMO
Series 2017-C05 Class 1M1
|
1-month
USD LIBOR + 0.550%
Floor 0.550%
01/25/2030
|
2.695%
|
|
16,402
|
16,398
|
First
Franklin Mortgage Loan Trust(b)
|
CMO
Series 2004-FF11 Class M3
|
1-month
USD LIBOR + 0.900%
Floor 0.900%
01/25/2035
|
3.045%
|
|
747,906
|
752,058
|
CMO
Series 2006-FF4 Class A3
|
1-month
USD LIBOR + 0.280%
Floor 0.280%
03/25/2036
|
2.425%
|
|
700,000
|
694,681
|
First
Horizon Mortgage Pass-Through Trust(c)
|
CMO
Series 2005-AR4 Class 2A1
|
10/25/2035
|
4.163%
|
|
419,249
|
406,815
|
First
NLC Trust(b)
|
CMO
Series 2005-4 Class A4
|
1-month
USD LIBOR + 0.390%
Floor 0.390%, Cap 14.000%
02/25/2036
|
2.535%
|
|
726,004
|
726,108
|
Freddie
Mac Structured Agency Credit Risk Debt Notes(b)
|
CMO
Series 2016-DNA2 Class M2
|
1-month
USD LIBOR + 2.200%
10/25/2028
|
4.345%
|
|
36,982
|
37,026
|
CMO
Series 2017-DNA2 Class M1
|
1-month
USD LIBOR + 1.200%
10/25/2029
|
3.345%
|
|
168,749
|
169,307
|
CMO
Series 2017-DNA3 Class M1
|
1-month
USD LIBOR + 0.750%
03/25/2030
|
2.895%
|
|
403,182
|
403,384
|
GE-WMC
Asset-Backed Pass-Through Certificates(b)
|
CMO
Series 2005-1 Class M1
|
1-month
USD LIBOR + 0.660%
Floor 0.660%
10/25/2035
|
2.805%
|
|
692,695
|
690,097
|
GMACM
Mortgage Loan Trust(c)
|
CMO
Series 2006-AR1 Class 1A1
|
04/19/2036
|
4.182%
|
|
725,038
|
676,254
|
GSAMP
Trust(b)
|
CMO
Series 2005-WMC3 Class A2C
|
1-month
USD LIBOR + 0.330%
Floor 0.330%
12/25/2035
|
2.805%
|
|
810,000
|
790,648
|
The accompanying Notes to Consolidated Financial Statements are an
integral part of this statement.
Multi-Manager
Alternative Strategies Fund | Annual Report 2019
|
35
|
Consolidated Portfolio of Investments (continued)
August 31, 2019
Residential
Mortgage-Backed Securities - Non-Agency (continued)
|
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
HarborView
Mortgage Loan Trust(b)
|
CMO
Series 2007-6 Class 1A1A
|
1-month
USD LIBOR + 0.200%
Floor 0.200%, Cap 10.500%
08/19/2037
|
2.382%
|
|
629,946
|
585,090
|
Home
Equity Mortgage Loan Asset-Backed Trust(b)
|
CMO
Series 2005-D Class AII4
|
1-month
USD LIBOR + 0.350%
Floor 0.350%
03/25/2036
|
2.495%
|
|
486,449
|
486,869
|
Impac
CMB Trust(b)
|
CMO
Series 2004-8 Class 2A1 (FGIC)
|
1-month
USD LIBOR + 0.700%
Floor 0.700%, Cap 11.000%
10/25/2034
|
2.845%
|
|
612,871
|
609,062
|
JPMorgan
Alternative Loan Trust(b)
|
CMO
Series 2007-S1 Class A2
|
1-month
USD LIBOR + 0.340%
Floor 0.340%, Cap 11.500%
04/25/2047
|
2.485%
|
|
411,797
|
390,618
|
JPMorgan
Mortgage Acquisition Trust(b)
|
CMO
Series 2006-FRE1 Class M1
|
1-month
USD LIBOR + 0.390%
Floor 0.390%
05/25/2035
|
2.535%
|
|
600,000
|
597,856
|
CMO
Series 2007-CH2 Class AV5
|
1-month
USD LIBOR + 0.260%
Floor 0.260%
01/25/2037
|
2.405%
|
|
630,000
|
599,064
|
CMO
Series 2007-CH3 Class A5
|
1-month
USD LIBOR + 0.260%
Floor 0.260%
03/25/2037
|
2.405%
|
|
895,000
|
884,860
|
CMO
Series 2007-HE1 Class AV4
|
1-month
USD LIBOR + 0.280%
Floor 0.280%
03/25/2047
|
2.425%
|
|
1,103,000
|
995,849
|
Lehman
XS Trust(b)
|
CMO
Series 2007-16N Class 2A2
|
1-month
USD LIBOR + 0.850%
Floor 0.850%
09/25/2047
|
2.995%
|
|
734,277
|
731,556
|
Mill
City Mortgage Loan Trust(a)
|
CMO
Series 2018-3 Class A1
|
08/25/2058
|
3.500%
|
|
347,586
|
356,571
|
Morgan
Stanley Mortgage Loan Trust(b)
|
CMO
Series 2005-6AR Class 1A1
|
1-month
USD LIBOR + 0.280%
Floor 0.280%
11/25/2035
|
2.705%
|
|
77,401
|
77,357
|
Residential
Mortgage-Backed Securities - Non-Agency (continued)
|
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
MortgageIT
Trust(b)
|
CMO
Series 2005-4 Class A1
|
1-month
USD LIBOR + 0.280%
Floor 0.280%, Cap 11.500%
10/25/2035
|
2.425%
|
|
420,177
|
418,537
|
Nomura
Resecuritization Trust(a),(c)
|
CMO
Series 2014-3R Class 3A9
|
11/26/2035
|
2.786%
|
|
498,000
|
494,959
|
CMO
Series 2015-6R Class 2A1
|
01/26/2037
|
4.000%
|
|
80,176
|
80,145
|
Nomura
Resecuritization Trust(a),(b)
|
CMO
Series 2014-6R Class 2A1
|
1-month
USD LIBOR + 0.160%
Floor 0.160%
03/26/2037
|
2.137%
|
|
247,904
|
246,093
|
Option
One Mortgage Loan Trust(b)
|
CMO
Series 2005-2 Class M1
|
1-month
USD LIBOR + 0.660%
Floor 0.660%
05/25/2035
|
2.926%
|
|
410,110
|
410,534
|
CMO
Series 2006-1 Class 1A1
|
1-month
USD LIBOR + 0.220%
Floor 0.220%
01/25/2036
|
2.365%
|
|
436,098
|
427,375
|
RALI
Series Trust(b)
|
CMO
Series 2006-QA6 Class A3
|
1-month
USD LIBOR + 0.190%
Floor 0.190%
07/25/2036
|
2.335%
|
|
641,584
|
600,942
|
CMO
Series 2007-QH6 Class A1
|
1-month
USD LIBOR + 0.190%
Floor 0.190%
07/25/2037
|
2.335%
|
|
605,532
|
574,994
|
RAMP
Trust(b)
|
CMO
Series 2005-RS4 Class M4
|
1-month
USD LIBOR + 0.640%
Floor 0.640%
04/25/2035
|
3.105%
|
|
745,000
|
742,712
|
CMO
Series 2005-RZ3 Class M3
|
1-month
USD LIBOR + 0.550%
Floor 0.550%, Cap 11.000%
09/25/2035
|
2.970%
|
|
850,000
|
853,043
|
Soundview
Home Loan Trust(b)
|
CMO
Series 2006-OPT5 Class 1A1
|
1-month
USD LIBOR + 0.140%
Floor 0.140%
07/25/2036
|
2.285%
|
|
741,481
|
721,423
|
Structured
Adjustable Rate Mortgage Loan Trust(b)
|
CMO
Series 2005-19XS Class 2A1
|
1-month
USD LIBOR + 0.300%
Floor 0.300%
10/25/2035
|
2.445%
|
|
615,504
|
618,087
|
The accompanying Notes to Consolidated Financial Statements are an
integral part of this statement.
36
|
Multi-Manager Alternative
Strategies Fund | Annual Report 2019
|
Consolidated Portfolio of Investments (continued)
August 31, 2019
Residential
Mortgage-Backed Securities - Non-Agency (continued)
|
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
Series
2007-4 Class 1A2
|
1-month
USD LIBOR + 0.220%
Floor 0.220%
05/25/2037
|
2.365%
|
|
736,144
|
705,457
|
Structured
Asset Investment Loan Trust(b)
|
CMO
Series 2004-6 Class A3
|
1-month
USD LIBOR + 0.800%
Floor 0.800%
07/25/2034
|
2.945%
|
|
671,836
|
664,583
|
Towd
Point Mortgage Trust(a)
|
CMO
Series 2017-3 Class A1
|
07/25/2057
|
2.750%
|
|
64,120
|
64,411
|
Towd
Point Mortgage Trust(a),(b)
|
CMO
Series 2017-5 Class A1
|
1-month
USD LIBOR + 0.600%
02/25/2057
|
2.745%
|
|
485,632
|
483,723
|
Towd
Point Mortgage Trust(a),(c)
|
CMO
Series 2018-3 Class A1
|
05/25/2058
|
3.750%
|
|
124,580
|
129,201
|
CMO
Series 2018-4 Class A1
|
06/25/2058
|
3.000%
|
|
282,963
|
288,166
|
CMO
Series 2019-1 Class A1
|
03/25/2058
|
3.750%
|
|
194,706
|
203,837
|
Verus
Securitization Trust(a)
|
CMO
Series 2018-1 Class A1
|
02/25/2048
|
2.929%
|
|
59,368
|
59,424
|
Washington
Mutual Mortgage Pass-Through Certificates WMALT Trust(b)
|
CMO
Series 2006-AR2 Class A1A
|
1-year
MTA + 0.940%
Floor 0.940%
04/25/2046
|
3.387%
|
|
394,674
|
366,498
|
Wells
Fargo Alternative Loan Trust(b)
|
CMO
Series 2005-2 Class M1
|
1-month
USD LIBOR + 0.675%
Floor 0.675%
10/25/2035
|
2.820%
|
|
289,683
|
290,909
|
Total
Residential Mortgage-Backed Securities - Non-Agency
(Cost $39,829,241)
|
40,551,635
|
|
Treasury
Bills 5.4%
|
Issuer
|
Effective
Yield
|
|
Principal
Amount ($)
|
Value
($)
|
United
States 5.4%
|
U.S.
Treasury Bills
|
09/05/2019
|
2.110%
|
|
1,962,000
|
1,961,321
|
10/08/2019
|
2.040%
|
|
2,195,000
|
2,190,220
|
10/10/2019
|
1.920%
|
|
5,267,000
|
5,255,674
|
10/15/2019
|
1.940%
|
|
1,640,000
|
1,635,995
|
10/22/2019
|
2.000%
|
|
1,225,000
|
1,221,446
|
11/29/2019
|
1.890%
|
|
295,000
|
293,618
|
12/12/2019
|
1.840%
|
|
362,000
|
360,108
|
Treasury
Bills (continued)
|
Issuer
|
Effective
Yield
|
|
Principal
Amount ($)
|
Value
($)
|
12/19/2019
|
1.850%
|
|
366,000
|
363,948
|
12/26/2019
|
1.870%
|
|
137,000
|
136,178
|
01/16/2020
|
1.830%
|
|
495,000
|
491,578
|
01/23/2020
|
1.830%
|
|
1,854,000
|
1,840,515
|
01/30/2020
|
1.830%
|
|
4,255,000
|
4,222,695
|
02/06/2020
|
1.830%
|
|
3,098,000
|
3,073,354
|
02/13/2020
|
1.830%
|
|
2,224,000
|
2,205,536
|
02/20/2020
|
1.830%
|
|
1,891,000
|
1,874,668
|
U.S.
Treasury Bills(f)
|
09/26/2019
|
2.010%
|
|
174,000
|
173,742
|
Total
|
27,300,596
|
Total
Treasury Bills
(Cost $27,287,686)
|
27,300,596
|
|
U.S.
Government & Agency Obligations 0.2%
|
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
Federal
Home Loan Banks
|
09/20/2033
|
4.090%
|
|
855,000
|
855,949
|
Total
U.S. Government & Agency Obligations
(Cost $853,130)
|
855,949
|
|
U.S.
Treasury Obligations 2.2%
|
|
|
|
|
|
U.S.
Treasury
|
02/15/2022
|
2.500%
|
|
365,000
|
373,982
|
01/31/2024
|
2.500%
|
|
510,000
|
533,428
|
02/29/2024
|
2.375%
|
|
800,000
|
833,500
|
04/30/2026
|
2.375%
|
|
740,000
|
782,897
|
11/15/2026
|
2.000%
|
|
640,000
|
663,800
|
02/15/2029
|
2.625%
|
|
365,000
|
400,759
|
05/15/2029
|
2.375%
|
|
1,335,000
|
1,438,671
|
02/15/2038
|
4.375%
|
|
905,000
|
1,280,999
|
11/15/2042
|
2.750%
|
|
1,315,000
|
1,515,948
|
02/15/2043
|
3.125%
|
|
1,270,000
|
1,555,552
|
02/15/2049
|
3.000%
|
|
1,535,000
|
1,888,770
|
Total
U.S. Treasury Obligations
(Cost $9,948,863)
|
11,268,306
|
Warrants
0.0%
|
Issuer
|
Shares
|
Value
($)
|
Information
Technology 0.0%
|
Software
0.0%
|
Avaya
Holdings Corp.(e),(h),(i)
|
8,745
|
17,490
|
Total
Information Technology
|
17,490
|
Total
Warrants
(Cost $—)
|
17,490
|
The accompanying Notes to Consolidated Financial Statements are an
integral part of this statement.
Multi-Manager
Alternative Strategies Fund | Annual Report 2019
|
37
|
Consolidated Portfolio of Investments
(continued)
August 31, 2019
Options
Purchased Calls 0.0%
|
|
|
|
|
Value
($)
|
(Cost
$92,838)
|
13,523
|
|
Options
Purchased Puts 0.1%
|
|
|
|
|
|
(Cost
$423,326)
|
419,719
|
Money
Market Funds 24.4%
|
|
Shares
|
Value
($)
|
Columbia
Short-Term Cash Fund, 2.208%(o),(p)
|
122,886,475
|
122,874,186
|
Total
Money Market Funds
(Cost $122,874,715)
|
122,874,186
|
Total
Investments in Securities
(Cost $491,193,696)
|
494,355,983
|
|
Investments
in securities sold short
|
|
Common
Stocks (4.0)%
|
Issuer
|
Shares
|
Value
($)
|
Communication
Services (0.2)%
|
Diversified
Telecommunication Services (0.1)%
|
Zayo
Group Holdings, Inc.(e)
|
(5,631)
|
(189,539)
|
Media
(0.1)%
|
Discovery,
Inc., Class A(e)
|
(10,692)
|
(295,099)
|
New
Media Investment Group, Inc.
|
(36,582)
|
(321,190)
|
Total
|
|
(616,289)
|
Total
Communication Services
|
(805,828)
|
Consumer
Discretionary (0.4)%
|
Hotels,
Restaurants & Leisure (0.2)%
|
Aramark
|
(19,861)
|
(811,521)
|
Eldorado
Resorts, Inc.(e)
|
(11,040)
|
(425,150)
|
Total
|
|
(1,236,671)
|
Specialty
Retail (0.2)%
|
Home
Depot, Inc. (The)
|
(3,518)
|
(801,787)
|
Total
Consumer Discretionary
|
(2,038,458)
|
Consumer
Staples (0.0)%
|
Personal
Products (0.0)%
|
Avon
Products, Inc.(e)
|
(32,925)
|
(143,224)
|
Total
Consumer Staples
|
(143,224)
|
Financials
(0.3)%
|
Capital
Markets (0.3)%
|
Brookfield
Asset Management, Inc., Class A
|
(25,521)
|
(1,317,139)
|
Total
Financials
|
(1,317,139)
|
|
Common
Stocks (continued)
|
Issuer
|
Shares
|
Value
($)
|
Health
Care (2.4)%
|
Biotechnology
(0.4)%
|
AbbVie,
Inc.
|
(24,294)
|
(1,597,087)
|
Exact
Sciences Corp.(e)
|
(5,098)
|
(607,784)
|
Total
|
|
(2,204,871)
|
Health
Care Providers & Services (1.1)%
|
Centene
Corp.(e)
|
(100,266)
|
(4,674,401)
|
DaVita,
Inc.(e)
|
(15,500)
|
(873,735)
|
Total
|
|
(5,548,136)
|
Pharmaceuticals
(0.9)%
|
Bristol-Myers
Squibb Co.
|
(90,886)
|
(4,368,890)
|
Total
Health Care
|
(12,121,897)
|
Industrials
(0.2)%
|
Building
Products (0.0)%
|
Fortune
Brands Home & Security, Inc.
|
(1,055)
|
(53,868)
|
JELD-WEN
Holding, Inc.(e)
|
(2,280)
|
(39,353)
|
Masonite
International Corp.(e)
|
(874)
|
(46,663)
|
Total
|
|
(139,884)
|
Machinery
(0.1)%
|
Hillenbrand,
Inc.
|
(17,656)
|
(484,480)
|
Professional
Services (0.0)%
|
Nielsen
Holdings PLC
|
(8,501)
|
(176,481)
|
Trading
Companies & Distributors (0.1)%
|
United
Rentals, Inc.(e)
|
(2,057)
|
(231,536)
|
Total
Industrials
|
(1,032,381)
|
Information
Technology (0.5)%
|
IT
Services (0.0)%
|
Global
Payments, Inc.
|
(17)
|
(2,822)
|
Semiconductors
& Semiconductor Equipment (0.5)%
|
Versum
Materials, Inc.
|
(50,154)
|
(2,608,008)
|
Total
Information Technology
|
(2,610,830)
|
Materials
(0.0)%
|
Chemicals
(0.0)%
|
PPG
Industries, Inc.
|
(811)
|
(89,851)
|
Total
Materials
|
(89,851)
|
Total
Common Stocks
(Proceeds $20,838,060)
|
(20,159,608)
|
|
The accompanying Notes to Consolidated Financial Statements are an
integral part of this statement.
38
|
Multi-Manager Alternative
Strategies Fund | Annual Report 2019
|
Consolidated Portfolio of Investments (continued)
August 31, 2019
Exchange-Traded
Funds (0.3)%
|
|
Shares
|
Value
($)
|
Invesco
QQQ Trust
|
(8,147)
|
(1,527,318)
|
Total
Exchange-Traded Funds
(Proceeds $1,363,109)
|
(1,527,318)
|
|
Rights
(0.0)%
|
Issuer
|
Shares
|
Value
($)
|
Health
Care (0.0)%
|
Biotechnology
(0.0)%
|
Celgene
Corp. CVR(e),(h),(i)
|
(45,985)
|
(91,970)
|
Total
Health Care
|
(91,970)
|
Total
Rights
(Proceeds $107,393)
|
(91,970)
|
Total
Investments in Securities Sold Short
(Proceeds $22,308,562)
|
(21,778,896)
|
Total
Investments in Securities, Net of Securities Sold Short
|
472,577,087
|
Other
Assets & Liabilities, Net
|
|
31,205,472
|
Net
Assets
|
503,782,559
|
At August 31, 2019, securities and/or cash totaling $54,081,237
were pledged as collateral.
Investments in
derivatives
Forward
foreign currency exchange contracts
|
Currency
to
be sold
|
Currency
to
be purchased
|
Counterparty
|
Settlement
date
|
Unrealized
appreciation ($)
|
Unrealized
depreciation ($)
|
1,172,900 AUD
|
1,233,997 NZD
|
ANZ
Securities
|
09/18/2019
|
—
|
(12,376)
|
2,728,942 AUD
|
1,913,548 USD
|
ANZ
Securities
|
09/18/2019
|
74,939
|
—
|
48,233,105 JPY
|
458,011 USD
|
ANZ
Securities
|
09/18/2019
|
3,511
|
—
|
687,836 NZD
|
656,535 AUD
|
ANZ
Securities
|
09/18/2019
|
8,755
|
—
|
1,559,264 NZD
|
1,034,485 USD
|
ANZ
Securities
|
09/18/2019
|
51,592
|
—
|
678,001 USD
|
985,907 AUD
|
ANZ
Securities
|
09/18/2019
|
—
|
(13,752)
|
683,664 USD
|
72,266,728 JPY
|
ANZ
Securities
|
09/18/2019
|
—
|
(2,697)
|
355,574 USD
|
488,924 SGD
|
ANZ
Securities
|
09/18/2019
|
—
|
(3,202)
|
1,355,574 NZD
|
1,295,000 AUD
|
BMO
|
09/18/2019
|
18,004
|
—
|
3,440,767 CAD
|
2,572,709 USD
|
Canadian
Imperial Bank of Commerce
|
09/18/2019
|
—
|
(12,202)
|
1,260,000 USD
|
1,681,744 CAD
|
Canadian
Imperial Bank of Commerce
|
09/18/2019
|
3,428
|
—
|
1,464,500 AUD
|
1,014,997 USD
|
Citi
|
09/18/2019
|
28,299
|
—
|
6,686,504 BRL
|
1,686,756 USD
|
Citi
|
09/18/2019
|
73,572
|
—
|
315,000 CAD
|
2,052,958 NOK
|
Citi
|
09/18/2019
|
—
|
(11,268)
|
295,890 CAD
|
224,963 USD
|
Citi
|
09/18/2019
|
2,673
|
—
|
996,398 CAD
|
743,111 USD
|
Citi
|
09/18/2019
|
—
|
(5,444)
|
3,275,475 CHF
|
3,336,365 USD
|
Citi
|
09/18/2019
|
22,666
|
—
|
41,602 CHF
|
41,992 USD
|
Citi
|
09/18/2019
|
—
|
(95)
|
604,183,040 COP
|
183,265 USD
|
Citi
|
09/18/2019
|
7,860
|
—
|
9,905,500 COP
|
2,850 USD
|
Citi
|
09/18/2019
|
—
|
(26)
|
11,794,022 EUR
|
13,346,632 USD
|
Citi
|
09/18/2019
|
370,048
|
—
|
1,614,490 GBP
|
2,042,356 USD
|
Citi
|
09/18/2019
|
76,610
|
—
|
458,500 GBP
|
555,298 USD
|
Citi
|
09/18/2019
|
—
|
(2,956)
|
313,500 HKD
|
40,015 USD
|
Citi
|
09/18/2019
|
31
|
—
|
246,481,996 HUF
|
852,055 USD
|
Citi
|
09/18/2019
|
33,549
|
—
|
The accompanying Notes to Consolidated Financial Statements are an integral
part of this statement.
Multi-Manager
Alternative Strategies Fund | Annual Report 2019
|
39
|
Consolidated Portfolio of Investments (continued)
August 31, 2019
Forward
foreign currency exchange contracts (continued)
|
Currency
to
be sold
|
Currency
to
be purchased
|
Counterparty
|
Settlement
date
|
Unrealized
appreciation ($)
|
Unrealized
depreciation ($)
|
2,346,742,000 IDR
|
166,890 USD
|
Citi
|
09/18/2019
|
1,814
|
—
|
10,386,420,465 IDR
|
723,813 USD
|
Citi
|
09/18/2019
|
—
|
(6,799)
|
542,748 ILS
|
154,287 USD
|
Citi
|
09/18/2019
|
599
|
—
|
213,003 ILS
|
59,687 USD
|
Citi
|
09/18/2019
|
—
|
(628)
|
37,272,000 INR
|
528,300 USD
|
Citi
|
09/18/2019
|
8,371
|
—
|
17,481,982 INR
|
242,668 USD
|
Citi
|
09/18/2019
|
—
|
(1,198)
|
15,187,005 JPY
|
144,073 USD
|
Citi
|
09/18/2019
|
966
|
—
|
56,297,506 JPY
|
527,392 USD
|
Citi
|
09/18/2019
|
—
|
(3,098)
|
6,369,357,480 KRW
|
5,409,340 USD
|
Citi
|
09/18/2019
|
147,289
|
—
|
134,916,500 KRW
|
111,216 USD
|
Citi
|
09/18/2019
|
—
|
(245)
|
39,494,198 MXN
|
2,022,695 USD
|
Citi
|
09/18/2019
|
56,867
|
—
|
984,000 MXN
|
48,862 USD
|
Citi
|
09/18/2019
|
—
|
(116)
|
4,055,641 NOK
|
625,000 CAD
|
Citi
|
09/18/2019
|
24,300
|
—
|
14,815,500 NOK
|
1,682,328 USD
|
Citi
|
09/18/2019
|
55,848
|
—
|
831,999 NZD
|
545,310 USD
|
Citi
|
09/18/2019
|
20,854
|
—
|
5,631,500 PHP
|
109,334 USD
|
Citi
|
09/18/2019
|
1,303
|
—
|
11,385,689 PHP
|
217,155 USD
|
Citi
|
09/18/2019
|
—
|
(1,261)
|
13,161,504 PLN
|
3,397,195 USD
|
Citi
|
09/18/2019
|
90,203
|
—
|
18,121,496 SEK
|
1,912,374 USD
|
Citi
|
09/18/2019
|
64,230
|
—
|
1,263,500 SGD
|
923,549 USD
|
Citi
|
09/18/2019
|
12,933
|
—
|
72,500 SGD
|
52,231 USD
|
Citi
|
09/18/2019
|
—
|
(20)
|
12,811,504 TWD
|
412,691 USD
|
Citi
|
09/18/2019
|
3,806
|
—
|
13,423,488 TWD
|
426,908 USD
|
Citi
|
09/18/2019
|
—
|
(1,509)
|
138,177 USD
|
205,750 AUD
|
Citi
|
09/18/2019
|
445
|
—
|
587,814 USD
|
847,250 AUD
|
Citi
|
09/18/2019
|
—
|
(16,984)
|
1,736,067 USD
|
6,686,504 BRL
|
Citi
|
09/18/2019
|
—
|
(122,883)
|
349,651 USD
|
467,000 CAD
|
Citi
|
09/18/2019
|
1,187
|
—
|
1,586,251 USD
|
2,075,492 CAD
|
Citi
|
09/18/2019
|
—
|
(27,016)
|
751,334 USD
|
748,261 CHF
|
Citi
|
09/18/2019
|
5,659
|
—
|
4,329,348 USD
|
4,219,878 CHF
|
Citi
|
09/18/2019
|
—
|
(60,225)
|
6,212 USD
|
21,419,500 COP
|
Citi
|
09/18/2019
|
6
|
—
|
175,350 USD
|
592,669,040 COP
|
Citi
|
09/18/2019
|
—
|
(3,289)
|
1,750,609 USD
|
1,569,065 EUR
|
Citi
|
09/18/2019
|
—
|
(24,217)
|
256,219 USD
|
211,060 GBP
|
Citi
|
09/18/2019
|
760
|
—
|
1,421,745 USD
|
1,149,684 GBP
|
Citi
|
09/18/2019
|
—
|
(21,930)
|
40,018 USD
|
313,500 HKD
|
Citi
|
09/18/2019
|
—
|
(34)
|
853,292 USD
|
246,481,996 HUF
|
Citi
|
09/18/2019
|
—
|
(34,786)
|
972,319 USD
|
14,000,366,620 IDR
|
Citi
|
09/18/2019
|
12,509
|
—
|
13,439 USD
|
189,614,000 IDR
|
Citi
|
09/18/2019
|
—
|
(101)
|
106,958 USD
|
380,000 ILS
|
Citi
|
09/18/2019
|
646
|
—
|
155,338 USD
|
545,500 ILS
|
Citi
|
09/18/2019
|
—
|
(870)
|
815,517 USD
|
57,251,408 INR
|
Citi
|
09/18/2019
|
—
|
(16,884)
|
708,841 USD
|
76,380,268 JPY
|
Citi
|
09/18/2019
|
10,888
|
—
|
1,935,775 USD
|
203,463,479 JPY
|
Citi
|
09/18/2019
|
—
|
(18,543)
|
2,022,586 USD
|
2,454,834,634 KRW
|
Citi
|
09/18/2019
|
5,478
|
—
|
1,677,168 USD
|
2,003,743,816 KRW
|
Citi
|
09/18/2019
|
—
|
(21,773)
|
44,338 USD
|
893,717 MXN
|
Citi
|
09/18/2019
|
147
|
—
|
1,978,388 USD
|
38,741,155 MXN
|
Citi
|
09/18/2019
|
—
|
(50,043)
|
953,355 USD
|
8,333,936 NOK
|
Citi
|
09/18/2019
|
—
|
(38,436)
|
576,604 USD
|
860,000 NZD
|
Citi
|
09/18/2019
|
—
|
(34,498)
|
299,010 USD
|
15,743,468 PHP
|
Citi
|
09/18/2019
|
3,002
|
—
|
128,093 USD
|
6,616,536 PHP
|
Citi
|
09/18/2019
|
—
|
(1,165)
|
3,949,553 USD
|
15,020,010 PLN
|
Citi
|
09/18/2019
|
—
|
(175,588)
|
1,907,174 USD
|
18,121,496 SEK
|
Citi
|
09/18/2019
|
—
|
(59,030)
|
408,020 USD
|
566,500 SGD
|
Citi
|
09/18/2019
|
262
|
—
|
500,678 USD
|
683,686 SGD
|
Citi
|
09/18/2019
|
—
|
(7,939)
|
164,770 USD
|
5,176,605 TWD
|
Citi
|
09/18/2019
|
444
|
—
|
407,366 USD
|
12,740,710 TWD
|
Citi
|
09/18/2019
|
—
|
(740)
|
The accompanying Notes to Consolidated Financial Statements are an integral
part of this statement.
40
|
Multi-Manager Alternative
Strategies Fund | Annual Report 2019
|
Consolidated Portfolio of Investments (continued)
August 31, 2019
Forward
foreign currency exchange contracts (continued)
|
Currency
to
be sold
|
Currency
to
be purchased
|
Counterparty
|
Settlement
date
|
Unrealized
appreciation ($)
|
Unrealized
depreciation ($)
|
2,941,236 USD
|
41,896,500 ZAR
|
Citi
|
09/18/2019
|
—
|
(184,308)
|
23,937,500 ZAR
|
1,614,814 USD
|
Citi
|
09/18/2019
|
39,647
|
—
|
16,067,875 ZAR
|
1,047,646 USD
|
Citi
|
09/18/2019
|
—
|
(9,673)
|
303,762,008 CLP
|
435,778 USD
|
Citi
|
09/23/2019
|
14,737
|
—
|
28,176 USD
|
20,385,369 CLP
|
Citi
|
09/23/2019
|
80
|
—
|
271,418 USD
|
193,074,425 CLP
|
Citi
|
09/23/2019
|
—
|
(3,800)
|
205,750 AUD
|
139,985 USD
|
Citi
|
12/18/2019
|
1,016
|
—
|
205,750 AUD
|
138,520 USD
|
Citi
|
12/18/2019
|
—
|
(449)
|
13,644 CHF
|
14,024 USD
|
Citi
|
12/18/2019
|
108
|
—
|
120,395,420 CLP
|
168,578 USD
|
Citi
|
12/18/2019
|
1,470
|
—
|
15,050,368 CLP
|
20,833 USD
|
Citi
|
12/18/2019
|
—
|
(57)
|
469,474,040 COP
|
136,764 USD
|
Citi
|
12/18/2019
|
1,222
|
—
|
923,995 EUR
|
1,031,992 USD
|
Citi
|
12/18/2019
|
8,301
|
—
|
534,186 GBP
|
655,191 USD
|
Citi
|
12/18/2019
|
2,503
|
—
|
178,062 GBP
|
216,832 USD
|
Citi
|
12/18/2019
|
—
|
(731)
|
37,699,496 HUF
|
127,910 USD
|
Citi
|
12/18/2019
|
2,070
|
—
|
86,875 JPY
|
831 USD
|
Citi
|
12/18/2019
|
8
|
—
|
173,750 JPY
|
1,645 USD
|
Citi
|
12/18/2019
|
—
|
(3)
|
1,227,417,316 KRW
|
1,022,078 USD
|
Citi
|
12/18/2019
|
4,956
|
—
|
2,454,834,634 KRW
|
2,028,450 USD
|
Citi
|
12/18/2019
|
—
|
(5,793)
|
3,888,936 NOK
|
432,871 USD
|
Citi
|
12/18/2019
|
5,336
|
—
|
8,367,500 SEK
|
870,044 USD
|
Citi
|
12/18/2019
|
11,791
|
—
|
566,500 SGD
|
408,420 USD
|
Citi
|
12/18/2019
|
—
|
(291)
|
1,663,536 TWD
|
53,525 USD
|
Citi
|
12/18/2019
|
37
|
—
|
13,308,288 TWD
|
426,660 USD
|
Citi
|
12/18/2019
|
—
|
(1,238)
|
130,617 USD
|
532,000 BRL
|
Citi
|
12/18/2019
|
—
|
(3,136)
|
1,930 USD
|
2,570 CAD
|
Citi
|
12/18/2019
|
3
|
—
|
5,812 USD
|
7,710 CAD
|
Citi
|
12/18/2019
|
—
|
(13)
|
2,275,396 USD
|
2,214,567 CHF
|
Citi
|
12/18/2019
|
—
|
(16,541)
|
300,947 USD
|
4,370,454,468 IDR
|
Citi
|
12/18/2019
|
1,969
|
—
|
145,494 USD
|
509,250 ILS
|
Citi
|
12/18/2019
|
—
|
(499)
|
136,646 USD
|
9,989,700 INR
|
Citi
|
12/18/2019
|
600
|
—
|
103,031 USD
|
7,492,275 INR
|
Citi
|
12/18/2019
|
—
|
(97)
|
175,747 USD
|
18,567,012 JPY
|
Citi
|
12/18/2019
|
313
|
—
|
88,835 USD
|
9,283,506 JPY
|
Citi
|
12/18/2019
|
—
|
(805)
|
48,139 USD
|
984,000 MXN
|
Citi
|
12/18/2019
|
106
|
—
|
97,357 USD
|
1,968,000 MXN
|
Citi
|
12/18/2019
|
—
|
(867)
|
17,938 USD
|
28,000 NZD
|
Citi
|
12/18/2019
|
—
|
(250)
|
60,851 USD
|
3,205,689 PHP
|
Citi
|
12/18/2019
|
279
|
—
|
628,951 USD
|
2,477,996 PLN
|
Citi
|
12/18/2019
|
—
|
(5,335)
|
364,714 USD
|
5,673,372 ZAR
|
Citi
|
12/18/2019
|
4,360
|
—
|
5,165,700 EUR
|
5,859,359 USD
|
Goldman
Sachs
|
09/13/2019
|
177,952
|
—
|
1,550,000 GBP
|
1,923,427 USD
|
Goldman
Sachs
|
09/13/2019
|
36,625
|
—
|
404,300 GBP
|
491,359 USD
|
Goldman
Sachs
|
09/13/2019
|
—
|
(792)
|
14,879,000 SEK
|
1,584,268 USD
|
Goldman
Sachs
|
09/13/2019
|
67,334
|
—
|
1,938,342 USD
|
1,732,900 EUR
|
Goldman
Sachs
|
09/13/2019
|
—
|
(32,442)
|
1,606,754 USD
|
14,879,000 SEK
|
Goldman
Sachs
|
09/13/2019
|
—
|
(89,820)
|
5,029,600 ZAR
|
349,510 USD
|
Goldman
Sachs
|
09/13/2019
|
18,327
|
—
|
2,282,300 ZAR
|
149,378 USD
|
Goldman
Sachs
|
09/13/2019
|
—
|
(904)
|
315,000 CAD
|
25,173,855 JPY
|
Goldman
Sachs
|
09/18/2019
|
566
|
—
|
1,716,509 EUR
|
1,909,208 USD
|
Goldman
Sachs
|
09/18/2019
|
20,588
|
—
|
53,818,700 JPY
|
500,000 USD
|
Goldman
Sachs
|
09/18/2019
|
—
|
(7,132)
|
14,728,686 MXN
|
757,611 USD
|
Goldman
Sachs
|
09/18/2019
|
24,489
|
—
|
939,367 USD
|
833,119 EUR
|
Goldman
Sachs
|
09/18/2019
|
—
|
(22,713)
|
855,633 USD
|
90,974,933 JPY
|
Goldman
Sachs
|
09/18/2019
|
1,622
|
—
|
1,106,394 USD
|
22,009,350 MXN
|
Goldman
Sachs
|
09/18/2019
|
—
|
(10,877)
|
532,500 AUD
|
567,960 NZD
|
HSBC
|
09/18/2019
|
—
|
(751)
|
650,000 AUD
|
441,901 USD
|
HSBC
|
09/18/2019
|
3,967
|
—
|
The accompanying Notes to Consolidated Financial Statements are an integral
part of this statement.
Multi-Manager
Alternative Strategies Fund | Annual Report 2019
|
41
|
Consolidated Portfolio of Investments (continued)
August 31, 2019
Forward
foreign currency exchange contracts (continued)
|
Currency
to
be sold
|
Currency
to
be purchased
|
Counterparty
|
Settlement
date
|
Unrealized
appreciation ($)
|
Unrealized
depreciation ($)
|
110,000 EUR
|
123,084 USD
|
HSBC
|
09/18/2019
|
2,054
|
—
|
123,044 GBP
|
156,773 USD
|
HSBC
|
09/18/2019
|
6,959
|
—
|
136,399,905 JPY
|
1,270,000 USD
|
HSBC
|
09/18/2019
|
—
|
(15,293)
|
4,430,246 NOK
|
688,000 CAD
|
HSBC
|
09/18/2019
|
30,504
|
—
|
1,118,056 NZD
|
1,065,540 AUD
|
HSBC
|
09/18/2019
|
13,127
|
—
|
431,190 USD
|
389,124 EUR
|
HSBC
|
09/18/2019
|
—
|
(3,050)
|
500,000 USD
|
53,830,365 JPY
|
HSBC
|
09/18/2019
|
7,242
|
—
|
389,428 USD
|
530,748 SGD
|
HSBC
|
09/18/2019
|
—
|
(6,913)
|
1,464,500 AUD
|
1,014,996 USD
|
JPMorgan
|
09/18/2019
|
28,298
|
—
|
6,686,496 BRL
|
1,686,735 USD
|
JPMorgan
|
09/18/2019
|
73,553
|
—
|
470,708 CAD
|
312,500 EUR
|
JPMorgan
|
09/18/2019
|
—
|
(9,790)
|
293,580 CAD
|
1,912,696 NOK
|
JPMorgan
|
09/18/2019
|
—
|
(10,575)
|
1,132,729 CAD
|
854,966 USD
|
JPMorgan
|
09/18/2019
|
3,991
|
—
|
1,835,577 CAD
|
1,373,180 USD
|
JPMorgan
|
09/18/2019
|
—
|
(5,817)
|
3,275,471 CHF
|
3,336,357 USD
|
JPMorgan
|
09/18/2019
|
22,662
|
—
|
41,594 CHF
|
41,984 USD
|
JPMorgan
|
09/18/2019
|
—
|
(95)
|
604,183,040 COP
|
183,276 USD
|
JPMorgan
|
09/18/2019
|
7,871
|
—
|
9,905,500 COP
|
2,850 USD
|
JPMorgan
|
09/18/2019
|
—
|
(26)
|
2,189,995 EUR
|
2,450,888 USD
|
JPMorgan
|
09/18/2019
|
41,307
|
—
|
1,614,510 GBP
|
2,042,379 USD
|
JPMorgan
|
09/18/2019
|
76,608
|
—
|
458,500 GBP
|
555,297 USD
|
JPMorgan
|
09/18/2019
|
—
|
(2,957)
|
313,500 HKD
|
40,015 USD
|
JPMorgan
|
09/18/2019
|
31
|
—
|
246,481,996 HUF
|
852,054 USD
|
JPMorgan
|
09/18/2019
|
33,548
|
—
|
2,346,742,000 IDR
|
166,890 USD
|
JPMorgan
|
09/18/2019
|
1,813
|
—
|
10,386,420,465 IDR
|
723,812 USD
|
JPMorgan
|
09/18/2019
|
—
|
(6,800)
|
542,753 ILS
|
154,288 USD
|
JPMorgan
|
09/18/2019
|
599
|
—
|
212,996 ILS
|
59,689 USD
|
JPMorgan
|
09/18/2019
|
—
|
(624)
|
37,272,000 INR
|
528,300 USD
|
JPMorgan
|
09/18/2019
|
8,371
|
—
|
17,481,962 INR
|
242,668 USD
|
JPMorgan
|
09/18/2019
|
—
|
(1,198)
|
15,187,007 JPY
|
144,073 USD
|
JPMorgan
|
09/18/2019
|
966
|
—
|
56,297,518 JPY
|
527,392 USD
|
JPMorgan
|
09/18/2019
|
—
|
(3,099)
|
6,369,357,488 KRW
|
5,409,334 USD
|
JPMorgan
|
09/18/2019
|
147,283
|
—
|
134,916,500 KRW
|
111,216 USD
|
JPMorgan
|
09/18/2019
|
—
|
(246)
|
26,496,000 MXN
|
1,357,626 USD
|
JPMorgan
|
09/18/2019
|
38,785
|
—
|
984,001 MXN
|
48,862 USD
|
JPMorgan
|
09/18/2019
|
—
|
(116)
|
2,034,559 NOK
|
313,731 CAD
|
JPMorgan
|
09/18/2019
|
12,335
|
—
|
14,815,500 NOK
|
1,682,326 USD
|
JPMorgan
|
09/18/2019
|
55,846
|
—
|
831,999 NZD
|
545,309 USD
|
JPMorgan
|
09/18/2019
|
20,853
|
—
|
5,631,500 PHP
|
109,334 USD
|
JPMorgan
|
09/18/2019
|
1,303
|
—
|
11,385,686 PHP
|
217,154 USD
|
JPMorgan
|
09/18/2019
|
—
|
(1,261)
|
13,161,492 PLN
|
3,397,188 USD
|
JPMorgan
|
09/18/2019
|
90,199
|
—
|
18,121,504 SEK
|
1,912,418 USD
|
JPMorgan
|
09/18/2019
|
64,273
|
—
|
3,852,534 SGD
|
2,821,834 USD
|
JPMorgan
|
09/18/2019
|
45,275
|
—
|
72,500 SGD
|
52,231 USD
|
JPMorgan
|
09/18/2019
|
—
|
(21)
|
12,811,504 TWD
|
412,690 USD
|
JPMorgan
|
09/18/2019
|
3,805
|
—
|
13,423,504 TWD
|
426,908 USD
|
JPMorgan
|
09/18/2019
|
—
|
(1,509)
|
138,178 USD
|
205,750 AUD
|
JPMorgan
|
09/18/2019
|
445
|
—
|
587,815 USD
|
847,250 AUD
|
JPMorgan
|
09/18/2019
|
—
|
(16,985)
|
1,736,067 USD
|
6,686,496 BRL
|
JPMorgan
|
09/18/2019
|
—
|
(122,885)
|
349,652 USD
|
467,000 CAD
|
JPMorgan
|
09/18/2019
|
1,187
|
—
|
631,252 USD
|
833,000 CAD
|
JPMorgan
|
09/18/2019
|
—
|
(5,452)
|
751,353 USD
|
748,269 CHF
|
JPMorgan
|
09/18/2019
|
5,649
|
—
|
4,329,349 USD
|
4,219,874 CHF
|
JPMorgan
|
09/18/2019
|
—
|
(60,230)
|
6,212 USD
|
21,419,500 COP
|
JPMorgan
|
09/18/2019
|
6
|
—
|
175,351 USD
|
592,669,040 COP
|
JPMorgan
|
09/18/2019
|
—
|
(3,289)
|
3,015,054 USD
|
2,705,728 EUR
|
JPMorgan
|
09/18/2019
|
—
|
(38,029)
|
256,223 USD
|
211,063 GBP
|
JPMorgan
|
09/18/2019
|
760
|
—
|
1,421,738 USD
|
1,149,687 GBP
|
JPMorgan
|
09/18/2019
|
—
|
(21,919)
|
The accompanying Notes to Consolidated Financial Statements are an integral
part of this statement.
42
|
Multi-Manager Alternative
Strategies Fund | Annual Report 2019
|
Consolidated Portfolio of Investments (continued)
August 31, 2019
Forward
foreign currency exchange contracts (continued)
|
Currency
to
be sold
|
Currency
to
be purchased
|
Counterparty
|
Settlement
date
|
Unrealized
appreciation ($)
|
Unrealized
depreciation ($)
|
40,018 USD
|
313,500 HKD
|
JPMorgan
|
09/18/2019
|
—
|
(34)
|
853,293 USD
|
246,481,996 HUF
|
JPMorgan
|
09/18/2019
|
—
|
(34,787)
|
972,320 USD
|
14,000,366,620 IDR
|
JPMorgan
|
09/18/2019
|
12,508
|
—
|
13,439 USD
|
189,614,000 IDR
|
JPMorgan
|
09/18/2019
|
—
|
(101)
|
106,958 USD
|
380,000 ILS
|
JPMorgan
|
09/18/2019
|
645
|
—
|
155,338 USD
|
545,500 ILS
|
JPMorgan
|
09/18/2019
|
—
|
(871)
|
815,518 USD
|
57,251,386 INR
|
JPMorgan
|
09/18/2019
|
—
|
(16,885)
|
708,842 USD
|
76,380,280 JPY
|
JPMorgan
|
09/18/2019
|
10,887
|
—
|
40,775 USD
|
4,300,876 JPY
|
JPMorgan
|
09/18/2019
|
—
|
(248)
|
2,022,588 USD
|
2,454,834,636 KRW
|
JPMorgan
|
09/18/2019
|
5,476
|
—
|
1,677,170 USD
|
2,003,743,818 KRW
|
JPMorgan
|
09/18/2019
|
—
|
(21,775)
|
1,485,880 USD
|
29,120,006 MXN
|
JPMorgan
|
09/18/2019
|
—
|
(36,428)
|
1,126,327 USD
|
9,820,528 NOK
|
JPMorgan
|
09/18/2019
|
—
|
(48,206)
|
1,023,433 USD
|
1,540,000 NZD
|
JPMorgan
|
09/18/2019
|
—
|
(52,684)
|
299,010 USD
|
15,743,460 PHP
|
JPMorgan
|
09/18/2019
|
3,002
|
—
|
128,093 USD
|
6,616,536 PHP
|
JPMorgan
|
09/18/2019
|
—
|
(1,165)
|
3,949,547 USD
|
15,019,990 PLN
|
JPMorgan
|
09/18/2019
|
—
|
(175,588)
|
1,907,177 USD
|
18,121,504 SEK
|
JPMorgan
|
09/18/2019
|
—
|
(59,032)
|
408,020 USD
|
566,500 SGD
|
JPMorgan
|
09/18/2019
|
262
|
—
|
149,883 USD
|
203,000 SGD
|
JPMorgan
|
09/18/2019
|
—
|
(3,579)
|
164,770 USD
|
5,176,608 TWD
|
JPMorgan
|
09/18/2019
|
444
|
—
|
407,366 USD
|
12,740,716 TWD
|
JPMorgan
|
09/18/2019
|
—
|
(740)
|
2,941,240 USD
|
41,896,500 ZAR
|
JPMorgan
|
09/18/2019
|
—
|
(184,313)
|
23,937,500 ZAR
|
1,614,812 USD
|
JPMorgan
|
09/18/2019
|
39,645
|
—
|
16,067,875 ZAR
|
1,047,645 USD
|
JPMorgan
|
09/18/2019
|
—
|
(9,674)
|
303,762,000 CLP
|
435,788 USD
|
JPMorgan
|
09/23/2019
|
14,747
|
—
|
28,175 USD
|
20,385,368 CLP
|
JPMorgan
|
09/23/2019
|
81
|
—
|
271,399 USD
|
193,074,419 CLP
|
JPMorgan
|
09/23/2019
|
—
|
(3,781)
|
205,750 AUD
|
139,985 USD
|
JPMorgan
|
12/18/2019
|
1,016
|
—
|
205,750 AUD
|
138,520 USD
|
JPMorgan
|
12/18/2019
|
—
|
(450)
|
13,638 CHF
|
14,018 USD
|
JPMorgan
|
12/18/2019
|
107
|
—
|
120,395,424 CLP
|
168,560 USD
|
JPMorgan
|
12/18/2019
|
1,451
|
—
|
15,050,369 CLP
|
20,833 USD
|
JPMorgan
|
12/18/2019
|
—
|
(57)
|
469,474,040 COP
|
136,764 USD
|
JPMorgan
|
12/18/2019
|
1,222
|
—
|
923,999 EUR
|
1,031,995 USD
|
JPMorgan
|
12/18/2019
|
8,300
|
—
|
534,185 GBP
|
655,189 USD
|
JPMorgan
|
12/18/2019
|
2,502
|
—
|
178,061 GBP
|
216,831 USD
|
JPMorgan
|
12/18/2019
|
—
|
(731)
|
37,699,496 HUF
|
127,910 USD
|
JPMorgan
|
12/18/2019
|
2,070
|
—
|
86,875 JPY
|
831 USD
|
JPMorgan
|
12/18/2019
|
8
|
—
|
173,750 JPY
|
1,645 USD
|
JPMorgan
|
12/18/2019
|
—
|
(3)
|
1,227,417,318 KRW
|
1,022,077 USD
|
JPMorgan
|
12/18/2019
|
4,955
|
—
|
2,454,834,636 KRW
|
2,028,447 USD
|
JPMorgan
|
12/18/2019
|
—
|
(5,796)
|
3,888,936 NOK
|
432,871 USD
|
JPMorgan
|
12/18/2019
|
5,335
|
—
|
8,367,500 SEK
|
870,043 USD
|
JPMorgan
|
12/18/2019
|
11,790
|
—
|
566,500 SGD
|
408,419 USD
|
JPMorgan
|
12/18/2019
|
—
|
(292)
|
1,663,535 TWD
|
53,524 USD
|
JPMorgan
|
12/18/2019
|
37
|
—
|
13,308,280 TWD
|
426,659 USD
|
JPMorgan
|
12/18/2019
|
—
|
(1,239)
|
130,617 USD
|
532,000 BRL
|
JPMorgan
|
12/18/2019
|
—
|
(3,136)
|
1,932 USD
|
2,572 CAD
|
JPMorgan
|
12/18/2019
|
3
|
—
|
5,816 USD
|
7,716 CAD
|
JPMorgan
|
12/18/2019
|
—
|
(13)
|
2,275,407 USD
|
2,214,575 CHF
|
JPMorgan
|
12/18/2019
|
—
|
(16,544)
|
300,948 USD
|
4,370,454,462 IDR
|
JPMorgan
|
12/18/2019
|
1,969
|
—
|
145,494 USD
|
509,250 ILS
|
JPMorgan
|
12/18/2019
|
—
|
(499)
|
136,646 USD
|
9,989,696 INR
|
JPMorgan
|
12/18/2019
|
599
|
—
|
103,032 USD
|
7,492,273 INR
|
JPMorgan
|
12/18/2019
|
—
|
(98)
|
175,748 USD
|
18,567,012 JPY
|
JPMorgan
|
12/18/2019
|
313
|
—
|
88,835 USD
|
9,283,506 JPY
|
JPMorgan
|
12/18/2019
|
—
|
(805)
|
48,139 USD
|
984,001 MXN
|
JPMorgan
|
12/18/2019
|
106
|
—
|
The accompanying Notes to Consolidated Financial Statements are an integral
part of this statement.
Multi-Manager
Alternative Strategies Fund | Annual Report 2019
|
43
|
Consolidated Portfolio of Investments (continued)
August 31, 2019
Forward
foreign currency exchange contracts (continued)
|
Currency
to
be sold
|
Currency
to
be purchased
|
Counterparty
|
Settlement
date
|
Unrealized
appreciation ($)
|
Unrealized
depreciation ($)
|
97,356 USD
|
1,967,994 MXN
|
JPMorgan
|
12/18/2019
|
—
|
(867)
|
17,937 USD
|
27,998 NZD
|
JPMorgan
|
12/18/2019
|
—
|
(250)
|
60,851 USD
|
3,205,686 PHP
|
JPMorgan
|
12/18/2019
|
279
|
—
|
628,953 USD
|
2,478,000 PLN
|
JPMorgan
|
12/18/2019
|
—
|
(5,336)
|
364,715 USD
|
5,673,378 ZAR
|
JPMorgan
|
12/18/2019
|
4,360
|
—
|
1,408,757 CAD
|
950,000 EUR
|
Morgan
Stanley
|
09/18/2019
|
—
|
(13,088)
|
378,000 CAD
|
2,462,961 NOK
|
Morgan
Stanley
|
09/18/2019
|
—
|
(13,587)
|
112,710,761 JPY
|
1,049,495 USD
|
Morgan
Stanley
|
09/18/2019
|
—
|
(12,575)
|
7,981,077 NOK
|
1,228,580 CAD
|
Morgan
Stanley
|
09/18/2019
|
46,802
|
—
|
801,717 USD
|
702,605 EUR
|
Morgan
Stanley
|
09/18/2019
|
—
|
(28,663)
|
272,531 USD
|
420,071 NZD
|
Morgan
Stanley
|
09/18/2019
|
—
|
(7,737)
|
932,865 CAD
|
630,000 EUR
|
RBC
Capital Markets
|
09/18/2019
|
—
|
(7,656)
|
2,838,927 CAD
|
2,152,433 USD
|
RBC
Capital Markets
|
09/18/2019
|
19,660
|
—
|
617,516 CAD
|
462,041 USD
|
RBC
Capital Markets
|
09/18/2019
|
—
|
(1,874)
|
1,580,000 EUR
|
2,329,512 CAD
|
RBC
Capital Markets
|
09/18/2019
|
11,647
|
—
|
2,662,201 USD
|
3,506,953 CAD
|
RBC
Capital Markets
|
09/18/2019
|
—
|
(27,567)
|
25,100,775 JPY
|
315,000 CAD
|
Standard
Chartered
|
09/18/2019
|
123
|
—
|
100,091,092 JPY
|
945,000 USD
|
Standard
Chartered
|
09/18/2019
|
1,844
|
—
|
1,905,000 USD
|
203,297,362 JPY
|
Standard
Chartered
|
09/18/2019
|
10,666
|
—
|
169,626 USD
|
232,410 SGD
|
Standard
Chartered
|
09/18/2019
|
—
|
(2,126)
|
468,285 CAD
|
315,000 EUR
|
State
Street
|
09/18/2019
|
—
|
(5,220)
|
68,211,700 JPY
|
635,000 USD
|
State
Street
|
09/18/2019
|
—
|
(7,757)
|
21,721,728 MXN
|
1,107,678 USD
|
State
Street
|
09/18/2019
|
26,476
|
—
|
665,326 USD
|
13,105,847 MXN
|
State
Street
|
09/18/2019
|
—
|
(12,981)
|
389,428 USD
|
532,369 SGD
|
State
Street
|
09/18/2019
|
—
|
(5,745)
|
470,756 CAD
|
312,500 EUR
|
UBS
|
09/18/2019
|
—
|
(9,827)
|
1,870,000 CAD
|
12,132,000 NOK
|
UBS
|
09/18/2019
|
—
|
(72,977)
|
100,066,730 JPY
|
950,000 USD
|
UBS
|
09/18/2019
|
7,074
|
—
|
14,247,948 NOK
|
1,640,622 USD
|
UBS
|
09/18/2019
|
76,449
|
—
|
Total
|
|
|
|
2,941,103
|
(2,468,749)
|
Long
futures contracts
|
Description
|
Number
of
contracts
|
Expiration
date
|
Trading
currency
|
Notional
amount
|
Value/Unrealized
appreciation ($)
|
Value/Unrealized
depreciation ($)
|
3-Month
Euro Euribor
|
98
|
12/2019
|
EUR
|
24,638,425
|
16,311
|
—
|
3-Month
Euro Euribor
|
52
|
12/2019
|
EUR
|
13,073,450
|
9,609
|
—
|
3-Month
Euro Euribor
|
52
|
03/2020
|
EUR
|
13,079,950
|
19,084
|
—
|
3-Month
Euro Euribor
|
46
|
06/2020
|
EUR
|
11,575,325
|
23,965
|
—
|
3-Month
Euro Euribor
|
43
|
09/2020
|
EUR
|
10,824,175
|
30,431
|
—
|
3-Month
Euro Euribor
|
43
|
12/2020
|
EUR
|
10,826,325
|
37,878
|
—
|
3-Month
Euro Euribor
|
41
|
03/2021
|
EUR
|
10,321,750
|
33,571
|
—
|
3-Month
Euro Euribor
|
25
|
06/2021
|
EUR
|
6,293,125
|
15,816
|
—
|
3-Month
Euro Swiss Franc
|
5
|
12/2019
|
CHF
|
1,263,000
|
1,178
|
—
|
3-Month
Euro Swiss Franc
|
4
|
03/2020
|
CHF
|
1,010,800
|
1,989
|
—
|
3-Month
Euro Swiss Franc
|
3
|
06/2020
|
CHF
|
758,325
|
1,657
|
—
|
90-Day
Euro$
|
247
|
12/2019
|
USD
|
60,601,450
|
80,716
|
—
|
90-Day
Sterling
|
252
|
12/2019
|
GBP
|
31,285,800
|
15,092
|
—
|
90-Day
Sterling
|
55
|
12/2019
|
GBP
|
6,828,250
|
4,202
|
—
|
90-Day
Sterling
|
41
|
03/2020
|
GBP
|
5,094,506
|
3,261
|
—
|
90-Day
Sterling
|
35
|
06/2020
|
GBP
|
4,350,719
|
4,332
|
—
|
90-Day
Sterling
|
34
|
09/2020
|
GBP
|
4,227,475
|
10,798
|
—
|
90-Day
Sterling
|
32
|
12/2020
|
GBP
|
3,978,200
|
13,437
|
—
|
90-Day
Sterling
|
30
|
03/2021
|
GBP
|
3,730,875
|
12,561
|
—
|
90-Day
Sterling
|
29
|
06/2021
|
GBP
|
3,606,513
|
11,215
|
—
|
Amsterdam
Index
|
4
|
09/2019
|
EUR
|
446,456
|
17,512
|
—
|
Amsterdam
Index
|
1
|
09/2019
|
EUR
|
111,614
|
3,285
|
—
|
Australian
10-Year Bond
|
66
|
09/2019
|
AUD
|
9,820,032
|
237,603
|
—
|
The accompanying Notes to Consolidated Financial Statements are an integral
part of this statement.
44
|
Multi-Manager Alternative
Strategies Fund | Annual Report 2019
|
Consolidated Portfolio of Investments (continued)
August 31, 2019
Long
futures contracts (continued)
|
Description
|
Number
of
contracts
|
Expiration
date
|
Trading
currency
|
Notional
amount
|
Value/Unrealized
appreciation ($)
|
Value/Unrealized
depreciation ($)
|
Australian
10-Year Bond
|
10
|
09/2019
|
AUD
|
1,487,884
|
32,005
|
—
|
Australian
3-Year Bond
|
300
|
09/2019
|
AUD
|
34,741,248
|
133,268
|
—
|
Australian
3-Year Bond
|
184
|
09/2019
|
AUD
|
21,307,965
|
112,860
|
—
|
Banker’s
Acceptance
|
14
|
12/2019
|
CAD
|
3,435,600
|
—
|
(536)
|
Banker’s
Acceptance
|
10
|
03/2020
|
CAD
|
2,457,625
|
—
|
(89)
|
CAC40
Index
|
9
|
09/2019
|
EUR
|
493,020
|
20,528
|
—
|
CAC40
Index
|
16
|
09/2019
|
EUR
|
876,480
|
14,808
|
—
|
Canadian
Dollar
|
177
|
09/2019
|
USD
|
13,290,045
|
—
|
(249,624)
|
Canadian
Government 10-Year Bond
|
49
|
12/2019
|
CAD
|
7,108,920
|
18,861
|
—
|
Canadian
Government 10-Year Bond
|
4
|
12/2019
|
CAD
|
580,320
|
3,269
|
—
|
DJIA
Mini E
|
4
|
09/2019
|
USD
|
528,120
|
—
|
(9,594)
|
DJIA
Mini E
|
5
|
09/2019
|
USD
|
660,150
|
—
|
(16,083)
|
EURO
STOXX 50
|
14
|
09/2019
|
EUR
|
478,660
|
4,439
|
—
|
EURO
STOXX 50
|
15
|
09/2019
|
EUR
|
512,850
|
670
|
—
|
Euro-Bobl
|
94
|
09/2019
|
EUR
|
12,805,620
|
239,662
|
—
|
Euro-Bobl
|
7
|
12/2019
|
EUR
|
956,900
|
975
|
—
|
Euro-BTP
|
11
|
09/2019
|
EUR
|
1,598,410
|
82,906
|
—
|
Euro-Bund
|
56
|
09/2019
|
EUR
|
10,029,600
|
488,074
|
—
|
Euro-Buxl
30-Year
|
13
|
09/2019
|
EUR
|
2,915,900
|
322,453
|
—
|
Eurodollar
90-Day
|
21
|
12/2019
|
USD
|
5,152,350
|
5,873
|
—
|
Eurodollar
90-Day
|
11
|
03/2020
|
USD
|
2,707,375
|
13,141
|
—
|
Eurodollar
90-Day
|
8
|
06/2020
|
USD
|
1,972,100
|
12,018
|
—
|
Eurodollar
90-Day
|
8
|
09/2020
|
USD
|
1,974,300
|
9,922
|
—
|
Eurodollar
90-Day
|
9
|
12/2020
|
USD
|
2,221,650
|
9,999
|
—
|
Eurodollar
90-Day
|
10
|
03/2021
|
USD
|
2,470,875
|
12,355
|
—
|
Eurodollar
90-Day
|
10
|
06/2021
|
USD
|
2,471,375
|
11,503
|
—
|
Euro-OAT
|
44
|
12/2019
|
EUR
|
7,578,120
|
4,047
|
—
|
Euro-Schatz
|
87
|
12/2019
|
EUR
|
9,803,595
|
1,572
|
—
|
Euro-Schatz
|
110
|
12/2019
|
EUR
|
12,395,350
|
747
|
—
|
FTSE
100 Index
|
2
|
09/2019
|
GBP
|
143,610
|
—
|
(5,141)
|
FTSE
China A50 Index
|
54
|
09/2019
|
USD
|
731,565
|
4,382
|
—
|
FTSE/MIB
Index
|
2
|
09/2019
|
EUR
|
213,200
|
2,409
|
—
|
FTSE/MIB
Index
|
2
|
09/2019
|
EUR
|
213,200
|
—
|
(8,029)
|
Gold
100 oz.
|
62
|
12/2019
|
USD
|
9,482,280
|
511,900
|
—
|
Indian
Rupee
|
11
|
09/2019
|
USD
|
306,944
|
1,316
|
—
|
Japanese
Yen
|
101
|
09/2019
|
USD
|
11,894,013
|
96,231
|
—
|
Long
Gilt
|
51
|
12/2019
|
GBP
|
6,848,280
|
84,786
|
—
|
Mexican
Peso
|
49
|
09/2019
|
USD
|
1,220,100
|
—
|
(48,674)
|
MSCI
Singapore IX ETS
|
4
|
09/2019
|
SGD
|
142,600
|
1,617
|
—
|
MSCI
Singapore IX ETS
|
1
|
09/2019
|
SGD
|
35,650
|
398
|
—
|
MSCI
Taiwan Index
|
10
|
09/2019
|
USD
|
390,900
|
9,231
|
—
|
NASDAQ
100 E-mini
|
4
|
09/2019
|
USD
|
615,260
|
—
|
(22,820)
|
NASDAQ
100 E-mini
|
8
|
09/2019
|
USD
|
1,230,520
|
—
|
(25,034)
|
New
Zealand Dollar
|
86
|
09/2019
|
USD
|
5,413,700
|
—
|
(355,111)
|
Nickel
|
6
|
12/2019
|
USD
|
644,220
|
67,354
|
—
|
Nickel
|
1
|
12/2019
|
USD
|
107,370
|
13,185
|
—
|
OMXS30
Index
|
10
|
09/2019
|
SEK
|
1,574,750
|
6,363
|
—
|
Platinum
|
8
|
10/2019
|
USD
|
372,680
|
21,045
|
—
|
S&P
500 E-mini
|
4
|
09/2019
|
USD
|
584,960
|
—
|
(12,245)
|
S&P
500 E-mini
|
5
|
09/2019
|
USD
|
731,200
|
—
|
(23,075)
|
S&P/TSX
60 Index
|
4
|
09/2019
|
CAD
|
785,200
|
2,521
|
—
|
S&P/TSX
60 Index
|
3
|
09/2019
|
CAD
|
588,900
|
1,227
|
—
|
Short
Term Euro-BTP
|
58
|
12/2019
|
EUR
|
6,511,660
|
—
|
(13,151)
|
Silver
|
21
|
12/2019
|
USD
|
1,925,910
|
109,329
|
—
|
SPI
200 Index
|
24
|
09/2019
|
AUD
|
3,942,600
|
—
|
(18,284)
|
SPI
200 Index
|
9
|
09/2019
|
AUD
|
1,478,475
|
—
|
(18,670)
|
U.S.
Long Bond
|
39
|
12/2019
|
USD
|
6,444,750
|
40,641
|
—
|
U.S.
Treasury 10-Year Note
|
79
|
12/2019
|
USD
|
10,405,781
|
39,347
|
—
|
The accompanying Notes to Consolidated Financial Statements are an integral
part of this statement.
Multi-Manager
Alternative Strategies Fund | Annual Report 2019
|
45
|
Consolidated Portfolio of Investments (continued)
August 31, 2019
Long
futures contracts (continued)
|
Description
|
Number
of
contracts
|
Expiration
date
|
Trading
currency
|
Notional
amount
|
Value/Unrealized
appreciation ($)
|
Value/Unrealized
depreciation ($)
|
U.S.
Treasury 2-Year Note
|
200
|
12/2019
|
USD
|
43,223,438
|
1,209
|
—
|
U.S.
Treasury 5-Year Note
|
134
|
12/2019
|
USD
|
16,076,859
|
39,314
|
—
|
U.S.
Ultra Treasury Bond
|
17
|
12/2019
|
USD
|
3,356,438
|
31,280
|
—
|
Total
|
|
|
|
|
3,246,543
|
(826,160)
|
Short
futures contracts
|
Description
|
Number
of
contracts
|
Expiration
date
|
Trading
currency
|
Notional
amount
|
Value/Unrealized
appreciation ($)
|
Value/Unrealized
depreciation ($)
|
Australian
Dollar
|
(268)
|
09/2019
|
USD
|
(18,039,080)
|
526,319
|
—
|
Brent
Crude
|
(12)
|
09/2019
|
USD
|
(711,000)
|
—
|
(2,189)
|
Brent
Crude
|
(43)
|
09/2019
|
USD
|
(2,547,750)
|
—
|
(22,611)
|
British
Pound
|
(173)
|
09/2019
|
USD
|
(13,149,081)
|
313,884
|
—
|
Canadian
Dollar
|
(49)
|
09/2019
|
USD
|
(3,679,165)
|
9,576
|
—
|
Cocoa
|
(1)
|
12/2019
|
GBP
|
(17,090)
|
150
|
—
|
Cocoa
|
(12)
|
12/2019
|
USD
|
(266,640)
|
—
|
(2,005)
|
Coffee
|
(17)
|
12/2019
|
USD
|
(617,419)
|
10,828
|
—
|
Copper
|
(2)
|
09/2019
|
USD
|
(283,413)
|
15,494
|
—
|
Copper
|
(30)
|
12/2019
|
USD
|
(1,913,625)
|
26,006
|
—
|
Corn
|
(72)
|
12/2019
|
USD
|
(1,331,100)
|
7,577
|
—
|
Cotton
|
(17)
|
12/2019
|
USD
|
(500,055)
|
63,879
|
—
|
DAX
Index
|
(2)
|
09/2019
|
EUR
|
(595,625)
|
—
|
(9,052)
|
Euro
FX
|
(230)
|
09/2019
|
USD
|
(31,594,813)
|
791,694
|
—
|
Euro-BTP
|
(2)
|
09/2019
|
EUR
|
(290,620)
|
—
|
(6,754)
|
FTSE
100 Index
|
(2)
|
09/2019
|
GBP
|
(143,610)
|
—
|
(1,359)
|
FTSE/JSE
Top 40 Index
|
(5)
|
09/2019
|
ZAR
|
(2,443,750)
|
10,268
|
—
|
FTSE/JSE
Top 40 Index
|
(3)
|
09/2019
|
ZAR
|
(1,466,250)
|
—
|
(445)
|
Gas
Oil
|
(60)
|
10/2019
|
USD
|
(3,373,500)
|
5,938
|
—
|
Gas
Oil
|
(13)
|
10/2019
|
USD
|
(730,925)
|
5,149
|
—
|
Hang
Seng Index
|
(7)
|
09/2019
|
HKD
|
(8,963,500)
|
—
|
(524)
|
Hang
Seng Index
|
(1)
|
09/2019
|
HKD
|
(1,280,500)
|
—
|
(2,833)
|
H-Shares
Index
|
(3)
|
09/2019
|
HKD
|
(1,511,550)
|
—
|
(4,624)
|
H-Shares
Index
|
(14)
|
09/2019
|
HKD
|
(7,053,900)
|
—
|
(10,426)
|
IBEX
35 Index
|
(1)
|
09/2019
|
EUR
|
(87,965)
|
—
|
(1,562)
|
IBEX
35 Index
|
(1)
|
09/2019
|
EUR
|
(87,965)
|
—
|
(3,345)
|
KOSPI
200 Index
|
(12)
|
09/2019
|
KRW
|
(777,450,000)
|
34,746
|
—
|
Lean
Hogs
|
(3)
|
10/2019
|
USD
|
(76,230)
|
11,202
|
—
|
Lean
Hogs
|
(7)
|
12/2019
|
USD
|
(177,450)
|
5,404
|
—
|
Live
Cattle
|
(14)
|
12/2019
|
USD
|
(580,580)
|
3,736
|
—
|
Lme
Copper
|
(3)
|
12/2019
|
USD
|
(425,925)
|
4,434
|
—
|
Lme
Copper
|
(1)
|
12/2019
|
USD
|
(141,975)
|
725
|
—
|
Lme
Zinc
|
(6)
|
12/2019
|
USD
|
(330,600)
|
4,780
|
—
|
Lme
Zinc
|
(2)
|
12/2019
|
USD
|
(110,200)
|
2,595
|
—
|
MSCI
EAFE Index Future
|
(4)
|
09/2019
|
USD
|
(368,780)
|
—
|
(6,540)
|
MSCI
Emerging Markets Index
|
(10)
|
09/2019
|
USD
|
(492,000)
|
—
|
(11,335)
|
Natural
Gas
|
(163)
|
09/2019
|
USD
|
(3,724,550)
|
—
|
(246,422)
|
New
Zealand Dollar
|
(106)
|
09/2019
|
USD
|
(6,672,700)
|
165,602
|
—
|
Nikkei
225
|
(1)
|
09/2019
|
JPY
|
(20,690,000)
|
—
|
(3,308)
|
NY
Harbor ULSD
|
(19)
|
09/2019
|
USD
|
(1,466,165)
|
—
|
(10,049)
|
OMXS30
Index
|
(3)
|
09/2019
|
SEK
|
(472,425)
|
—
|
(1,132)
|
Primary
Aluminum
|
(1)
|
09/2019
|
USD
|
(43,313)
|
978
|
—
|
Primary
Aluminum
|
(28)
|
12/2019
|
USD
|
(1,228,675)
|
28,608
|
—
|
RBOB
Gasoline
|
(10)
|
09/2019
|
USD
|
(642,474)
|
515
|
—
|
Russell
2000 E-mini
|
(7)
|
09/2019
|
USD
|
(522,970)
|
17,566
|
—
|
Russell
2000 E-mini
|
(7)
|
09/2019
|
USD
|
(522,970)
|
—
|
(1,672)
|
S&P
Mid 400 E-mini
|
(1)
|
09/2019
|
USD
|
(188,140)
|
—
|
(1,622)
|
S&P
Mid 400 E-mini
|
(1)
|
09/2019
|
USD
|
(188,140)
|
—
|
(3,172)
|
South
African Rand
|
(48)
|
09/2019
|
USD
|
(1,578,600)
|
—
|
(5,573)
|
The accompanying Notes to Consolidated Financial Statements are an integral
part of this statement.
46
|
Multi-Manager Alternative
Strategies Fund | Annual Report 2019
|
Consolidated Portfolio of Investments (continued)
August 31, 2019
Short
futures contracts (continued)
|
Description
|
Number
of
contracts
|
Expiration
date
|
Trading
currency
|
Notional
amount
|
Value/Unrealized
appreciation ($)
|
Value/Unrealized
depreciation ($)
|
Soybean
|
(24)
|
11/2019
|
USD
|
(1,042,800)
|
9,940
|
—
|
Soybean
Meal
|
(36)
|
12/2019
|
USD
|
(1,063,080)
|
40,677
|
—
|
Soybean
Oil
|
(19)
|
12/2019
|
USD
|
(328,434)
|
—
|
(10,859)
|
Sugar
#11
|
(79)
|
09/2019
|
USD
|
(985,667)
|
44,991
|
—
|
Swiss
Franc
|
(17)
|
09/2019
|
USD
|
(2,147,525)
|
9,089
|
—
|
TOPIX
Index
|
(20)
|
09/2019
|
JPY
|
(302,000,000)
|
78,147
|
—
|
TOPIX
Index
|
(3)
|
09/2019
|
JPY
|
(45,300,000)
|
—
|
(1,335)
|
U.S.
Long Bond
|
(44)
|
12/2019
|
USD
|
(7,271,000)
|
—
|
(41,707)
|
U.S.
Treasury 10-Year Note
|
(23)
|
12/2019
|
USD
|
(3,029,531)
|
—
|
(6,527)
|
U.S.
Treasury 5-Year Note
|
(4)
|
12/2019
|
USD
|
(479,906)
|
—
|
(760)
|
U.S.
Treasury 5-Year Note
|
(57)
|
12/2019
|
USD
|
(6,838,664)
|
—
|
(7,240)
|
U.S.
Ultra Bond 10-Year Note
|
(35)
|
12/2019
|
USD
|
(5,055,313)
|
—
|
(6,465)
|
U.S.
Ultra Treasury Bond
|
(14)
|
12/2019
|
USD
|
(2,764,125)
|
—
|
(26,280)
|
Wheat
|
(34)
|
12/2019
|
USD
|
(786,250)
|
39,065
|
—
|
Wheat
|
(5)
|
12/2019
|
USD
|
(99,313)
|
6,309
|
—
|
WTI
Crude
|
(46)
|
09/2019
|
USD
|
(2,534,600)
|
33,749
|
—
|
Total
|
|
|
|
|
2,329,620
|
(459,727)
|
Call
option contracts purchased
|
Description
|
Counterparty
|
Trading
currency
|
Notional
amount
|
Number
of
contracts
|
Exercise
price/Rate
|
Expiration
date
|
Cost
($)
|
Value
($)
|
AbbVie,
Inc.
|
Goldman
Sachs
|
USD
|
1,137,302
|
173
|
80.00
|
11/15/2019
|
19,425
|
1,384
|
BB&T
Corp.
|
Goldman
Sachs
|
USD
|
1,448,560
|
304
|
57.50
|
09/20/2019
|
14,840
|
2,736
|
DXC
Technology Co.
|
Goldman
Sachs
|
USD
|
438,504
|
132
|
55.00
|
09/20/2019
|
41,863
|
330
|
Nielsen
Holdings PLC
|
Goldman
Sachs
|
USD
|
193,068
|
93
|
22.00
|
11/15/2019
|
5,903
|
6,510
|
Nielsen
Holdings PLC
|
Goldman
Sachs
|
USD
|
193,068
|
93
|
24.00
|
11/15/2019
|
7,439
|
2,093
|
QEP
Resources, Inc.
|
Goldman
Sachs
|
USD
|
33,464
|
94
|
6.00
|
09/20/2019
|
3,368
|
470
|
Total
|
|
|
|
|
|
|
92,838
|
13,523
|
Put
option contracts purchased
|
Description
|
Counterparty
|
Trading
currency
|
Notional
amount
|
Number
of
contracts
|
Exercise
price/Rate
|
Expiration
date
|
Cost
($)
|
Value
($)
|
Avaya
Holdings Corp.
|
Goldman
Sachs
|
USD
|
920,624
|
652
|
12.50
|
09/20/2019
|
37,456
|
45,640
|
Avaya
Holdings Corp.
|
Goldman
Sachs
|
USD
|
317,700
|
225
|
10.00
|
09/20/2019
|
11,420
|
6,750
|
Exact
Sciences Corp.
|
Goldman
Sachs
|
USD
|
178,830
|
15
|
100.00
|
10/18/2019
|
5,833
|
1,763
|
iShares
Russell 2000 ETF
|
Goldman
Sachs
|
USD
|
1,845,616
|
124
|
147.00
|
12/20/2019
|
62,275
|
75,454
|
iShares
Russell 2000 ETF
|
Goldman
Sachs
|
USD
|
1,845,616
|
124
|
145.00
|
12/20/2019
|
80,577
|
66,526
|
LiveRamp
Holdings, Inc.
|
Goldman
Sachs
|
USD
|
232,980
|
55
|
45.00
|
09/20/2019
|
9,905
|
17,600
|
LiveRamp
Holdings, Inc.
|
Goldman
Sachs
|
USD
|
84,720
|
20
|
40.00
|
11/15/2019
|
2,869
|
4,000
|
LogMeIn,
Inc.
|
Goldman
Sachs
|
USD
|
588,192
|
88
|
70.00
|
09/20/2019
|
39,394
|
33,440
|
Masco
Corp.
|
Goldman
Sachs
|
USD
|
236,234
|
58
|
38.00
|
10/18/2019
|
4,398
|
4,060
|
Mellanox
Technologies Ltd.
|
Goldman
Sachs
|
USD
|
1,145,435
|
107
|
105.00
|
12/20/2019
|
30,085
|
64,735
|
Mellanox
Technologies Ltd.
|
Goldman
Sachs
|
USD
|
1,338,125
|
125
|
100.00
|
12/20/2019
|
52,869
|
40,000
|
Perspecta,
Inc.
|
Goldman
Sachs
|
USD
|
101,205
|
39
|
22.50
|
09/20/2019
|
2,720
|
488
|
Quad/Graphics,
Inc.
|
Goldman
Sachs
|
USD
|
151,931
|
169
|
10.00
|
10/18/2019
|
11,799
|
22,392
|
Quad/Graphics,
Inc.
|
Goldman
Sachs
|
USD
|
286,781
|
319
|
7.50
|
10/18/2019
|
14,485
|
7,177
|
Spark
Therapeutics, Inc.
|
Goldman
Sachs
|
USD
|
77,928
|
8
|
80.00
|
12/20/2019
|
5,234
|
3,800
|
Symantec
Corp.
|
Goldman
Sachs
|
USD
|
106,950
|
46
|
20.00
|
01/17/2020
|
2,565
|
1,909
|
WellCare
Health Plans, Inc.
|
Goldman
Sachs
|
USD
|
1,055,886
|
39
|
250.00
|
09/20/2019
|
39,885
|
2,535
|
Wyndham
Hotels & Resorts, Inc.
|
Goldman
Sachs
|
USD
|
333,970
|
65
|
52.50
|
11/15/2019
|
9,557
|
21,450
|
Total
|
|
|
|
|
|
|
423,326
|
419,719
|
The
accompanying Notes to Consolidated Financial Statements are an integral part of this statement.
Multi-Manager
Alternative Strategies Fund | Annual Report 2019
|
47
|
Consolidated Portfolio of Investments (continued)
August 31, 2019
Call
option contracts written
|
Description
|
Counterparty
|
Trading
currency
|
Notional
amount
|
Number
of
contracts
|
Exercise
price/Rate
|
Expiration
date
|
Premium
received ($)
|
Value
($)
|
Exact
Sciences Corp.
|
Goldman
Sachs
|
USD
|
(178,830)
|
(15)
|
120.00
|
10/18/2019
|
(6,887)
|
(9,825)
|
LiveRamp
Holdings, Inc.
|
Goldman
Sachs
|
USD
|
(84,720)
|
(20)
|
50.00
|
9/20/2019
|
(2,243)
|
(100)
|
Mellanox
Technologies Ltd.
|
Goldman
Sachs
|
USD
|
(267,625)
|
(25)
|
115.00
|
9/20/2019
|
(6,272)
|
(375)
|
Rent-A-Center,
Inc.
|
Goldman
Sachs
|
USD
|
(30,636)
|
(12)
|
27.00
|
9/20/2019
|
(590)
|
(360)
|
Total
|
|
|
|
|
|
|
(15,992)
|
(10,660)
|
Put
option contracts written
|
Description
|
Counterparty
|
Trading
currency
|
Notional
amount
|
Number
of
contracts
|
Exercise
price/Rate
|
Expiration
date
|
Premium
received ($)
|
Value
($)
|
iShares
Russell 2000 ETF
|
Goldman
Sachs
|
USD
|
(1,845,616)
|
(124)
|
135.00
|
12/20/2019
|
(43,473)
|
(34,162)
|
iShares
Russell 2000 ETF
|
Goldman
Sachs
|
USD
|
(1,845,616)
|
(124)
|
137.00
|
12/20/2019
|
(32,307)
|
(39,246)
|
Nielsen
Holdings PLC
|
Goldman
Sachs
|
USD
|
(193,068)
|
(93)
|
20.00
|
11/15/2019
|
(6,850)
|
(7,905)
|
WellCare
Health Plans, Inc.
|
Goldman
Sachs
|
USD
|
(1,055,886)
|
(39)
|
220.00
|
09/20/2019
|
(10,134)
|
(9,360)
|
Total
|
|
|
|
|
|
|
(92,764)
|
(90,673)
|
Total
return swap contracts on futures
|
Reference
instrument*
|
Counterparty
|
Expiration
date
|
Trading
currency
|
Notional
amount
long(short)
|
Upfront
payments ($)
|
Upfront
receipts ($)
|
Value/Unrealized
appreciation
($)
|
Value/Unrealized
depreciation
($)
|
Euro-Bobl
Dec 19
|
Barclays
|
12/2019
|
EUR
|
28,707,000
|
—
|
—
|
29,650
|
—
|
Euro-Bund
Dec 19
|
Barclays
|
12/2019
|
EUR
|
3,878,160
|
—
|
—
|
—
|
(528)
|
Euro-Schatz
Dec 19
|
Barclays
|
12/2019
|
EUR
|
47,778,440
|
—
|
—
|
4,742
|
—
|
Japanese
10-Year Government Bond Sep 19
|
Barclays
|
09/2019
|
JPY
|
465,600,000
|
—
|
—
|
50,300
|
—
|
Long
Gilt Dec 19
|
Barclays
|
12/2019
|
GBP
|
2,282,760
|
—
|
—
|
12,676
|
—
|
Coffee
Dec 19
|
Citi
|
12/2019
|
USD
|
(145,275)
|
—
|
—
|
5,029
|
—
|
Corn
Dec 19
|
Citi
|
12/2019
|
USD
|
(55,463)
|
—
|
—
|
415
|
—
|
Cotton
Dec 19
|
Citi
|
12/2019
|
USD
|
(117,660)
|
—
|
—
|
13,596
|
—
|
Primary
Aluminum Dec 19
|
Citi
|
12/2019
|
USD
|
(131,644)
|
—
|
—
|
—
|
(281)
|
Primary
Aluminum Sep 19
|
Citi
|
09/2019
|
USD
|
(129,938)
|
—
|
—
|
3,794
|
—
|
Soybean
Meal Dec 19
|
Citi
|
12/2019
|
USD
|
(472,480)
|
—
|
—
|
46,633
|
—
|
Soybean
Nov 19
|
Citi
|
11/2019
|
USD
|
(1,042,800)
|
—
|
—
|
15,516
|
—
|
Soybean
Oil Dec 19
|
Citi
|
12/2019
|
USD
|
(51,858)
|
—
|
—
|
—
|
(234)
|
Swiss
Market Index Sep 19
|
JPMorgan
|
09/2019
|
CHF
|
592,740
|
—
|
—
|
—
|
(3,177)
|
Total
|
|
|
|
|
—
|
—
|
182,351
|
(4,220)
|
*
|
If the
notional amount of the swap contract is long and the swap contract’s value is positive (negative), the Fund will receive (pay) the total return. If the notional amount of the swap contract is short and the swap contract’s value is
positive (negative), the Fund will pay (receive) the total return. Receipts and payments occur upon termination of the contract.
|
Notes to Consolidated Portfolio of Investments
(a)
|
Represents
privately placed and other securities and instruments exempt from Securities and Exchange Commission registration (collectively, private placements), such as Section 4(a)(2) and Rule 144A eligible securities, which are often sold only to qualified
institutional buyers. 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 August 31, 2019, the total value of these securities amounted to $77,194,925, which represents 15.32% of total net assets.
|
(b)
|
Variable
rate security. The interest rate shown was the current rate as of August 31, 2019.
|
(c)
|
Variable
or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. The interest rate shown was the current rate as of August 31, 2019.
|
(d)
|
Represents interest
only securities which have the right to receive the monthly interest payments on an underlying pool of mortgage loans.
|
(e)
|
Non-income producing
investment.
|
(f)
|
This
security or a portion of this security has been pledged as collateral in connection with derivative contracts.
|
(g)
|
This
security or a portion of this security has been pledged as collateral in connection with investments sold short.
|
(h)
|
Represents fair
value as determined in good faith under procedures approved by the Board of Trustees. At August 31, 2019, the total value of these securities amounted to $1,677,172, which represents 0.33% of total net assets.
|
(i)
|
Valuation
based on significant unobservable inputs.
|
The accompanying Notes to Consolidated Financial Statements are an integral
part of this statement.
48
|
Multi-Manager Alternative
Strategies Fund | Annual Report 2019
|
Consolidated Portfolio of Investments (continued)
August 31, 2019
Notes to Consolidated
Portfolio of Investments (continued)
(j)
|
Zero coupon
bond.
|
(k)
|
Principal
amounts are denominated in United States Dollars unless otherwise noted.
|
(l)
|
Represents
a variable rate security with a step coupon where the rate adjusts according to a schedule for a series of periods, typically lower for an initial period and then increasing to a higher coupon rate thereafter. The interest rate shown was the current
rate as of August 31, 2019.
|
(m)
|
Principal
and interest may not be guaranteed by the government.
|
(n)
|
Represents
a security purchased on a when-issued basis.
|
(o)
|
The rate
shown is the seven-day current annualized yield at August 31, 2019.
|
(p)
|
As defined
in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. Holdings and
transactions in these affiliated companies during the year ended August 31, 2019 are as follows:
|
Issuer
|
Beginning
shares
|
Shares
purchased
|
Shares
sold
|
Ending
shares
|
Realized
gain
(loss) —
affiliated
issuers ($)
|
Net
change in
unrealized
appreciation
(depreciation) —
affiliated
issuers ($)
|
Dividends
—
affiliated
issuers ($)
|
Value
—
affiliated
issuers
at end of
period ($)
|
Columbia
Short-Term Cash Fund, 2.208%
|
|
129,624,362
|
542,498,823
|
(549,236,710)
|
122,886,475
|
(919)
|
965
|
2,716,126
|
122,874,186
|
Abbreviation Legend
CMO
|
Collateralized Mortgage
Obligation
|
CVR
|
Contingent
Value Rights
|
FGIC
|
Financial
Guaranty Insurance Corporation
|
Currency Legend
AUD
|
Australian
Dollar
|
BRL
|
Brazilian
Real
|
CAD
|
Canada
Dollar
|
CHF
|
Swiss Franc
|
CLP
|
Chilean
Peso
|
COP
|
Colombian
Peso
|
EUR
|
Euro
|
GBP
|
British
Pound
|
HKD
|
Hong Kong
Dollar
|
HUF
|
Hungarian
Forint
|
IDR
|
Indonesian
Rupiah
|
ILS
|
New Israeli
Sheqel
|
INR
|
Indian
Rupee
|
JPY
|
Japanese
Yen
|
KRW
|
South
Korean Won
|
MXN
|
Mexican
Peso
|
MYR
|
Malaysian
Ringgit
|
NOK
|
Norwegian
Krone
|
NZD
|
New Zealand
Dollar
|
PHP
|
Philippine
Peso
|
PLN
|
Polish
Zloty
|
SEK
|
Swedish
Krona
|
SGD
|
Singapore
Dollar
|
TWD
|
New Taiwan
Dollar
|
USD
|
US Dollar
|
The accompanying Notes to Consolidated Financial Statements are an integral
part of this statement.
Multi-Manager
Alternative Strategies Fund | Annual Report 2019
|
49
|
Consolidated Portfolio of Investments (continued)
August 31, 2019
Currency
Legend (continued)
Fair value measurements
The Fund categorizes its fair value measurements according to
a three-level hierarchy that maximizes the use of observable inputs and minimizes the use of unobservable inputs by prioritizing that the most observable input be used when available. Observable inputs are those that market participants would use in
pricing an investment based on market data obtained from sources independent of the reporting entity. Unobservable inputs are those that reflect the Fund’s assumptions about the information market participants would use in pricing an
investment. An investment’s level within the fair value hierarchy is based on the lowest level of any input that is deemed significant to the asset’s or liability’s fair value measurement. The input levels are not necessarily an
indication of the risk or liquidity associated with investments at that level. For example, certain U.S. government securities are generally high quality and liquid, however, they are reflected as Level 2 because the inputs used to determine fair
value may not always be quoted prices in an active market.
Fair value inputs are summarized in the three broad levels
listed below:
■
|
Level 1 — Valuations
based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments.
|
■
|
Level 2 — Valuations
based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.).
|
■
|
Level 3 — Valuations
based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments).
|
Inputs that are used in determining fair value of an investment
may include price information, credit data, volatility statistics, and other factors. These inputs can be either observable or unobservable. The availability of observable inputs can vary between investments, and is affected by various factors such
as the type of investment, and the volume and level of activity for that investment or similar investments in the marketplace. The inputs will be considered by the Investment Manager, along with any other relevant factors in the calculation of an
investment’s fair value. The Fund uses prices and inputs that are current as of the measurement date, which may include periods of market dislocations. During these periods, the availability of prices and inputs may be reduced for many
investments. This condition could cause an investment to be reclassified between the various levels within the hierarchy.
Foreign equity securities actively traded in markets where
there is a significant delay in the local close relative to the New York Stock Exchange are classified as Level 2. The values of these securities may include an adjustment to reflect the impact of significant market movements following the close of
local trading, as described in Note 2 to the consolidated financial statements – Security valuation.
Investments falling into the Level 3 category are primarily
supported by quoted prices from brokers and dealers participating in the market for those investments. However, these may be classified as Level 3 investments due to lack of market transparency and corroboration to support these quoted prices.
Additionally, valuation models may be used as the pricing source for any remaining investments classified as Level 3. These models may rely on one or more significant unobservable inputs and/or significant assumptions by the Investment Manager.
Inputs used in valuations may include, but are not limited to, financial statement analysis, capital account balances, discount rates and estimated cash flows, and comparable company data.
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.
The following table is a summary of
the inputs used to value the Fund’s investments at August 31, 2019:
|
Level
1 ($)
|
Level
2 ($)
|
Level
3 ($)
|
Total
($)
|
Investments
in Securities
|
|
|
|
|
Asset-Backed
Securities — Non-Agency
|
—
|
24,782,435
|
—
|
24,782,435
|
Commercial
Mortgage-Backed Securities - Agency
|
—
|
16,624,444
|
—
|
16,624,444
|
Commercial
Mortgage-Backed Securities - Non-Agency
|
—
|
11,363,291
|
—
|
11,363,291
|
Common
Stocks
|
|
|
|
|
Communication
Services
|
4,717,705
|
3,209,442
|
—
|
7,927,147
|
Consumer
Discretionary
|
12,803,935
|
2,612,717
|
—
|
15,416,652
|
Consumer
Staples
|
—
|
454,626
|
31,764
|
486,390
|
Financials
|
787,575
|
—
|
—
|
787,575
|
Health
Care
|
33,223,843
|
—
|
8
|
33,223,851
|
Industrials
|
8,579,791
|
815,193
|
—
|
9,394,984
|
Information
Technology
|
15,650,846
|
544,484
|
1,719,880
|
17,915,210
|
Materials
|
612,568
|
—
|
—
|
612,568
|
Real
Estate
|
—
|
230,651
|
—
|
230,651
|
Utilities
|
611,706
|
—
|
—
|
611,706
|
Total
Common Stocks
|
76,987,969
|
7,867,113
|
1,751,652
|
86,606,734
|
The accompanying Notes to Consolidated Financial Statements are an integral
part of this statement.
50
|
Multi-Manager Alternative
Strategies Fund | Annual Report 2019
|
Consolidated Portfolio of Investments
(continued)
August 31, 2019
Fair value
measurements (continued)
|
Level
1 ($)
|
Level
2 ($)
|
Level
3 ($)
|
Total
($)
|
Convertible
Bonds
|
—
|
4,261,375
|
—
|
4,261,375
|
Convertible
Preferred Stocks
|
|
|
|
|
Health
Care
|
—
|
477,169
|
—
|
477,169
|
Industrials
|
—
|
655,856
|
—
|
655,856
|
Real
Estate
|
—
|
338,026
|
—
|
338,026
|
Utilities
|
174,703
|
1,418,498
|
—
|
1,593,201
|
Total
Convertible Preferred Stocks
|
174,703
|
2,889,549
|
—
|
3,064,252
|
Corporate
Bonds & Notes
|
—
|
96,768,329
|
—
|
96,768,329
|
Foreign
Government Obligations
|
—
|
32,738,515
|
—
|
32,738,515
|
Limited
Partnerships
|
|
|
|
|
Energy
|
6,853,815
|
—
|
—
|
6,853,815
|
Financials
|
2,475,963
|
—
|
—
|
2,475,963
|
Total
Limited Partnerships
|
9,329,778
|
—
|
—
|
9,329,778
|
Municipal
Bonds
|
—
|
1,887,354
|
—
|
1,887,354
|
Preferred
Debt
|
224,004
|
—
|
—
|
224,004
|
Preferred
Stocks
|
|
|
|
|
Financials
|
800,601
|
—
|
—
|
800,601
|
Total
Preferred Stocks
|
800,601
|
—
|
—
|
800,601
|
Residential
Mortgage-Backed Securities - Agency
|
—
|
2,603,467
|
—
|
2,603,467
|
Residential
Mortgage-Backed Securities - Non-Agency
|
—
|
40,551,635
|
—
|
40,551,635
|
Treasury
Bills
|
27,300,596
|
—
|
—
|
27,300,596
|
U.S.
Government & Agency Obligations
|
—
|
855,949
|
—
|
855,949
|
U.S.
Treasury Obligations
|
11,268,306
|
—
|
—
|
11,268,306
|
Warrants
|
|
|
|
|
Information
Technology
|
—
|
—
|
17,490
|
17,490
|
Total
Warrants
|
—
|
—
|
17,490
|
17,490
|
Options
Purchased Calls
|
13,523
|
—
|
—
|
13,523
|
Options
Purchased Puts
|
419,719
|
—
|
—
|
419,719
|
Money
Market Funds
|
122,874,186
|
—
|
—
|
122,874,186
|
Total
Investments in Securities
|
249,393,385
|
243,193,456
|
1,769,142
|
494,355,983
|
Investments
in securities sold short
|
|
|
|
|
Common
Stocks
|
|
|
|
|
Communication
Services
|
(805,828)
|
—
|
—
|
(805,828)
|
Consumer
Discretionary
|
(2,038,458)
|
—
|
—
|
(2,038,458)
|
Consumer
Staples
|
(143,224)
|
—
|
—
|
(143,224)
|
Financials
|
(1,317,139)
|
—
|
—
|
(1,317,139)
|
Health
Care
|
(12,121,897)
|
—
|
—
|
(12,121,897)
|
Industrials
|
(1,032,381)
|
—
|
—
|
(1,032,381)
|
Information
Technology
|
(2,610,830)
|
—
|
—
|
(2,610,830)
|
Materials
|
(89,851)
|
—
|
—
|
(89,851)
|
Total
Common Stocks
|
(20,159,608)
|
—
|
—
|
(20,159,608)
|
Exchange-Traded
Funds
|
(1,527,318)
|
—
|
—
|
(1,527,318)
|
Rights
|
|
|
|
|
Health
Care
|
—
|
—
|
(91,970)
|
(91,970)
|
Total
Rights
|
—
|
—
|
(91,970)
|
(91,970)
|
Total
Investments in Securities Sold Short
|
(21,686,926)
|
—
|
(91,970)
|
(21,778,896)
|
Total
Investments in Securities, Net of Securities Sold Short
|
227,706,459
|
243,193,456
|
1,677,172
|
472,577,087
|
Investments
in Derivatives
|
|
|
|
|
Asset
|
|
|
|
|
Forward
Foreign Currency Exchange Contracts
|
—
|
2,941,103
|
—
|
2,941,103
|
Futures
Contracts
|
5,576,163
|
—
|
—
|
5,576,163
|
Swap
Contracts
|
—
|
182,351
|
—
|
182,351
|
The accompanying Notes to Consolidated Financial Statements are an integral
part of this statement.
Multi-Manager
Alternative Strategies Fund | Annual Report 2019
|
51
|
Consolidated Portfolio of Investments
(continued)
August 31, 2019
Fair value
measurements (continued)
|
Level
1 ($)
|
Level
2 ($)
|
Level
3 ($)
|
Total
($)
|
Liability
|
|
|
|
|
Forward
Foreign Currency Exchange Contracts
|
—
|
(2,468,749)
|
—
|
(2,468,749)
|
Futures
Contracts
|
(1,285,887)
|
—
|
—
|
(1,285,887)
|
Options
Contracts Written
|
(101,333)
|
—
|
—
|
(101,333)
|
Swap
Contracts
|
—
|
(4,220)
|
—
|
(4,220)
|
Total
|
231,895,402
|
243,843,941
|
1,677,172
|
477,416,515
|
See the Consolidated Portfolio of
Investments for all investment classifications not indicated in the table.
The Fund’s assets assigned to the Level 2 input category
are generally valued using the market approach, in which a security’s value is determined through reference to prices and information from market transactions for similar or identical assets. These assets include certain foreign securities for
which a third party statistical pricing service may be employed for purposes of fair market valuation. The model utilized by such third party statistical pricing service takes into account a security’s correlation to available market data
including, but not limited to, intraday index, ADR, and exchange-traded fund movements.
Forward foreign currency exchange contracts, futures contracts
and swap contracts are valued at unrealized appreciation (depreciation).
The following table is a reconciliation of Level 3 assets for
which significant observable and unobservable inputs were used to determine fair value:
|
Balance
as of
08/31/2018
($)
|
Increase
(decrease)
in accrued
discounts/
premiums
($)
|
Realized
gain (loss)
($)
|
Change
in unrealized
appreciation
(depreciation)(a)
($)
|
Purchases
($)
|
Sales
($)
|
Transfers
into
Level 3
($)
|
Transfers
out of
Level 3
($)
|
Balance
as of
08/31/2019
($)
|
Common
Stocks
|
7,285,304
|
—
|
(7,143,008)
|
7,519,783
|
1,750,965
|
(7,661,392)
|
—
|
—
|
1,751,652
|
Warrants
|
43,662
|
—
|
1,561
|
(26,172)
|
—
|
(1,561)
|
—
|
—
|
17,490
|
Rights
|
—
|
—
|
—
|
15,423
|
(107,393)
|
—
|
—
|
—
|
(91,970)
|
Total
|
7,328,966
|
—
|
(7,141,447)
|
7,509,034
|
1,643,572
|
(7,662,953)
|
—
|
—
|
1,677,172
|
(a) Change in unrealized
appreciation (depreciation) relating to securities held at August 31, 2019 was $(30,921), which is comprised of Common Stocks of $(20,172), Warrants of $(26,172) and Rights of $15,423.
The Fund’s assets assigned to the Level 3 category are
valued utilizing the valuation technique deemed the most appropriate in the circumstances. Certain common stocks, rights and warrants classified as Level 3 are valued using the market approach. To determine fair value for these securities,
management considered various factors which may have included, but were not limited to, estimated cash flows of the securities, observed yields on securities deemed comparable, the subscription price of the security, closing prices of similar
securities from the issuer and single market quotations from broker dealers. Significant increases (decreases) to any of these inputs would have resulted in a significantly higher (lower) fair value measurement.
The accompanying Notes
to Consolidated Financial Statements are an integral part of this statement.
52
|
Multi-Manager Alternative
Strategies Fund | Annual Report 2019
|
Consolidated Statement of Assets and Liabilities
August 31, 2019
Assets
|
|
Investments
in securities, at value
|
|
Unaffiliated
issuers (cost $367,802,817)
|
$371,048,555
|
Affiliated
issuers (cost $122,874,715)
|
122,874,186
|
Options
purchased (cost $516,164)
|
433,242
|
Foreign
currency (cost $444,435)
|
441,961
|
Cash
collateral held at broker for:
|
|
Forward
foreign currency exchange contracts
|
330,000
|
Swap
contracts
|
140,000
|
Other
(a)
|
20,051,536
|
Margin
deposits on:
|
|
Futures
contracts
|
7,089,346
|
Unrealized
appreciation on forward foreign currency exchange contracts
|
2,941,103
|
Unrealized
appreciation on swap contracts
|
182,351
|
Receivable
for:
|
|
Investments
sold
|
6,234,670
|
Investments
sold on a delayed delivery basis
|
1,562,959
|
Capital
shares sold
|
435,348
|
Dividends
|
281,211
|
Interest
|
1,882,692
|
Foreign
tax reclaims
|
23,903
|
Variation
margin for futures contracts
|
1,029,729
|
Prepaid
expenses
|
3,254
|
Trustees’
deferred compensation plan
|
55,883
|
Total
assets
|
537,041,929
|
Liabilities
|
|
Securities
sold short, at value (proceeds $22,308,562)
|
21,778,896
|
Option
contracts written, at value (premiums received $108,756)
|
101,333
|
Due
to custodian
|
27,199
|
Unrealized
depreciation on forward foreign currency exchange contracts
|
2,468,749
|
Unrealized
depreciation on swap contracts
|
4,220
|
Cash
collateral due to broker for:
|
|
Foreign
forward currency exchange contracts
|
40,000
|
Swap
contracts
|
482,088
|
Payable
for:
|
|
Investments
purchased
|
4,487,355
|
Investments
purchased on a delayed delivery basis
|
2,344,863
|
Capital
shares purchased
|
995,130
|
Dividends
and interest on securities sold short
|
6,963
|
Variation
margin for futures contracts
|
305,502
|
Management
services fees
|
15,166
|
Distribution
and/or service fees
|
7
|
Transfer
agent fees
|
43,925
|
Compensation
of chief compliance officer
|
33
|
Other
expenses
|
102,058
|
Trustees’
deferred compensation plan
|
55,883
|
Total
liabilities
|
33,259,370
|
Net
assets applicable to outstanding capital stock
|
$503,782,559
|
Represented
by
|
|
Paid
in capital
|
571,785,939
|
Total
distributable earnings (loss) (Note 2)
|
(68,003,380)
|
Total
- representing net assets applicable to outstanding capital stock
|
$503,782,559
|
The accompanying Notes to Consolidated Financial Statements are an integral
part of this statement.
Multi-Manager
Alternative Strategies Fund | Annual Report 2019
|
53
|
Consolidated Statement of Assets and Liabilities
(continued)
August 31, 2019
Class
A
|
|
Net
assets
|
$1,056,367
|
Shares
outstanding
|
113,283
|
Net
asset value per share
|
$9.33
|
Institutional
Class
|
|
Net
assets
|
$502,726,192
|
Shares
outstanding
|
53,733,327
|
Net
asset value per share
|
$9.36
|
(a)
|
Includes
collateral related to options purchased, options contracts written, forward foreign currency exchange contracts, swap contracts and securities sold short.
|
The accompanying Notes to Consolidated Financial Statements are an integral
part of this statement.
54
|
Multi-Manager Alternative
Strategies Fund | Annual Report 2019
|
Consolidated Statement of Operations
Year Ended August 31, 2019
Net
investment income
|
|
Income:
|
|
Dividends
— unaffiliated issuers
|
$4,793,253
|
Dividends
— affiliated issuers
|
2,716,126
|
Interest
|
11,774,567
|
Foreign
taxes withheld
|
(42,498)
|
Total
income
|
19,241,448
|
Expenses:
|
|
Management
services fees
|
5,705,412
|
Distribution
and/or service fees
|
|
Class
A
|
2,902
|
Transfer
agent fees
|
|
Class
A
|
1,300
|
Institutional
Class
|
580,529
|
Compensation
of board members
|
21,192
|
Custodian
fees
|
89,041
|
Printing
and postage fees
|
73,286
|
Registration
fees
|
50,497
|
Audit
fees
|
61,066
|
Legal
fees
|
10,615
|
Compensation
of chief compliance officer
|
206
|
Other
|
30,337
|
Total
expenses
|
6,626,383
|
Net
investment income
|
12,615,065
|
Realized
and unrealized gain (loss) — net
|
|
Net
realized gain (loss) on:
|
|
Investments
— unaffiliated issuers
|
(3,110,872)
|
Investments
— affiliated issuers
|
(919)
|
Foreign
currency translations
|
(93,244)
|
Forward
foreign currency exchange contracts
|
561,987
|
Futures
contracts
|
2,787,847
|
Options
purchased
|
(411,154)
|
Options
contracts written
|
114,486
|
Securities
sold short
|
67,993
|
Swap
contracts
|
1,600,122
|
Net
realized gain
|
1,516,246
|
Net
change in unrealized appreciation (depreciation) on:
|
|
Investments
— unaffiliated issuers
|
6,229,472
|
Investments
— affiliated issuers
|
965
|
Foreign
currency translations
|
(7,192)
|
Forward
foreign currency exchange contracts
|
24,057
|
Futures
contracts
|
(1,146,807)
|
Options
purchased
|
93,528
|
Options
contracts written
|
(4,652)
|
Securities
sold short
|
2,275,052
|
Swap
contracts
|
(357,207)
|
Net
change in unrealized appreciation (depreciation)
|
7,107,216
|
Net
realized and unrealized gain
|
8,623,462
|
Net
increase in net assets resulting from operations
|
$21,238,527
|
The accompanying Notes to Consolidated Financial Statements
are an integral part of this statement.
Multi-Manager
Alternative Strategies Fund | Annual Report 2019
|
55
|
Consolidated Statement of Changes in Net Assets
|
Year
Ended
August 31, 2019
|
Year
Ended
August 31, 2018
|
Operations
|
|
|
Net
investment income
|
$12,615,065
|
$6,815,482
|
Net
realized gain
|
1,516,246
|
1,443,499
|
Net
change in unrealized appreciation (depreciation)
|
7,107,216
|
(5,016,800)
|
Net
increase in net assets resulting from operations
|
21,238,527
|
3,242,181
|
Distributions
to shareholders
|
|
|
Net
investment income and net realized gains
|
|
|
Class
A
|
(14,374)
|
—
|
Institutional
Class
|
(7,632,087)
|
—
|
Total
distributions to shareholders (Note 2)
|
(7,646,461)
|
—
|
Decrease
in net assets from capital stock activity
|
(81,974,091)
|
(11,270,175)
|
Total
decrease in net assets
|
(68,382,025)
|
(8,027,994)
|
Net
assets at beginning of year
|
572,164,584
|
580,192,578
|
Net
assets at end of year
|
$503,782,559
|
$572,164,584
|
Excess
of distributions over net investment income
|
$(37,951,514)
|
$(47,854,115)
|
|
Year
Ended
|
Year
Ended
|
|
August
31, 2019
|
August
31, 2018
|
|
Shares
|
Dollars
($)
|
Shares
|
Dollars
($)
|
Capital
stock activity
|
Class
A
|
|
|
|
|
Subscriptions
|
675
|
5,980
|
—
|
—
|
Distributions
reinvested
|
1,647
|
14,348
|
—
|
—
|
Redemptions
|
(35,401)
|
(317,926)
|
(70,043)
|
(633,963)
|
Net
decrease
|
(33,079)
|
(297,598)
|
(70,043)
|
(633,963)
|
Institutional
Class
|
|
|
|
|
Subscriptions
|
5,755,311
|
51,641,302
|
10,247,779
|
93,115,640
|
Distributions
reinvested
|
875,236
|
7,632,052
|
—
|
—
|
Redemptions
|
(15,733,365)
|
(140,949,847)
|
(11,423,931)
|
(103,751,852)
|
Net
decrease
|
(9,102,818)
|
(81,676,493)
|
(1,176,152)
|
(10,636,212)
|
Total
net decrease
|
(9,135,897)
|
(81,974,091)
|
(1,246,195)
|
(11,270,175)
|
The accompanying Notes to Consolidated Financial Statements are an integral
part of this statement.
56
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Multi-Manager Alternative
Strategies Fund | Annual Report 2019
|
[THIS PAGE INTENTIONALLY LEFT BLANK]
Multi-Manager
Alternative Strategies Fund | Annual Report 2019
|
57
|
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
|
Distributions
from net
realized
gains
|
Total
distributions to
shareholders
|
Class
A
|
Year
Ended 8/31/2019
|
$9.05
|
0.20
|
0.19
|
0.39
|
(0.11)
|
—
|
(0.11)
|
Year
Ended 8/31/2018
|
$9.03
|
0.08
|
(0.06)
|
0.02
|
—
|
—
|
—
|
Year
Ended 8/31/2017
|
$9.45
|
(0.07)
|
(0.35)
|
(0.42)
|
—
|
—
|
—
|
Year
Ended 8/31/2016
|
$10.07
|
(0.05)
|
0.10
|
0.05
|
(0.67)
|
—
|
(0.67)
|
Year
Ended 8/31/2015
|
$10.88
|
0.03
(d)
|
(0.26)
|
(0.23)
|
(0.10)
|
(0.48)
|
(0.58)
|
Institutional
Class
|
Year
Ended 8/31/2019
|
$9.08
|
0.22
|
0.19
|
0.41
|
(0.13)
|
—
|
(0.13)
|
Year
Ended 8/31/2018
|
$9.03
|
0.11
|
(0.06)
|
0.05
|
—
|
—
|
—
|
Year
Ended 8/31/2017(e)
|
$9.10
|
0.02
|
(0.09)
|
(0.07)
|
—
|
—
|
—
|
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 dividends and interest on securities sold short. If dividends and interest on securities sold short had been excluded, expenses would have been lower by:
|
Class
|
8/31/2019
|
8/31/2018
|
8/31/2017
|
8/31/2016
|
8/31/2015
|
Class
A
|
—%
|
0.07%
|
0.28%
|
0.32%
|
0.35%
|
Institutional
Class
|
—%
|
0.07%
|
0.15%
|
—%
|
—%
|
(d)
|
Net
investment income per share includes special dividends. The effect of these dividends amounted to $0.08 per share.
|
(e)
|
Institutional
Class shares commenced operations on January 3, 2017. Per share data and total return reflect activity from that date.
|
(f)
|
Annualized.
|
The accompanying Notes to Consolidated Financial Statements
are an integral part of this statement.
58
|
Multi-Manager Alternative
Strategies 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 8/31/2019
|
$9.33
|
4.36%
|
1.52%
|
1.52%
|
2.19%
|
226%
|
$1,056
|
Year
Ended 8/31/2018
|
$9.05
|
0.22%
|
1.59%
(c)
|
1.59%
(c)
|
0.87%
|
256%
|
$1,325
|
Year
Ended 8/31/2017
|
$9.03
|
(4.44%)
|
1.75%
(c)
|
1.75%
(c)
|
(0.77%)
|
444%
|
$1,953
|
Year
Ended 8/31/2016
|
$9.45
|
0.79%
|
1.80%
(c)
|
1.80%
(c)
|
(0.49%)
|
289%
|
$747,476
|
Year
Ended 8/31/2015
|
$10.07
|
(2.30%)
|
1.83%
(c)
|
1.83%
(c)
|
0.27%
|
304%
|
$784,940
|
Institutional
Class
|
Year
Ended 8/31/2019
|
$9.36
|
4.62%
|
1.27%
|
1.27%
|
2.43%
|
226%
|
$502,726
|
Year
Ended 8/31/2018
|
$9.08
|
0.55%
|
1.34%
(c)
|
1.34%
(c)
|
1.18%
|
256%
|
$570,839
|
Year
Ended 8/31/2017(e)
|
$9.03
|
(0.77%)
|
1.45%
(c),(f)
|
1.45%
(c),(f)
|
0.34%
(f)
|
444%
|
$578,239
|
The accompanying Notes to Consolidated Financial Statements are an integral
part of this statement.
Multi-Manager
Alternative Strategies Fund | Annual Report 2019
|
59
|
Notes to Consolidated Financial Statements
August 31, 2019
Note 1. Organization
Multi-Manager Alternative Strategies 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
ASGM Offshore Fund, Ltd. and ASMF Offshore Fund, Ltd. (each, a
Subsidiary) are each a Cayman Islands exempted company and wholly-owned subsidiary of the Fund. Each Subsidiary acts as an investment vehicle in order to effect certain investment strategies consistent with the Fund’s investment objective and
policies as stated in its current prospectus and statement of additional information. In accordance with the Memorandum and Articles of Association of the Subsidiary (the Articles), the Fund owns the sole issued share of each Subsidiary and retains
all rights associated with such share, including the right to receive notice of, attend and vote at general meetings of the Subsidiaries, rights in a winding-up or repayment of capital and the right to participate in the profits or assets of the
Subsidiaries. The consolidated financial statements (financial statements) include the accounts of the consolidated Fund and each respective Subsidiary. Subsequent references to the Fund within the Notes to Consolidated Financial Statements
collectively refer to the Fund and each Subsidiary. All intercompany transactions and balances have been eliminated in the consolidation process.
At August 31, 2019, each Subsidiary’s financial
statement information is as follows:
|
ASGM
Offshore Fund, Ltd.
|
ASMF
Offshore Fund, Ltd.
|
%
of consolidated fund net assets
|
1.31%
|
2.76%
|
Net
assets
|
$6,610,659
|
$13,888,684
|
Net
investment income (loss)
|
77,628
|
157,020
|
Net
realized gain (loss)
|
(2,029,170)
|
(1,921,532)
|
Net
change in unrealized appreciation (depreciation)
|
(744,238)
|
(1,003,860)
|
The financial statements present
the portfolio holdings, financial position and results of operations of the Fund and the Subsidiaries on a consolidated basis.
Fund shares
The Trust may issue an unlimited number of shares (without par
value). The Fund is offered only through certain wrap fee programs sponsored and/or managed by Ameriprise Financial, Inc. (Ameriprise Financial) or its affiliates. The Fund offers each of the share classes listed in the Statement of Assets and
Liabilities which are not subject to any front-end sales charge or contingent deferred sales charge.
Note 2. Summary of significant accounting
policies
Basis of preparation
The Fund is an investment company that applies the accounting
and reporting guidance in the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946, Financial Services - Investment Companies (ASC 946). The financial statements are prepared
in accordance with U.S. generally accepted accounting principles (GAAP), which requires management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities, the disclosure of contingent assets and
liabilities at the date of the financial statements and the reported amounts of income and expenses during the reporting period. Actual results could differ from those estimates.
The following is a summary of significant accounting policies
followed by the Fund in the preparation of its financial statements.
60
|
Multi-Manager Alternative
Strategies Fund | Annual Report 2019
|
Notes to Consolidated Financial Statements (continued)
August 31, 2019
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 official closing price on the principal exchange or market on which they trade. 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.
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 determined at the scheduled closing time of the New York Stock Exchange. Many securities markets and exchanges outside the U.S. close prior to the close of the New York Stock Exchange; therefore, the
closing prices for securities in such markets or on such exchanges may not fully reflect events that occur after such close but before the close of the New York Stock Exchange. In those situations, foreign securities will be fair valued pursuant to
a policy adopted by the Board of Trustees. Under the policy, the Fund may utilize a third party pricing service to determine these fair values. The third-party pricing service takes into account multiple factors, including, but not limited to,
movements in the U.S. securities markets, certain depositary receipts, futures contracts and foreign exchange rates that have occurred subsequent to the close of the foreign exchange or market, to determine a good faith estimate that reasonably
reflects the current market conditions as of the close of the New York Stock Exchange. The fair value of a security is likely to be different from the quoted or published price, if available.
Investments in open-end investment companies, 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 mid-market evaluations from independent third-party vendors.
Swap transactions are valued through an independent pricing
service or broker, or if neither is available, through an internal model based upon observable inputs.
Investments for which market quotations are not readily
available, or that have quotations which management believes are not reflective of market value or reliable, are valued at fair value as determined in good faith under procedures approved by 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.
Multi-Manager
Alternative Strategies Fund | Annual Report 2019
|
61
|
Notes to Consolidated Financial Statements (continued)
August 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 Consolidated
Portfolio of Investments.
Foreign currency transactions
and translations
The values of all assets and
liabilities denominated in foreign currencies are generally translated into U.S. dollars at exchange rates determined at the close of regular trading on the New York Stock Exchange. Net realized and unrealized gains (losses) on foreign currency
transactions and translations include gains (losses) arising from the fluctuation in exchange rates between trade and settlement dates on securities transactions, gains (losses) arising from the disposition of foreign currency and currency gains
(losses) between the accrual and payment dates on dividends, interest income and foreign withholding taxes.
For financial statement purposes, the Fund does not
distinguish that portion of gains (losses) on investments which is due to changes in foreign exchange rates from that which is due to changes in market prices of the investments. Such fluctuations are included with the net realized and unrealized
gains (losses) on investments in the Consolidated Statement of Operations.
Derivative instruments
The Fund invests in certain derivative instruments, as
detailed below, 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
62
|
Multi-Manager Alternative
Strategies Fund | Annual Report 2019
|
Notes to Consolidated Financial Statements (continued)
August 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 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, to shift foreign currency exposure back to U.S. dollars, to shift investment exposure from one currency to another and 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 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 produce incremental earnings, to manage the duration and yield curve exposure of the Fund versus the
benchmark, to manage exposure to movements in interest rates, to manage exposure to the securities market and to manage commodity, government bond and currency exposure. These instruments may be used for other purposes in future periods. Upon
entering into futures contracts, the Fund bears risks that
Multi-Manager
Alternative Strategies Fund | Annual Report 2019
|
63
|
Notes to Consolidated Financial Statements (continued)
August 31, 2019
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.
Options
contracts
Options are contracts which entitle the holder
to purchase or sell securities or other identified assets at a specified price, or in the case of index option contracts, to receive or pay the difference between the index value and the strike price of the index option contract. Option contracts
can be either exchange-traded or over-the-counter. The Fund purchased and wrote option contracts to decrease the Fund’s exposure to equity market risk and increase return on investments, to protect gains, and to facilitate buying and selling
of securities for investments. These instruments may be used for other purposes in future periods. Completion of transactions for option contracts traded in the over-the-counter market depends upon the performance of the other party. 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
64
|
Multi-Manager Alternative
Strategies Fund | Annual Report 2019
|
Notes to Consolidated Financial Statements (continued)
August 31, 2019
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 swap contracts
The Fund entered into total return swap contracts to manage
long or short exposure to the total return on a specified reference security in return for periodic payments based on a fixed or variable interest rate, to manage long or short exposure to the total return on a reference security index in return for
periodic payments based on a fixed or variable interest rate and to obtain synthetic exposure to bond, commodity and equity index futures. These instruments may be used for other purposes in future periods. Total return swap contracts may be used to
obtain exposure to an underlying reference security, instrument, or other asset or index or market without owning, taking physical custody of, or short selling any such security, instrument or asset in a market.
Total return swap contracts are valued daily, and the change
in value is recorded as unrealized appreciation (depreciation) until the termination of the swap, at which time the Fund will realize a gain (loss). Periodic payments received (or made) by the Fund over the term of the contract are recorded as
realized gains (losses). Total return swap contracts are subject to the risk associated with the investment in the underlying reference security, instrument or asset. The risk in the case of short total return swap contracts is unlimited based on
the potential for unlimited increases in the market value of the underlying reference security, instrument or asset. This risk may be offset if the Fund holds any of the underlying reference security, instrument or asset. The risk in the case of
long total return swap contracts is limited to the current notional amount of the total return swap contract.
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 August 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 futures contracts
|
231,092*
|
Equity
risk
|
Investments,
at value — Options Purchased
|
433,242
|
Foreign
exchange risk
|
Unrealized
appreciation on forward foreign currency exchange contracts
|
2,941,103
|
Foreign
exchange risk
|
Component
of total distributable earnings (loss) — unrealized appreciation on futures contracts
|
1,913,711*
|
Interest
rate risk
|
Component
of total distributable earnings (loss) — unrealized appreciation on futures contracts
|
2,335,818*
|
Interest
rate risk
|
Component
of total distributable earnings (loss) — unrealized appreciation on swap contracts
|
97,368*
|
Commodity-related
investment risk
|
Component
of total distributable earnings (loss) — unrealized appreciation on futures contracts
|
1,095,542*
|
Commodity-related
investment risk
|
Component
of total distributable earnings (loss) — unrealized appreciation on swap contracts
|
84,983*
|
Total
|
|
9,132,859
|
Multi-Manager
Alternative Strategies Fund | Annual Report 2019
|
65
|
Notes to Consolidated Financial Statements (continued)
August 31, 2019
|
Liability
derivatives
|
|
Risk
exposure
category
|
Consolidated
statement
of assets and liabilities
location
|
Fair
value ($)
|
Equity
risk
|
Component
of total distributable earnings (loss) — unrealized depreciation on futures contracts
|
223,261*
|
Equity
risk
|
Options
contracts written, at value
|
101,333
|
Equity
risk
|
Component
of total distributable earnings (loss) — unrealized depreciation on swap contracts
|
3,177*
|
Foreign
exchange risk
|
Unrealized
depreciation on forward foreign currency exchange contracts
|
2,468,749
|
Foreign
exchange risk
|
Component
of total distributable earnings (loss) — unrealized depreciation on futures contracts
|
658,982*
|
Interest
rate risk
|
Component
of total distributable earnings (loss) — unrealized depreciation on futures contracts
|
109,509*
|
Interest
rate risk
|
Component
of total distributable earnings (loss) — unrealized depreciation on swap contracts
|
528*
|
Commodity-related
investment risk
|
Component
of total distributable earnings (loss) — unrealized depreciation on futures contracts
|
294,135*
|
Commodity-related
investment risk
|
Component
of total distributable earnings (loss) — unrealized depreciation on swap contracts
|
515*
|
Total
|
|
3,860,189
|
*
|
Includes
cumulative appreciation (depreciation) as reported in the tables following the Consolidated Portfolio of Investments. Only the current day’s variation margin is reported in receivables or payables in the Consolidated Statement of Assets and
Liabilities.
|
The following table
indicates the effect of derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) in the Consolidated Statement of Operations for the year ended August 31, 2019:
Amount
of realized gain (loss) on derivatives recognized in income
|
Risk
exposure category
|
Forward
foreign
currency
exchange
contracts
($)
|
Futures
contracts
($)
|
Options
contracts
written
($)
|
Options
contracts
purchased
($)
|
Swap
contracts
($)
|
Total
($)
|
Commodity-related
investment risk
|
—
|
(4,154,842)
|
—
|
—
|
206,043
|
(3,948,799)
|
Equity
risk
|
—
|
(4,650,081)
|
114,486
|
(411,154)
|
174,313
|
(4,772,436)
|
Foreign
exchange risk
|
—
|
(1,230,016)
|
—
|
—
|
—
|
(1,230,016)
|
Interest
rate risk
|
561,987
|
12,822,786
|
—
|
—
|
1,219,766
|
14,604,539
|
Total
|
561,987
|
2,787,847
|
114,486
|
(411,154)
|
1,600,122
|
4,653,288
|
|
Change
in unrealized appreciation (depreciation) on derivatives recognized in income
|
Risk
exposure category
|
Forward
foreign
currency
exchange
contracts
($)
|
Futures
contracts
($)
|
Options
contracts
written
($)
|
Options
contracts
purchased
($)
|
Swap
contracts
($)
|
Total
($)
|
Commodity-related
investment risk
|
—
|
(1,496,111)
|
—
|
—
|
(254,388)
|
(1,750,499)
|
Equity
risk
|
—
|
(2,397,908)
|
(4,652)
|
93,528
|
(42,960)
|
(2,351,992)
|
Foreign
exchange risk
|
24,057
|
741,057
|
—
|
—
|
—
|
765,114
|
Interest
rate risk
|
—
|
2,006,155
|
—
|
—
|
(59,859)
|
1,946,296
|
Total
|
24,057
|
(1,146,807)
|
(4,652)
|
93,528
|
(357,207)
|
(1,391,081)
|
The following table is a summary
of the average outstanding volume by derivative instrument for the year ended August 31, 2019:
Derivative
instrument
|
Average
notional
amounts ($)*
|
Futures
contracts — long
|
537,886,306
|
Futures
contracts — short
|
241,597,787
|
66
|
Multi-Manager Alternative
Strategies Fund | Annual Report 2019
|
Notes to Consolidated Financial Statements (continued)
August 31, 2019
Derivative
instrument
|
Average
value ($)*
|
Options
contracts — purchased
|
398,955
|
Options
contracts — written
|
(45,093)
|
Derivative
instrument
|
Average
unrealized
appreciation ($)*
|
Average
unrealized
depreciation ($)*
|
Forward
foreign currency exchange contracts
|
3,087,625
|
(2,867,404)
|
Total
return swap contracts
|
144,706
|
(119,733)
|
*
|
Based on
the ending quarterly outstanding amounts for the year ended August 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.
Mortgage dollar roll transactions
The Fund may enter into mortgage “dollar rolls” in
which the Fund sells securities for delivery in the current month and simultaneously contracts with the same counterparty to repurchase similar but not identical securities (same type, coupon and maturity) on a specified future date. During the roll
period, the Fund loses the right to receive principal and interest paid on the securities sold. However, the Fund will benefit because it receives negotiated amounts in the form of reductions of the purchase price for the future purchase plus the
interest earned on the cash proceeds of the securities sold until the settlement date of the forward purchase. The Fund records the incremental difference between the forward purchase and sale of each forward roll as a realized gain or loss. Unless
any realized gains exceed the income, capital appreciation, and gain or loss due to mortgage prepayments that would have been realized on the securities sold as part of the mortgage dollar roll, the use of this technique will diminish the investment
performance of the Fund compared to what the performance would have been without the use of mortgage dollar rolls. All cash proceeds will be invested in instruments that are permissible investments for the Fund. The Fund identifies cash or liquid
securities in an amount equal to the forward purchase price.
For financial reporting and tax purposes, the Fund treats
“to be announced” mortgage dollar rolls as two separate transactions, one involving the purchase of a security and a separate transaction involving a sale. These transactions may increase the Fund’s portfolio turnover rate. The
Fund does not currently enter into mortgage dollar rolls that are accounted for as financing transactions.
Mortgage dollar rolls involve the risk that the market value
of the securities the Fund is obligated to repurchase may decline below the repurchase price, or that the counterparty may default on its obligations.
Interest only and principal only securities
The Fund may invest in Interest Only (IO) or Principal Only
(PO) securities. IOs are stripped securities entitled to receive all of the security’s interest, but none of its principal. IOs are particularly sensitive to changes in interest rates and therefore subject to greater fluctuations in price than
typical interest bearing debt securities. IOs are also subject to credit risk because the Fund may not receive all or part of the interest payments if the issuer, obligor, guarantor or counterparty defaults on its obligation. Payments received for
IOs are included in interest income on the Consolidated Statement of Operations. Because no principal will be received at the maturity of an IO, adjustments are made to the cost of the security on a monthly basis until maturity. These adjustments
are included in interest income on the Consolidated Statement of Operations. POs are
Multi-Manager
Alternative Strategies Fund | Annual Report 2019
|
67
|
Notes to Consolidated Financial Statements (continued)
August 31, 2019
stripped securities
entitled to receive the principal from the underlying obligation, but not the interest. POs are particularly sensitive to changes in interest rates and therefore are subject to fluctuations in price. POs are also subject to credit risk because the
Fund may not receive all or part of its principal if the issuer, obligor, guarantor or counterparty defaults on its obligation. The Fund may also invest in IO or PO stripped mortgage-backed securities. Payments received for POs are treated as
reductions to the cost and par value of the securities.
Short sales
The Fund may sell a security it does not own in anticipation
of a decline in the fair value of the security. When the Fund sells a security short, it must borrow the security sold short and deliver it to the broker-dealer through which it made the short sale. The Fund is required to maintain a margin account
with the broker and to pledge assets to the broker as collateral for the borrowed security. Securities pledged as collateral are designated in the Consolidated Portfolio of Investments. In addition, the collateral is recorded as cash collateral held
at broker in the Consolidated Statement of Assets and Liabilities. The Fund can purchase the same security at the current market price and deliver it to the broker to close out the short sale. The Fund is obligated to pay the broker a fee for
borrowing the security and may receive rebate income from the investment of collateral. The net amount of income or fees is included in “Interest income” (for net income received) or “Dividends and interest on securities sold
short” (for net expense) in the Consolidated Statement of Operations. A short position is reported as a liability at fair value in the Consolidated Statement of Assets and Liabilities. The Fund must also pay the broker for any dividends
accrued (recognized on ex-date) on the borrowed security. This amount is recorded as an expense in the Consolidated Statement of Operations. The Fund will record a gain if the security declines in value, and will realize a loss if the security
appreciates. Such gain, limited to the price at which the Fund sold the security short, or such loss, potentially unlimited in size because the short position loses value as the market price of the security sold short increases, will be recognized
upon the termination of a short sale.
68
|
Multi-Manager Alternative
Strategies Fund | Annual Report 2019
|
Notes to Consolidated Financial Statements (continued)
August 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 August 31, 2019:
|
ANZ
($)
|
Barclays
($)
|
BMO
($)
|
Citi
($) (a)
|
Citi
($) (a)
|
Citi
($) (a)
|
CIBC
($)
|
Goldman
Sachs
($)(a)
|
Goldman
Sachs
($)(a)
|
HSBC
($)
|
JPMorgan
($) (a)
|
JPMorgan
($) (a)
|
Morgan
Stanley
($)
|
RBC
Capital
Markets
($)
|
Standard
Chartered
($)
|
State
Street
($)
|
UBS
($)
|
Total
($)
|
Assets
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Forward
foreign currency exchange contracts
|
138,797
|
-
|
18,004
|
875,770
|
371,266
|
|
3,428
|
300,238
|
47,265
|
63,853
|
875,743
|
45,998
|
46,802
|
31,307
|
12,633
|
26,476
|
83,523
|
2,941,103
|
Options
purchased calls
|
-
|
-
|
-
|
-
|
|
|
-
|
13,523
|
-
|
-
|
-
|
-
|
-
|
-
|
-
|
-
|
-
|
13,523
|
Options
purchased puts
|
-
|
-
|
-
|
-
|
|
|
-
|
419,719
|
-
|
-
|
-
|
-
|
-
|
-
|
-
|
-
|
-
|
419,719
|
OTC
total return swap contracts on futures (b)
|
-
|
97,368
|
-
|
-
|
|
84,983
|
-
|
-
|
-
|
-
|
-
|
-
|
-
|
-
|
-
|
-
|
-
|
182,351
|
Total
assets
|
138,797
|
97,368
|
18,004
|
875,770
|
371,266
|
84,983
|
3,428
|
733,480
|
47,265
|
63,853
|
875,743
|
45,998
|
46,802
|
31,307
|
12,633
|
26,476
|
83,523
|
3,556,696
|
Liabilities
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Forward
foreign currency exchange contracts
|
32,027
|
-
|
-
|
934,435
|
71,088
|
|
12,202
|
123,958
|
40,722
|
26,007
|
934,208
|
64,722
|
75,650
|
37,097
|
2,126
|
31,703
|
82,804
|
2,468,749
|
Options
contracts written
|
-
|
-
|
-
|
-
|
|
|
-
|
101,333
|
-
|
-
|
-
|
-
|
-
|
-
|
-
|
-
|
-
|
101,333
|
OTC
total return swap contracts on futures (b)
|
-
|
528
|
-
|
-
|
|
515
|
-
|
-
|
-
|
-
|
3,177
|
-
|
-
|
-
|
-
|
-
|
-
|
4,220
|
Securities
borrowed
|
-
|
-
|
-
|
-
|
|
|
-
|
21,778,896
|
-
|
-
|
-
|
-
|
-
|
-
|
-
|
-
|
-
|
21,778,896
|
Total
liabilities
|
32,027
|
528
|
-
|
934,435
|
71,088
|
515
|
12,202
|
22,004,187
|
40,722
|
26,007
|
937,385
|
64,722
|
75,650
|
37,097
|
2,126
|
31,703
|
82,804
|
24,353,198
|
Total
financial and derivative net assets
|
106,770
|
96,840
|
18,004
|
(58,665)
|
300,178
|
84,468
|
(8,774)
|
(21,270,707)
|
6,543
|
37,846
|
(61,642)
|
(18,724)
|
(28,848)
|
(5,790)
|
10,507
|
(5,227)
|
719
|
(20,796,502)
|
Total
collateral received (pledged) (c)
|
-
|
96,840
|
-
|
(58,665)
|
-
|
-
|
-
|
(21,270,707)
|
-
|
-
|
(61,642)
|
-
|
-
|
-
|
-
|
-
|
-
|
(21,294,174)
|
Net
amount (d)
|
106,770
|
-
|
18,004
|
-
|
300,178
|
84,468
|
(8,774)
|
-
|
6,543
|
37,846
|
-
|
(18,724)
|
(28,848)
|
(5,790)
|
10,507
|
(5,227)
|
719
|
497,672
|
(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.
|
Multi-Manager
Alternative Strategies Fund | Annual Report 2019
|
69
|
Notes to Consolidated Financial Statements (continued)
August 31, 2019
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.
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.
The Fund may receive other income from senior loans, including
amendment fees, consent fees and commitment fees. These fees are recorded as income when received by the Fund. These amounts are included in Interest Income in the Statement of Operations.
Expenses
General expenses of the Trust are allocated to the Fund and
other funds of the Trust based upon relative net assets or other expense allocation methodologies determined by the nature of the expense. Expenses directly attributable to the Fund are charged to the Fund. Expenses directly attributable to a
specific class of shares are charged to that share class.
Determination of class net asset value
All income, expenses (other than class-specific expenses,
which are charged to that share class, as shown in the 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.
70
|
Multi-Manager Alternative
Strategies Fund | Annual Report 2019
|
Notes to Consolidated Financial Statements (continued)
August 31, 2019
Foreign taxes
The Fund may be subject to foreign taxes on income, gains on
investments or currency repatriation, a portion of which may be recoverable. The Fund will accrue such taxes and recoveries, as applicable, based upon its current interpretation of tax rules and regulations that exist in the markets in which it
invests.
Realized gains in certain countries may be
subject to foreign taxes at the Fund level, based on statutory rates. The Fund accrues for such foreign taxes on realized and unrealized gains at the appropriate rate for each jurisdiction, as applicable. The amount, if any, is disclosed as a
liability on the Consolidated Statement of Assets and Liabilities.
Distributions to shareholders
Distributions from net investment income, if any, are declared
and paid annually. Net realized capital gains, if any, are distributed at least annually. Income distributions and capital gain distributions are determined in accordance with federal income tax regulations, which may differ from GAAP.
Guarantees and indemnifications
Under the Trust’s organizational documents and, in some
cases, by contract, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Trust or its funds. In addition, certain of the Fund’s contracts with its service providers contain
general indemnification clauses. The Fund’s maximum exposure under these arrangements is unknown since the amount of any future claims that may be made against the Fund cannot be determined, and the Fund has no historical basis for predicting
the likelihood of any such claims.
Recent accounting
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. The standard is effective for annual periods beginning after December 15, 2019 and interim periods within
those fiscal years, with early adoption permitted. After evaluation, management determined to adopt the ASU effective for the period ended August 31, 2019 and all subsequent periods. As a result of the amendments, management implemented disclosure
changes which include removal of the amount and reasons for transfers between Level 1 and Level 2 of the fair value hierarchy, removal of the policy for the timing of transfers between levels, removal of the description of the Level 3 valuation
processes, as well as modifications to the measurement uncertainty disclosure.
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
Multi-Manager
Alternative Strategies Fund | Annual Report 2019
|
71
|
Notes to Consolidated Financial Statements (continued)
August 31, 2019
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 services. The Investment Manager is responsible for the ultimate oversight of investments made by the Fund. The Fund’s subadvisers (see Subadvisory agreements below) have the primary
responsibility for the day-to-day portfolio management of their portion of the Fund. The management services fee is an annual fee that is equal to a percentage of the Fund’s daily net assets that declines from 1.10% to 0.95% as the
Fund’s net assets increase. The effective management services fee rate for the year ended August 31, 2019 was 1.10% of the Fund’s average daily net assets.
Subadvisory agreements
The Investment Manager has entered into Subadvisory Agreements
with AlphaSimplex Group, LLC, AQR Capital Management, LLC, Manulife Investment Management (US) LLC, TCW Investment Management Company LLC and Water Island Capital, LLC, each of which subadvises a portion of the assets of the Fund. Effective May 7,
2019, Manulife Asset Management US) LLC has changed its name to Manulife Investment Management (US) LLC. New investments in the Fund, net of any redemptions, are allocated in accordance with the Investment Manager’s determination, subject to
the oversight of the Fund’s Board of Trustees. Each subadviser’s proportionate share of investments in the Fund will vary due to market fluctuations. The Investment Manager compensates each subadviser to manage the investment of the
Fund’s assets.
Compensation of board members
Members of the Board of Trustees who are not officers or
employees of the Investment Manager or Ameriprise Financial are compensated for their services to the Fund as disclosed in the Consolidated Statement of Operations. 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.
72
|
Multi-Manager Alternative
Strategies Fund | Annual Report 2019
|
Notes to Consolidated Financial Statements (continued)
August 31, 2019
The
Transfer Agent also receives compensation from the Fund for various shareholder services and reimbursements for certain out-of-pocket fees.
For the year ended August 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
|
0.11
|
Institutional
Class
|
0.11
|
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.
The Fund may pay distribution fee of up to 0.25% of the
Fund’s average daily net assets attributable to Class A shares and a service fee of up to 0.25% of the Fund’s average daily net assets attributable to Class A shares, provided that the aggregate fee shall not exceed 0.25% of the
Fund’s average daily net assets attributable to Class A shares.
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:
|
January
1, 2019
through
December 31, 2019
|
Prior
to
January 1, 2019
|
Class
A
|
1.81%
|
1.88%
|
Institutional
Class
|
1.56
|
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.
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 August 31, 2019, these differences were primarily due to
differing treatment for deferral/reversal of wash sale losses, trustees’ deferred compensation, tax straddles, non-deductible expenses, capital loss carryforward, deemed distributions, derivative investments, re-characterization of
distributions for investments, swap investments, principal and/or interest of fixed income securities, foreign capital gains tax, investments in partnerships, foreign currency transactions, passive foreign
Multi-Manager
Alternative Strategies Fund | Annual Report 2019
|
73
|
Notes to Consolidated Financial Statements (continued)
August 31, 2019
investment company
(PFIC) holdings, 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) ($)
|
Paid
in
capital ($)
|
4,933,997
|
(3,436,325)
|
(1,497,672)
|
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.
The tax character of distributions paid during the years
indicated was as follows:
Year
Ended August 31, 2019
|
Year
Ended August 31, 2018
|
Ordinary
income ($)
|
Long-term
capital gains ($)
|
Total
($)
|
Ordinary
income ($)
|
Long-term
capital gains ($)
|
Total
($)
|
7,646,461
|
—
|
7,646,461
|
—
|
—
|
—
|
Short-term capital gain
distributions, if any, are considered ordinary income distributions for tax purposes.
At August 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 ($)
|
Net
unrealized
(depreciation) ($)
|
10,085,293
|
—
|
(43,015,205)
|
(26,307,552)
|
At August 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) ($)
|
Net
unrealized
(depreciation) ($)
|
523,337,534
|
3,924,567
|
(30,232,119)
|
(26,307,552)
|
Tax cost of investments and
unrealized appreciation/(depreciation) may also include timing differences that do not constitute adjustments to tax basis.
The following capital loss carryforwards, determined at August
31, 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 August 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
($)
|
(12,164,980)
|
(30,850,225)
|
(43,015,205)
|
819,407
|
—
|
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.
74
|
Multi-Manager Alternative
Strategies Fund | Annual Report 2019
|
Notes to Consolidated Financial Statements (continued)
August 31, 2019
Note 5. Portfolio information
The cost of purchases and proceeds from sales of securities,
excluding short-term investments and derivatives, if any, aggregated to $901,628,465 and $923,053,371, respectively, for the year ended August 31, 2019, of which $28,039,694 and $18,899,734, respectively, were U.S. government securities. The amount
of purchase and sale activity impacts the portfolio turnover rate reported in the Consolidated Financial Highlights.
Note 6. Affiliated money market fund
The Fund invests 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 did not borrow or lend money under the Interfund
Program during the year ended August 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 August 31,
2019.
Note 9. Significant risks
Shareholder concentration risk
At August 31, 2019, affiliated shareholders of record owned
100.0% of the outstanding shares of the Fund in one or more accounts. Subscription and redemption activity by concentrated accounts may have a significant effect on the operations of the Fund. In the case of a large redemption, the Fund may be
forced to sell investments at inopportune times, including its liquid positions, which may result in Fund losses and the Fund holding a higher percentage of less liquid positions. Large redemptions could result in decreased economies of scale and
increased operating expenses for non-redeeming Fund shareholders.
Multi-Manager
Alternative Strategies Fund | Annual Report 2019
|
75
|
Notes to Consolidated Financial Statements (continued)
August 31, 2019
Credit
risk
Credit risk is the risk that the value of debt
securities in the Fund’s portfolio may decline because the issuer defaults or otherwise becomes unable or unwilling, or is perceived to be unable or unwilling, to honor its financial obligations, such as making payments to the Fund when due.
Rating agencies assign credit ratings to certain debt instruments to indicate their credit risk. Lower rated or unrated debt instruments held by the Fund may present increased credit risk as compared to higher-rated debt instruments.
Derivatives risk
Losses involving derivative instruments may be substantial,
because a relatively small movement in the underlying reference (which is generally the price, rate or other economic indicator associated with a security(ies), commodity, currency 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, liquidity risk and pricing risk.
Interest rate risk
Interest rate risk is the risk of losses attributable to
changes in interest rates. In general, if 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.
Non-diversification risk
A non-diversified fund is permitted to invest a greater
percentage of its total assets in fewer issuers than a diversified fund. This increases the risk that a change in the value of any one investment held by the Fund could affect the overall value of the Fund more than it would affect that of a
diversified fund holding a greater number of investments. Accordingly, the Fund’s value will likely be more volatile than the value of a more diversified fund.
Short selling risk
Leverage occurs when the Fund increases its assets available
for investment using borrowings, short sales, derivatives, or similar instruments or techniques. Because short sales involve borrowing securities and then selling them, the Fund’s short sales effectively leverage the Fund’s assets. The
Fund’s assets that are used as collateral to secure the Fund’s obligations to return the securities sold short may decrease in value while the short positions are outstanding, which may force the Fund to use its other assets to increase
the collateral. Leverage can create an interest expense that may lower the Fund’s overall returns. Leverage presents the opportunity for increased net income and capital gains, but may also exaggerate the Fund’s volatility and risk of
loss. There can be no guarantee that a leveraging strategy will be successful.
Note 10. Subsequent events
Management has evaluated the events and transactions that
have occurred through the date the financial statements were issued and noted no items requiring adjustment of the financial statements or additional disclosure.
76
|
Multi-Manager Alternative
Strategies Fund | Annual Report 2019
|
Notes to Consolidated Financial Statements (continued)
August 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.
Multi-Manager
Alternative Strategies Fund | Annual Report 2019
|
77
|
Report of Independent Registered Public Accounting Firm
To the
Board of Trustees of Columbia Funds Series Trust I and Shareholders of Multi-Manager Alternative Strategies Fund
Opinion on the Financial Statements
We have audited the accompanying consolidated statement of
assets and liabilities, including the consolidated portfolio of investments, of Multi-Manager Alternative Strategies Fund (one of the funds constituting Columbia Funds Series Trust I, hereafter referred to as the “Fund”) as of August 31,
2019, the related consolidated statement of operations for the year ended August 31, 2019, the consolidated statement of changes in net assets for each of the two years in the period ended August 31, 2019, including the related notes, and the
financial highlights for each of the periods indicated therein (collectively referred to as the “consolidated financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial
position of the Fund as of August 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 August 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 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 August 31, 2019, by correspondence with the custodian, transfer agent and brokers; when replies were not received from brokers, we performed other audit procedures.
We believe that our audits provide a reasonable basis for our opinion.
/s/PricewaterhouseCoopers LLP
Minneapolis, Minnesota
October 24, 2019
We have served as the auditor of one or more investment
companies within the Columbia Funds Complex since 1977.
78
|
Multi-Manager Alternative
Strategies Fund | Annual Report 2019
|
Federal Income Tax Information
(Unaudited)
The Fund hereby designates the following tax attributes for
the fiscal year ended August 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
|
26.02%
|
26.21%
|
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.
TRUSTEES AND OFFICERS
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), September 2007-October 2018
|
70
|
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, December 2002-May 2006; President of UAL Loyalty Services (airline marketing company), September 2001-December 2002; Executive Vice President and Chief
Financial Officer of United Airlines, July 1999-September 2001
|
70
|
Spartan
Nash Company, (food distributor); former Director, Nash Finch Company (food distributor), 2005-2013; Aircastle Limited (aircraft leasing); former Director, SeaCube Container Leasing Ltd. (container leasing), 2010-2013; 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), 1997-2010; Chair, Wellington Management Portfolios (commingled non-U.S. investment pools), 2007-2010; Director, Wellington Trust Company, NA
and other Wellington affiliates, 1997-2010
|
70
|
None
|
Multi-Manager
Alternative Strategies Fund | Annual Report 2019
|
79
|
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
|
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
|
70
|
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
|
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, August 2007-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, August 1999-October 2005;
University Professor, Boston College, November 2005-August 2007
|
70
|
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, 1988-2014
|
70
|
Former
Director, M Fund, Inc. (M Funds mutual fund family), July 2018-July 2019
|
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, 1994-1997, President – Application Systems Division, 1991-1994, Chief Financial Officer – US Marketing & Services, 1988-1991, and Chief Information Officer, 1987-1988, IBM Corporation
(computer and technology)
|
70
|
Former
Director, Enesco Group, Inc. (producer of giftware and home and garden decor products), 2001-2006
|
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, May
2010-February 2015; President, Columbia Funds, 2009-2015; and senior officer of Columbia Funds and affiliated funds, 2003-2015
|
70
|
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
|
80
|
Multi-Manager Alternative
Strategies 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, 2004-2010; Senior Partner, McKinsey & Company, 2001-2004
|
70
|
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, April 2016-September
2016; Senior Vice President and Chief Investment Officer, Calvert Investments, August 2008-January 2016; Section Head and Portfolio Manager, General Motors Asset Management, June 1997-August 2008
|
70
|
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
|
192
|
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, August 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.
Multi-Manager
Alternative Strategies Fund | Annual Report 2019
|
81
|
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 as of the printing of this report, 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.
|
82
|
Multi-Manager Alternative
Strategies Fund | Annual Report 2019
|
Board Consideration and Approval of
Management
and Subadvisory Agreements
On June 12, 2019, the Board of Trustees (the Board) and the
Trustees who are not interested persons (as defined in the Investment Company Act of 1940) (the Independent Trustees) of Columbia Funds Series Trust I (the Trust) unanimously approved the continuation of the Management Agreement (the Management
Agreement) with Columbia Management Investment Advisers, LLC (the Investment Manager) and the Subadvisory Agreements (the Subadvisory Agreements) between the Investment Manager and AlphaSimplex Group, LLC, AQR Capital Management, LLC, Manulife
Investment Management (US) LLC, TCW Investment Management Company LLC and Water Island Capital, LLC (the Subadvisers) with respect to Multi-Manager Alternative Strategies Fund (the Fund), a series of the Trust. As detailed below, the Board’s
Advisory Fees and Expenses Committee (the Committee) and the Board met on multiple occasions to review and discuss, among themselves, with the management team of the Investment Manager and with an independent fee consultant, materials provided by
the Investment Manager, the independent fee consultant and others before determining to approve the continuation of the Management Agreement and the Subadvisory Agreements (collectively, the Agreements).
In connection with their deliberations regarding the
continuation of the Management Agreement and the Subadvisory Agreements, the Committee and the Board evaluated materials requested from the Investment Manager regarding the Fund and the Agreements, and discussed these materials with representatives
of the Investment Manager at Committee meetings held on March 5, 2019, April 25, 2019 and June 11, 2019 and at Board meetings held on March 6, 2019 and June 12, 2019. In addition, the Board and its various committees consider matters bearing on the
Agreements at other meetings throughout the year and in prior years and meet regularly with senior management of the Trust and the Investment Manager. Through the Board’s Investment Oversight Committees, Trustees also meet with selected
portfolio managers of the funds the Trustees oversee and with other investment personnel at various times throughout the year. The Committee and the Board also consulted with the independent fee consultant, Fund counsel and the Independent
Trustees’ independent legal counsel, who advised on various matters with respect to the Committee’s and the Board’s considerations and otherwise assisted the Committee and the Board in their deliberations. On June 11, 2019, the
Committee recommended that the Board approve the continuation of the Management Agreement and the Subadvisory Agreements. On June 12, 2019, the Board, including the Independent Trustees, voting separately, unanimously approved the continuation of
the Management Agreement and the Subadvisory Agreements for the Fund.
The Committee and the Board considered all information that
they, their legal counsel or the Investment Manager believed reasonably necessary to evaluate and to determine whether to recommend for approval or approve the continuation of the Management Agreement and the Subadvisory Agreements. The information
and factors considered by the Committee and the Board in recommending for approval or approving the continuation of the Management Agreement and the Subadvisory Agreements for the Fund included the following:
•
|
Information on the
investment performance of the Fund relative to the performance of a group of mutual funds determined to be comparable to the Fund by an independent third-party data provider, as well as performance relative to benchmarks;
|
•
|
Information on the
Fund’s management fees and total expenses, including information comparing the Fund’s expenses to those of a group of comparable mutual funds, as determined by the independent third-party data provider;
|
•
|
The Investment
Manager’s agreement to contractually limit or cap total operating expenses for the Fund through December 31, 2020 so that total operating expenses (excluding certain fees and expenses, such as transaction costs and certain other investment
related expenses, interest, taxes, acquired fund fees and expenses, and infrequent and/or unusual expenses) would not exceed a specified annual rate, as a percentage of the Fund’s net assets;
|
•
|
The terms and conditions of
the Agreements;
|
•
|
The subadvisory fees payable
by the Investment Manager under the Subadvisory Agreements;
|
•
|
The current and proposed
terms and conditions of other agreements and arrangements with affiliates of the Investment Manager relating to the operations of the Fund, including agreements with respect to the provision of distribution, transfer agency and shareholder services
to the Fund;
|
•
|
Descriptions of various
functions performed by the Investment Manager and the Subadvisers under the Agreements, including portfolio management and portfolio trading practices;
|
Multi-Manager
Alternative Strategies Fund | Annual Report 2019
|
83
|
Board Consideration and Approval of Management
and Subadvisory Agreements (continued)
•
|
Information regarding the
management fees of similarly-managed portfolios of other clients of the Investment Manager, including institutional accounts and collective trusts;
|
•
|
Information regarding the
reputation, regulatory history and resources of the Investment Manager and Subadvisers, including information regarding senior management, portfolio managers and other personnel;
|
•
|
Information regarding the
capabilities of the Investment Manager and the Subadvisers with respect to compliance monitoring services, including an assessment of the Investment Manager’s and the Subadvisers’ compliance systems by the Fund’s Chief Compliance
Officer; and
|
•
|
The profitability to the
Investment Manager and its affiliates from their relationships with the Fund.
|
Nature, extent and quality of services provided under the
Agreements
The Committee and the Board considered the
nature, extent and quality of services provided to the Fund by the Investment Manager, the Subadvisers and the Investment Manager’s affiliates under the Agreements and under separate agreements for the provision of transfer agency and
shareholder services, and the resources dedicated to the Fund and the other Columbia Funds by the Investment Manager, the Subadvisers and the Investment Manager’s affiliates. The Committee and the Board considered, among other things, the
Investment Manager’s ability to attract, motivate and retain highly qualified research, advisory and supervisory investment professionals (including compensation programs for personnel involved in fund management, reputation and other
attributes), the portfolio management services provided by those investment professionals, and the quality of the Investment Manager’s and the Subadvisers’ investment research capabilities and trade execution services. The Committee and
the Board also considered the potential benefits to shareholders of investing in a mutual fund that is part of a fund complex offering exposure to a variety of asset classes and investment disciplines and providing a variety of fund and shareholder
services.
The Committee and the Board also considered
the professional experience and qualifications of the senior personnel of the Investment Manager and the Subadvisers, which included consideration of the Subadvisers’ experience with funds using an investment strategy similar to that used by
the Subadvisers for the Fund. The Committee and the Board noted the compliance programs of and the compliance-related resources provided to the Fund by the Investment Manager and its affiliates and the resources dedicated by the Investment Manager
and its affiliates to risk management, and considered the Investment Manager’s ability to provide administrative services to the Fund and coordinate the activities of the Fund’s other service providers. The Board also noted that, based
on information provided by the Investment Manager, the Board had approved each Subadviser’s code of ethics and compliance program, and that the Chief Compliance Officer of the Funds reports to the Trustees on each Subadviser’s compliance
program.
The Committee and the Board considered the
diligence and selection process undertaken by the Investment Manager to select each Subadviser, including the Investment Manager’s rationale for recommending the continuation of the Subadvisory Agreements, and the process for monitoring each
Subadviser’s ongoing performance of services for the Fund. As part of these deliberations, the Committee and the Board considered the ability of the Investment Manager, subject to the approval of the Board, to modify or enter into new
subadvisory agreements without a shareholder vote pursuant to an exemptive order of the Securities and Exchange Commission. The Committee and the Board also considered the scope of services provided to the Fund by the Investment Manager that are
distinct from and in addition to those provided by the Subadvisers, including cash flow management, treasury services, risk oversight, investment oversight and Subadviser selection, oversight and transition management. After reviewing these and
related factors, the Committee and the Board concluded, within the context of their overall conclusions, that the nature, extent and quality of the services provided to the Fund under the Agreements supported the continuation of the Management
Agreement and the Subadvisory Agreements.
Investment
performance
The Committee and the Board reviewed
information about the performance of the Fund over various time periods, including performance information relative to benchmarks, information that compared the performance of the Fund to the performance of a group of comparable mutual funds as
determined by the independent third-party data provider, and information and analysis provided by the independent fee consultant. The Committee and the Board also reviewed a description of the third party’s methodology for identifying the
Fund’s peer groups for purposes of performance and expense comparisons. Although
84
|
Multi-Manager Alternative
Strategies Fund | Annual Report 2019
|
Board Consideration and Approval of Management
and Subadvisory Agreements (continued)
the Fund’s performance lagged that of a relevant peer group for certain
(although not necessarily all) periods, the Committee and the Board concluded that other factors relevant to performance were sufficient, in light of other considerations, to support continuation of the Management Agreement and the Subadvisory
Agreement. Those factors included one or more of the following: (i) that the Fund’s performance, although lagging in certain recent periods, was stronger over the longer term; (ii) that the underperformance was attributable, to a significant
extent, to investment decisions that were reasonable and consistent with the Fund’s investment strategy and policies and that the Fund was performing within a reasonable range of expectations, given those investment decisions, market
conditions and the Fund’s investment strategy; (iii) that the Fund’s performance was competitive when compared to other relevant performance benchmarks or peer groups; and (iv) that the Investment Manager had taken or was taking steps
designed to help improve the Fund’s investment performance, including, but not limited to, replacing portfolio managers, enhancing the resources supporting the portfolio managers, or modifying investment strategies.
The Committee and the Board noted that, through December 31,
2018, the Fund’s performance was in the twenty-third, eighty-third and ninety-sixth percentile (where the best performance would be in the first percentile) of its category selected by the independent third-party data provider for the purposes
of performance comparisons for the one-, three- and five-year periods, respectively.
The Committee and the Board also considered the Investment
Manager’s and Subadvisers’ performance and reputation generally, the Investment Manager’s evaluation of each Subadviser’s contribution to the Fund’s broader investment mandate, the Investment Manager’s historical
responsiveness to Board concerns about performance, and the Investment Manager’s willingness to take steps intended to improve performance. After reviewing these and related factors, the Committee and the Board concluded, within the context of
their overall conclusions, that the performance of the Fund, the Investment Manager and the Subadvisers were sufficient, in light of other considerations, to support the continuation of the Management Agreement and the Subadvisory Agreements.
Investment management fee rates and other expenses
The Committee and the Board considered the management fees
charged to the Fund under the Management Agreement and the Subadvisory Agreements, as well as the total expenses incurred by the Fund. In assessing the reasonableness of the fees under the Management Agreement, the Committee and the Board
considered, among other information, the Fund’s total expense ratio as a percentage of average daily net assets. The Committee and the Board considered data provided by the independent third-party data provider and the independent fee
consultant. The Committee and the Board noted that, as of December 31, 2018, the Fund’s actual management fee and net total expense ratio were ranked in the third and second quintiles, respectively, (where the lowest fees and expenses would be
in the first quintile) against the Fund’s expense universe as determined by the independent third-party data provider for purposes of expense comparison. The Committee and the Board also considered the fees that the Subadvisers charge to their
other clients and noted that the Investment Manager pays the fees of the Subadvisers. The Committee and the Board also took into account the fee waiver and expense limitation arrangements agreed to by the Investment Manager, as noted above.
The Committee and the Board also received and considered
information about the management fees charged by the Investment Manager to institutional accounts. In considering the fees charged to those accounts, the Committee and the Board took into account, among other things, the Investment Manager’s
representations about the differences between managing mutual funds as compared to other types of accounts, including differences in the services provided, differences in the risk profile of such business for the Investment Manager and the
additional resources required to manage mutual funds effectively. The Committee and the Board also received and considered information about the fees charged by the Investment Manager for sub-advisory services it provides to comparable unaffiliated
funds. In evaluating the Fund’s management fees, the Committee and the Board also took into account the demands, complexity and quality of the investment management of the Fund.
After reviewing these and related factors, the Committee and
the Board concluded, within the context of their overall conclusions, that the management fee rates and expenses of the Fund, in light of other considerations, supported the continuation of the Management Agreement and the Subadvisory
Agreements.
Multi-Manager
Alternative Strategies Fund | Annual Report 2019
|
85
|
Board Consideration and Approval of Management
and Subadvisory Agreements (continued)
Costs of services provided and profitability
The Committee and the Board also took note of the costs the
Investment Manager and its affiliates incur in connection with the services provided and the profitability to the Investment Manager and its affiliates from their relationships with the Fund, and the efforts undertaken by the Investment Manager and
its affiliates to manage efficiently their costs to provide such services.
The Committee and the Board also considered the compensation
directly or indirectly received by the Investment Manager’s affiliates in connection with their relationships with the Fund. The Committee and the Board reviewed information provided by management as to the profitability to the Investment
Manager and its affiliates of their relationships with the Fund, including with respect to funds for which unaffiliated subadvisers provide services, information about changes in profitability in connection with a change in the Fund’s
subadviser, information about the allocation of expenses used to calculate profitability, and comparisons of profitability levels realized in 2018 to profitability levels realized in 2017. When reviewing profitability, the Committee and the Board
also considered court cases in which adviser profitability was an issue in whole or in part, the performance of similarly managed funds, the performance of the Fund, and the expense ratio of the Fund. In addition, the Committee and the Board
considered information provided by the Investment Manager regarding the Investment Manager’s financial condition and comparing its profitability to that of other asset management firms that are, or are subsidiaries of, publicly traded
companies. In this regard, the Committee and the Board also considered data provided by the independent fee consultant. Because the Subadvisory Agreements were negotiated at arms-length by the Investment Manager, which is responsible for payments to
the Subadvisers thereunder, the Committee and the Board did not consider the profitability to each Subadviser from its relationship with the Fund.
After reviewing these and related factors, the Committee and
the Board concluded, within the context of their overall conclusions, that the costs of services provided and the profitability to the Investment Manager and its affiliates from their relationships with the Fund supported the continuation of the
Management Agreement and the Subadvisory Agreements.
Economies of scale
The Committee and the Board considered the potential
existence of economies of scale in the provision by the Investment Manager of services to the Fund, to groups of related funds, and to the Investment Manager’s investment advisory clients as a whole, and whether those economies of scale were
shared with the Fund through breakpoints in investment management fees or other means, such as expense limitation arrangements and additional investments by the Investment Manager in investment, trading, compliance and other resources. The Committee
and the Board noted that the management fee schedules for the Fund contained breakpoints that would reduce the fee rate on assets above specified threshold levels.
The Committee and the Board noted that the breakpoints in the
Subadvisory Agreements did not occur at the same levels as the breakpoints in the Management Agreement. The Committee and the Board noted that absent a shareholder vote, the Investment Manager would bear any increase in fees payable under the
Subadvisory Agreements. The Committee and the Board also noted the potential challenges of seeking to tailor the Management Agreement breakpoints to those of a subadvisory agreement in this context, and the effect that capacity constraints on a
subadviser’s ability to manage assets could potentially have on the ability of the Investment Manager to achieve economies of scale, as new subadvisers may need to be added as the Fund grows, increasing the Investment Manager’s cost of
compensating and overseeing the Fund’s subadvisers.
In considering these matters, the Committee and the Board also
considered the costs of the services provided and the profitability to the Investment Manager and its affiliates from their relationships with the Fund, as noted above. After reviewing these and related factors, the Committee and the Board
concluded, within the context of their overall conclusions, that the extent to which any economies of scale were expected to be shared with the Fund supported the continuation of the Management Agreement and the Subadvisory Agreements.
Other benefits to the Investment Manager and
Subadvisers
The Committee and the Board received and
considered information regarding “fall-out” or ancillary benefits received by the Investment Manager and its affiliates as a result of their relationships with the Fund, such as the engagement of the Investment Manager’s affiliates
to provide distribution, transfer agency and shareholder services to the Fund. In this regard,
86
|
Multi-Manager Alternative
Strategies Fund | Annual Report 2019
|
Board Consideration and Approval of Management
and Subadvisory Agreements (continued)
among other matters, the Committee and the Board considered that the
Fund’s distributor retains a portion of the distribution fees from the Fund and receives a portion of the sales charges on sales or redemptions of certain classes of shares of the Fund. The Committee and the Board also considered the benefits
of research made available to the Subadvisers by reason of brokerage commissions generated by the Fund’s securities transactions, and reviewed information about the Investment Manager’s practices with respect to considering brokerage and
research services when allocating portfolio transactions. In this connection, the Board also noted that the amount of research made available to the Investment Manager by reason of brokerage commissions had been declining over time, and may decline
further. The Committee and the Board recognized that the Investment Manager’s profitability would be somewhat lower without these benefits.
Conclusion
The Committee and the Board reviewed all of the above
considerations in reaching their decisions to recommend or approve the continuation of the Management Agreement and the Subadvisory Agreements. In their deliberations, the Trustees did not identify any particular information that was all-important
or controlling, and individual Trustees may have attributed different weights to the various factors. Based on their evaluation of all factors that they deemed to be material, including those factors described above, and assisted by the advice of
independent legal counsel, the Board, including the Independent Trustees, voting separately, unanimously approved the continuation of the Management Agreement and the Subadvisory Agreements.
Multi-Manager
Alternative Strategies Fund | Annual Report 2019
|
87
|
Multi-Manager Alternative Strategies Fund
P.O. Box 219104
Kansas City, MO 64121-9104
Please read and consider the investment objectives, risks,
charges and expenses for any fund carefully before investing. For a prospectus and summary prospectus, which contains this and other important information about the Fund, go to
columbiathreadneedleus.com/investor/. The Fund is distributed by Columbia Management Investment Distributors, Inc., member FINRA, and managed by Columbia Management Investment Advisers, LLC.
Columbia Threadneedle Investments (Columbia Threadneedle) is
the global brand name of the Columbia and Threadneedle group of companies. All rights reserved.
© 2019 Columbia Management Investment Advisers, LLC.
columbiathreadneedleus.com/investor/
Annual
Report
August 31, 2019
Columbia Global Energy and Natural Resources
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
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3
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6
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8
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9
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12
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14
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15
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18
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22
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31
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32
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36
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Columbia Global Energy and Natural Resources Fund (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-PORT, and for reporting periods ended prior to March 31, 2019, on Form N-Q. The Fund’s Form N-Q and Form N-PORT filings are available on the SEC’s website at sec.gov.
The Fund’s complete schedule of portfolio holdings, as filed on Form N-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 (the Investment Manager)
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 Global
Energy and Natural Resources Fund | Annual Report 2019
Investment objective
The Fund seeks long-term capital
appreciation.
Portfolio
management
Josh Kapp, CFA
Portfolio
Manager
Managed Fund
since 2011
Morningstar
style boxTM
The Morningstar
Style Box is based on a fund’s portfolio holdings. For equity funds, the vertical axis shows the market capitalization of the stocks owned, and the horizontal axis shows investment style (value, blend, or growth). Information shown is based on
the most recent data provided by Morningstar.
© 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 August 31, 2019)
|
|
|
Inception
|
1
Year
|
5
Years
|
10
Years
|
Class
A
|
Excluding
sales charges
|
09/28/07
|
-18.32
|
-6.05
|
0.97
|
|
Including
sales charges
|
|
-23.01
|
-7.15
|
0.37
|
Advisor
Class*
|
11/08/12
|
-18.09
|
-5.81
|
1.23
|
Class
C
|
Excluding
sales charges
|
09/28/07
|
-18.92
|
-6.75
|
0.22
|
|
Including
sales charges
|
|
-19.72
|
-6.75
|
0.22
|
Institutional
Class
|
12/31/92
|
-18.06
|
-5.80
|
1.23
|
Institutional
2 Class*
|
11/08/12
|
-17.97
|
-5.66
|
1.34
|
Institutional
3 Class*
|
03/01/17
|
-17.94
|
-5.72
|
1.28
|
Class
R*
|
09/27/10
|
-18.53
|
-6.28
|
0.72
|
Blended
Benchmark
|
|
-12.78
|
-3.35
|
2.80
|
S&P
North American Natural Resources Sector Index
|
|
-18.00
|
-7.95
|
1.83
|
Returns for Class A shares are shown
with and without the maximum initial sales charge of 5.75%. Returns for Class C shares are shown with and without the 1.00% contingent deferred sales charge for the first year only. The Fund’s other share classes are not subject to sales
charges and have limited eligibility. Please see the Fund’s prospectus for details. Performance for different share classes will vary based on differences in sales charges and fees associated with each share class. All results shown assume
reinvestment of distributions during the period. Returns do not reflect the deduction of taxes that a shareholder may pay on Fund distributions or on the redemption of Fund shares. Performance results reflect the effect of any fee waivers or
reimbursements of Fund expenses by Columbia Management Investment Advisers, LLC and/or any of its affiliates. Absent these fee waivers or expense reimbursement arrangements, performance results would have been lower.
The performance information shown represents past performance and
is not a guarantee of future results. The investment return and principal value of your investment will fluctuate so that your shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than
the performance information shown. You may obtain performance information current to the most recent month-end by contacting your financial intermediary, visiting columbiathreadneedleus.com/investor/ or calling 800.345.6611.
*
|
The returns shown for periods
prior to the share class inception date (including returns for the Life of the Fund, if shown, which are since Fund inception) include the returns of the Fund’s oldest share class. These returns are adjusted to reflect any higher class-related
operating expenses of the newer share classes, as applicable. Please visit columbiathreadneedleus.com/investor/investment-products/mutual-funds/appended-performance for more information.
|
The Fund’s performance prior to August 2013 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 Blended Benchmark, a weighted custom composite, established
by the Investment Manager, consists of a 60% weighting in the MSCI World Energy Sector Index (Net) and a 40% weighting in the MSCI World Materials Sector Index (Net). The MSCI World Energy Sector Index (Net) is a free float-adjusted market
capitalization weighted index that represents the energy segment in global developed market equity performance. The MSCI World Materials Sector Index (Net) is a free float-adjusted market capitalization weighted index that represents the materials
segment in global developed-market equity performance.
The S&P North American Natural Resources Sector Index is a
modified market capitalization-weighted equity index designed as a benchmark for U.S. traded securities in the natural resources sector. The index includes companies involved in the following categories: extractive industries, energy companies,
owners and operators of timber tracts, forestry services, producers of pulp and paper and owners of plantations.
Indices are not available for investment, are not
professionally managed and do not reflect sales charges, fees, brokerage commissions, taxes (except the MSCI World Energy Sector Index (Net) and the MSCI World Materials Sector Index (Net), which reflect reinvested dividends net of withholding
taxes) or other expenses of investing. Securities in the Fund may not match those in an index.
Columbia
Global Energy and Natural Resources Fund | Annual Report 2019
|
3
|
Fund at a Glance (continued)
Performance of a
hypothetical $10,000 investment (August 31, 2009 — August 31, 2019)
The chart above shows the
change in value of a hypothetical $10,000 investment in Class A shares of Columbia Global Energy and Natural Resources 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 August 31, 2019)
|
Chevron
Corp. (United States)
|
8.3
|
Exxon
Mobil Corp. (United States)
|
7.5
|
BP
PLC (United Kingdom)
|
6.2
|
Royal
Dutch Shell PLC, Class A (United Kingdom)
|
5.8
|
Rio
Tinto PLC (United Kingdom)
|
5.2
|
VanEck
Vectors Gold Miners ETF (United States)
|
4.3
|
ConocoPhillips
Co. (United States)
|
3.9
|
Total
SA (France)
|
3.5
|
Suncor
Energy, Inc. (Canada)
|
3.2
|
TC
Energy Corp. (Canada)
|
2.8
|
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.
Equity
sector breakdown (%) (at August 31, 2019)
|
Energy
|
63.5
|
Materials
|
36.5
|
Total
|
100.0
|
Percentages indicated are based
upon total equity investments. The Fund’s portfolio composition is subject to change.
Country
breakdown (%) (at August 31, 2019)
|
Australia
|
0.8
|
Canada
|
7.9
|
France
|
6.3
|
Germany
|
3.3
|
Japan
|
2.9
|
Netherlands
|
0.5
|
Switzerland
|
1.0
|
United
Kingdom
|
18.0
|
United
States(a)
|
59.3
|
Total
|
100.0
|
(a)
|
Includes
investments in Money Market Funds.
|
Country breakdown is based primarily on issuer’s place
of organization/incorporation. Percentages indicated are based upon total investments excluding investments in derivatives, if any. The Fund’s portfolio composition is subject to change.
The Fund may use place of organization/incorporation or other
factors in determining whether an issuer is domestic (U.S.) or foreign for purposes of its investment policies. At August 31, 2019, the Fund invested at least 40% of its net assets in foreign companies in accordance with its principal investment
strategy.
4
|
Columbia Global Energy and
Natural Resources Fund | Annual Report 2019
|
Fund at a Glance (continued)
Summary
of investments in securities by industry (%)
(at August 31, 2019)
|
Chemicals
|
21.1
|
Containers
& Packaging
|
2.5
|
Energy
Equipment & Services
|
3.2
|
Metals
& Mining
|
15.0
|
Oil,
Gas & Consumable Fuels
|
56.8
|
Money
Market Funds
|
0.2
|
Total
|
98.8
|
Percentages indicated are based
upon net assets. The Fund’s portfolio composition is subject to change.
Columbia
Global Energy and Natural Resources Fund | Annual Report 2019
|
5
|
Manager Discussion of Fund Performance
For the
12-month period that ended August 31, 2019, the Fund’s Class A shares returned -18.32% excluding sales charges. During the same 12-month period, the Fund’s Blended Benchmark returned -12.78% and the S&P North American Natural
Resources Sector Index returned -18.00%. The Fund’s overall value/cyclical orientation was out of favor during the period, as investors favored momentum-driven stocks. Stock selection in the materials sector was an additional drag on
performance relative to the Fund’s Blended Benchmark.
Market overview
The price of oil and many other commodities fell during the
period, driving stock prices in both the energy and materials sectors downward. The price of domestic oil declined 21% over the 12-month period. Most of that decline occurred in the fourth quarter of 2018, as global demand weakened and U.S. supply
forecasts were revised upward. During the fourth quarter, the Trump administration surprised the markets by temporarily lifting sanctions on Iranian oil. Positioning in the futures market further pressured prices. Natural gas prices declined 22%
over the same period, as new production resulted in an oversupply in the U.S. natural gas market for most of the period.
On the materials side of the portfolio, new supply growth,
which had been stimulated by growing demand in 2017 and early 2018, met weakened demand in late 2018 and 2019, driving prices on copper, aluminum and steel downward. Iron ore prices were the exception, rising 42% largely on supply disruptions out of
Brazil and typhoon-related disruptions in Australia. In a generally “risk-off” environment, the price of gold rose 27% for the period.
Contributors and detractors
Within the energy sector, the Fund’s defensive
positioning and stock selection within integrated oils aided performance and helped offset the impact of an overweight in the exploration and production (E&P) industry and an underweight in pipeline companies, both of which detracted from
relative results.
Within the energy sector, the
Fund’s lack of exposure to Occidental, Schlumberger and EOG Resources, aided relative returns as all three declined sharply during the period. Investors took a dim view of Occidental’s bid to acquire Anadarko Petroleum at a significant
premium. Occidental secured expensive financing for the deal from Warren Buffet, which raised questions about corporate governance when it raised the cash portion of its offer in order to sidestep a shareholder vote on the deal. Schlumberger shares
declined along with the general industry downdraft for energy service stocks. Disappointing free cash flow generation and weaker-than-expected margins further weighed on Schlumberger. Falling crude oil prices and a higher-than-expected capital
budget were a drag on EOG Resources. We passed on the stock because of valuation concerns and were rewarded for our decision. An overweight in TC Energy also aided performance for the period. Shares of the midstream Canadian pipeline company had
been discounted because of concerns about balance sheet leverage, which we believed were overblown. The company’s cash flow is largely driven by regulated assets and long-term contracts, which offer a significant degree of stability. TC Energy
also pays an attractive dividend.
TechnipFMC,
Continental Resources and WPX Energy were among the biggest detractors from relative performance within the energy sector. Overweights in all three amplified the impact of their negative returns on relative results. TechnipFMC, an oil service
company, was dragged down by overall weakness in the industry, disappointing free cash flow generation and weaker-than-expected subsea margins. Continental Resources and WPX Energy, E&P companies with more balance sheet leverage than their
competitors, underperformed as oil prices collapsed. However, we remained confident in their long-term potential and continued to own both stocks.
In the materials sector, a position in VanEck Vectors Gold
Miners ETF and an overweight in Rio Tinto, one of the world’s largest metals and mining corporations, made significant contributions to Fund returns. These gains helped offset losses from Steel Dynamics and Alcoa, which lost ground on falling
commodity prices. Even though the Fund logged above-benchmark results from positions in FMC and Celanese, chemicals were the biggest drag on relative returns. The Fund had no exposure to some of the best performing names for the period. In addition,
it lost ground with Livent, which manufactures and sells lithium compounds used in a variety of applications, as shares and lithium prices were pressured by supply/demand issues. An overweight in DuPont also hurt relative returns as the company
failed to win investor confidence after Corteva Agriscience separated from DowDuPont, leaving DuPont as the remaining entity.
6
|
Columbia Global Energy and
Natural Resources Fund | Annual Report 2019
|
Manager Discussion of Fund Performance (continued)
At period’s end
During the period, we trimmed positions where our outlook
had changed. We lowered the Fund’s energy holdings to bring the Fund closer to its neutral 60/40 mix of energy and materials, and we continued to emphasize large-cap integrated companies because their free cash flow and return on capital
employed (ROCE) has increased compared to prior cycles. The Fund remained underweight in oil service companies, which tend to have the lowest ROCE within the energy sector and the weakest shareholder distribution programs. We made no significant
changes in materials, where we continued to focus on value and identifying value-oriented opportunities for the Fund.
Market risk may affect a single
issuer, sector of the economy, industry or the market as a whole. 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. 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. Issuers engaged in the energy and natural resources industry may be
subject to legislative or regulatory changes, adverse market conditions and/or increased competition. The values of natural resources are affected by numerous factors including naturally occurring events, demand, inflation, interest rates, and local
and international politics. 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.
Columbia
Global Energy and Natural Resources 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 $1,000
= 8.6), then multiply the results by the expenses paid during the period under the “Actual” column. The amount listed in the “Hypothetical” column assumes a 5% annual rate of return before expenses (which is not the
Fund’s actual return) and then applies the Fund’s actual expense ratio for the period to the hypothetical return. You should not use the hypothetical account values and expenses to estimate either your actual account balance at the end
of the period or the expenses you paid during the period. See “Compare with other funds” below for details on how to use the hypothetical data.
Compare with other funds
Since all mutual funds are required to include the same
hypothetical calculations about expenses in shareholder reports, you can use this information to compare the ongoing cost of investing in the Fund with other funds. To do so, compare the hypothetical example with the 5% hypothetical examples that
appear in the shareholder reports of other funds. As you compare hypothetical examples of other funds, it is important to note that hypothetical examples are meant to highlight the ongoing costs of investing in a fund only and do not reflect any
transaction costs, such as sales charges, or redemption or exchange fees. Therefore, the hypothetical calculations are useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. If
transaction costs were included in these calculations, your costs would be higher.
March
1, 2019 — August 31, 2019
|
|
Account
value at the
beginning of the
period ($)
|
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
|
906.20
|
1,018.40
|
6.36
|
6.73
|
1.33
|
Advisor
Class
|
1,000.00
|
1,000.00
|
907.30
|
1,019.65
|
5.16
|
5.47
|
1.08
|
Class
C
|
1,000.00
|
1,000.00
|
902.50
|
1,014.64
|
9.92
|
10.50
|
2.08
|
Institutional
Class
|
1,000.00
|
1,000.00
|
907.90
|
1,019.65
|
5.17
|
5.47
|
1.08
|
Institutional
2 Class
|
1,000.00
|
1,000.00
|
908.30
|
1,020.36
|
4.50
|
4.76
|
0.94
|
Institutional
3 Class
|
1,000.00
|
1,000.00
|
908.20
|
1,020.66
|
4.21
|
4.46
|
0.88
|
Class
R
|
1,000.00
|
1,000.00
|
905.00
|
1,017.15
|
7.55
|
7.99
|
1.58
|
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 Global Energy and
Natural Resources Fund | Annual Report 2019
|
Portfolio of Investments
August 31, 2019
(Percentages represent value of investments compared to net
assets)
Investments in securities
Common
Stocks 92.6%
|
Issuer
|
Shares
|
Value
($)
|
Australia
0.8%
|
BHP
Group Ltd.
|
51,346
|
1,260,410
|
Canada
7.8%
|
Canadian
Natural Resources Ltd.
|
95,052
|
2,270,996
|
First
Quantum Minerals Ltd.
|
137,031
|
839,847
|
Suncor
Energy, Inc.
|
174,799
|
5,112,418
|
TC
Energy Corp.
|
89,310
|
4,576,182
|
Total
|
12,799,443
|
France
6.2%
|
Air
Liquide SA
|
19,209
|
2,676,400
|
Arkema
SA
|
20,453
|
1,796,652
|
Total
SA
|
112,916
|
5,638,876
|
Total
|
10,111,928
|
Germany
3.3%
|
BASF
SE
|
63,144
|
4,178,047
|
Covestro
AG
|
24,940
|
1,133,360
|
Total
|
5,311,407
|
Japan
2.8%
|
Mitsubishi
Chemical Holdings Corp.
|
336,700
|
2,307,888
|
Mitsui
Chemicals, Inc.
|
53,400
|
1,139,242
|
Teijin
Ltd.
|
63,900
|
1,147,386
|
Total
|
4,594,516
|
Netherlands
0.5%
|
LyondellBasell
Industries NV, Class A
|
11,443
|
885,459
|
Switzerland
1.0%
|
Clariant
AG, Registered Shares(a)
|
88,253
|
1,630,159
|
United
Kingdom 17.8%
|
BP
PLC
|
1,634,881
|
9,956,842
|
Rio
Tinto PLC
|
166,217
|
8,424,841
|
Royal
Dutch Shell PLC, Class A
|
333,468
|
9,264,811
|
TechnipFMC
PLC
|
56,661
|
1,407,459
|
Total
|
29,053,953
|
Common
Stocks (continued)
|
Issuer
|
Shares
|
Value
($)
|
United
States 52.4%
|
Albemarle
Corp.
|
20,086
|
1,239,909
|
Alcoa
Corp.(a)
|
37,250
|
667,892
|
Avery
Dennison Corp.
|
23,100
|
2,669,667
|
Baker
Hughes, Inc.
|
65,352
|
1,417,485
|
Celanese
Corp., Class A
|
28,844
|
3,270,044
|
Chevron
Corp.
|
113,328
|
13,340,972
|
Cimarex
Energy Co.
|
29,881
|
1,278,309
|
ConocoPhillips
Co.
|
119,687
|
6,245,268
|
Continental
Resources, Inc.(a)
|
58,233
|
1,700,404
|
Delek
U.S. Holdings, Inc.
|
26,481
|
867,253
|
Diamondback
Energy, Inc.
|
32,933
|
3,230,069
|
Dow,
Inc.
|
67,272
|
2,867,805
|
DuPont
de Nemours, Inc.
|
49,675
|
3,374,423
|
Eastman
Chemical Co.
|
32,906
|
2,151,065
|
Exxon
Mobil Corp.
|
176,619
|
12,094,869
|
FMC
Corp.
|
44,601
|
3,850,404
|
Freeport-McMoRan,
Inc.
|
185,092
|
1,700,995
|
Halliburton
Co.
|
80,965
|
1,525,381
|
Livent
Corp.(a)
|
102,172
|
628,358
|
Marathon
Petroleum Corp.
|
68,815
|
3,386,386
|
Noble
Energy, Inc.
|
94,551
|
2,134,962
|
Nucor
Corp.
|
30,665
|
1,501,972
|
Olympic
Steel, Inc.
|
58,330
|
627,047
|
Owens-Illinois,
Inc.
|
109,522
|
1,113,839
|
Patterson-UTI
Energy, Inc.
|
93,441
|
808,265
|
Steel
Dynamics, Inc.
|
102,953
|
2,779,731
|
Valero
Energy Corp.
|
45,791
|
3,447,146
|
WestRock
Co.
|
10,860
|
371,195
|
Williams
Companies, Inc. (The)
|
151,730
|
3,580,828
|
WPX
Energy, Inc.(a)
|
148,656
|
1,599,538
|
Total
|
85,471,481
|
Total
Common Stocks
(Cost $157,223,126)
|
151,118,756
|
|
The accompanying Notes to Financial Statements are an integral part
of this statement.
Columbia
Global Energy and Natural Resources Fund | Annual Report 2019
|
9
|
Portfolio of Investments
(continued)
August 31, 2019
Exchange-Traded
Funds 4.2%
|
|
Shares
|
Value
($)
|
United
States 4.2%
|
VanEck
Vectors Gold Miners ETF
|
228,799
|
6,831,938
|
Total
Exchange-Traded Funds
(Cost $4,079,847)
|
6,831,938
|
|
Limited
Partnerships 1.8%
|
Issuer
|
Shares
|
Value
($)
|
United
States 1.8%
|
Enterprise
Products Partners LP
|
75,313
|
2,147,173
|
Rattler
Midstream LP(a)
|
39,170
|
717,203
|
Total
|
2,864,376
|
Total
Limited Partnerships
(Cost $2,951,531)
|
2,864,376
|
|
Money
Market Funds 0.2%
|
|
Shares
|
Value
($)
|
Columbia
Short-Term Cash Fund, 2.208%(b),(c)
|
367,159
|
367,123
|
Total
Money Market Funds
(Cost $367,123)
|
367,123
|
Total
Investments in Securities
(Cost $164,621,627)
|
161,182,193
|
Other
Assets & Liabilities, Net
|
|
2,027,893
|
Net
Assets
|
$163,210,086
|
Notes to Portfolio of Investments
(a)
|
Non-income
producing investment.
|
(b)
|
The rate
shown is the seven-day current annualized yield at August 31, 2019.
|
(c)
|
As
defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. Holdings and
transactions in these affiliated companies during the year ended August 31, 2019 are as follows:
|
Issuer
|
Beginning
shares
|
Shares
purchased
|
Shares
sold
|
Ending
shares
|
Realized
gain
(loss) —
affiliated
issuers ($)
|
Net
change in
unrealized
appreciation
(depreciation) —
affiliated
issuers ($)
|
Dividends
—
affiliated
issuers ($)
|
Value
—
affiliated
issuers
at end of
period ($)
|
Columbia
Short-Term Cash Fund, 2.208%
|
|
494,066
|
27,348,870
|
(27,475,777)
|
367,159
|
49
|
—
|
36,277
|
367,123
|
Fair value
measurements
The Fund categorizes its fair
value measurements according to a three-level hierarchy that maximizes the use of observable inputs and minimizes the use of unobservable inputs by prioritizing that the most observable input be used when available. Observable inputs are those that
market participants would use in pricing an investment based on market data obtained from sources independent of the reporting entity. Unobservable inputs are those that reflect the Fund’s assumptions about the information market participants
would use in pricing an investment. An investment’s level within the fair value hierarchy is based on the lowest level of any input that is deemed significant to the asset’s or liability’s fair value measurement. The input levels
are not necessarily an indication of the risk or liquidity associated with investments at that level. For example, certain U.S. government securities are generally high quality and liquid, however, they are reflected as Level 2 because the inputs
used to determine fair value may not always be quoted prices in an active market.
Fair value inputs are summarized in the three broad
levels listed below:
■
|
Level 1 — Valuations
based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments.
|
■
|
Level 2 — Valuations
based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.).
|
■
|
Level 3 — Valuations
based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments).
|
Inputs that are used in determining fair value of an
investment may include price information, credit data, volatility statistics, and other factors. These inputs can be either observable or unobservable. The availability of observable inputs can vary between investments, and is affected by various
factors such as the type of investment, and the volume and level of activity for that investment or similar investments in the marketplace. The inputs will be considered by the Investment Manager, along with any other relevant factors in the
calculation of an investment’s fair value. The Fund uses prices and inputs that are current as of the measurement date, which may include periods of market dislocations. During these periods, the availability of prices and inputs may be
reduced for many investments. This condition could cause an investment to be reclassified between the various levels within the hierarchy.
Foreign equity securities actively traded in markets
where there is a significant delay in the local close relative to the New York Stock Exchange are classified as Level 2. The values of these securities may include an adjustment to reflect the impact of significant market movements following the
close of local trading, as described in Note 2 to the financial statements – Security valuation.
The accompanying Notes to Financial Statements are an integral part of this
statement.
10
|
Columbia Global Energy and
Natural Resources Fund | Annual Report 2019
|
Portfolio of Investments (continued)
August 31, 2019
Fair value
measurements (continued)
Investments falling into the Level 3 category are primarily supported by quoted prices from brokers and dealers participating in the market for those investments.
However, these may be classified as Level 3 investments due to lack of market transparency and corroboration to support these quoted prices. Additionally, valuation models may be used as the pricing source for any remaining investments classified as
Level 3. These models may rely on one or more significant unobservable inputs and/or significant assumptions by the Investment Manager. Inputs used in valuations may include, but are not limited to, financial statement analysis, capital account
balances, discount rates and estimated cash flows, and comparable company data.
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.
The following table is a summary of the
inputs used to value the Fund’s investments at August 31, 2019:
|
Level
1 ($)
|
Level
2 ($)
|
Level
3 ($)
|
Total
($)
|
Investments
in Securities
|
|
|
|
|
Common
Stocks
|
|
|
|
|
Australia
|
—
|
1,260,410
|
—
|
1,260,410
|
Canada
|
12,799,443
|
—
|
—
|
12,799,443
|
France
|
—
|
10,111,928
|
—
|
10,111,928
|
Germany
|
—
|
5,311,407
|
—
|
5,311,407
|
Japan
|
—
|
4,594,516
|
—
|
4,594,516
|
Netherlands
|
885,459
|
—
|
—
|
885,459
|
Switzerland
|
—
|
1,630,159
|
—
|
1,630,159
|
United
Kingdom
|
1,407,459
|
27,646,494
|
—
|
29,053,953
|
United
States
|
85,471,481
|
—
|
—
|
85,471,481
|
Total
Common Stocks
|
100,563,842
|
50,554,914
|
—
|
151,118,756
|
Exchange-Traded
Funds
|
6,831,938
|
—
|
—
|
6,831,938
|
Limited
Partnerships
|
|
|
|
|
United
States
|
2,864,376
|
—
|
—
|
2,864,376
|
Total
Limited Partnerships
|
2,864,376
|
—
|
—
|
2,864,376
|
Money
Market Funds
|
367,123
|
—
|
—
|
367,123
|
Total
Investments in Securities
|
110,627,279
|
50,554,914
|
—
|
161,182,193
|
See the Portfolio of Investments for
all investment classifications not indicated in the table.
The Fund’s assets assigned to the Level 2 input category
are generally valued using the market approach, in which a security’s value is determined through reference to prices and information from market transactions for similar or identical assets. These assets include certain foreign securities for
which a third party statistical pricing service may be employed for purposes of fair market valuation. The model utilized by such third party statistical pricing service takes into account a security’s correlation to available market data
including, but not limited to, intraday index, ADR, and exchange-traded fund movements.
The accompanying Notes to Financial Statements are an integral part of this
statement.
Columbia
Global Energy and Natural Resources Fund | Annual Report 2019
|
11
|
Statement of Assets and Liabilities
August 31, 2019
Assets
|
|
Investments
in securities, at value
|
|
Unaffiliated
issuers (cost $164,254,504)
|
$160,815,070
|
Affiliated
issuers (cost $367,123)
|
367,123
|
Receivable
for:
|
|
Investments
sold
|
981,936
|
Capital
shares sold
|
140,596
|
Dividends
|
1,133,548
|
Foreign
tax reclaims
|
114,656
|
Prepaid
expenses
|
1,155
|
Trustees’
deferred compensation plan
|
67,789
|
Total
assets
|
163,621,873
|
Liabilities
|
|
Due
to custodian
|
36
|
Payable
for:
|
|
Capital
shares purchased
|
275,985
|
Management
services fees
|
3,344
|
Distribution
and/or service fees
|
687
|
Transfer
agent fees
|
29,733
|
Compensation
of chief compliance officer
|
12
|
Other
expenses
|
34,201
|
Trustees’
deferred compensation plan
|
67,789
|
Total
liabilities
|
411,787
|
Net
assets applicable to outstanding capital stock
|
$163,210,086
|
Represented
by
|
|
Paid
in capital
|
189,315,522
|
Total
distributable earnings (loss) (Note 2)
|
(26,105,436)
|
Total
- representing net assets applicable to outstanding capital stock
|
$163,210,086
|
The accompanying Notes to Financial Statements are an integral part of this
statement.
12
|
Columbia Global Energy and
Natural Resources Fund | Annual Report 2019
|
Statement of Assets and Liabilities (continued)
August 31, 2019
Class
A
|
|
Net
assets
|
$56,583,807
|
Shares
outstanding
|
3,527,911
|
Net
asset value per share
|
$16.04
|
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)
|
$17.02
|
Advisor
Class
|
|
Net
assets
|
$6,730,595
|
Shares
outstanding
|
406,715
|
Net
asset value per share
|
$16.55
|
Class
C
|
|
Net
assets
|
$5,670,441
|
Shares
outstanding
|
375,919
|
Net
asset value per share
|
$15.08
|
Institutional
Class
|
|
Net
assets
|
$55,881,303
|
Shares
outstanding
|
3,437,689
|
Net
asset value per share
|
$16.26
|
Institutional
2 Class
|
|
Net
assets
|
$10,239,495
|
Shares
outstanding
|
615,366
|
Net
asset value per share
|
$16.64
|
Institutional
3 Class
|
|
Net
assets
|
$17,437,688
|
Shares
outstanding
|
1,081,157
|
Net
asset value per share
|
$16.13
|
Class
R
|
|
Net
assets
|
$10,666,757
|
Shares
outstanding
|
670,416
|
Net
asset value per share
|
$15.91
|
The accompanying Notes to Financial Statements are an integral part of this
statement.
Columbia
Global Energy and Natural Resources Fund | Annual Report 2019
|
13
|
Statement of Operations
Year Ended August 31, 2019
Net
investment income
|
|
Income:
|
|
Dividends
— unaffiliated issuers
|
$7,449,842
|
Dividends
— affiliated issuers
|
36,277
|
Foreign
taxes withheld
|
(310,021)
|
Total
income
|
7,176,098
|
Expenses:
|
|
Management
services fees
|
1,447,280
|
Distribution
and/or service fees
|
|
Class
A
|
166,984
|
Class
C
|
84,807
|
Class
R
|
59,573
|
Transfer
agent fees
|
|
Class
A
|
140,084
|
Advisor
Class
|
17,739
|
Class
C
|
17,734
|
Institutional
Class
|
142,653
|
Institutional
2 Class
|
7,231
|
Institutional
3 Class
|
1,823
|
Class
R
|
24,996
|
Compensation
of board members
|
16,405
|
Custodian
fees
|
10,545
|
Printing
and postage fees
|
35,142
|
Registration
fees
|
99,676
|
Audit
fees
|
43,980
|
Legal
fees
|
3,917
|
Compensation
of chief compliance officer
|
77
|
Other
|
16,043
|
Total
expenses
|
2,336,689
|
Net
investment income
|
4,839,409
|
Realized
and unrealized gain (loss) — net
|
|
Net
realized gain (loss) on:
|
|
Investments
— unaffiliated issuers
|
184,495
|
Investments
— affiliated issuers
|
49
|
Foreign
currency translations
|
20,043
|
Net
realized gain
|
204,587
|
Net
change in unrealized appreciation (depreciation) on:
|
|
Investments
— unaffiliated issuers
|
(45,386,489)
|
Foreign
currency translations
|
(13,748)
|
Net
change in unrealized appreciation (depreciation)
|
(45,400,237)
|
Net
realized and unrealized loss
|
(45,195,650)
|
Net
decrease in net assets resulting from operations
|
$(40,356,241)
|
The accompanying Notes to Financial Statements are an
integral part of this statement.
14
|
Columbia Global Energy and
Natural Resources Fund | Annual Report 2019
|
Statement of Changes in Net Assets
|
Year
Ended
August 31, 2019
|
Year
Ended
August 31, 2018
|
Operations
|
|
|
Net
investment income
|
$4,839,409
|
$4,042,894
|
Net
realized gain
|
204,587
|
11,768,475
|
Net
change in unrealized appreciation (depreciation)
|
(45,400,237)
|
19,085,916
|
Net
increase (decrease) in net assets resulting from operations
|
(40,356,241)
|
34,897,285
|
Distributions
to shareholders
|
|
|
Net
investment income and net realized gains
|
|
|
Class
A
|
(1,266,323)
|
|
Advisor
Class
|
(202,520)
|
|
Class
C
|
(122,130)
|
|
Institutional
Class
|
(1,474,379)
|
|
Institutional
2 Class
|
(224,773)
|
|
Institutional
3 Class
|
(414,025)
|
|
Class
R
|
(189,261)
|
|
Net
investment income
|
|
|
Class
A
|
|
(1,445,024)
|
Advisor
Class
|
|
(156,587)
|
Class
C
|
|
(151,980)
|
Institutional
Class
|
|
(1,793,917)
|
Institutional
2 Class
|
|
(229,536)
|
Institutional
3 Class
|
|
(403,655)
|
Class
K
|
|
(98)
|
Class
R
|
|
(193,694)
|
Total
distributions to shareholders (Note 2)
|
(3,893,411)
|
(4,374,491)
|
Decrease
in net assets from capital stock activity
|
(25,397,479)
|
(20,534,140)
|
Total
increase (decrease) in net assets
|
(69,647,131)
|
9,988,654
|
Net
assets at beginning of year
|
232,857,217
|
222,868,563
|
Net
assets at end of year
|
$163,210,086
|
$232,857,217
|
Undistributed
net investment income
|
$2,231,915
|
$1,265,833
|
The accompanying Notes to Financial Statements are an
integral part of this statement.
Columbia
Global Energy and Natural Resources Fund | Annual Report 2019
|
15
|
Statement of Changes in Net Assets (continued)
|
Year
Ended
|
Year
Ended
|
|
August
31, 2019
|
August
31, 2018
|
|
Shares
|
Dollars
($)
|
Shares
|
Dollars
($)
|
Capital
stock activity
|
Class
A
|
|
|
|
|
Subscriptions
|
418,346
|
7,301,600
|
661,572
|
13,031,482
|
Distributions
reinvested
|
74,565
|
1,242,117
|
75,390
|
1,416,276
|
Redemptions
|
(995,393)
|
(17,344,863)
|
(1,076,584)
|
(21,067,423)
|
Net
decrease
|
(502,482)
|
(8,801,146)
|
(339,622)
|
(6,619,665)
|
Advisor
Class
|
|
|
|
|
Subscriptions
|
125,448
|
2,201,859
|
247,632
|
5,035,646
|
Distributions
reinvested
|
10,781
|
187,570
|
7,344
|
141,815
|
Redemptions
|
(279,851)
|
(4,758,503)
|
(112,516)
|
(2,281,118)
|
Net
increase (decrease)
|
(143,622)
|
(2,369,074)
|
142,460
|
2,896,343
|
Class
C
|
|
|
|
|
Subscriptions
|
26,154
|
427,775
|
102,273
|
1,912,046
|
Distributions
reinvested
|
7,500
|
113,102
|
7,877
|
141,468
|
Redemptions
|
(297,327)
|
(4,874,993)
|
(242,794)
|
(4,519,588)
|
Net
decrease
|
(263,673)
|
(4,334,116)
|
(132,644)
|
(2,466,074)
|
Institutional
Class
|
|
|
|
|
Subscriptions
|
375,149
|
6,564,337
|
620,373
|
12,368,220
|
Distributions
reinvested
|
83,779
|
1,433,269
|
91,583
|
1,737,180
|
Redemptions
|
(1,166,158)
|
(20,716,100)
|
(1,496,768)
|
(29,448,966)
|
Net
decrease
|
(707,230)
|
(12,718,494)
|
(784,812)
|
(15,343,566)
|
Institutional
2 Class
|
|
|
|
|
Subscriptions
|
293,398
|
5,435,417
|
198,787
|
4,061,233
|
Distributions
reinvested
|
12,810
|
224,730
|
11,842
|
229,492
|
Redemptions
|
(234,543)
|
(4,375,282)
|
(217,629)
|
(4,491,709)
|
Net
increase (decrease)
|
71,665
|
1,284,865
|
(7,000)
|
(200,984)
|
Institutional
3 Class
|
|
|
|
|
Subscriptions
|
156,097
|
2,785,296
|
130,544
|
2,602,046
|
Distributions
reinvested
|
24,336
|
413,968
|
21,478
|
403,598
|
Redemptions
|
(73,720)
|
(1,302,033)
|
(149,392)
|
(3,000,245)
|
Net
increase
|
106,713
|
1,897,231
|
2,630
|
5,399
|
Class
K
|
|
|
|
|
Distributions
reinvested
|
—
|
—
|
3
|
59
|
Redemptions
|
—
|
—
|
(276)
|
(5,362)
|
Net
decrease
|
—
|
—
|
(273)
|
(5,303)
|
Class
R
|
|
|
|
|
Subscriptions
|
288,676
|
5,120,162
|
405,386
|
7,851,994
|
Distributions
reinvested
|
11,647
|
189,185
|
10,352
|
193,694
|
Redemptions
|
(323,931)
|
(5,666,092)
|
(354,008)
|
(6,845,978)
|
Net
increase (decrease)
|
(23,608)
|
(356,745)
|
61,730
|
1,199,710
|
Total
net decrease
|
(1,462,237)
|
(25,397,479)
|
(1,057,531)
|
(20,534,140)
|
The accompanying Notes to Financial Statements are an integral part of this
statement.
16
|
Columbia Global Energy and
Natural Resources Fund | Annual Report 2019
|
[THIS PAGE INTENTIONALLY LEFT BLANK]
Columbia
Global Energy and Natural Resources 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 (loss)
|
Total
from
investment
operations
|
Distributions
from net
investment
income
|
Distributions
from net
realized
gains
|
Total
distributions to
shareholders
|
Class
A
|
Year
Ended 8/31/2019
|
$20.02
|
0.42
|
(4.08)
|
(3.66)
|
(0.32)
|
—
|
(0.32)
|
Year
Ended 8/31/2018
|
$17.57
|
0.31
|
2.48
|
2.79
|
(0.34)
|
—
|
(0.34)
|
Year
Ended 8/31/2017
|
$16.77
|
0.30
|
0.77
|
1.07
|
(0.27)
|
—
|
(0.27)
|
Year
Ended 8/31/2016
|
$15.89
|
0.32
|
0.56
|
0.88
|
—
|
—
|
—
|
Year
Ended 8/31/2015
|
$24.98
|
0.29
|
(7.95)
|
(7.66)
|
—
|
(1.43)
|
(1.43)
|
Advisor
Class
|
Year
Ended 8/31/2019
|
$20.64
|
0.47
|
(4.19)
|
(3.72)
|
(0.37)
|
—
|
(0.37)
|
Year
Ended 8/31/2018
|
$18.10
|
0.38
|
2.54
|
2.92
|
(0.38)
|
—
|
(0.38)
|
Year
Ended 8/31/2017
|
$17.26
|
0.36
|
0.77
|
1.13
|
(0.29)
|
—
|
(0.29)
|
Year
Ended 8/31/2016
|
$16.30
|
0.37
|
0.59
|
0.96
|
—
|
—
|
—
|
Year
Ended 8/31/2015
|
$25.52
|
0.34
|
(8.13)
|
(7.79)
|
—
|
(1.43)
|
(1.43)
|
Class
C
|
Year
Ended 8/31/2019
|
$18.86
|
0.26
|
(3.83)
|
(3.57)
|
(0.21)
|
—
|
(0.21)
|
Year
Ended 8/31/2018
|
$16.57
|
0.15
|
2.34
|
2.49
|
(0.20)
|
—
|
(0.20)
|
Year
Ended 8/31/2017
|
$15.89
|
0.16
|
0.72
|
0.88
|
(0.20)
|
—
|
(0.20)
|
Year
Ended 8/31/2016
|
$15.17
|
0.20
|
0.52
|
0.72
|
—
|
—
|
—
|
Year
Ended 8/31/2015
|
$24.10
|
0.14
|
(7.64)
|
(7.50)
|
—
|
(1.43)
|
(1.43)
|
Institutional
Class
|
Year
Ended 8/31/2019
|
$20.28
|
0.47
|
(4.12)
|
(3.65)
|
(0.37)
|
—
|
(0.37)
|
Year
Ended 8/31/2018
|
$17.79
|
0.36
|
2.51
|
2.87
|
(0.38)
|
—
|
(0.38)
|
Year
Ended 8/31/2017
|
$16.97
|
0.35
|
0.76
|
1.11
|
(0.29)
|
—
|
(0.29)
|
Year
Ended 8/31/2016
|
$16.03
|
0.37
|
0.57
|
0.94
|
—
|
—
|
—
|
Year
Ended 8/31/2015
|
$25.12
|
0.33
|
(7.99)
|
(7.66)
|
—
|
(1.43)
|
(1.43)
|
Institutional
2 Class
|
Year
Ended 8/31/2019
|
$20.75
|
0.52
|
(4.23)
|
(3.71)
|
(0.40)
|
—
|
(0.40)
|
Year
Ended 8/31/2018
|
$18.20
|
0.40
|
2.56
|
2.96
|
(0.41)
|
—
|
(0.41)
|
Year
Ended 8/31/2017
|
$17.33
|
0.40
|
0.77
|
1.17
|
(0.30)
|
—
|
(0.30)
|
Year
Ended 8/31/2016
|
$16.35
|
0.41
|
0.57
|
0.98
|
—
|
—
|
—
|
Year
Ended 8/31/2015
|
$25.54
|
0.39
|
(8.15)
|
(7.76)
|
—
|
(1.43)
|
(1.43)
|
Institutional
3 Class
|
Year
Ended 8/31/2019
|
$20.13
|
0.51
|
(4.10)
|
(3.59)
|
(0.41)
|
—
|
(0.41)
|
Year
Ended 8/31/2018
|
$17.66
|
0.40
|
2.48
|
2.88
|
(0.41)
|
—
|
(0.41)
|
Year
Ended 8/31/2017(d)
|
$18.04
|
0.23
|
(0.61)
(e)
|
(0.38)
|
—
|
—
|
—
|
The accompanying Notes to Financial Statements are an integral
part of this statement.
18
|
Columbia Global Energy and
Natural Resources 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 8/31/2019
|
$16.04
|
(18.32%)
|
1.33%
|
1.33%
|
2.39%
|
13%
|
$56,584
|
Year
Ended 8/31/2018
|
$20.02
|
15.99%
|
1.30%
|
1.30%
(c)
|
1.59%
|
37%
|
$80,675
|
Year
Ended 8/31/2017
|
$17.57
|
6.34%
|
1.34%
|
1.34%
(c)
|
1.70%
|
19%
|
$76,763
|
Year
Ended 8/31/2016
|
$16.77
|
5.54%
|
1.33%
|
1.33%
(c)
|
2.06%
|
45%
|
$98,566
|
Year
Ended 8/31/2015
|
$15.89
|
(31.16%)
|
1.32%
|
1.32%
(c)
|
1.48%
|
51%
|
$86,133
|
Advisor
Class
|
Year
Ended 8/31/2019
|
$16.55
|
(18.09%)
|
1.08%
|
1.08%
|
2.57%
|
13%
|
$6,731
|
Year
Ended 8/31/2018
|
$20.64
|
16.28%
|
1.05%
|
1.05%
(c)
|
1.89%
|
37%
|
$11,360
|
Year
Ended 8/31/2017
|
$18.10
|
6.52%
|
1.10%
|
1.10%
(c)
|
1.98%
|
19%
|
$7,383
|
Year
Ended 8/31/2016
|
$17.26
|
5.89%
|
1.09%
|
1.09%
(c)
|
2.30%
|
45%
|
$7,890
|
Year
Ended 8/31/2015
|
$16.30
|
(31.00%)
|
1.07%
|
1.07%
(c)
|
1.69%
|
51%
|
$7,191
|
Class
C
|
Year
Ended 8/31/2019
|
$15.08
|
(18.92%)
|
2.07%
|
2.07%
|
1.56%
|
13%
|
$5,670
|
Year
Ended 8/31/2018
|
$18.86
|
15.10%
|
2.05%
|
2.05%
(c)
|
0.83%
|
37%
|
$12,065
|
Year
Ended 8/31/2017
|
$16.57
|
5.52%
|
2.09%
|
2.09%
(c)
|
0.96%
|
19%
|
$12,796
|
Year
Ended 8/31/2016
|
$15.89
|
4.75%
|
2.09%
|
2.09%
(c)
|
1.34%
|
45%
|
$15,457
|
Year
Ended 8/31/2015
|
$15.17
|
(31.66%)
|
2.07%
|
2.07%
(c)
|
0.77%
|
51%
|
$14,428
|
Institutional
Class
|
Year
Ended 8/31/2019
|
$16.26
|
(18.06%)
|
1.08%
|
1.08%
|
2.63%
|
13%
|
$55,881
|
Year
Ended 8/31/2018
|
$20.28
|
16.29%
|
1.05%
|
1.05%
(c)
|
1.83%
|
37%
|
$84,078
|
Year
Ended 8/31/2017
|
$17.79
|
6.51%
|
1.10%
|
1.10%
(c)
|
1.98%
|
19%
|
$87,719
|
Year
Ended 8/31/2016
|
$16.97
|
5.86%
|
1.09%
|
1.09%
(c)
|
2.35%
|
45%
|
$92,245
|
Year
Ended 8/31/2015
|
$16.03
|
(30.97%)
|
1.07%
|
1.07%
(c)
|
1.68%
|
51%
|
$98,857
|
Institutional
2 Class
|
Year
Ended 8/31/2019
|
$16.64
|
(17.97%)
|
0.94%
|
0.94%
|
2.86%
|
13%
|
$10,239
|
Year
Ended 8/31/2018
|
$20.75
|
16.42%
|
0.92%
|
0.92%
|
1.97%
|
37%
|
$11,283
|
Year
Ended 8/31/2017
|
$18.20
|
6.76%
|
0.94%
|
0.94%
|
2.22%
|
19%
|
$10,022
|
Year
Ended 8/31/2016
|
$17.33
|
5.99%
|
0.91%
|
0.91%
|
2.53%
|
45%
|
$6,558
|
Year
Ended 8/31/2015
|
$16.35
|
(30.85%)
|
0.89%
|
0.89%
|
1.97%
|
51%
|
$4,978
|
Institutional
3 Class
|
Year
Ended 8/31/2019
|
$16.13
|
(17.94%)
|
0.88%
|
0.88%
|
2.90%
|
13%
|
$17,438
|
Year
Ended 8/31/2018
|
$20.13
|
16.51%
|
0.87%
|
0.87%
|
2.04%
|
37%
|
$19,615
|
Year
Ended 8/31/2017(d)
|
$17.66
|
(2.11%)
|
0.91%
(f)
|
0.91%
(f)
|
2.66%
(f)
|
19%
|
$17,163
|
The accompanying Notes to Financial Statements are an integral
part of this statement.
Columbia
Global Energy and Natural Resources Fund | Annual Report 2019
|
19
|
Financial Highlights (continued)
|
Net
asset value,
beginning of
period
|
Net
investment
income
|
Net
realized
and
unrealized
gain (loss)
|
Total
from
investment
operations
|
Distributions
from net
investment
income
|
Distributions
from net
realized
gains
|
Total
distributions to
shareholders
|
Class
R
|
Year
Ended 8/31/2019
|
$19.86
|
0.37
|
(4.05)
|
(3.68)
|
(0.27)
|
—
|
(0.27)
|
Year
Ended 8/31/2018
|
$17.43
|
0.26
|
2.46
|
2.72
|
(0.29)
|
—
|
(0.29)
|
Year
Ended 8/31/2017
|
$16.66
|
0.27
|
0.75
|
1.02
|
(0.25)
|
—
|
(0.25)
|
Year
Ended 8/31/2016
|
$15.83
|
0.29
|
0.54
|
0.83
|
—
|
—
|
—
|
Year
Ended 8/31/2015
|
$24.94
|
0.25
|
(7.93)
|
(7.68)
|
—
|
(1.43)
|
(1.43)
|
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)
|
Institutional
3 Class shares commenced operations on March 1, 2017. Per share data and total return reflect activity from that date.
|
(e)
|
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.
|
(f)
|
Annualized.
|
The accompanying Notes to Financial Statements are an
integral part of this statement.
20
|
Columbia Global Energy and
Natural Resources 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
R
|
Year
Ended 8/31/2019
|
$15.91
|
(18.53%)
|
1.58%
|
1.58%
|
2.15%
|
13%
|
$10,667
|
Year
Ended 8/31/2018
|
$19.86
|
15.71%
|
1.55%
|
1.55%
(c)
|
1.35%
|
37%
|
$13,780
|
Year
Ended 8/31/2017
|
$17.43
|
6.07%
|
1.60%
|
1.60%
(c)
|
1.53%
|
19%
|
$11,019
|
Year
Ended 8/31/2016
|
$16.66
|
5.24%
|
1.59%
|
1.59%
(c)
|
1.84%
|
45%
|
$7,031
|
Year
Ended 8/31/2015
|
$15.83
|
(31.29%)
|
1.57%
|
1.57%
(c)
|
1.30%
|
51%
|
$3,045
|
The accompanying Notes to Financial Statements are an integral part of this
statement.
Columbia
Global Energy and Natural Resources Fund | Annual Report 2019
|
21
|
Notes to Financial Statements
August 31, 2019
Note 1. Organization
Columbia Global Energy and Natural Resources Fund (the
Fund), a series of Columbia Funds Series Trust I (the Trust), is a non-diversified fund. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a
Massachusetts business trust.
Fund shares
The Trust may issue an unlimited number of shares (without par
value). The Fund offers each of the share classes listed in the Statement of Assets and Liabilities. Although all share classes generally have identical voting, dividend and liquidation rights, each share class votes separately when required by the
Trust’s organizational documents or by law. Each share class has its own expense and sales charge structure. Different share classes may have different minimum initial investment amounts and pay different distribution amounts to the extent the
expenses of distributing such share classes vary. Distributions to shareholders in a liquidation will be proportional to the net asset value of each share class.
As described in the Fund’s prospectus, Class A and Class
C shares are offered to the general public for investment. Advisor Class, Institutional Class, Institutional 2 Class, Institutional 3 Class and Class R shares are available for purchase through authorized investment professionals to omnibus
retirement plans or to institutional and to certain other investors as also described in the Fund’s prospectus. Class C shares automatically convert to Class A shares after 10 years.
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 official closing price on the principal exchange or market on which they trade. 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 determined at the scheduled closing time of the New York Stock Exchange. Many securities markets and exchanges outside the U.S. close prior to the close of the New York Stock Exchange; therefore, the
closing prices for securities in such markets or on such exchanges may not fully reflect events that occur after such close but before the close of the New York Stock Exchange. In those situations, foreign securities will be fair valued pursuant to
a policy adopted by the Board of Trustees. Under the policy, the Fund may utilize a third party pricing service to determine these fair values. The third-party pricing service takes into account multiple factors, including, but not limited to,
movements in the U.S. securities markets, certain depositary receipts, futures contracts and foreign exchange rates that have occurred subsequent to the close of the foreign exchange or market, to determine a good faith estimate that reasonably
reflects the current market conditions as of the close of the New York Stock Exchange. The fair value of a security is likely to be different from the quoted or published price, if available.
Investments in open-end investment companies, including money
market funds, are valued at their latest net asset value.
22
|
Columbia Global Energy and
Natural Resources Fund | Annual Report 2019
|
Notes to Financial Statements (continued)
August 31, 2019
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 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.
Columbia
Global Energy and Natural Resources Fund | Annual Report 2019
|
23
|
Notes to Financial Statements (continued)
August 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.
Foreign taxes
The Fund may be subject to foreign taxes on income, gains on
investments or currency repatriation, a portion of which may be recoverable. The Fund will accrue such taxes and recoveries, as applicable, based upon its current interpretation of tax rules and regulations that exist in the markets in which it
invests.
Realized gains in certain countries may be
subject to foreign taxes at the Fund level, based on statutory rates. The Fund accrues for such foreign taxes on realized and unrealized gains at the appropriate rate for each jurisdiction, as applicable. The amount, if any, is disclosed as a
liability 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. The standard is effective for annual periods beginning after December 15, 2019 and interim periods within
those fiscal years, with early adoption permitted. After evaluation, management determined to adopt the ASU effective for the period ended August 31, 2019 and all subsequent periods. As a result of the amendments, management implemented disclosure
changes which include removal
24
|
Columbia Global Energy and
Natural Resources Fund | Annual Report 2019
|
Notes to Financial Statements (continued)
August 31, 2019
of the amount and
reasons for transfers between Level 1 and Level 2 of the fair value hierarchy, removal of the policy for the timing of transfers between levels, removal of the description of the Level 3 valuation processes, as well as modifications to the
measurement uncertainty disclosure.
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 0.75% to 0.58% as the Fund’s net assets increase. The
effective management services fee rate for the year ended August 31, 2019 was 0.75% 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.
Columbia
Global Energy and Natural Resources Fund | Annual Report 2019
|
25
|
Notes to Financial Statements (continued)
August 31, 2019
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 August 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
|
0.21
|
Advisor
Class
|
0.21
|
Class
C
|
0.21
|
Institutional
Class
|
0.21
|
Institutional
2 Class
|
0.07
|
Institutional
3 Class
|
0.01
|
Class
R
|
0.21
|
An annual minimum account balance
fee of $20 may apply to certain accounts with a value below the applicable share class’s initial minimum investment requirements to reduce the impact of small accounts on transfer agency fees. These minimum account balance fees are remitted to
the Fund and recorded as part of expense reductions in the Statement of Operations. For the year ended August 31, 2019, no minimum account balance fees were charged by the Fund.
Distribution and service fees
The Fund has entered into an agreement with Columbia
Management Investment Distributors, Inc. (the Distributor), an affiliate of the Investment Manager and a wholly-owned subsidiary of Ameriprise Financial, for distribution and shareholder services. The Board of Trustees has approved, and the Fund has
adopted, distribution and shareholder service plans (the Plans) applicable to certain share classes, which set the distribution and service fees for the Fund. These fees are calculated daily and are intended to compensate the Distributor and/or
eligible selling and/or servicing agents for selling shares of the Fund and providing services to investors.
Under the Plans, the Fund pays a monthly service fee to the
Distributor at the maximum annual rate of 0.25% of the average daily net assets attributable to Class A and Class C shares of the Fund. Also under the Plans, the Fund pays a monthly distribution fee to the Distributor at the maximum annual
rates of 0.75% and 0.50% of the average daily net assets attributable to Class C and Class R shares of the Fund, respectively.
Sales charges (unaudited)
Sales charges, including front-end charges and contingent
deferred sales charges (CDSC), received by the Distributor for distributing Fund shares for the year ended August 31, 2019, if any, are listed below:
|
Front
End (%)
|
CDSC
(%)
|
Amount
($)
|
Class
A
|
5.75
|
0.50 - 1.00
(a)
|
41,972
|
Class
C
|
—
|
1.00
(b)
|
444
|
(a)
|
This
charge is imposed on certain investments of between $1 million and $50 million redeemed within 18 months after purchase, as follows: 1.00% if redeemed within 12 months after purchase, and 0.50% if redeemed more than 12, but less than 18, months
after purchase, with certain limited exceptions.
|
(b)
|
This
charge applies to redemptions within 12 months after purchase, with certain limited exceptions.
|
The Fund’s other share classes are not subject to sales
charges.
26
|
Columbia Global Energy and
Natural Resources Fund | Annual Report 2019
|
Notes to Financial Statements (continued)
August 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:
|
January
1, 2019
through
December 31, 2019
|
Prior
to
January 1, 2019
|
Class
A
|
1.40%
|
1.42%
|
Advisor
Class
|
1.15
|
1.17
|
Class
C
|
2.15
|
2.17
|
Institutional
Class
|
1.15
|
1.17
|
Institutional
2 Class
|
1.01
|
1.03
|
Institutional
3 Class
|
0.96
|
0.98
|
Class
R
|
1.65
|
1.67
|
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 August 31, 2019, these differences were primarily due to
differing treatment for deferral/reversal of wash sale losses, trustees’ deferred compensation, investments in partnerships, capital loss carryforward, non-deductible expenses, 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:
Undistributed
net
investment
income ($)
|
Accumulated
net realized
(loss) ($)
|
Paid
in
capital ($)
|
20,084
|
(20,043)
|
(41)
|
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 August 31, 2019
|
Year
Ended August 31, 2018
|
Ordinary
income ($)
|
Long-term
capital gains ($)
|
Total
($)
|
Ordinary
income ($)
|
Long-term
capital gains ($)
|
Total
($)
|
3,893,411
|
—
|
3,893,411
|
4,374,491
|
—
|
4,374,491
|
Columbia
Global Energy and Natural Resources Fund | Annual Report 2019
|
27
|
Notes to Financial Statements (continued)
August 31, 2019
Short-term capital gain distributions, if any, are considered
ordinary income distributions for tax purposes.
At
August 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 ($)
|
Net
unrealized
(depreciation) ($)
|
1,784,218
|
—
|
(23,681,995)
|
(4,137,155)
|
At August 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) ($)
|
Net
unrealized
(depreciation) ($)
|
165,319,348
|
16,659,589
|
(20,796,744)
|
(4,137,155)
|
Tax cost of investments and
unrealized appreciation/(depreciation) may also include timing differences that do not constitute adjustments to tax basis.
The following capital loss carryforwards, determined at August
31, 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 August 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
($)
|
(1,596,299)
|
(22,085,696)
|
(23,681,995)
|
—
|
—
|
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 $24,547,645 and $47,545,787, respectively, for the year ended August 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.
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.
28
|
Columbia Global Energy and
Natural Resources Fund | Annual Report 2019
|
Notes to Financial Statements (continued)
August 31, 2019
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 August 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 August 31,
2019.
Note 9. Significant risks
Energy sector risk
The Fund may be more susceptible to the particular risks that
may affect companies in the energy sector than if it were invested in a wider variety of companies in unrelated sectors. Companies in the energy sector are subject to certain risks, including legislative or regulatory changes, adverse market
conditions and increased competition. Performance of such companies may be affected by factors including, among others, fluctuations in energy prices and supply and demand of energy fuels, energy conservation, the success of exploration projects,
local and international politics, and events occurring in nature. The energy sector may also be affected by economic cycles, rising interest rates, high inflation, technical progress, labor relations, legislative or regulatory changes, local and
international politics, and adverse market conditions.
Foreign securities and emerging market countries risk
Investing in foreign securities may involve certain risks not
typically associated with investing in U.S. securities, such as increased currency volatility and risks associated with political, regulatory, economic, social, diplomatic and other conditions or events occurring in the country or region, which may
result in significant market volatility. In addition, certain foreign securities may not be as liquid as U.S. securities. Investing in emerging markets may increase these risks and expose the Fund to elevated risks associated with increased
inflation, deflation or currency devaluation. To the extent that the Fund concentrates its investment exposure to any one or a few specific countries, the Fund will be particularly susceptible to the risks associated with the conditions, events or
other factors impacting those countries or regions and may, therefore, have a greater risk than that of a fund that is more geographically diversified.
Materials sector risk
The Fund may be more susceptible to the particular risks that
may affect companies in the materials sector than if it were invested in a wider variety of companies in unrelated sectors. Companies in the materials sector are subject to certain risks, including that many materials companies are significantly
affected by the level and volatility of commodity prices, exchange rates, import controls, increased competition, environmental policies, consumer demand, and events occurring in nature. For instance, natural events (such as earthquakes, hurricanes
or fires in prime natural resources) can affect the value of companies involved in business activities in the materials sector . Performance of such companies may be affected by factors including, among others, that at times worldwide production of
industrial materials has exceeded demand as a result of over-building or economic downturns, leading to poor investment returns or losses. Other risks may include liabilities for
Columbia
Global Energy and Natural Resources Fund | Annual Report 2019
|
29
|
Notes to Financial Statements (continued)
August 31, 2019
environmental
damage and general civil liabilities, depletion of resources, and mandated expenditures for safety and pollution control. The materials sector may also be affected by economic cycles, rising interest rates, high inflation, technical progress, labor
relations, legislative or regulatory changes, local and international policies and adverse market conditions.
Non-diversification risk
A non-diversified fund is permitted to invest a greater
percentage of its total assets in fewer issuers than a diversified fund. This increases the risk that a change in the value of any one investment held by the Fund could affect the overall value of the Fund more than it would affect that of a
diversified fund holding a greater number of investments. Accordingly, the Fund’s value will likely be more volatile than the value of a more diversified fund.
Shareholder concentration risk
At August 31, 2019, one unaffiliated shareholder of record
owned 11.4% 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 33.5% 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 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.
30
|
Columbia Global Energy and
Natural Resources 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 Global Energy and Natural Resources Fund
Opinion on the Financial Statements
We have audited the accompanying statement of assets and
liabilities, including the portfolio of investments, of Columbia Global Energy and Natural Resources Fund (one of the funds constituting Columbia Funds Series Trust I, hereafter referred to as the “Fund”) as of August 31, 2019, the
related statement of operations for the year ended August 31, 2019, the statement of changes in net assets for each of the two years in the period ended August 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 August 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 August 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 August 31, 2019, by correspondence with the custodian, transfer agent, and brokers; when replies were not received from brokers, we performed other audit procedures. We believe that our audits provide a reasonable basis for
our opinion.
/s/PricewaterhouseCoopers LLP
Minneapolis, Minnesota
October 24, 2019
We have served as the auditor of one or more investment
companies within the Columbia Funds Complex since 1977.
Columbia
Global Energy and Natural Resources Fund | Annual Report 2019
|
31
|
Federal Income Tax Information
(Unaudited)
The Fund hereby designates the following tax attributes for
the fiscal year ended August 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
|
100.00%
|
65.19%
|
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.
TRUSTEES AND OFFICERS
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), September 2007-October 2018
|
70
|
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, December 2002-May 2006; President of UAL Loyalty Services (airline marketing company), September 2001-December 2002; Executive Vice President and Chief
Financial Officer of United Airlines, July 1999-September 2001
|
70
|
Spartan
Nash Company, (food distributor); former Director, Nash Finch Company (food distributor), 2005-2013; Aircastle Limited (aircraft leasing); former Director, SeaCube Container Leasing Ltd. (container leasing), 2010-2013; 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), 1997-2010; Chair, Wellington Management Portfolios (commingled non-U.S. investment pools), 2007-2010; Director, Wellington Trust Company, NA
and other Wellington affiliates, 1997-2010
|
70
|
None
|
32
|
Columbia Global Energy and
Natural Resources 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
|
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
|
70
|
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
|
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, August 2007-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, August 1999-October 2005;
University Professor, Boston College, November 2005-August 2007
|
70
|
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, 1988-2014
|
70
|
Former
Director, M Fund, Inc. (M Funds mutual fund family), July 2018-July 2019
|
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, 1994-1997, President – Application Systems Division, 1991-1994, Chief Financial Officer – US Marketing & Services, 1988-1991, and Chief Information Officer, 1987-1988, IBM Corporation
(computer and technology)
|
70
|
Former
Director, Enesco Group, Inc. (producer of giftware and home and garden decor products), 2001-2006
|
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, May
2010-February 2015; President, Columbia Funds, 2009-2015; and senior officer of Columbia Funds and affiliated funds, 2003-2015
|
70
|
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
Global Energy and Natural Resources Fund | Annual Report 2019
|
33
|
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, 2004-2010; Senior Partner, McKinsey & Company, 2001-2004
|
70
|
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, April 2016-September
2016; Senior Vice President and Chief Investment Officer, Calvert Investments, August 2008-January 2016; Section Head and Portfolio Manager, General Motors Asset Management, June 1997-August 2008
|
70
|
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
|
192
|
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, August 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.
34
|
Columbia Global Energy and
Natural Resources 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 as of the printing of this report, 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
Global Energy and Natural Resources Fund | Annual Report 2019
|
35
|
Board Consideration and Approval of
Management
Agreement
On June 12, 2019, the Board of Trustees (the Board) and the
Trustees who are not interested persons (as defined in the Investment Company Act of 1940) (the Independent Trustees) of Columbia Funds Series Trust I (the Trust) unanimously approved the continuation of the Management Agreement (the Management
Agreement) with Columbia Management Investment Advisers, LLC (the Investment Manager) with respect to Columbia Global Energy and Natural Resources Fund (the Fund), a series of the Trust. As detailed below, the Board’s Advisory Fees and
Expenses Committee (the Committee) and the Board met on multiple occasions to review and discuss, among themselves, with the management team of the Investment Manager and with an independent fee consultant, materials provided by the Investment
Manager, the independent fee consultant and others before determining to approve the continuation of the Management Agreement.
In connection with their deliberations regarding the
continuation of the Management Agreement, the Committee and the Board evaluated materials requested from the Investment Manager regarding the Fund and the Management Agreement, and discussed these materials with representatives of the Investment
Manager at Committee meetings held on March 5, 2019, April 25, 2019 and June 11, 2019 and at Board meetings held on March 6, 2019 and June 12, 2019. In addition, the Board and its various committees consider matters bearing on the Management
Agreement at other meetings throughout the year and in prior years and meet regularly with senior management of the Trust and the Investment Manager. Through the Board’s Investment Oversight Committees, Trustees also meet with selected
portfolio managers of the funds the Trustees oversee and with other investment personnel at various times throughout the year. The Committee and the Board also consulted with the independent fee consultant, Fund counsel and the Independent
Trustees’ independent legal counsel, who advised on various matters with respect to the Committee’s and the Board’s considerations and otherwise assisted the Committee and the Board in their deliberations. On June 11, 2019, the
Committee recommended that the Board approve the continuation of the Management Agreement. On June 12, 2019, the Board, including the Independent Trustees, voting separately, unanimously approved the continuation of the Management Agreement for the
Fund.
The Committee and the Board considered all
information that they, their legal counsel or the Investment Manager believed reasonably necessary to evaluate and to determine whether to recommend for approval or approve the continuation of the Management Agreement. The information and factors
considered by the Committee and the Board in recommending for approval or approving the continuation of the Management Agreement for the Fund included the following:
•
|
Information on the
investment performance of the Fund relative to the performance of a group of mutual funds determined to be comparable to the Fund by an independent third-party data provider, as well as performance relative to benchmarks;
|
•
|
Information on the
Fund’s management fees and total expenses, including information comparing the Fund’s expenses to those of a group of comparable mutual funds, as determined by the independent third-party data provider;
|
•
|
The Investment
Manager’s agreement to contractually limit or cap total operating expenses for the Fund through December 31, 2020 so that total operating expenses (excluding certain fees and expenses, such as transaction costs and certain other investment
related expenses, interest, taxes, acquired fund fees and expenses, and infrequent and/or unusual expenses) would not exceed a specified annual rate, as a percentage of the Fund’s net assets;
|
•
|
The terms and conditions of
the Management Agreement;
|
•
|
The current and proposed
terms and conditions of other agreements and arrangements with affiliates of the Investment Manager relating to the operations of the Fund, including agreements with respect to the provision of distribution, transfer agency and shareholder services
to the Fund;
|
•
|
Descriptions of various
functions performed by the Investment Manager under the Management Agreement, including portfolio management and portfolio trading practices;
|
•
|
Information regarding the
management fees of similarly-managed portfolios of other clients of the Investment Manager, including institutional accounts and collective trusts;
|
•
|
Information regarding the
reputation, regulatory history and resources of the Investment Manager, including information regarding senior management, portfolio managers and other personnel;
|
36
|
Columbia Global Energy and
Natural Resources Fund | Annual Report 2019
|
Board Consideration and Approval of Management
Agreement (continued)
•
|
Information regarding the
capabilities of the Investment Manager with respect to compliance monitoring services, including an assessment of the Investment Manager’s compliance system by the Fund’s Chief Compliance Officer; and
|
•
|
The profitability to the
Investment Manager and its affiliates from their relationships with the Fund.
|
Nature, extent and quality of services provided under the
Management Agreement
The Committee and the Board
considered the nature, extent and quality of services provided to the Fund by the Investment Manager and its affiliates under the Management Agreement and under separate agreements for the provision of transfer agency and shareholder services, and
the resources dedicated to the Fund and the other Columbia Funds by the Investment Manager and its affiliates. The Committee and the Board considered, among other things, the Investment Manager’s ability to attract, motivate and retain highly
qualified research, advisory and supervisory investment professionals (including compensation programs for personnel involved in fund management, reputation and other attributes), the portfolio management services provided by those investment
professionals, and the quality of the Investment Manager’s investment research capabilities and trade execution services. The Committee and the Board also considered the potential benefits to shareholders of investing in a mutual fund that is
part of a fund complex offering exposure to a variety of asset classes and investment disciplines and providing a variety of fund and shareholder services.
The Committee and the Board also considered the professional
experience and qualifications of the senior personnel of the Investment Manager, which included consideration of the Investment Manager’s experience with funds using an investment strategy similar to that used by the Investment Manager for the
Fund. The Committee and the Board noted the compliance programs of and the compliance-related resources provided to the Fund by the Investment Manager and its affiliates and the resources dedicated by the Investment Manager and its affiliates to
risk management, and considered the Investment Manager’s ability to provide administrative services to the Fund and coordinate the activities of the Fund’s other service providers. After reviewing these and related factors, the Committee
and the Board concluded, within the context of their overall conclusions, that the nature, extent and quality of the services provided to the Fund under the Management Agreement supported the continuation of the Management Agreement.
Investment performance
The Committee and the Board reviewed information about the
performance of the Fund over various time periods, including performance information relative to benchmarks, information that compared the performance of the Fund to the performance of a group of comparable mutual funds as determined by the
independent third-party data provider, and information and analysis provided by the independent fee consultant. The Committee and the Board also reviewed a description of the third party’s methodology for identifying the Fund’s peer
groups for purposes of performance and expense comparisons.
The Committee and the Board noted that, through December 31,
2018, the Fund’s performance was in the forty-fifth, twenty-fifth and thirty-fifth percentile (where the best performance would be in the first percentile) of its category selected by the independent third-party data provider for the purposes
of performance comparisons for the one-, three- and five-year periods, respectively.
The Committee and the Board also considered the Investment
Manager’s performance and reputation generally, the Investment Manager’s historical responsiveness to Board concerns about performance, and the Investment Manager’s willingness to take steps intended to improve performance. After
reviewing these and related factors, the Committee and the Board concluded, within the context of their overall conclusions, that the performance of the Fund and the Investment Manager was sufficient, in light of other considerations, to support the
continuation of the Management Agreement.
Investment
management fee rates and other expenses
The Committee
and the Board considered the management fees charged to the Fund under the Management Agreement as well as the total expenses incurred by the Fund. In assessing the reasonableness of the fees under the Management Agreement, the Committee and the
Board considered, among other information, the Fund’s total expense ratio as a percentage of average daily net assets. The Committee and the Board considered data provided by the independent third-party data provider and the independent fee
consultant. The Committee and the Board noted that, as of December 31, 2018, the Fund’s actual management fee and net total expense ratio were ranked in the fourth and second quintiles,
Columbia
Global Energy and Natural Resources Fund | Annual Report 2019
|
37
|
Board Consideration and Approval of Management
Agreement (continued)
respectively, (where the lowest fees and expenses would be in the first
quintile) against the Fund’s expense universe as determined by the independent third-party data provider for purposes of expense comparison. The Committee and the Board also took into account the fee waiver and expense limitation arrangements
agreed to by the Investment Manager, as noted above.
The
Committee and the Board also received and considered information about the management fees charged by the Investment Manager to institutional accounts. In considering the fees charged to those accounts, the Committee and the Board took into account,
among other things, the Investment Manager’s representations about the differences between managing mutual funds as compared to other types of accounts, including differences in the services provided, differences in the risk profile of such
business for the Investment Manager and the additional resources required to manage mutual funds effectively. The Committee and the Board also received and considered information about the fees charged by the Investment Manager for sub-advisory
services it provides to comparable unaffiliated funds. In evaluating the Fund’s management fees, the Committee and the Board also took into account the demands, complexity and quality of the investment management of the Fund.
After reviewing these and related factors, the Committee and
the Board concluded, within the context of their overall conclusions, that the management fee rates and expenses of the Fund, in light of other considerations, supported the continuation of the Management Agreement.
Costs of services provided and profitability
The Committee and the Board also took note of the costs the
Investment Manager and its affiliates incur in connection with the services provided and the profitability to the Investment Manager and its affiliates from their relationships with the Fund, and the efforts undertaken by the Investment Manager and
its affiliates to manage efficiently their costs to provide such services.
The Committee and the Board also considered the compensation
directly or indirectly received by the Investment Manager’s affiliates in connection with their relationships with the Fund. The Committee and the Board reviewed information provided by management as to the profitability to the Investment
Manager and its affiliates of their relationships with the Fund, information about the allocation of expenses used to calculate profitability, and comparisons of profitability levels realized in 2018 to profitability levels realized in 2017. When
reviewing profitability, the Committee and the Board also considered court cases in which adviser profitability was an issue in whole or in part, the performance of similarly managed funds, the performance of the Fund, and the expense ratio of the
Fund. In addition, the Committee and the Board considered information provided by the Investment Manager regarding the Investment Manager’s financial condition and comparing its profitability to that of other asset management firms that are,
or are subsidiaries of, publicly traded companies. In this regard, the Committee and the Board also considered data provided by the independent fee consultant.
After reviewing these and related factors, the Committee and
the Board concluded, within the context of their overall conclusions, that the costs of services provided and the profitability to the Investment Manager and its affiliates from their relationships with the Fund supported the continuation of the
Management Agreement.
Economies of scale
The Committee and the Board considered the potential
existence of economies of scale in the provision by the Investment Manager of services to the Fund, to groups of related funds, and to the Investment Manager’s investment advisory clients as a whole, and whether those economies of scale were
shared with the Fund through breakpoints in investment management fees or other means, such as expense limitation arrangements and additional investments by the Investment Manager in investment, trading, compliance and other resources. The Committee
and the Board noted that the management fee schedules for the Fund contained breakpoints that would reduce the fee rate on assets above specified threshold levels.
In considering these matters, the Committee and the Board also
considered the costs of the services provided and the profitability to the Investment Manager and its affiliates from their relationships with the Fund, as noted above. After reviewing these and related factors, the Committee and the Board
concluded, within the context of their overall conclusions, that the extent to which any economies of scale were expected to be shared with the Fund supported the continuation of the Management Agreement.
38
|
Columbia Global Energy and
Natural Resources Fund | Annual Report 2019
|
Board Consideration and Approval of Management
Agreement (continued)
Other benefits to the Investment Manager
The Committee and the Board received and considered
information regarding “fall-out” or ancillary benefits received by the Investment Manager and its affiliates as a result of their relationships with the Fund, such as the engagement of the Investment Manager’s affiliates to provide
distribution, transfer agency and shareholder services to the Fund. In this regard, among other matters, the Committee and the Board considered that the Fund’s distributor retains a portion of the distribution fees from the Fund and receives a
portion of the sales charges on sales or redemptions of certain classes of shares of the Fund. The Committee and the Board also considered the benefits of research made available to the Investment Manager by reason of brokerage commissions generated
by the Fund’s securities transactions, and reviewed information about the Investment Manager’s practices with respect to considering brokerage and research services when allocating portfolio transactions. In this connection, the Board
also noted that the amount of research made available to the Investment Manager by reason of brokerage commissions had been declining over time, and may decline further. The Committee and the Board recognized that the Investment Manager’s
profitability would be somewhat lower without these benefits.
Conclusion
The Committee and the Board reviewed all of the above
considerations in reaching their decisions to recommend or approve the continuation of the Management Agreement. In their deliberations, the Trustees did not identify any particular information that was all-important or controlling, and individual
Trustees may have attributed different weights to the various factors. Based on their evaluation of all factors that they deemed to be material, including those factors described above, and assisted by the advice of independent legal counsel, the
Board, including the Independent Trustees, voting separately, unanimously approved the continuation of the Management Agreement.
Columbia
Global Energy and Natural Resources Fund | Annual Report 2019
|
39
|
Columbia Global Energy and Natural Resources 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
August 31, 2019
Columbia Strategic 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
|
|
5
|
|
8
|
|
9
|
|
51
|
|
53
|
|
54
|
|
56
|
|
60
|
|
79
|
|
80
|
|
84
|
Columbia Strategic Income Fund (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-PORT, and for reporting periods ended prior to March 31, 2019, on Form N-Q. The Fund’s Form N-Q and Form N-PORT filings are available on the SEC’s website at sec.gov.
The Fund’s complete schedule of portfolio holdings, as filed on Form N-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 (the Investment Manager)
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 Strategic
Income Fund | Annual Report 2019
Investment objective
The Fund seeks total return,
consisting of current income and capital appreciation.
Portfolio
management
Gene Tannuzzo,
CFA
Co-Portfolio
Manager
Managed Fund
since 2010
Colin Lundgren,
CFA
Co-Portfolio
Manager
Managed Fund
since 2010
Jason Callan
Co-Portfolio
Manager
Managed Fund
since 2017
Average
annual total returns (%) (for the period ended August 31, 2019)
|
|
|
Inception
|
1
Year
|
5
Years
|
10
Years
|
Class
A
|
Excluding
sales charges
|
04/21/77
|
6.75
|
3.66
|
5.67
|
|
Including
sales charges
|
|
1.74
|
2.65
|
5.16
|
Advisor
Class*
|
11/08/12
|
6.96
|
3.91
|
5.84
|
Class
C
|
Excluding
sales charges
|
07/01/97
|
5.97
|
2.86
|
4.95
|
|
Including
sales charges
|
|
4.97
|
2.86
|
4.95
|
Institutional
Class
|
01/29/99
|
6.96
|
3.91
|
5.94
|
Institutional
2 Class*
|
03/07/11
|
7.00
|
3.99
|
5.98
|
Institutional
3 Class*
|
06/13/13
|
7.08
|
4.02
|
5.92
|
Class
R*
|
09/27/10
|
6.62
|
3.41
|
5.48
|
Bloomberg
Barclays U.S. Aggregate Bond Index
|
|
10.17
|
3.35
|
3.91
|
ICE
BofAML US Cash Pay High Yield Constrained Index
|
|
6.62
|
4.86
|
8.39
|
FTSE
Non-U.S. World Government Bond (All Maturities) Index - Unhedged
|
|
7.33
|
0.70
|
1.58
|
JPMorgan
Emerging Markets Bond Index - Global
|
|
13.11
|
4.66
|
7.06
|
Returns for Class A shares are shown
with and without the maximum initial sales charge of 4.75%. Returns for Class C shares are shown with and without the 1.00% contingent deferred sales charge for the first year only. The Fund’s other share classes are not subject to sales
charges and have limited eligibility. Please see the Fund’s prospectus for details. Performance for different share classes will vary based on differences in sales charges and fees associated with each share class. All results shown assume
reinvestment of distributions during the period. Returns do not reflect the deduction of taxes that a shareholder may pay on Fund distributions or on the redemption of Fund shares. Performance results reflect the effect of any fee waivers or
reimbursements of Fund expenses by Columbia Management Investment Advisers, LLC and/or any of its affiliates. Absent these fee waivers or expense reimbursement arrangements, performance results would have been lower.
The performance information shown represents past performance and
is not a guarantee of future results. The investment return and principal value of your investment will fluctuate so that your shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than
the performance information shown. You may obtain performance information current to the most recent month-end by contacting your financial intermediary, visiting columbiathreadneedleus.com/investor/ or calling 800.345.6611.
*
|
The returns shown for periods
prior to the share class inception date (including returns for the Life of the Fund, if shown, which are since Fund inception) include the returns of the Fund’s oldest share class. These returns are adjusted to reflect any higher class-related
operating expenses of the newer share classes, as applicable. Please visit columbiathreadneedleus.com/investor/investment-products/mutual-funds/appended-performance for more information.
|
The Fund’s performance prior to August 29, 2014 reflects
returns achieved pursuant to different principal investment strategies.
The Bloomberg Barclays U.S. Aggregate Bond Index is a market
value-weighted index that tracks the daily price, coupon, pay-downs and total return performance of fixed-rate, publicly placed, dollar-denominated and non-convertible investment-grade debt issues with at least $250 million par amount outstanding
and with at least one year to final maturity.
The ICE
BofAML US Cash Pay High Yield Constrained Index tracks the performance of U.S. dollar-denominated below investment-grade corporate debt, currently in a coupon paying period, that is publicly issued in the U.S. domestic market.
The FTSE Non-U.S. World Government Bond (All Maturities) Index
— Unhedged is calculated on a market-weighted basis and includes all fixed-rate bonds with a remaining maturity of one year or longer and with amounts outstanding of at least the equivalent of U.S. $25 million, while excluding floating or
variable rate bonds.
The JPMorgan Emerging Markets Bond
Index — Global is based on U.S. dollar-denominated debt instruments issued by emerging market sovereign and quasi-sovereign entities, such as Brady bonds, Eurobonds and loans, and reflects reinvestment of all distributions and changes in
market prices.
Columbia
Strategic Income Fund | 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 or other expenses of investing. Securities in the Fund may not match those in an index.
Performance of a hypothetical $10,000
investment (August 31, 2009 — August 31, 2019)
The chart above shows the
change in value of a hypothetical $10,000 investment in Class A shares of Columbia Strategic 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.
Portfolio
breakdown (%) (at August 31, 2019)
|
Asset-Backed
Securities — Non-Agency
|
10.1
|
Commercial
Mortgage-Backed Securities - Non-Agency
|
3.6
|
Common
Stocks
|
0.0
(a)
|
Corporate
Bonds & Notes
|
34.3
|
Foreign
Government Obligations
|
7.4
|
Inflation-Indexed
Bonds
|
0.6
|
Money
Market Funds
|
4.5
|
Residential
Mortgage-Backed Securities - Agency
|
14.9
|
Residential
Mortgage-Backed Securities - Non-Agency
|
18.0
|
Senior
Loans
|
6.3
|
Treasury
Bills
|
0.1
|
U.S.
Treasury Obligations
|
0.2
|
Warrants
|
0.0
(a)
|
Total
|
100.0
|
Percentages indicated are based
upon total investments excluding investments in derivatives, if any. The Fund’s portfolio composition is subject to change.
Quality
breakdown (%) (at August 31, 2019)
|
AAA
rating
|
17.2
|
AA
rating
|
7.2
|
A
rating
|
6.2
|
BBB
rating
|
22.6
|
BB
rating
|
12.8
|
B
rating
|
15.0
|
CCC
rating
|
2.7
|
Not
rated
|
16.3
|
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.
4
|
Columbia Strategic Income
Fund | Annual Report 2019
|
Manager Discussion of Fund Performance
For
the 12-month period that ended August 31, 2019, the Fund’s Class A shares returned 6.75% excluding sales charges. While posting solid absolute gains, the Fund underperformed its benchmark, the Bloomberg Barclays U.S. Aggregate Bond Index,
which returned 10.17% for the same period. Duration positioning and exposure to emerging markets debt detracted most from relative results, more than offsetting the positive contributions of allocation positioning and issue selection within
structured credit sectors.
Bond markets gained amid
heightened economic growth and trade uncertainty
Uncertainty was a dominant theme for fixed-income markets
during the period. Fixed-income investors grappled with the extent to which U.S. and global economic growth was slowing as well as with how much of the deceleration was due to an increase in trade tensions. After hiking interest rates four times in
2018, the U.S. Federal Reserve (Fed) paused interest rate hikes beginning in early 2019 and then cut interest rates for the first time since 2008 at the end of July 2019. The market’s anticipation of more accommodative Fed monetary policy led
to lower U.S. Treasury yields and provided an uplift to credit sectors, especially after a significant sell-off and tightening of financial conditions at the end of 2018. Broadly speaking, higher quality sectors outperformed. U.S. Treasuries and
investment-grade corporate bonds were among the best performing fixed-income sectors. The weakest performing fixed-income sectors were lower quality, such as high-yield corporate bonds, and those sectors that typically perform poorly when interest
rates fall, including agency mortgage-backed securities and bank loans.
All told, the bellwether 10-year U.S. Treasury yield fell 136
basis points during the period as a result of the pivot by the Fed, slowing global economic growth and strong demand for U.S. dollar-denominated assets amid trade uncertainty. (A basis point is 1/100th of a percentage point.) Elsewhere, more
pronounced slowing of economic activity, namely in Germany and China, led to the share of global bonds trading with negative yields to rise to all-time highs. The U.S. Treasury yield curve (a line that plots yields of U.S Treasury bonds of equal
credit quality but different maturities), flattened and then ended the period inverted for the first time since the 2008 financial crisis, meaning shorter term yields were higher than longer term yields. The yield curve inversion was driven by the
market’s downgraded expectations of economic growth and inflation, and the market’s more pronounced view that the Fed was late in realizing its policy stance was too tight.
Duration positioning and emerging market bond exposure
detracted from Fund results
Duration positioning
contributed most to the Fund’s absolute performance during the period. The U.S. economy was beginning to slow in the autumn of 2018, yet the 10-year U.S. Treasury yield was above 3% and the Fed was still hiking interest rates. Thus, allocating
to interest rate risk was attractive relative to other factors. As the Fed pivoted to be more accommodative and the economy decelerated during the first half of 2019, U.S. Treasury yields fell significantly. Relative to the benchmark, the Fund
maintained a shorter duration stance throughout the period in line with our process to follow a risk-balanced framework. Such positioning proved a detractor from relative results as yields fell. Duration is a measure of the Fund’s sensitivity
to changes in interest rates.
The two sectors that hurt
the Fund’s relative performance most were emerging markets debt and Treasury inflation-protected securities (TIPS). Within emerging markets debt, security selection among Argentinian U.S. dollar-denominated bonds detracted most. Argentinean
assets were negatively impacted by results of an August 2019 primary presidential election that surprised market participants. The size of the win by left-wing Peronistas indicated they would win the presidency, and this party has a history of
non-market friendly or international creditor-friendly policies. Exposure to Argentinean assets was only partially offset by diverse exposures across other emerging market debt credits, which contributed positively. Further, as interest rates
rallied in the summer of 2019 and the market-based probability of a recession rose, the Fund’s modest inflation exposure via TIPS was negatively affected.
Structured credit sector positioning boosted Fund
results
Relative to the benchmark, overweighted
exposure to U.S. credit spread, or non-U.S. Treasury, sectors boosted the Fund’s results most. The strongest performance was generated by structured credit sectors, specifically, non-agency mortgage-backed securities, asset-backed securities
and commercial mortgage-backed securities, with both allocation positioning and issue selection adding value. The Fund’s allocation to corporate credit — both high yield and investment grade — also
Columbia
Strategic Income Fund | Annual Report 2019
|
5
|
Manager Discussion of Fund Performance (continued)
contributed positively to its relative results. Within high yield, an
increased allocation to the sector near the end of 2018 at what we considered to be attractive valuations relative to fundamentals helped most. Issue selection among investment-grade corporate bonds, especially within non-cyclical sectors and among
BBB-rated bonds, was especially beneficial.
To a lesser
degree, the Fund also benefited from its yield curve positioning. The Fund favored the long-term segment of the U.S. Treasury yield curve for most of the annual period but began moving exposure to be more balanced across the yield curve beginning in
the spring of 2019, which helped as the yield curve flattened and then inverted. At the end of the annual period, the Fund’s positioning favored the short-term and long-term segments of the yield curve with little exposure to the
intermediate-segment.
Shifting market conditions drove
portfolio changes
The Fund began the period positioned
rather conservatively on credit risk. Allocations to high-yield corporate bonds and emerging markets debt were quite modest by historical measure. As markets fell into the end of 2018 and valuations became attractive relative to the underlying
fundamentals, in our view, we increased the Fund’s allocations to both of these sectors and, to a lesser extent, to investment-grade corporate bonds. Then, through the first eight months of 2019, we reduced allocations to lower quality credit
risk, including high-yield corporate bonds and emerging markets debt. The Fund ended the period with a conservative stance on credit risk, similar to its stance at the start of its fiscal year.
From a duration perspective, the Fund made tactical shifts in
positioning throughout the period. While maintaining a shorter duration than that of the benchmark throughout, we lengthened the Fund’s duration into the fourth quarter of 2018, moving to its highest level in the last five years as interest
rates rose despite a slowing economy. The Fed at that time was signaling further interest rate hikes in 2019 that, based on fundamentals, did not appear to be realistic. As interest rates then fell during 2019 and the Fed pivoted away from hikes and
eventually to cuts, we gradually but significantly reduced the Fund’s duration position. We also, as mentioned above, gradually began shifting exposure on the yield curve to shorter segments, as the yield curve inverted and the Fed moved to
cut interest rates.
Currency exposure was relatively
modest outside of the U.S. dollar, although we did hold small positions in the Fund in select currencies, particularly in emerging markets, that we believed offered attractive risk/reward propositions. We increased inflation exposure during the
period but maintained only a modest allocation to TIPS.
Overall, the Fund’s portfolio turnover rate for the
12-month period was 179%. A significant portion of the turnover was the result of rolling-maturity mortgage securities, processing of prepayments and opportunistic changes our managers made at the margin in response to valuations or market
developments.
Derivative positions in the Fund
The Fund utilized derivatives as a means to hedge exposures
to better balance risks among four risk factors — credit, duration, currency and inflation. We used U.S. Treasury futures, credit default swap indices, options on interest rate swaps and agency mortgage-backed securities futures. On a
stand-alone basis, the use of these derivative instruments had an negative impact on Fund performance during the period.
Market risk may affect a single
issuer, sector of the economy, industry or the market as a whole. Mortgage- and asset-backed securities are affected by interest rates, financial health of issuers/originators, creditworthiness of entities
providing credit enhancements and the value of underlying assets. Fixed-income securities present issuer default risk. Non-investment-grade (high-yield or junk)
securities present greater price volatility and more risk to principal and income than higher rated securities. 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. Floating rate loans typically present greater risk than other fixed-income investments as they are generally subject to legal or contractual resale restrictions, may trade less frequently and
experience value impairments during liquidation. 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. 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. Risks are enhanced for emerging market and sovereign
debt issuers. Investing in derivatives is a
6
|
Columbia Strategic Income
Fund | Annual Report 2019
|
Manager Discussion of Fund Performance (continued)
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. Liquidity risk is associated with the difficulty of selling underlying investments at a
desirable time or price. 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.
Columbia
Strategic Income 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 $1,000
= 8.6), then multiply the results by the expenses paid during the period under the “Actual” column. The amount listed in the “Hypothetical” column assumes a 5% annual rate of return before expenses (which is not the
Fund’s actual return) and then applies the Fund’s actual expense ratio for the period to the hypothetical return. You should not use the hypothetical account values and expenses to estimate either your actual account balance at the end
of the period or the expenses you paid during the period. See “Compare with other funds” below for details on how to use the hypothetical data.
Compare with other funds
Since all mutual funds are required to include the same
hypothetical calculations about expenses in shareholder reports, you can use this information to compare the ongoing cost of investing in the Fund with other funds. To do so, compare the hypothetical example with the 5% hypothetical examples that
appear in the shareholder reports of other funds. As you compare hypothetical examples of other funds, it is important to note that hypothetical examples are meant to highlight the ongoing costs of investing in a fund only and do not reflect any
transaction costs, such as sales charges, or redemption or exchange fees. Therefore, the hypothetical calculations are useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. If
transaction costs were included in these calculations, your costs would be higher.
March
1, 2019 — August 31, 2019
|
|
Account
value at the
beginning of the
period ($)
|
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
|
1,038.20
|
1,020.31
|
4.85
|
4.81
|
0.95
|
Advisor
Class
|
1,000.00
|
1,000.00
|
1,040.20
|
1,021.56
|
3.58
|
3.55
|
0.70
|
Class
C
|
1,000.00
|
1,000.00
|
1,034.30
|
1,016.55
|
8.67
|
8.59
|
1.70
|
Institutional
Class
|
1,000.00
|
1,000.00
|
1,040.20
|
1,021.56
|
3.58
|
3.55
|
0.70
|
Institutional
2 Class
|
1,000.00
|
1,000.00
|
1,040.40
|
1,021.76
|
3.38
|
3.35
|
0.66
|
Institutional
3 Class
|
1,000.00
|
1,000.00
|
1,040.80
|
1,022.01
|
3.12
|
3.09
|
0.61
|
Class
R
|
1,000.00
|
1,000.00
|
1,038.40
|
1,019.05
|
6.13
|
6.07
|
1.20
|
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 Strategic Income
Fund | Annual Report 2019
|
Portfolio of Investments
August 31, 2019
(Percentages represent value of investments compared to net
assets)
Investments in securities
Asset-Backed
Securities — Non-Agency 11.2%
|
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
Apidos
CLO XXVIII(a),(b)
|
Series
2017-28A Class A1B
|
3-month
USD LIBOR + 1.150%
Floor 1.150%
01/20/2031
|
3.428%
|
|
20,750,000
|
20,153,583
|
ARES
XLIV CLO Ltd.(a),(b)
|
Series
2017-44A Class D
|
3-month
USD LIBOR + 6.550%
10/15/2029
|
8.853%
|
|
12,000,000
|
11,449,008
|
ARES
XLVII CLO Ltd.(a),(b)
|
Series
2018-47A Class B
|
3-month
USD LIBOR + 1.450%
Floor 1.450%
04/15/2030
|
3.753%
|
|
11,200,000
|
11,043,648
|
ARES
XXXVII CLO Ltd.(a),(b)
|
Series
2015-4A Class A3R
|
3-month
USD LIBOR + 1.500%
10/15/2030
|
3.803%
|
|
25,250,000
|
24,869,684
|
Atrium
XIII(a),(b)
|
Series
2013A Class B
|
3-month
USD LIBOR + 1.500%
11/21/2030
|
3.759%
|
|
32,414,000
|
32,090,152
|
Avant
Loans Funding Trust(a)
|
Series
2019-A Class B
|
12/15/2022
|
3.800%
|
|
9,600,000
|
9,750,418
|
Babson
CLO Ltd.(a),(b)
|
Series
2015-2A Class B2R
|
3-month
USD LIBOR + 1.590%
10/20/2030
|
3.868%
|
|
38,425,000
|
38,036,062
|
Ballyrock
CLO Ltd.(a),(b)
|
Series
2018-1A Class A2
|
3-month
USD LIBOR + 1.600%
04/20/2031
|
3.878%
|
|
8,686,000
|
8,565,013
|
Carlyle
Global Market Strategies CLO Ltd.(a),(b)
|
Series
2013-4A Class BRR
|
3-month
USD LIBOR + 1.420%
Floor 1.420%
01/15/2031
|
3.723%
|
|
11,725,000
|
11,506,340
|
Series
2015-4A Class A2R
|
3-month
USD LIBOR + 1.800%
07/20/2032
|
4.078%
|
|
14,400,000
|
14,378,170
|
CLUB
Credit Trust(a)
|
Series
2018-NP1 Class C
|
05/15/2024
|
4.740%
|
|
9,035,480
|
9,103,774
|
Conn’s
Receivables Funding LLC(a)
|
Series
2019-A Class A
|
10/16/2023
|
3.400%
|
|
9,815,391
|
9,858,905
|
Series
2019-A Class B
|
10/16/2023
|
4.360%
|
|
7,700,000
|
7,779,974
|
Asset-Backed
Securities — Non-Agency (continued)
|
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
Consumer
Lending Receivables Trust(a)
|
Series
2019-A Class A
|
04/15/2026
|
3.520%
|
|
18,450,208
|
18,572,241
|
Credit
Suisse ABS Trust(a)
|
Series
2018-LD1 Class B
|
07/25/2024
|
4.280%
|
|
10,560,000
|
10,606,405
|
Dryden
XXVIII Senior Loan Fund(a),(b)
|
Series
2013-28A Class A2LR
|
3-month
USD LIBOR + 1.650%
08/15/2030
|
3.808%
|
|
23,650,000
|
23,432,444
|
LendingClub
Receivables Trust(a)
|
Series
2019-1 Class A
|
07/17/2045
|
4.000%
|
|
19,384,252
|
19,427,694
|
Series
2019-2 Class A
|
08/15/2025
|
4.000%
|
|
25,274,574
|
25,318,473
|
Madison
Park Funding XXIV Ltd.(a),(b)
|
Series
2016-24A Class BR
|
3-month
USD LIBOR + 1.750%
10/20/2029
|
3.926%
|
|
14,000,000
|
14,000,490
|
Madison
Park Funding XXXII Ltd.(a),(b)
|
Series
2018-32A Class C
|
3-month
USD LIBOR + 2.900%
Floor 2.900%
01/22/2031
|
5.178%
|
|
6,000,000
|
6,017,292
|
Series
2018-32A Class D
|
3-month
USD LIBOR + 4.100%
Floor 4.100%
01/22/2031
|
6.378%
|
|
9,500,000
|
9,483,907
|
Morgan
Stanley Resecuritization Pass-Through Trust(a),(c),(d)
|
Series
2018-SC1 Class B
|
09/18/2023
|
1.000%
|
|
8,939,978
|
8,671,778
|
OHA
Credit Partners XIV Ltd.(a),(b)
|
Series
2017-14A Class B
|
3-month
USD LIBOR + 1.500%
01/21/2030
|
3.778%
|
|
24,000,000
|
23,675,280
|
OZLM
XI Ltd.(a),(b)
|
Series
2015-11A Class A2R
|
3-month
USD LIBOR + 1.750%
10/30/2030
|
4.016%
|
|
14,700,000
|
14,550,913
|
OZLM
XXI(a),(b)
|
Series
2017-21A Class A2
|
3-month
USD LIBOR + 1.450%
01/20/2031
|
3.728%
|
|
18,500,000
|
18,251,119
|
Pagaya
AI Debt Selection Trust(a),(d)
|
Series
2019-1 Class A
|
06/15/2026
|
3.690%
|
|
28,713,255
|
28,910,658
|
The accompanying Notes to Financial Statements are an integral part
of this statement.
Columbia
Strategic Income Fund | Annual Report 2019
|
9
|
Portfolio of Investments (continued)
August 31, 2019
Asset-Backed
Securities — Non-Agency (continued)
|
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
Pagaya
AI Debt Selection Trust(a)
|
Series
2019-2 Class A2A
|
09/15/2026
|
3.929%
|
|
11,700,000
|
11,799,627
|
Palmer
Square Loan Funding Ltd.(a),(b)
|
Series
2019-2A Class A2
|
3-month
USD LIBOR + 1.600%
Floor 1.600%
04/20/2027
|
4.123%
|
|
22,000,000
|
21,998,504
|
Prosper
Marketplace Issuance Trust(a)
|
Series
2018-1A Class B
|
06/17/2024
|
3.900%
|
|
15,000,000
|
15,058,219
|
Series
2018-1A Class C
|
06/17/2024
|
4.870%
|
|
12,900,000
|
13,108,512
|
Series
2019-3A Class A
|
07/15/2025
|
3.190%
|
|
9,003,599
|
9,049,915
|
Subordinated
Series 2017-2A Class C
|
09/15/2023
|
5.370%
|
|
9,748,193
|
9,855,445
|
RR
1 LLC(a),(b)
|
Series
2017-1A Class A2R
|
3-month
USD LIBOR + 1.700%
07/15/2029
|
4.003%
|
|
14,200,000
|
14,110,526
|
Series
2017-1A Class DR
|
3-month
USD LIBOR + 6.500%
07/15/2029
|
8.803%
|
|
5,000,000
|
4,758,750
|
SoFi
Professional Loan Program LLC(a),(c),(d),(e),(f)
|
Series
2015-D Class RC
|
10/26/2037
|
0.000%
|
|
25
|
6,693,349
|
Series
2016-A Class RIO
|
01/25/2038
|
0.000%
|
|
20
|
3,200,000
|
Series
2016-A Class RPO
|
01/25/2038
|
0.000%
|
|
20
|
6,000,000
|
Voya
CLO Ltd.(a),(b)
|
Series
2017-4A Class B
|
3-month
USD LIBOR + 1.450%
10/15/2030
|
3.753%
|
|
14,400,000
|
14,085,518
|
Total
Asset-Backed Securities — Non-Agency
(Cost $582,043,695)
|
559,221,790
|
|
Commercial
Mortgage-Backed Securities - Non-Agency 4.0%
|
|
|
|
|
|
BBCMS
Trust(a),(b)
|
Subordinated
Series 2018-BXH Class F
|
1-month
USD LIBOR + 2.950%
Floor 2.950%
10/15/2037
|
5.145%
|
|
9,200,000
|
9,202,854
|
BHMS
Mortgage Trust(a),(b)
|
Series
2018-ATLS Class D
|
1-month
USD LIBOR + 2.250%
Floor 2.250%
07/15/2035
|
4.445%
|
|
10,000,000
|
10,012,659
|
Commercial
Mortgage-Backed Securities - Non-Agency (continued)
|
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
Braemar
Hotels & Resorts Trust(a),(b)
|
Series
2018-PRME Class F
|
1-month
USD LIBOR + 2.900%
Floor 2.900%
06/15/2035
|
5.095%
|
|
18,350,000
|
18,419,592
|
CALI
Mortgage Trust(a),(g)
|
Series
2019-101C Class F
|
03/10/2039
|
4.469%
|
|
4,700,000
|
4,964,944
|
CHT
2017-COSMO Mortgage Trust(a),(b)
|
Series
2017-CSMO Class B
|
1-month
USD LIBOR + 1.400%
Floor 1.200%
11/15/2036
|
3.595%
|
|
12,970,000
|
12,970,202
|
Series
2017-CSMO Class E
|
1-month
USD LIBOR + 3.000%
Floor 3.000%
11/15/2036
|
5.195%
|
|
4,000,000
|
4,005,053
|
Credit
Suisse Mortgage Capital Certificates OA LLC(a)
|
Subordinated
Series 2014-USA Class D
|
09/15/2037
|
4.373%
|
|
4,000,000
|
4,003,785
|
Subordinated
Series 2014-USA Class F
|
09/15/2037
|
4.373%
|
|
9,920,000
|
9,093,070
|
Hilton
U.S.A. Trust(a),(g)
|
Series
2016-HHV Class F
|
11/05/2038
|
4.333%
|
|
28,590,000
|
29,385,777
|
Hilton
U.S.A. Trust(a)
|
Subordinated,
Series 2016-SFP Class E
|
11/05/2035
|
5.519%
|
|
9,700,000
|
9,843,960
|
Invitation
Homes Trust(a),(b)
|
Series
2017-SFR2 Class E
|
1-month
USD LIBOR + 2.250%
Floor 2.250%
12/17/2036
|
4.446%
|
|
4,498,307
|
4,498,290
|
Progress
Residential Trust(a)
|
Series
2019-SFR1 Class E
|
08/17/2035
|
4.466%
|
|
13,000,000
|
13,544,059
|
Subordinated
Series 2019-SFR2 Class F
|
05/17/2036
|
4.837%
|
|
9,500,000
|
9,877,637
|
RETL
(a),(b)
|
Subordinated
Series 2019-RVP Class C
|
1-month
USD LIBOR + 2.100%
Floor 2.100%
03/15/2036
|
4.584%
|
|
15,600,000
|
15,668,436
|
UBS
Commercial Mortgage Trust(a),(b)
|
Series
2018-NYCH Class C
|
1-month
USD LIBOR + 1.500%
Floor 1.500%
02/15/2032
|
3.695%
|
|
10,941,000
|
10,941,918
|
The accompanying Notes to Financial Statements are an integral part
of this statement.
10
|
Columbia Strategic Income
Fund | Annual Report 2019
|
Portfolio of Investments (continued)
August 31, 2019
Commercial
Mortgage-Backed Securities - Non-Agency (continued)
|
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
Series
2018-NYCH Class E
|
1-month
USD LIBOR + 2.900%
Floor 3.200%
02/15/2032
|
5.095%
|
|
13,795,000
|
13,865,724
|
Series
2018-NYCH Class F
|
1-month
USD LIBOR + 3.821%
Floor 3.821%
02/15/2032
|
6.016%
|
|
11,783,000
|
11,829,260
|
Wells
Fargo Commercial Mortgage Trust(a),(b)
|
Subordinated
Series 2017-SMP Class D
|
1-month
USD LIBOR + 1.650%
Floor 1.650%
12/15/2034
|
3.846%
|
|
9,790,000
|
9,751,358
|
Total
Commercial Mortgage-Backed Securities - Non-Agency
(Cost $191,956,935)
|
201,878,578
|
Common
Stocks 0.0%
|
Issuer
|
Shares
|
Value
($)
|
Communication
Services 0.0%
|
Diversified
Telecommunication Services 0.0%
|
Cincinnati
Bell, Inc.(h)
|
300
|
1,629
|
Media
0.0%
|
Cumulus
Media, Inc., Class A(h)
|
9,225
|
125,460
|
Tribune
Media Co.
|
1,338
|
62,324
|
Total
|
|
187,784
|
Total
Communication Services
|
189,413
|
Consumer
Discretionary 0.0%
|
Specialty
Retail 0.0%
|
David’s
Bridal, Inc.(h)
|
11,031
|
69,859
|
Total
Consumer Discretionary
|
69,859
|
Energy
0.0%
|
Energy
Equipment & Services 0.0%
|
Fieldwood
Energy LLC(h)
|
8,596
|
249,284
|
Total
Energy
|
249,284
|
Materials
0.0%
|
Metals
& Mining 0.0%
|
Aleris
International, Inc.(d),(h)
|
3,721
|
83,722
|
Total
Materials
|
83,722
|
Common
Stocks (continued)
|
Issuer
|
Shares
|
Value
($)
|
Utilities
0.0%
|
Independent
Power and Renewable Electricity Producers 0.0%
|
Vistra
Energy Corp.(d),(h)
|
21,925
|
17,979
|
Total
Utilities
|
17,979
|
Total
Common Stocks
(Cost $717,148)
|
610,257
|
Corporate
Bonds & Notes(i) 38.1%
|
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
Aerospace
& Defense 0.4%
|
Bombardier,
Inc.(a)
|
10/15/2022
|
6.000%
|
|
536,000
|
531,880
|
12/01/2024
|
7.500%
|
|
927,000
|
924,031
|
03/15/2025
|
7.500%
|
|
1,795,000
|
1,751,340
|
04/15/2027
|
7.875%
|
|
441,000
|
426,795
|
TransDigm,
Inc.
|
07/15/2024
|
6.500%
|
|
4,172,000
|
4,320,632
|
05/15/2025
|
6.500%
|
|
579,000
|
603,839
|
06/15/2026
|
6.375%
|
|
2,747,000
|
2,883,548
|
TransDigm,
Inc.(a)
|
03/15/2026
|
6.250%
|
|
7,162,000
|
7,728,822
|
03/15/2027
|
7.500%
|
|
2,361,000
|
2,538,025
|
Total
|
21,708,912
|
Automotive
0.3%
|
Ford
Motor Co.
|
01/15/2043
|
4.750%
|
|
2,750,000
|
2,475,041
|
Ford
Motor Credit Co. LLC
|
11/02/2020
|
2.343%
|
|
8,310,000
|
8,282,220
|
IAA
Spinco, Inc.(a)
|
06/15/2027
|
5.500%
|
|
482,000
|
516,979
|
Panther
BF Aggregator 2 LP/Finance Co., Inc.(a)
|
05/15/2026
|
6.250%
|
|
1,820,000
|
1,887,347
|
05/15/2027
|
8.500%
|
|
1,331,000
|
1,297,781
|
Total
|
14,459,368
|
Banking
2.7%
|
Ally
Financial, Inc.
|
11/01/2031
|
8.000%
|
|
3,940,000
|
5,519,530
|
Bank
of America Corp.(j)
|
01/20/2028
|
3.824%
|
|
23,840,000
|
25,795,667
|
Capital
One Financial Corp.
|
01/31/2028
|
3.800%
|
|
11,421,000
|
12,184,403
|
Citigroup,
Inc.(j)
|
03/20/2030
|
3.980%
|
|
5,175,000
|
5,716,233
|
Goldman
Sachs Group, Inc. (The)(j)
|
05/01/2029
|
4.223%
|
|
27,860,000
|
30,821,239
|
The accompanying Notes to Financial Statements are an integral part
of this statement.
Columbia
Strategic Income Fund | Annual Report 2019
|
11
|
Portfolio of Investments (continued)
August 31, 2019
Corporate
Bonds & Notes(i) (continued)
|
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
JPMorgan
Chase & Co.(j)
|
05/06/2030
|
3.702%
|
|
20,445,000
|
22,319,418
|
Morgan
Stanley(j)
|
01/23/2030
|
4.431%
|
|
9,039,000
|
10,318,281
|
Wells
Fargo & Co.
|
10/23/2026
|
3.000%
|
|
17,435,000
|
18,089,318
|
01/24/2029
|
4.150%
|
|
2,680,000
|
3,005,073
|
Total
|
133,769,162
|
Brokerage/Asset
Managers/Exchanges 0.1%
|
NFP
Corp.(a)
|
07/15/2025
|
6.875%
|
|
3,297,000
|
3,271,837
|
VFH
Parent LLC/Orchestra Co-Issuer, Inc.(a)
|
06/15/2022
|
6.750%
|
|
383,000
|
396,513
|
Total
|
3,668,350
|
Building
Materials 0.4%
|
American
Builders & Contractors Supply Co., Inc.(a)
|
12/15/2023
|
5.750%
|
|
4,171,000
|
4,324,856
|
05/15/2026
|
5.875%
|
|
2,602,000
|
2,768,804
|
Beacon
Roofing Supply, Inc.
|
10/01/2023
|
6.375%
|
|
2,207,000
|
2,284,388
|
Beacon
Roofing Supply, Inc.(a)
|
11/01/2025
|
4.875%
|
|
4,613,000
|
4,549,299
|
Cemex
SAB de CV(a)
|
05/05/2025
|
6.125%
|
|
3,300,000
|
3,422,810
|
Core
& Main LP(a)
|
08/15/2025
|
6.125%
|
|
2,178,000
|
2,218,461
|
James
Hardie International Finance DAC(a)
|
01/15/2025
|
4.750%
|
|
798,000
|
821,109
|
01/15/2028
|
5.000%
|
|
773,000
|
793,564
|
Total
|
21,183,291
|
Cable
and Satellite 2.5%
|
CCO
Holdings LLC/Capital Corp.(a)
|
05/01/2025
|
5.375%
|
|
613,000
|
637,054
|
02/15/2026
|
5.750%
|
|
3,586,000
|
3,796,416
|
05/01/2026
|
5.500%
|
|
80,000
|
84,401
|
05/01/2027
|
5.125%
|
|
5,385,000
|
5,700,383
|
05/01/2027
|
5.875%
|
|
766,000
|
816,311
|
02/01/2028
|
5.000%
|
|
2,860,000
|
3,001,524
|
06/01/2029
|
5.375%
|
|
2,314,000
|
2,474,765
|
Charter
Communications Operating LLC/Capital
|
07/01/2049
|
5.125%
|
|
6,195,000
|
6,745,327
|
Comcast
Corp.
|
08/15/2047
|
4.000%
|
|
7,413,000
|
8,352,702
|
Corporate
Bonds & Notes(i) (continued)
|
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
CSC
Holdings LLC(a)
|
12/15/2021
|
5.125%
|
|
1,569,000
|
1,569,968
|
07/15/2023
|
5.375%
|
|
4,057,000
|
4,165,484
|
10/15/2025
|
6.625%
|
|
404,000
|
432,434
|
10/15/2025
|
10.875%
|
|
2,105,000
|
2,404,933
|
02/01/2028
|
5.375%
|
|
7,072,000
|
7,556,354
|
04/01/2028
|
7.500%
|
|
5,244,000
|
5,873,647
|
02/01/2029
|
6.500%
|
|
1,559,000
|
1,743,126
|
01/15/2030
|
5.750%
|
|
1,363,000
|
1,424,200
|
DISH
DBS Corp.
|
11/15/2024
|
5.875%
|
|
3,171,000
|
3,020,038
|
07/01/2026
|
7.750%
|
|
6,748,000
|
6,632,366
|
Intelsat
Jackson Holdings SA(a)
|
10/15/2024
|
8.500%
|
|
2,585,000
|
2,561,792
|
Quebecor
Media, Inc.
|
01/15/2023
|
5.750%
|
|
4,930,000
|
5,342,523
|
Radiate
HoldCo LLC/Finance, Inc.(a)
|
02/15/2023
|
6.875%
|
|
612,000
|
620,448
|
02/15/2025
|
6.625%
|
|
2,610,000
|
2,589,770
|
Sirius
XM Radio, Inc.(a)
|
07/15/2024
|
4.625%
|
|
981,000
|
1,026,089
|
04/15/2025
|
5.375%
|
|
599,000
|
622,851
|
07/15/2026
|
5.375%
|
|
1,521,000
|
1,610,056
|
08/01/2027
|
5.000%
|
|
574,000
|
606,173
|
07/01/2029
|
5.500%
|
|
1,093,000
|
1,190,276
|
Sky
PLC(a)
|
09/16/2024
|
3.750%
|
|
12,889,000
|
13,846,575
|
Unitymedia
GmbH(a)
|
01/15/2025
|
6.125%
|
|
1,264,000
|
1,319,127
|
Unitymedia
Hessen GmbH & Co. KG NRW(a)
|
01/15/2025
|
5.000%
|
|
6,801,000
|
7,033,751
|
Viasat,
Inc.(a)
|
04/15/2027
|
5.625%
|
|
796,000
|
845,850
|
Virgin
Media Secured Finance PLC(a)
|
01/15/2026
|
5.250%
|
|
4,300,000
|
4,425,392
|
08/15/2026
|
5.500%
|
|
1,878,000
|
1,967,124
|
05/15/2029
|
5.500%
|
|
3,859,000
|
4,032,223
|
Ziggo
Bond Finance BV(a)
|
01/15/2027
|
6.000%
|
|
5,305,000
|
5,549,502
|
Ziggo
BV(a)
|
01/15/2027
|
5.500%
|
|
5,961,000
|
6,256,624
|
Total
|
127,877,579
|
Chemicals
0.9%
|
Alpha
2 BV PIK(a)
|
06/01/2023
|
8.750%
|
|
2,125,000
|
2,051,785
|
Angus
Chemical Co.(a)
|
02/15/2023
|
8.750%
|
|
2,564,000
|
2,528,117
|
Atotech
U.S.A., Inc.(a)
|
02/01/2025
|
6.250%
|
|
2,759,000
|
2,742,614
|
The accompanying Notes to Financial Statements are an integral part
of this statement.
12
|
Columbia Strategic Income
Fund | Annual Report 2019
|
Portfolio of Investments (continued)
August 31, 2019
Corporate
Bonds & Notes(i) (continued)
|
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
Axalta
Coating Systems LLC(a)
|
08/15/2024
|
4.875%
|
|
2,475,000
|
2,562,316
|
Chemours
Co. (The)
|
05/15/2023
|
6.625%
|
|
335,000
|
340,314
|
05/15/2027
|
5.375%
|
|
462,000
|
417,193
|
INEOS
Group Holdings SA(a)
|
08/01/2024
|
5.625%
|
|
2,853,000
|
2,905,592
|
Platform
Specialty Products Corp.(a)
|
12/01/2025
|
5.875%
|
|
5,877,000
|
6,116,288
|
PQ
Corp.(a)
|
11/15/2022
|
6.750%
|
|
5,633,000
|
5,843,195
|
12/15/2025
|
5.750%
|
|
2,815,000
|
2,884,688
|
Sasol
Financing International Ltd.
|
11/14/2022
|
4.500%
|
|
2,166,000
|
2,224,577
|
Sasol
Financing USA LLC
|
03/27/2024
|
5.875%
|
|
4,742,000
|
5,115,836
|
SPCM
SA(a)
|
09/15/2025
|
4.875%
|
|
1,621,000
|
1,647,680
|
Starfruit
Finco BV/US Holdco LLC(a)
|
10/01/2026
|
8.000%
|
|
5,797,000
|
5,656,220
|
Total
|
43,036,415
|
Construction
Machinery 0.3%
|
H&E
Equipment Services, Inc.
|
09/01/2025
|
5.625%
|
|
3,247,000
|
3,400,677
|
Herc
Holdings, Inc.(a)
|
07/15/2027
|
5.500%
|
|
1,939,000
|
2,004,003
|
Ritchie
Bros. Auctioneers, Inc.(a)
|
01/15/2025
|
5.375%
|
|
1,849,000
|
1,923,513
|
United
Rentals North America, Inc.
|
07/15/2025
|
5.500%
|
|
1,376,000
|
1,438,589
|
09/15/2026
|
5.875%
|
|
3,303,000
|
3,541,731
|
12/15/2026
|
6.500%
|
|
2,510,000
|
2,741,306
|
Total
|
15,049,819
|
Consumer
Cyclical Services 0.2%
|
APX
Group, Inc.
|
12/01/2020
|
8.750%
|
|
1,637,000
|
1,554,384
|
12/01/2022
|
7.875%
|
|
5,906,000
|
5,620,616
|
09/01/2023
|
7.625%
|
|
1,055,000
|
791,360
|
APX
Group, Inc.(a)
|
11/01/2024
|
8.500%
|
|
1,464,000
|
1,364,849
|
frontdoor,
Inc.(a)
|
08/15/2026
|
6.750%
|
|
808,000
|
875,539
|
Total
|
10,206,748
|
Corporate
Bonds & Notes(i) (continued)
|
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
Consumer
Products 0.4%
|
Energizer
Holdings, Inc.(a)
|
07/15/2026
|
6.375%
|
|
882,000
|
928,064
|
01/15/2027
|
7.750%
|
|
1,795,000
|
1,964,506
|
Mattel,
Inc.(a)
|
12/31/2025
|
6.750%
|
|
1,730,000
|
1,781,431
|
Prestige
Brands, Inc.(a)
|
03/01/2024
|
6.375%
|
|
4,790,000
|
5,014,579
|
Scotts
Miracle-Gro Co. (The)
|
10/15/2023
|
6.000%
|
|
2,204,000
|
2,281,942
|
Spectrum
Brands, Inc.
|
07/15/2025
|
5.750%
|
|
2,845,000
|
2,967,039
|
Valvoline,
Inc.
|
07/15/2024
|
5.500%
|
|
885,000
|
920,765
|
08/15/2025
|
4.375%
|
|
2,603,000
|
2,644,497
|
Total
|
18,502,823
|
Diversified
Manufacturing 0.5%
|
BWX
Technologies, Inc.(a)
|
07/15/2026
|
5.375%
|
|
629,000
|
663,723
|
CFX
Escrow Corp.(a)
|
02/15/2024
|
6.000%
|
|
563,000
|
600,509
|
02/15/2026
|
6.375%
|
|
1,310,000
|
1,420,616
|
Gates
Global LLC/Co.(a)
|
07/15/2022
|
6.000%
|
|
1,407,000
|
1,404,890
|
MTS
Systems Corp.(a)
|
08/15/2027
|
5.750%
|
|
1,413,000
|
1,476,608
|
Resideo
Funding, Inc.(a)
|
11/01/2026
|
6.125%
|
|
914,000
|
971,340
|
Stevens
Holding Co., Inc.(a)
|
10/01/2026
|
6.125%
|
|
532,000
|
554,952
|
TriMas
Corp.(a)
|
10/15/2025
|
4.875%
|
|
1,887,000
|
1,901,977
|
United
Technologies Corp.
|
11/16/2028
|
4.125%
|
|
13,500,000
|
15,435,130
|
WESCO
Distribution, Inc.
|
06/15/2024
|
5.375%
|
|
1,398,000
|
1,447,663
|
Zekelman
Industries, Inc.(a)
|
06/15/2023
|
9.875%
|
|
1,118,000
|
1,178,648
|
Total
|
27,056,056
|
Electric
4.5%
|
AES
Corp. (The)
|
03/15/2023
|
4.500%
|
|
549,000
|
563,872
|
05/15/2023
|
4.875%
|
|
1,152,000
|
1,171,141
|
05/15/2026
|
6.000%
|
|
2,171,000
|
2,323,254
|
09/01/2027
|
5.125%
|
|
1,783,000
|
1,913,938
|
The accompanying Notes to Financial Statements are an integral part
of this statement.
Columbia
Strategic Income Fund | Annual Report 2019
|
13
|
Portfolio of Investments (continued)
August 31, 2019
Corporate
Bonds & Notes(i) (continued)
|
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
Calpine
Corp.
|
01/15/2023
|
5.375%
|
|
944,000
|
954,583
|
01/15/2025
|
5.750%
|
|
1,601,000
|
1,624,970
|
Calpine
Corp.(a)
|
06/01/2026
|
5.250%
|
|
1,333,000
|
1,353,227
|
Clearway
Energy Operating LLC
|
08/15/2024
|
5.375%
|
|
4,194,000
|
4,305,015
|
09/15/2026
|
5.000%
|
|
2,926,000
|
2,965,296
|
Clearway
Energy Operating LLC(a)
|
10/15/2025
|
5.750%
|
|
860,000
|
896,404
|
CMS
Energy Corp.
|
03/01/2024
|
3.875%
|
|
7,500,000
|
7,948,718
|
02/15/2027
|
2.950%
|
|
5,675,000
|
5,773,507
|
03/31/2043
|
4.700%
|
|
3,979,000
|
4,650,711
|
DTE
Energy Co.
|
06/01/2024
|
3.500%
|
|
6,660,000
|
6,999,280
|
10/01/2026
|
2.850%
|
|
27,095,000
|
27,741,758
|
Duke
Energy Corp.
|
10/15/2023
|
3.950%
|
|
6,925,000
|
7,382,251
|
09/01/2026
|
2.650%
|
|
2,185,000
|
2,212,129
|
08/15/2027
|
3.150%
|
|
6,000
|
6,298
|
09/01/2046
|
3.750%
|
|
9,273,000
|
9,781,448
|
06/15/2049
|
4.200%
|
|
11,395,000
|
13,005,945
|
Emera
U.S. Finance LP
|
06/15/2046
|
4.750%
|
|
15,730,000
|
18,589,683
|
Indiana
Michigan Power Co.
|
07/01/2047
|
3.750%
|
|
7,010,000
|
7,793,052
|
NextEra
Energy Operating Partners LP(a)
|
07/15/2024
|
4.250%
|
|
1,227,000
|
1,271,053
|
09/15/2027
|
4.500%
|
|
8,076,000
|
8,282,826
|
NRG
Energy, Inc.
|
05/15/2026
|
7.250%
|
|
1,696,000
|
1,860,685
|
01/15/2027
|
6.625%
|
|
3,130,000
|
3,401,574
|
01/15/2028
|
5.750%
|
|
419,000
|
451,663
|
NRG
Energy, Inc.(a)
|
06/15/2029
|
5.250%
|
|
1,831,000
|
1,951,775
|
Pattern
Energy Group, Inc.(a)
|
02/01/2024
|
5.875%
|
|
3,103,000
|
3,246,148
|
PPL
Capital Funding, Inc.
|
05/15/2026
|
3.100%
|
|
5,700,000
|
5,843,463
|
Progress
Energy, Inc.
|
04/01/2022
|
3.150%
|
|
8,094,000
|
8,276,002
|
Southern
Co. (The)
|
07/01/2046
|
4.400%
|
|
19,385,000
|
21,856,316
|
TerraForm
Power Operating LLC(a)
|
01/31/2028
|
5.000%
|
|
5,143,000
|
5,352,783
|
Corporate
Bonds & Notes(i) (continued)
|
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
Vistra
Operations Co. LLC(a)
|
09/01/2026
|
5.500%
|
|
887,000
|
933,853
|
02/15/2027
|
5.625%
|
|
3,017,000
|
3,197,151
|
07/31/2027
|
5.000%
|
|
2,818,000
|
2,920,964
|
WEC
Energy Group, Inc.
|
06/15/2025
|
3.550%
|
|
4,810,000
|
5,151,169
|
Xcel
Energy, Inc.
|
12/01/2026
|
3.350%
|
|
4,600,000
|
4,883,291
|
06/15/2028
|
4.000%
|
|
14,060,000
|
15,660,225
|
Total
|
224,497,421
|
Environmental
0.1%
|
Clean
Harbors, Inc.(a)
|
07/15/2027
|
4.875%
|
|
646,000
|
682,594
|
07/15/2029
|
5.125%
|
|
453,000
|
482,225
|
GFL
Environmental, Inc.(a)
|
03/01/2023
|
5.375%
|
|
599,000
|
602,389
|
05/01/2027
|
8.500%
|
|
1,335,000
|
1,458,355
|
Hulk
Finance Corp.(a)
|
06/01/2026
|
7.000%
|
|
426,000
|
441,721
|
Total
|
3,667,284
|
Finance
Companies 1.5%
|
GE
Capital International Funding Co. Unlimited Co.
|
11/15/2020
|
2.342%
|
|
9,440,000
|
9,375,506
|
11/15/2035
|
4.418%
|
|
35,435,000
|
36,010,642
|
Global
Aircraft Leasing Co., Ltd. PIK(a)
|
09/15/2024
|
6.500%
|
|
2,283,000
|
2,271,866
|
iStar,
Inc.
|
04/01/2022
|
6.000%
|
|
2,394,000
|
2,465,695
|
Navient
Corp.
|
03/25/2021
|
5.875%
|
|
913,000
|
956,722
|
01/25/2022
|
7.250%
|
|
1,039,000
|
1,138,943
|
06/15/2022
|
6.500%
|
|
1,411,000
|
1,525,634
|
01/25/2023
|
5.500%
|
|
1,000,000
|
1,050,629
|
09/25/2023
|
7.250%
|
|
1,311,000
|
1,454,398
|
03/25/2024
|
6.125%
|
|
664,000
|
708,628
|
Provident
Funding Associates LP/Finance Corp.(a)
|
06/15/2025
|
6.375%
|
|
2,955,000
|
2,872,381
|
Quicken
Loans, Inc.(a)
|
05/01/2025
|
5.750%
|
|
6,581,000
|
6,860,028
|
Springleaf
Finance Corp.
|
03/15/2023
|
5.625%
|
|
1,892,000
|
2,035,860
|
03/15/2024
|
6.125%
|
|
3,299,000
|
3,601,944
|
03/15/2025
|
6.875%
|
|
852,000
|
965,564
|
Total
|
73,294,440
|
Food
and Beverage 2.3%
|
Anheuser-Busch
Companies LLC/InBev Worldwide, Inc.
|
02/01/2046
|
4.900%
|
|
23,867,000
|
28,446,505
|
The accompanying Notes to Financial Statements are an integral part
of this statement.
14
|
Columbia Strategic Income
Fund | Annual Report 2019
|
Portfolio of Investments (continued)
August 31, 2019
Corporate
Bonds & Notes(i) (continued)
|
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
B&G
Foods, Inc.
|
06/01/2021
|
4.625%
|
|
1,814,000
|
1,818,566
|
04/01/2025
|
5.250%
|
|
3,003,000
|
3,046,405
|
Bacardi
Ltd.(a)
|
05/15/2048
|
5.300%
|
|
26,230,000
|
30,098,846
|
Conagra
Brands, Inc.
|
11/01/2048
|
5.400%
|
|
8,215,000
|
9,767,208
|
Darling
Ingredients, Inc.(a)
|
04/15/2027
|
5.250%
|
|
330,000
|
352,059
|
FAGE
International SA/U.S.A. Dairy Industry, Inc.(a)
|
08/15/2026
|
5.625%
|
|
1,449,000
|
1,270,782
|
Grupo
Bimbo SAB de CV(a)
|
06/27/2024
|
3.875%
|
|
2,166,000
|
2,271,090
|
Kraft
Heinz Foods Co. (The)
|
06/01/2046
|
4.375%
|
|
22,334,000
|
21,434,208
|
Lamb
Weston Holdings, Inc.(a)
|
11/01/2024
|
4.625%
|
|
727,000
|
759,948
|
11/01/2026
|
4.875%
|
|
3,211,000
|
3,352,393
|
Post
Holdings, Inc.(a)
|
03/01/2025
|
5.500%
|
|
742,000
|
777,146
|
08/15/2026
|
5.000%
|
|
3,107,000
|
3,238,979
|
03/01/2027
|
5.750%
|
|
5,851,000
|
6,233,767
|
01/15/2028
|
5.625%
|
|
1,161,000
|
1,228,254
|
12/15/2029
|
5.500%
|
|
340,000
|
359,333
|
Total
|
114,455,489
|
Gaming
0.8%
|
Boyd
Gaming Corp.
|
04/01/2026
|
6.375%
|
|
1,350,000
|
1,430,542
|
08/15/2026
|
6.000%
|
|
448,000
|
473,169
|
Caesars
Resort Collection LLC/CRC Finco, Inc.(a)
|
10/15/2025
|
5.250%
|
|
1,239,000
|
1,260,243
|
Eldorado
Resorts, Inc.
|
04/01/2025
|
6.000%
|
|
4,115,000
|
4,358,620
|
09/15/2026
|
6.000%
|
|
1,304,000
|
1,426,117
|
International
Game Technology PLC(a)
|
02/15/2022
|
6.250%
|
|
1,298,000
|
1,372,440
|
02/15/2025
|
6.500%
|
|
2,637,000
|
2,892,913
|
01/15/2027
|
6.250%
|
|
887,000
|
973,483
|
Jack
Ohio Finance LLC/1 Corp.(a)
|
11/15/2021
|
6.750%
|
|
2,230,000
|
2,283,145
|
MGM
Growth Properties Operating Partnership LP/Finance Co-Issuer, Inc.
|
05/01/2024
|
5.625%
|
|
899,000
|
981,978
|
09/01/2026
|
4.500%
|
|
3,056,000
|
3,201,881
|
01/15/2028
|
4.500%
|
|
1,287,000
|
1,317,480
|
MGM
Growth Properties Operating Partnership LP/Finance Co-Issuer, Inc.(a)
|
02/01/2027
|
5.750%
|
|
1,530,000
|
1,691,088
|
MGM
Resorts International
|
12/15/2021
|
6.625%
|
|
2,043,000
|
2,220,725
|
Corporate
Bonds & Notes(i) (continued)
|
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
Scientific
Games International, Inc.
|
12/01/2022
|
10.000%
|
|
1,932,000
|
2,007,642
|
Scientific
Games International, Inc.(a)
|
10/15/2025
|
5.000%
|
|
4,966,000
|
5,128,145
|
03/15/2026
|
8.250%
|
|
2,394,000
|
2,526,685
|
Stars
Group Holdings BV/Co-Borrower LLC(a)
|
07/15/2026
|
7.000%
|
|
2,150,000
|
2,280,382
|
Wynn
Las Vegas LLC/Capital Corp.(a)
|
03/01/2025
|
5.500%
|
|
2,695,000
|
2,841,524
|
Total
|
40,668,202
|
Health
Care 2.3%
|
Acadia
Healthcare Co., Inc.
|
07/01/2022
|
5.125%
|
|
972,000
|
978,996
|
03/01/2024
|
6.500%
|
|
2,077,000
|
2,145,720
|
Avantor,
Inc.(a)
|
10/01/2025
|
9.000%
|
|
3,915,000
|
4,411,633
|
Becton
Dickinson and Co.
|
06/06/2027
|
3.700%
|
|
7,881,000
|
8,450,166
|
Cardinal
Health, Inc.
|
06/15/2047
|
4.368%
|
|
14,400,000
|
13,876,906
|
Change
Healthcare Holdings LLC/Finance, Inc.(a)
|
03/01/2025
|
5.750%
|
|
2,929,000
|
2,946,032
|
Charles
River Laboratories International, Inc.(a)
|
04/01/2026
|
5.500%
|
|
1,779,000
|
1,903,580
|
CHS/Community
Health Systems, Inc.
|
03/31/2023
|
6.250%
|
|
1,937,000
|
1,868,372
|
Cigna
Corp.
|
12/15/2048
|
4.900%
|
|
5,910,000
|
6,990,981
|
CVS
Health Corp.
|
03/25/2048
|
5.050%
|
|
19,540,000
|
22,800,015
|
DaVita,
Inc.
|
08/15/2022
|
5.750%
|
|
1,747,000
|
1,764,428
|
HCA,
Inc.
|
02/15/2022
|
7.500%
|
|
3,328,000
|
3,717,842
|
09/01/2028
|
5.625%
|
|
3,225,000
|
3,673,833
|
02/01/2029
|
5.875%
|
|
2,554,000
|
2,933,238
|
Hologic,
Inc.(a)
|
10/15/2025
|
4.375%
|
|
2,189,000
|
2,241,516
|
02/01/2028
|
4.625%
|
|
2,416,000
|
2,489,686
|
IQVIA,
Inc.(a)
|
05/15/2027
|
5.000%
|
|
2,792,000
|
2,940,828
|
MPH
Acquisition Holdings LLC(a)
|
06/01/2024
|
7.125%
|
|
1,657,000
|
1,478,935
|
Select
Medical Corp.(a)
|
08/15/2026
|
6.250%
|
|
1,169,000
|
1,212,086
|
Sotera
Health Holdings LLC(a)
|
05/15/2023
|
6.500%
|
|
4,280,000
|
4,355,041
|
The accompanying Notes to Financial Statements are an integral part
of this statement.
Columbia
Strategic Income Fund | Annual Report 2019
|
15
|
Portfolio of Investments (continued)
August 31, 2019
Corporate
Bonds & Notes(i) (continued)
|
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
Surgery
Center Holdings, Inc.(a)
|
04/15/2027
|
10.000%
|
|
870,000
|
830,501
|
Teleflex,
Inc.
|
06/01/2026
|
4.875%
|
|
539,000
|
567,788
|
11/15/2027
|
4.625%
|
|
1,903,000
|
2,010,447
|
Tenet
Healthcare Corp.
|
04/01/2022
|
8.125%
|
|
826,000
|
889,908
|
06/15/2023
|
6.750%
|
|
761,000
|
784,541
|
07/15/2024
|
4.625%
|
|
3,428,000
|
3,525,880
|
05/01/2025
|
5.125%
|
|
1,317,000
|
1,319,039
|
08/01/2025
|
7.000%
|
|
1,768,000
|
1,785,823
|
Tenet
Healthcare Corp.(a)
|
01/01/2026
|
4.875%
|
|
3,230,000
|
3,319,700
|
02/01/2027
|
6.250%
|
|
3,648,000
|
3,794,405
|
11/01/2027
|
5.125%
|
|
5,754,000
|
5,945,625
|
Total
|
117,953,491
|
Healthcare
Insurance 0.3%
|
Centene
Corp.
|
01/15/2025
|
4.750%
|
|
2,202,000
|
2,283,648
|
Centene
Corp.(a)
|
06/01/2026
|
5.375%
|
|
4,546,000
|
4,849,896
|
WellCare
Health Plans, Inc.
|
04/01/2025
|
5.250%
|
|
4,087,000
|
4,283,989
|
WellCare
Health Plans, Inc.(a)
|
08/15/2026
|
5.375%
|
|
3,154,000
|
3,360,691
|
Total
|
14,778,224
|
Home
Construction 0.2%
|
Lennar
Corp.
|
11/15/2024
|
5.875%
|
|
1,191,000
|
1,331,514
|
06/01/2026
|
5.250%
|
|
2,550,000
|
2,773,071
|
06/15/2027
|
5.000%
|
|
2,745,000
|
2,966,464
|
Meritage
Homes Corp.
|
04/01/2022
|
7.000%
|
|
673,000
|
739,624
|
Taylor
Morrison Communities, Inc.(a)
|
01/15/2028
|
5.750%
|
|
1,294,000
|
1,375,961
|
Taylor
Morrison Communities, Inc./Holdings II(a)
|
04/15/2023
|
5.875%
|
|
1,265,000
|
1,339,939
|
03/01/2024
|
5.625%
|
|
695,000
|
730,793
|
TRI
Pointe Group, Inc./Homes
|
06/15/2024
|
5.875%
|
|
854,000
|
915,673
|
Total
|
12,173,039
|
Independent
Energy 1.2%
|
Callon
Petroleum Co.
|
10/01/2024
|
6.125%
|
|
532,000
|
515,864
|
07/01/2026
|
6.375%
|
|
4,223,000
|
4,088,236
|
Corporate
Bonds & Notes(i) (continued)
|
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
Carrizo
Oil & Gas, Inc.
|
04/15/2023
|
6.250%
|
|
3,132,000
|
2,982,701
|
Centennial
Resource Production LLC(a)
|
01/15/2026
|
5.375%
|
|
1,776,000
|
1,695,281
|
04/01/2027
|
6.875%
|
|
1,776,000
|
1,775,869
|
Chesapeake
Energy Corp.
|
10/01/2026
|
7.500%
|
|
2,570,000
|
1,776,019
|
CrownRock
LP/Finance, Inc.(a)
|
10/15/2025
|
5.625%
|
|
7,082,000
|
6,995,373
|
Indigo
Natural Resources LLC(a)
|
02/15/2026
|
6.875%
|
|
1,369,000
|
1,129,280
|
Jagged
Peak Energy LLC
|
05/01/2026
|
5.875%
|
|
2,615,000
|
2,625,436
|
Matador
Resources Co.
|
09/15/2026
|
5.875%
|
|
3,001,000
|
2,917,689
|
MEG
Energy Corp.(a)
|
01/15/2025
|
6.500%
|
|
2,185,000
|
2,198,678
|
Noble
Energy, Inc.
|
11/15/2043
|
5.250%
|
|
2,725,000
|
3,076,964
|
Parsley
Energy LLC/Finance Corp.(a)
|
06/01/2024
|
6.250%
|
|
1,271,000
|
1,316,065
|
08/15/2025
|
5.250%
|
|
2,621,000
|
2,661,709
|
10/15/2027
|
5.625%
|
|
6,910,000
|
7,137,726
|
QEP
Resources, Inc.
|
03/01/2026
|
5.625%
|
|
883,000
|
723,085
|
SM
Energy Co.
|
06/01/2025
|
5.625%
|
|
642,000
|
545,586
|
09/15/2026
|
6.750%
|
|
2,458,000
|
2,104,608
|
01/15/2027
|
6.625%
|
|
2,160,000
|
1,837,238
|
Tullow
Oil PLC(a)
|
03/01/2025
|
7.000%
|
|
3,550,000
|
3,525,082
|
WPX
Energy, Inc.
|
01/15/2022
|
6.000%
|
|
1,014,000
|
1,046,958
|
09/15/2024
|
5.250%
|
|
2,400,000
|
2,441,184
|
06/01/2026
|
5.750%
|
|
4,393,000
|
4,555,594
|
Total
|
59,672,225
|
Integrated
Energy 0.0%
|
Lukoil
International Finance BV(a)
|
04/24/2023
|
4.563%
|
|
2,166,000
|
2,289,215
|
Leisure
0.1%
|
Cedar
Fair LP(a)
|
07/15/2029
|
5.250%
|
|
923,000
|
1,000,472
|
Live
Nation Entertainment, Inc.(a)
|
11/01/2024
|
4.875%
|
|
1,163,000
|
1,205,264
|
03/15/2026
|
5.625%
|
|
724,000
|
772,084
|
The accompanying Notes to Financial Statements are an integral part
of this statement.
16
|
Columbia Strategic Income
Fund | Annual Report 2019
|
Portfolio of Investments (continued)
August 31, 2019
Corporate
Bonds & Notes(i) (continued)
|
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
Viking
Cruises Ltd.(a)
|
09/15/2027
|
5.875%
|
|
1,779,000
|
1,853,686
|
Total
|
4,831,506
|
Life
Insurance 2.1%
|
Assicurazioni
Generali SpA(a),(j)
|
Subordinated
|
06/08/2048
|
5.000%
|
EUR
|
8,600,000
|
11,104,592
|
Brighthouse
Financial, Inc.
|
06/22/2047
|
4.700%
|
|
85,000
|
76,573
|
Five
Corners Funding Trust(a)
|
11/15/2023
|
4.419%
|
|
22,756,000
|
24,668,482
|
Guardian
Life Insurance Co. of America (The)(a)
|
Subordinated
|
06/19/2064
|
4.875%
|
|
9,685,000
|
12,513,311
|
Massachusetts
Mutual Life Insurance Co.(a)
|
Subordinated
|
04/01/2077
|
4.900%
|
|
6,700,000
|
8,751,949
|
Peachtree
Corners Funding Trust(a)
|
02/15/2025
|
3.976%
|
|
25,683,000
|
27,164,447
|
Teachers
Insurance & Annuity Association of America(a)
|
Subordinated
|
09/15/2044
|
4.900%
|
|
8,875,000
|
11,135,711
|
05/15/2047
|
4.270%
|
|
2,739,000
|
3,186,385
|
Voya
Financial, Inc.
|
06/15/2046
|
4.800%
|
|
5,875,000
|
6,959,525
|
Total
|
105,560,975
|
Lodging
0.0%
|
Hilton
Domestic Operating Co., Inc.
|
05/01/2026
|
5.125%
|
|
1,139,000
|
1,200,779
|
Media
and Entertainment 0.9%
|
Clear
Channel Worldwide Holdings, Inc.(a)
|
02/15/2024
|
9.250%
|
|
4,262,000
|
4,675,815
|
08/15/2027
|
5.125%
|
|
2,764,000
|
2,892,606
|
Diamond
Sports Group LLC/Finance Co.(a)
|
08/15/2026
|
5.375%
|
|
1,793,000
|
1,882,338
|
08/15/2027
|
6.625%
|
|
1,877,000
|
1,962,963
|
Discovery
Communications LLC
|
05/15/2049
|
5.300%
|
|
1,616,000
|
1,853,904
|
iHeartCommunications,
Inc.
|
05/01/2026
|
6.375%
|
|
1,250,936
|
1,357,405
|
05/01/2027
|
8.375%
|
|
5,432,666
|
5,870,202
|
iHeartCommunications,
Inc.(a)
|
08/15/2027
|
5.250%
|
|
698,000
|
733,570
|
Match
Group, Inc.
|
06/01/2024
|
6.375%
|
|
1,949,000
|
2,054,692
|
Corporate
Bonds & Notes(i) (continued)
|
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
Netflix,
Inc.
|
04/15/2028
|
4.875%
|
|
4,534,000
|
4,743,897
|
11/15/2028
|
5.875%
|
|
3,566,000
|
3,997,611
|
Netflix,
Inc.(a)
|
05/15/2029
|
6.375%
|
|
1,817,000
|
2,101,326
|
11/15/2029
|
5.375%
|
|
2,599,000
|
2,825,755
|
Outfront
Media Capital LLC/Corp.
|
03/15/2025
|
5.875%
|
|
5,024,000
|
5,196,715
|
Outfront
Media Capital LLC/Corp.(a)
|
08/15/2027
|
5.000%
|
|
2,511,000
|
2,604,231
|
Scripps
Escrow, Inc.(a)
|
07/15/2027
|
5.875%
|
|
734,000
|
740,057
|
Total
|
45,493,087
|
Metals
and Mining 0.7%
|
Alcoa
Nederland Holding BV(a)
|
09/30/2024
|
6.750%
|
|
876,000
|
920,119
|
09/30/2026
|
7.000%
|
|
2,209,000
|
2,383,202
|
Big
River Steel LLC/Finance Corp.(a)
|
09/01/2025
|
7.250%
|
|
3,343,000
|
3,532,033
|
Constellium
NV(a)
|
05/15/2024
|
5.750%
|
|
929,000
|
957,103
|
03/01/2025
|
6.625%
|
|
1,472,000
|
1,540,129
|
02/15/2026
|
5.875%
|
|
5,123,000
|
5,342,561
|
Freeport-McMoRan,
Inc.
|
09/01/2029
|
5.250%
|
|
1,369,000
|
1,356,393
|
03/15/2043
|
5.450%
|
|
6,336,000
|
5,759,924
|
HudBay
Minerals, Inc.(a)
|
01/15/2023
|
7.250%
|
|
818,000
|
843,566
|
01/15/2025
|
7.625%
|
|
5,122,000
|
5,210,022
|
Novelis
Corp.(a)
|
08/15/2024
|
6.250%
|
|
910,000
|
953,553
|
09/30/2026
|
5.875%
|
|
5,211,000
|
5,505,672
|
Total
|
34,304,277
|
Midstream
2.9%
|
Antero
Midstream Partners LP/Finance Corp.(a)
|
03/01/2027
|
5.750%
|
|
1,581,000
|
1,449,962
|
Cheniere
Corpus Christi Holdings LLC
|
06/30/2027
|
5.125%
|
|
1,793,000
|
1,985,796
|
Cheniere
Energy Partners LP
|
10/01/2026
|
5.625%
|
|
2,322,000
|
2,453,486
|
DCP
Midstream Operating LP
|
05/15/2029
|
5.125%
|
|
2,326,000
|
2,380,694
|
04/01/2044
|
5.600%
|
|
7,581,000
|
7,156,184
|
Delek
Logistics Partners LP/Finance Corp.
|
05/15/2025
|
6.750%
|
|
1,539,000
|
1,530,386
|
Enterprise
Products Operating LLC
|
01/31/2050
|
4.200%
|
|
10,160,000
|
11,056,803
|
The accompanying Notes to Financial Statements are an integral part
of this statement.
Columbia
Strategic Income Fund | Annual Report 2019
|
17
|
Portfolio of Investments (continued)
August 31, 2019
Corporate
Bonds & Notes(i) (continued)
|
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
Holly
Energy Partners LP/Finance Corp.(a)
|
08/01/2024
|
6.000%
|
|
3,977,000
|
4,165,923
|
Kinder
Morgan Energy Partners LP
|
03/01/2043
|
5.000%
|
|
20,248,000
|
22,505,996
|
Kinder
Morgan, Inc.
|
02/15/2046
|
5.050%
|
|
8,725,000
|
9,847,908
|
MPLX
LP
|
04/15/2048
|
4.700%
|
|
5,970,000
|
6,120,175
|
NuStar
Logistics LP
|
06/01/2026
|
6.000%
|
|
988,000
|
1,062,452
|
04/28/2027
|
5.625%
|
|
2,219,000
|
2,307,358
|
Plains
All American Pipeline LP/Finance Corp.
|
06/15/2044
|
4.700%
|
|
21,154,000
|
21,286,868
|
Rockpoint
Gas Storage Canada Ltd.(a)
|
03/31/2023
|
7.000%
|
|
2,320,000
|
2,346,689
|
Sunoco
LP/Finance Corp.
|
01/15/2023
|
4.875%
|
|
732,000
|
748,859
|
02/15/2026
|
5.500%
|
|
2,023,000
|
2,101,691
|
Tallgrass
Energy Partners LP/Finance Corp.(a)
|
09/15/2024
|
5.500%
|
|
459,000
|
447,934
|
01/15/2028
|
5.500%
|
|
1,239,000
|
1,165,600
|
Targa
Resources Partners LP/Finance Corp.
|
02/01/2027
|
5.375%
|
|
2,654,000
|
2,740,438
|
01/15/2028
|
5.000%
|
|
8,531,000
|
8,569,978
|
Targa
Resources Partners LP/Finance Corp.(a)
|
07/15/2027
|
6.500%
|
|
482,000
|
522,467
|
01/15/2029
|
6.875%
|
|
418,000
|
461,933
|
TransMontaigne
Partners LP/TLP Finance Corp.
|
02/15/2026
|
6.125%
|
|
2,330,000
|
2,251,856
|
Western
Gas Partners LP
|
08/15/2048
|
5.500%
|
|
3,460,000
|
3,228,796
|
Williams
Companies, Inc. (The)
|
09/15/2045
|
5.100%
|
|
20,809,000
|
23,267,646
|
Total
|
143,163,878
|
Natural
Gas 0.7%
|
NiSource,
Inc.
|
02/15/2043
|
5.250%
|
|
4,755,000
|
5,879,819
|
05/15/2047
|
4.375%
|
|
9,098,000
|
10,514,968
|
Sempra
Energy
|
06/15/2024
|
3.550%
|
|
6,059,000
|
6,354,158
|
06/15/2027
|
3.250%
|
|
10,850,000
|
11,227,005
|
Total
|
33,975,950
|
Oil
Field Services 0.2%
|
Apergy
Corp.
|
05/01/2026
|
6.375%
|
|
3,274,000
|
3,300,045
|
Corporate
Bonds & Notes(i) (continued)
|
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
Calfrac
Holdings LP(a)
|
06/15/2026
|
8.500%
|
|
1,154,000
|
726,196
|
Nabors
Industries, Inc.
|
02/01/2025
|
5.750%
|
|
3,077,000
|
2,455,126
|
Rowan
Companies, Inc.
|
01/15/2024
|
4.750%
|
|
1,109,000
|
715,859
|
SESI
LLC
|
09/15/2024
|
7.750%
|
|
797,000
|
487,650
|
Transocean
Guardian Ltd.(a)
|
01/15/2024
|
5.875%
|
|
1,035,960
|
1,043,992
|
Transocean
Sentry Ltd.(a)
|
05/15/2023
|
5.375%
|
|
2,457,000
|
2,432,430
|
Total
|
11,161,298
|
Other
Industry 0.1%
|
KAR
Auction Services, Inc.(a)
|
06/01/2025
|
5.125%
|
|
3,148,000
|
3,242,147
|
Other
REIT 0.1%
|
CyrusOne
LP/Finance Corp.
|
03/15/2024
|
5.000%
|
|
1,043,000
|
1,077,080
|
03/15/2027
|
5.375%
|
|
4,505,000
|
4,804,961
|
Total
|
5,882,041
|
Packaging
0.9%
|
ARD
Finance SA PIK
|
09/15/2023
|
7.125%
|
|
1,208,000
|
1,243,789
|
Ardagh
Packaging Finance PLC/Holdings U.S.A., Inc.(a)
|
05/15/2023
|
4.625%
|
|
2,310,000
|
2,363,336
|
02/15/2025
|
6.000%
|
|
5,086,000
|
5,319,061
|
Ardagh
Packaging Finance PLC/Holdings USA, Inc.(a)
|
08/15/2026
|
4.125%
|
|
1,675,000
|
1,697,541
|
08/15/2027
|
5.250%
|
|
1,996,000
|
2,013,727
|
Berry
Global Escrow Corp.(a)
|
07/15/2026
|
4.875%
|
|
1,245,000
|
1,310,603
|
07/15/2027
|
5.625%
|
|
1,143,000
|
1,201,831
|
Berry
Global, Inc.
|
07/15/2023
|
5.125%
|
|
4,020,000
|
4,121,517
|
BWAY
Holding Co.(a)
|
04/15/2024
|
5.500%
|
|
4,229,000
|
4,365,356
|
Flex
Acquisition Co., Inc.(a)
|
07/15/2026
|
7.875%
|
|
1,435,000
|
1,298,686
|
Novolex
(a)
|
01/15/2025
|
6.875%
|
|
654,000
|
588,645
|
Owens-Brockway
Glass Container, Inc.(a)
|
08/15/2023
|
5.875%
|
|
2,193,000
|
2,335,692
|
Reynolds
Group Issuer, Inc./LLC
|
10/15/2020
|
5.750%
|
|
5,964,858
|
5,981,017
|
The accompanying Notes to Financial Statements are an integral part
of this statement.
18
|
Columbia Strategic Income
Fund | Annual Report 2019
|
Portfolio of Investments (continued)
August 31, 2019
Corporate
Bonds & Notes(i) (continued)
|
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
Reynolds
Group Issuer, Inc./LLC(a)
|
07/15/2023
|
5.125%
|
|
2,299,000
|
2,361,926
|
07/15/2024
|
7.000%
|
|
3,073,000
|
3,185,407
|
Trivium
Packaging Finance BV(a)
|
08/15/2026
|
5.500%
|
|
2,818,000
|
2,983,856
|
08/15/2027
|
8.500%
|
|
678,000
|
730,864
|
Total
|
43,102,854
|
Pharmaceuticals
1.0%
|
AbbVie,
Inc.
|
11/14/2048
|
4.875%
|
|
8,220,000
|
9,231,890
|
Allergan
Funding SCS
|
06/15/2044
|
4.850%
|
|
4,120,000
|
4,517,634
|
Amgen,
Inc.
|
06/15/2051
|
4.663%
|
|
7,245,000
|
8,612,045
|
Bausch
Health Companies, Inc.(a)
|
05/15/2023
|
5.875%
|
|
2,306,000
|
2,336,580
|
03/15/2024
|
7.000%
|
|
881,000
|
929,592
|
04/15/2025
|
6.125%
|
|
1,504,000
|
1,554,279
|
11/01/2025
|
5.500%
|
|
1,973,000
|
2,071,976
|
04/01/2026
|
9.250%
|
|
3,605,000
|
4,089,461
|
01/31/2027
|
8.500%
|
|
2,535,000
|
2,811,513
|
01/15/2028
|
7.000%
|
|
1,333,000
|
1,398,534
|
Bristol-Myers
Squibb Co.(a)
|
10/26/2049
|
4.250%
|
|
1,777,000
|
2,131,039
|
Catalent
Pharma Solutions, Inc.(a)
|
01/15/2026
|
4.875%
|
|
2,289,000
|
2,337,351
|
07/15/2027
|
5.000%
|
|
342,000
|
358,005
|
Eagle
Holding Co. II LLC PIK(a)
|
05/15/2022
|
7.750%
|
|
1,692,000
|
1,711,035
|
Horizon
Pharma USA, Inc.(a)
|
08/01/2027
|
5.500%
|
|
1,594,000
|
1,662,143
|
Jaguar
Holding Co. II/Pharmaceutical Product Development LLC(a)
|
08/01/2023
|
6.375%
|
|
3,612,000
|
3,733,067
|
Par
Pharmaceutical, Inc.(a)
|
04/01/2027
|
7.500%
|
|
1,695,000
|
1,582,633
|
Total
|
51,068,777
|
Property
& Casualty 0.1%
|
Acrisure
LLC/Finance, Inc.(a)
|
02/15/2024
|
8.125%
|
|
612,000
|
660,690
|
Alliant
Holdings Intermediate LLC/Co-Issuer(a)
|
08/01/2023
|
8.250%
|
|
1,324,000
|
1,352,116
|
HUB
International Ltd.(a)
|
05/01/2026
|
7.000%
|
|
2,096,000
|
2,126,568
|
USI,
Inc.(a)
|
05/01/2025
|
6.875%
|
|
243,000
|
243,119
|
Total
|
4,382,493
|
Corporate
Bonds & Notes(i) (continued)
|
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
Railroads
0.4%
|
CSX
Corp.
|
03/01/2048
|
4.300%
|
|
7,380,000
|
8,570,851
|
Union
Pacific Corp.
|
09/10/2058
|
4.800%
|
|
6,720,000
|
8,390,431
|
08/15/2059
|
3.950%
|
|
1,224,000
|
1,352,701
|
Total
|
18,313,983
|
Restaurants
0.2%
|
1011778
BC ULC/New Red Finance, Inc.(a)
|
10/15/2025
|
5.000%
|
|
5,277,000
|
5,449,774
|
IRB
Holding Corp.(a)
|
02/15/2026
|
6.750%
|
|
3,301,000
|
3,333,746
|
KFC
Holding Co./Pizza Hut Holdings LLC/Taco Bell of America LLC(a)
|
06/01/2027
|
4.750%
|
|
1,566,000
|
1,644,537
|
Total
|
10,428,057
|
Retailers
0.2%
|
L
Brands, Inc.
|
06/15/2029
|
7.500%
|
|
897,000
|
879,953
|
11/01/2035
|
6.875%
|
|
884,000
|
749,722
|
Lowe’s
Companies, Inc.
|
04/05/2049
|
4.550%
|
|
4,161,000
|
4,871,079
|
PetSmart,
Inc.(a)
|
03/15/2023
|
7.125%
|
|
1,842,000
|
1,715,757
|
06/01/2025
|
5.875%
|
|
2,806,000
|
2,750,076
|
Total
|
10,966,587
|
Supermarkets
0.5%
|
Albertsons
Companies LLC/Safeway, Inc.(a)
|
03/15/2026
|
7.500%
|
|
1,085,000
|
1,207,983
|
Albertsons
Companies LLC/Safeway, Inc./New Albertsons LP
|
03/15/2025
|
5.750%
|
|
2,387,000
|
2,452,779
|
Albertsons
Companies LLC/Safeway, Inc./New Albertsons LP(a)
|
02/15/2028
|
5.875%
|
|
1,248,000
|
1,314,571
|
Kroger
Co. (The)
|
02/01/2047
|
4.450%
|
|
18,578,000
|
19,385,641
|
01/15/2048
|
4.650%
|
|
1,640,000
|
1,753,622
|
Total
|
26,114,596
|
Technology
2.0%
|
Ascend
Learning LLC(a)
|
08/01/2025
|
6.875%
|
|
2,272,000
|
2,356,977
|
08/01/2025
|
6.875%
|
|
1,345,000
|
1,394,148
|
Broadcom
Corp./Cayman Finance Ltd.
|
01/15/2027
|
3.875%
|
|
21,890,000
|
21,897,946
|
Camelot
Finance SA(a)
|
10/15/2024
|
7.875%
|
|
4,227,000
|
4,389,820
|
The accompanying Notes to Financial Statements are an integral part
of this statement.
Columbia
Strategic Income Fund | Annual Report 2019
|
19
|
Portfolio of Investments (continued)
August 31, 2019
Corporate
Bonds & Notes(i) (continued)
|
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
CDK
Global, Inc.
|
06/01/2027
|
4.875%
|
|
3,104,000
|
3,208,437
|
CommScope
Finance LLC(a)
|
03/01/2024
|
5.500%
|
|
1,321,000
|
1,343,655
|
03/01/2026
|
6.000%
|
|
1,567,000
|
1,592,970
|
CommScope
Technologies LLC(a)
|
06/15/2025
|
6.000%
|
|
2,229,000
|
1,997,206
|
Ensemble
S Merger Sub, Inc.(a)
|
09/30/2023
|
9.000%
|
|
646,000
|
663,545
|
Equinix,
Inc.
|
05/15/2027
|
5.375%
|
|
3,849,000
|
4,172,920
|
Gartner,
Inc.(a)
|
04/01/2025
|
5.125%
|
|
4,384,000
|
4,594,756
|
Genesys
Telecommunications Laboratories, Inc./Greeneden Lux 3 Sarl/U.S. Holdings I LLC(a)
|
11/30/2024
|
10.000%
|
|
1,683,000
|
1,818,057
|
Informatica
LLC(a)
|
07/15/2023
|
7.125%
|
|
2,348,000
|
2,386,925
|
Iron
Mountain, Inc.
|
08/15/2024
|
5.750%
|
|
3,307,000
|
3,339,392
|
Lenovo
Perpetual Securities Ltd.(a),(j)
|
12/31/2049
|
5.375%
|
|
4,870,000
|
4,705,852
|
MSCI,
Inc.(a)
|
08/15/2025
|
5.750%
|
|
1,566,000
|
1,643,370
|
NCR
Corp.
|
07/15/2022
|
5.000%
|
|
1,342,000
|
1,353,528
|
12/15/2023
|
6.375%
|
|
3,654,000
|
3,766,752
|
NCR
Corp.(a)
|
09/01/2027
|
5.750%
|
|
1,354,000
|
1,428,882
|
09/01/2029
|
6.125%
|
|
1,692,000
|
1,794,904
|
PTC,
Inc.
|
05/15/2024
|
6.000%
|
|
2,399,000
|
2,512,938
|
Qualitytech
LP/QTS Finance Corp.(a)
|
11/15/2025
|
4.750%
|
|
4,530,000
|
4,595,545
|
Refinitiv
US Holdings, Inc.(a)
|
05/15/2026
|
6.250%
|
|
5,055,000
|
5,503,884
|
11/15/2026
|
8.250%
|
|
3,468,000
|
3,910,482
|
Symantec
Corp.(a)
|
04/15/2025
|
5.000%
|
|
1,422,000
|
1,428,612
|
Tempo
Acquisition LLC/Finance Corp.(a)
|
06/01/2025
|
6.750%
|
|
2,445,000
|
2,510,531
|
Tencent
Holdings Ltd.(a)
|
01/19/2028
|
3.595%
|
|
7,000,000
|
7,372,183
|
VeriSign,
Inc.
|
05/01/2023
|
4.625%
|
|
1,734,000
|
1,761,513
|
Corporate
Bonds & Notes(i) (continued)
|
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
Verscend
Escrow Corp.(a)
|
08/15/2026
|
9.750%
|
|
2,633,000
|
2,818,292
|
Total
|
102,264,022
|
Transportation
Services 0.7%
|
Avis
Budget Car Rental LLC/Finance, Inc.
|
04/01/2023
|
5.500%
|
|
524,000
|
534,612
|
Avis
Budget Car Rental LLC/Finance, Inc.(a)
|
03/15/2025
|
5.250%
|
|
2,671,000
|
2,715,611
|
ERAC
U.S.A. Finance LLC(a)
|
11/01/2046
|
4.200%
|
|
6,550,000
|
7,199,406
|
FedEx
Corp.
|
04/01/2046
|
4.550%
|
|
16,560,000
|
18,045,415
|
Hertz
Corp. (The)(a)
|
06/01/2022
|
7.625%
|
|
3,423,000
|
3,561,707
|
10/15/2024
|
5.500%
|
|
1,703,000
|
1,674,761
|
08/01/2026
|
7.125%
|
|
1,430,000
|
1,459,718
|
XPO
Logistics, Inc.(a)
|
06/15/2022
|
6.500%
|
|
1,237,000
|
1,261,734
|
Total
|
36,452,964
|
Wireless
0.9%
|
Altice
France SA(a)
|
05/01/2026
|
7.375%
|
|
6,096,000
|
6,501,299
|
02/01/2027
|
8.125%
|
|
1,705,000
|
1,879,275
|
Altice
Luxembourg SA(a)
|
05/15/2022
|
7.750%
|
|
291,000
|
298,223
|
05/15/2027
|
10.500%
|
|
2,585,000
|
2,804,092
|
Millicom
International Cellular SA(a)
|
03/25/2029
|
6.250%
|
|
1,700,000
|
1,852,470
|
SBA
Communications Corp.
|
09/01/2024
|
4.875%
|
|
7,614,000
|
7,908,951
|
Sprint
Capital Corp.
|
11/15/2028
|
6.875%
|
|
4,785,000
|
5,328,997
|
Sprint
Corp.
|
02/15/2025
|
7.625%
|
|
846,000
|
949,460
|
03/01/2026
|
7.625%
|
|
2,280,000
|
2,576,607
|
T-Mobile
U.S.A., Inc.
|
01/15/2026
|
6.500%
|
|
7,774,000
|
8,362,266
|
02/01/2026
|
4.500%
|
|
1,047,000
|
1,086,516
|
02/01/2028
|
4.750%
|
|
3,299,000
|
3,472,804
|
Total
|
43,020,960
|
Wirelines
1.5%
|
AT&T,
Inc.
|
03/01/2029
|
4.350%
|
|
7,766,000
|
8,672,580
|
06/15/2045
|
4.350%
|
|
18,935,000
|
20,184,199
|
The accompanying Notes to Financial Statements are an integral part
of this statement.
20
|
Columbia Strategic Income
Fund | Annual Report 2019
|
Portfolio of Investments (continued)
August 31, 2019
Corporate
Bonds & Notes(i) (continued)
|
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
CenturyLink,
Inc.
|
03/15/2022
|
5.800%
|
|
6,347,000
|
6,663,944
|
04/01/2024
|
7.500%
|
|
3,898,000
|
4,327,150
|
Frontier
Communications Corp.
|
01/15/2023
|
7.125%
|
|
2,965,000
|
1,521,679
|
Frontier
Communications Corp.(a)
|
04/01/2026
|
8.500%
|
|
941,000
|
913,878
|
Liquid
Telecommunications Financing PLC(a)
|
07/13/2022
|
8.500%
|
|
4,850,000
|
4,742,374
|
Telecom
Italia Capital SA
|
09/30/2034
|
6.000%
|
|
832,000
|
848,057
|
Verizon
Communications, Inc.
|
09/21/2028
|
4.329%
|
|
10,626,000
|
12,193,112
|
03/15/2055
|
4.672%
|
|
6,220,000
|
7,629,551
|
Zayo
Group LLC/Capital, Inc.(a)
|
01/15/2027
|
5.750%
|
|
5,503,000
|
5,647,481
|
Total
|
73,344,005
|
Total
Corporate Bonds & Notes
(Cost $1,787,367,554)
|
1,908,242,789
|
|
Foreign
Government Obligations(i),(k) 8.2%
|
|
|
|
|
|
Argentina
0.5%
|
Argentine
Republic Government International Bond
|
01/11/2023
|
4.625%
|
|
14,128,000
|
5,516,263
|
04/22/2026
|
7.500%
|
|
14,643,000
|
5,645,228
|
01/26/2027
|
6.875%
|
|
9,998,000
|
3,801,020
|
01/11/2028
|
5.875%
|
|
14,400,000
|
5,434,906
|
07/06/2036
|
7.125%
|
|
6,900,000
|
2,561,142
|
04/22/2046
|
7.625%
|
|
1,100,000
|
418,042
|
01/11/2048
|
6.875%
|
|
5,100,000
|
1,928,330
|
Total
|
25,304,931
|
Belarus
0.1%
|
Republic
of Belarus International Bond(a)
|
02/28/2023
|
6.875%
|
|
2,200,000
|
2,366,687
|
02/28/2030
|
6.200%
|
|
4,400,000
|
4,694,334
|
Total
|
7,061,021
|
Brazil
0.4%
|
Brazilian
Government International Bond
|
01/07/2041
|
5.625%
|
|
12,300,000
|
14,087,178
|
Petrobras
Global Finance BV
|
01/27/2028
|
5.999%
|
|
5,963,000
|
6,563,217
|
Total
|
20,650,395
|
Canada
0.0%
|
NOVA
Chemicals Corp.(a)
|
06/01/2027
|
5.250%
|
|
518,000
|
542,162
|
Foreign
Government Obligations(i),(k) (continued)
|
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
China
0.5%
|
Sinopec
Group Overseas Development 2018 Ltd.(a)
|
09/12/2025
|
4.125%
|
|
4,400,000
|
4,805,812
|
Syngenta
Finance NV(a)
|
04/24/2028
|
5.182%
|
|
17,650,000
|
18,920,394
|
Total
|
23,726,206
|
Croatia
0.2%
|
Croatia
Government International Bond(a)
|
01/26/2024
|
6.000%
|
|
8,500,000
|
9,841,682
|
Dominican
Republic 0.8%
|
Dominican
Republic Bond(a)
|
02/05/2027
|
11.250%
|
DOP
|
400,000,000
|
8,584,568
|
Dominican
Republic International Bond(a)
|
01/08/2021
|
14.000%
|
DOP
|
44,440,000
|
922,594
|
03/04/2022
|
10.375%
|
DOP
|
397,000,000
|
8,074,517
|
02/10/2023
|
14.500%
|
DOP
|
25,000,000
|
559,053
|
02/15/2023
|
8.900%
|
DOP
|
42,000,000
|
825,096
|
01/25/2027
|
5.950%
|
|
4,475,000
|
4,918,128
|
04/30/2044
|
7.450%
|
|
7,900,000
|
9,574,642
|
01/27/2045
|
6.850%
|
|
4,881,000
|
5,609,221
|
Total
|
39,067,819
|
Egypt
0.5%
|
Egypt
Government International Bond(a)
|
03/01/2024
|
6.200%
|
|
900,000
|
948,129
|
04/16/2026
|
4.750%
|
EUR
|
2,100,000
|
2,377,244
|
01/31/2027
|
7.500%
|
|
3,900,000
|
4,235,256
|
02/21/2028
|
6.588%
|
|
3,850,000
|
3,950,331
|
03/01/2029
|
7.600%
|
|
1,250,000
|
1,350,937
|
01/31/2047
|
8.500%
|
|
5,700,000
|
6,191,631
|
02/21/2048
|
7.903%
|
|
2,800,000
|
2,890,975
|
03/01/2049
|
8.700%
|
|
965,000
|
1,058,190
|
Total
|
23,002,693
|
El
Salvador 0.0%
|
El
Salvador Government International Bond(a)
|
12/01/2019
|
7.375%
|
|
2,166,000
|
2,176,349
|
Honduras
0.4%
|
Honduras
Government International Bond(a)
|
03/15/2024
|
7.500%
|
|
3,468,000
|
3,873,441
|
03/15/2024
|
7.500%
|
|
2,166,000
|
2,419,225
|
01/19/2027
|
6.250%
|
|
10,905,000
|
11,873,320
|
Total
|
18,165,986
|
Indonesia
0.5%
|
Indonesia
Government International Bond(a)
|
04/25/2022
|
3.750%
|
|
900,000
|
929,445
|
01/15/2045
|
5.125%
|
|
3,600,000
|
4,431,125
|
The accompanying Notes to Financial Statements are an integral part
of this statement.
Columbia
Strategic Income Fund | Annual Report 2019
|
21
|
Portfolio of Investments (continued)
August 31, 2019
Foreign
Government Obligations(i),(k) (continued)
|
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
PT
Indonesia Asahan Aluminium Persero(a)
|
11/15/2028
|
6.530%
|
|
1,700,000
|
2,110,210
|
PT
Pertamina Persero(a)
|
05/30/2044
|
6.450%
|
|
10,600,000
|
14,085,386
|
Saka
Energi Indonesia PT(a)
|
05/05/2024
|
4.450%
|
|
3,000,000
|
3,017,727
|
Total
|
24,573,893
|
Ivory
Coast 0.1%
|
Ivory
Coast Government International Bond(a)
|
03/03/2028
|
6.375%
|
|
1,572,000
|
1,589,611
|
06/15/2033
|
6.125%
|
|
3,847,000
|
3,641,432
|
Ivory
Coast Government International Bond(a),(j)
|
12/31/2032
|
5.750%
|
|
821,920
|
814,126
|
Total
|
6,045,169
|
Kazakhstan
0.4%
|
Kazakhstan
Government International Bond(a)
|
07/21/2045
|
6.500%
|
|
1,500,000
|
2,194,287
|
KazMunayGas
National Co. JSC(a)
|
04/24/2030
|
5.375%
|
|
14,600,000
|
16,924,393
|
Total
|
19,118,680
|
Mexico
0.9%
|
Mexican
Bonos
|
06/10/2021
|
6.500%
|
MXN
|
50,000
|
2,475
|
Mexico
Government International Bond
|
05/29/2031
|
7.750%
|
MXN
|
140,000,000
|
7,356,589
|
Petroleos
Mexicanos(a)
|
11/24/2021
|
7.650%
|
MXN
|
18,600,000
|
893,038
|
09/12/2024
|
7.190%
|
MXN
|
3,800,000
|
162,373
|
Petroleos
Mexicanos
|
11/12/2026
|
7.470%
|
MXN
|
23,700,000
|
952,646
|
03/13/2027
|
6.500%
|
|
9,302,000
|
9,531,648
|
06/02/2041
|
6.500%
|
|
2,500,000
|
2,344,262
|
01/23/2045
|
6.375%
|
|
4,000,000
|
3,689,128
|
09/21/2047
|
6.750%
|
|
20,950,000
|
19,841,452
|
Total
|
44,773,611
|
Morocco
0.1%
|
OCP
SA(a)
|
04/25/2024
|
5.625%
|
|
6,900,000
|
7,608,016
|
Netherlands
0.1%
|
Equate
Petrochemical BV(a)
|
03/03/2022
|
3.000%
|
|
2,166,000
|
2,186,436
|
Kazakhstan
Temir Zholy Finance BV(a)
|
07/10/2042
|
6.950%
|
|
2,200,000
|
3,009,376
|
Foreign
Government Obligations(i),(k) (continued)
|
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
Petrobras
Global Finance BV
|
02/01/2029
|
5.750%
|
|
482,000
|
522,322
|
Total
|
5,718,134
|
Nigeria
0.1%
|
Nigeria
Government International Bond(a)
|
02/16/2032
|
7.875%
|
|
5,300,000
|
5,461,332
|
Oman
0.3%
|
Oman
Government International Bond(a)
|
06/15/2021
|
3.625%
|
|
2,166,000
|
2,150,428
|
01/17/2028
|
5.625%
|
|
10,943,000
|
10,779,293
|
Total
|
12,929,721
|
Paraguay
0.2%
|
Paraguay
Government International Bond(a)
|
03/27/2027
|
4.700%
|
|
2,000,000
|
2,205,872
|
08/11/2044
|
6.100%
|
|
4,939,000
|
6,205,103
|
Total
|
8,410,975
|
Qatar
0.3%
|
Qatar
Government International Bond(a)
|
03/14/2029
|
4.000%
|
|
900,000
|
1,029,383
|
03/14/2049
|
4.817%
|
|
12,750,000
|
16,450,203
|
Total
|
17,479,586
|
Russian
Federation 0.6%
|
Gazprom
Neft OAO Via GPN Capital SA(a)
|
09/19/2022
|
4.375%
|
|
3,800,000
|
3,933,004
|
Gazprom
OAO Via Gaz Capital SA(a)
|
02/06/2028
|
4.950%
|
|
2,000,000
|
2,167,668
|
08/16/2037
|
7.288%
|
|
300,000
|
390,505
|
Russian
Federal Bond - OFZ
|
05/23/2029
|
6.900%
|
RUB
|
1,542,400,000
|
22,965,252
|
Total
|
29,456,429
|
Saudi
Arabia 0.2%
|
Saudi
Arabian Oil Co.(a)
|
04/16/2049
|
4.375%
|
|
10,114,000
|
11,532,893
|
Senegal
0.2%
|
Senegal
Government International Bond(a)
|
05/23/2033
|
6.250%
|
|
8,508,000
|
8,428,229
|
Serbia
0.1%
|
Serbia
International Bond(a)
|
09/28/2021
|
7.250%
|
|
3,320,000
|
3,635,413
|
South
Africa 0.6%
|
Eskom
Holdings SOC Ltd.(a)
|
01/26/2021
|
5.750%
|
|
6,700,000
|
6,721,366
|
The accompanying Notes to Financial Statements are an integral part
of this statement.
22
|
Columbia Strategic Income
Fund | Annual Report 2019
|
Portfolio of Investments (continued)
August 31, 2019
Foreign
Government Obligations(i),(k) (continued)
|
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
Republic
of South Africa Government Bond
|
01/31/2030
|
8.000%
|
ZAR
|
345,600,000
|
21,373,397
|
Total
|
28,094,763
|
Ukraine
0.1%
|
Ukraine
Government International Bond(a)
|
09/01/2024
|
7.750%
|
|
500,000
|
535,455
|
09/25/2032
|
7.375%
|
|
6,900,000
|
7,111,340
|
Total
|
7,646,795
|
United
Arab Emirates 0.0%
|
Abu
Dhabi National Energy Co. PJSC(a)
|
01/12/2023
|
3.625%
|
|
2,166,000
|
2,241,145
|
Total
Foreign Government Obligations
(Cost $424,844,590)
|
412,694,028
|
|
Inflation-Indexed
Bonds(i) 0.7%
|
|
|
|
|
|
Mexico
0.1%
|
Mexican
Udibonos
|
11/15/2040
|
4.000%
|
MXN
|
113,178,438
|
6,115,865
|
United
States 0.6%
|
U.S.
Treasury Inflation-Indexed Bond
|
02/15/2049
|
1.000%
|
|
22,597,602
|
26,752,426
|
Total
Inflation-Indexed Bonds
(Cost $31,411,952)
|
32,868,291
|
|
Residential
Mortgage-Backed Securities - Agency 16.5%
|
|
|
|
|
|
Federal
Home Loan Mortgage Corp.(l)
|
CMO
Series 304 Class C69
|
12/15/2042
|
4.000%
|
|
8,099,313
|
1,287,002
|
CMO
Series 4120 Class AI
|
11/15/2039
|
3.500%
|
|
5,530,014
|
311,372
|
CMO
Series 4121 Class IA
|
01/15/2041
|
3.500%
|
|
6,242,405
|
434,655
|
CMO
Series 4147 Class CI
|
01/15/2041
|
3.500%
|
|
13,759,012
|
1,220,340
|
CMO
Series 4213 Class DI
|
06/15/2038
|
3.500%
|
|
8,534,943
|
378,276
|
Federal
Home Loan Mortgage Corp.(b),(l)
|
CMO
Series 318 Class S1
|
-1.0
x 1-month USD LIBOR + 5.950%
Cap 5.950%
11/15/2043
|
3.755%
|
|
7,531,338
|
1,698,456
|
Residential
Mortgage-Backed Securities - Agency (continued)
|
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
CMO
Series 326 Class S2
|
-1.0
x 1-month USD LIBOR + 5.950%
Cap 5.950%
03/15/2044
|
3.755%
|
|
23,567,916
|
4,070,767
|
CMO
Series 4174 Class SB
|
-1.0
x 1-month USD LIBOR + 6.200%
Cap 6.200%
05/15/2039
|
4.005%
|
|
7,364,403
|
540,125
|
CMO
Series 4903 Class SA
|
-1.0
x 1-month USD LIBOR + 6.050%
Cap 6.050%
08/25/2049
|
3.905%
|
|
57,805,843
|
11,008,163
|
CMO
STRIPS Series 326 Class S1
|
-1.0
x 1-month USD LIBOR + 6.000%
Cap 6.000%
03/15/2044
|
3.805%
|
|
2,561,730
|
436,870
|
Federal
Home Loan Mortgage Corp.(g),(l)
|
CMO
Series 4515 Class SA
|
08/15/2038
|
1.916%
|
|
9,708,199
|
580,050
|
CMO
Series 4620 Class AS
|
11/15/2042
|
1.827%
|
|
24,612,336
|
1,280,678
|
Federal
National Mortgage Association(m)
|
09/17/2034-
09/12/2049
|
3.000%
|
|
461,500,000
|
470,728,342
|
09/12/2049
|
5.000%
|
|
63,000,000
|
67,272,188
|
Federal
National Mortgage Association
|
05/01/2041
|
4.000%
|
|
2,163,496
|
2,241,140
|
Federal
National Mortgage Association(g),(l)
|
CMO
Series 2006-5 Class N1
|
08/25/2034
|
0.000%
|
|
7,527,485
|
1
|
Federal
National Mortgage Association(l)
|
CMO
Series 2012-118 Class BI
|
12/25/2039
|
3.500%
|
|
8,608,860
|
568,113
|
CMO
Series 2012-121 Class GI
|
08/25/2039
|
3.500%
|
|
5,821,207
|
311,470
|
CMO
Series 2012-129 Class IC
|
01/25/2041
|
3.500%
|
|
6,547,300
|
613,086
|
CMO
Series 2012-131 Class MI
|
01/25/2040
|
3.500%
|
|
9,335,538
|
883,325
|
CMO
Series 2012-133 Class EI
|
07/25/2031
|
3.500%
|
|
3,299,915
|
218,641
|
CMO
Series 2012-139 Class IL
|
04/25/2040
|
3.500%
|
|
4,704,145
|
335,542
|
CMO
Series 2013-1 Class AI
|
02/25/2043
|
3.500%
|
|
4,364,445
|
748,764
|
The accompanying Notes to Financial Statements are an integral part
of this statement.
Columbia
Strategic Income Fund | Annual Report 2019
|
23
|
Portfolio of Investments (continued)
August 31, 2019
Residential
Mortgage-Backed Securities - Agency (continued)
|
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
CMO
Series 2013-6 Class MI
|
02/25/2040
|
3.500%
|
|
6,116,200
|
439,026
|
Federal
National Mortgage Association(b),(l)
|
CMO
Series 2013-101 Class CS
|
-1.0
x 1-month USD LIBOR + 5.900%
Cap 5.900%
10/25/2043
|
3.755%
|
|
15,494,039
|
3,430,247
|
CMO
Series 2014-93 Class ES
|
-1.0
x 1-month USD LIBOR + 6.150%
Cap 6.150%
01/25/2045
|
4.005%
|
|
25,239,920
|
3,638,592
|
CMO
Series 2016-31 Class VS
|
-1.0
x 1-month USD LIBOR + 6.000%
Cap 6.000%
06/25/2046
|
3.855%
|
|
17,689,400
|
3,174,230
|
CMO
Series 2016-42 Class SB
|
-1.0
x 1-month USD LIBOR + 6.000%
Cap 6.000%
07/25/2046
|
3.855%
|
|
49,614,655
|
10,454,770
|
CMO
Series 2017-47 Class SE
|
-1.0
x 1-month USD LIBOR + 6.100%
Cap 6.100%
06/25/2047
|
3.955%
|
|
16,436,731
|
3,652,858
|
CMO
Series 2017-56 Class SB
|
-1.0
x 1-month USD LIBOR + 6.150%
Cap 6.150%
07/25/2047
|
4.005%
|
|
55,326,222
|
11,354,097
|
CMO
Series 2018-76 Class SN
|
-1.0
x 1-month USD LIBOR + 6.150%
Cap 6.150%
10/25/2048
|
4.005%
|
|
19,486,779
|
3,757,332
|
CMO
Series 2019-33 Class SB
|
-1.0
x 1-month USD LIBOR + 6.050%
Cap 6.050%
07/25/2049
|
3.905%
|
|
60,128,399
|
12,118,843
|
CMO
Series 2019-8 Class SG
|
-1.0
x 1-month USD LIBOR + 6.000%
Cap 6.000%
03/25/2049
|
3.855%
|
|
56,924,305
|
12,261,182
|
Government
National Mortgage Association(m)
|
09/19/2049
|
3.000%
|
|
32,000,000
|
32,993,125
|
09/19/2049
|
4.500%
|
|
30,000,000
|
31,387,500
|
Residential
Mortgage-Backed Securities - Agency (continued)
|
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
Government
National Mortgage Association(l)
|
CMO
Series 2014-190 Class AI
|
12/20/2038
|
3.500%
|
|
15,881,973
|
1,699,033
|
Government
National Mortgage Association(b),(l)
|
CMO
Series 2016-20 Class SQ
|
-1.0
x 1-month USD LIBOR + 6.100%
Cap 6.100%
02/20/2046
|
3.928%
|
|
24,039,580
|
4,374,797
|
CMO
Series 2017-129 Class SA
|
-1.0
x 1-month USD LIBOR + 6.200%
Cap 6.200%
08/20/2047
|
4.028%
|
|
22,035,924
|
4,688,899
|
CMO
Series 2017-133 Class SM
|
-1.0
x 1-month USD LIBOR + 6.250%
Cap 6.250%
09/20/2047
|
4.078%
|
|
26,892,072
|
4,764,525
|
CMO
Series 2018-124 Class SA
|
-1.0
x 1-month USD LIBOR + 6.200%
Cap 6.200%
09/20/2048
|
4.028%
|
|
57,853,621
|
9,592,466
|
CMO
Series 2018-125 Class SU
|
-1.0
x 1-month USD LIBOR + 6.200%
Cap 6.200%
09/20/2048
|
4.028%
|
|
44,174,679
|
8,885,392
|
CMO
Series 2018-155 Class ES
|
-1.0
x 1-month USD LIBOR + 6.100%
Cap 6.100%
11/20/2048
|
3.928%
|
|
37,166,282
|
7,176,828
|
CMO
Series 2018-168 Class SA
|
-1.0
x 1-month USD LIBOR + 6.100%
Cap 6.100%
12/20/2048
|
3.928%
|
|
29,247,056
|
5,358,654
|
CMO
Series 2018-67 Class SP
|
-1.0
x 1-month USD LIBOR + 6.200%
Cap 6.200%
05/20/2048
|
4.028%
|
|
21,644,912
|
4,656,911
|
CMO
Series 2019-23 Class LS
|
-1.0
x 1-month USD LIBOR + 6.050%
Cap 6.050%
02/20/2049
|
3.878%
|
|
17,959,456
|
3,585,307
|
The accompanying Notes to Financial Statements are an integral part
of this statement.
24
|
Columbia Strategic Income
Fund | Annual Report 2019
|
Portfolio of Investments (continued)
August 31, 2019
Residential
Mortgage-Backed Securities - Agency (continued)
|
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
CMO
Series 2019-23 Class QS
|
-1.0
x 1-month USD LIBOR + 6.050%
Cap 6.050%
02/20/2049
|
3.878%
|
|
61,863,314
|
11,075,476
|
CMO
Series 2019-29 Class DS
|
-1.0
x 1-month USD LIBOR + 6.050%
Cap 6.050%
03/20/2049
|
3.878%
|
|
49,584,556
|
9,192,451
|
CMO
Series 2019-30 Class SH
|
-1.0
x 1-month USD LIBOR + 6.050%
Cap 6.050%
03/20/2049
|
3.878%
|
|
51,411,141
|
8,230,255
|
CMO
Series 2019-36 Class SA
|
-1.0
x 1-month USD LIBOR + 6.050%
Cap 6.050%
03/20/2049
|
3.878%
|
|
37,722,206
|
5,954,311
|
CMO
Series 2019-4 Class SJ
|
-1.0
x 1-month USD LIBOR + 6.050%
Cap 6.050%
01/20/2049
|
3.878%
|
|
47,089,399
|
7,960,689
|
CMO
Series 2019-41 Class AS
|
-1.0
x 1-month USD LIBOR + 6.050%
Cap 6.050%
03/20/2049
|
3.878%
|
|
42,943,858
|
8,591,464
|
CMO
Series 2019-5 Class SH
|
-1.0
x 1-month USD LIBOR + 6.150%
Cap 6.150%
01/20/2049
|
3.978%
|
|
28,495,360
|
5,676,356
|
CMO
Series 2019-59 Class JS
|
-1.0
x 1-month USD LIBOR + 6.150%
Cap 6.150%
05/20/2049
|
3.978%
|
|
27,314,213
|
4,975,325
|
Government
National Mortgage Association(b),(d),(l)
|
CMO
Series 2019-97 Class GS
|
1-month
LIBID + 6.100%
Cap 6.100%
08/20/2049
|
3.905%
|
|
82,637,180
|
14,668,100
|
Total
Residential Mortgage-Backed Securities - Agency
(Cost $812,526,144)
|
826,936,407
|
|
Residential
Mortgage-Backed Securities - Non-Agency 20.0%
|
|
|
|
|
|
Angel
Oak Mortgage Trust I LLC(a)
|
CMO
Series 2016-1 Class A1
|
07/25/2046
|
3.500%
|
|
3,228,257
|
3,335,255
|
Residential
Mortgage-Backed Securities - Non-Agency (continued)
|
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
CMO
Series 2016-1 Class A2
|
07/25/2046
|
5.000%
|
|
695,956
|
712,169
|
Angel
Oak Mortgage Trust LLC(a),(g)
|
CMO
Series 2017-3 Class M1
|
11/25/2047
|
3.900%
|
|
7,444,000
|
7,572,912
|
Arroyo
Mortgage Trust(a)
|
CMO
Series 2018-1 Class A3
|
04/25/2048
|
4.218%
|
|
16,155,282
|
16,563,741
|
Arroyo
Mortgage Trust(a),(g)
|
CMO
Series 2019-2 Class A3
|
04/25/2049
|
3.800%
|
|
13,798,725
|
14,117,958
|
Banc
of America Funding Trust(a),(d),(g)
|
CMO
Series 2016-R1 Class M2
|
03/25/2040
|
3.500%
|
|
12,763,517
|
12,549,090
|
Bayview
Opportunity Master Fund IVa Trust(a)
|
CMO
Series 2018-RN6 Class A1
|
07/25/2033
|
4.090%
|
|
3,328,021
|
3,337,334
|
Bayview
Opportunity Master Fund IVa Trust(a),(g)
|
CMO
Series 2019-RN2 Class A1
|
03/28/2034
|
3.967%
|
|
8,696,326
|
8,727,663
|
Bayview
Opportunity Master Fund Trust(a)
|
CMO
Series 2018-RN8 Class A1
|
09/28/2033
|
4.066%
|
|
1,491,738
|
1,495,202
|
Bayview
Opportunity Master Fund Trust IVb(a)
|
CMO
Series 2019-RN1 Class A1
|
02/28/2034
|
4.090%
|
|
11,292,880
|
11,382,505
|
BCAP
LLC Trust(a),(g)
|
CMO
Series 2013-RR5 Class 4A1
|
09/26/2036
|
3.000%
|
|
1,019,878
|
999,850
|
Bellemeade
Re Ltd.(a),(b)
|
CMO
Series 2018-2A Class M1C
|
1-month
USD LIBOR + 1.600%
08/25/2028
|
4.004%
|
|
10,400,000
|
10,452,989
|
CMO
Series 2019-1A Class M1A
|
1-month
USD LIBOR + 1.300%
Floor 1.300%
03/25/2029
|
3.445%
|
|
10,692,906
|
10,692,906
|
CMO
Series 2019-1A Class M1B
|
1-month
USD LIBOR + 1.750%
Floor 1.750%
03/25/2029
|
3.895%
|
|
18,300,000
|
18,278,315
|
CMO
Series 2019-2A Class M1B
|
1-month
USD LIBOR + 1.450%
Floor 1.450%
04/25/2029
|
3.595%
|
|
18,900,000
|
18,941,442
|
CMO
Series 2019-3A Class M1B
|
1-month
USD LIBOR + 1.600%
Floor 1.600%
07/25/2029
|
3.990%
|
|
30,000,000
|
29,999,940
|
The accompanying Notes to Financial Statements are an integral part
of this statement.
Columbia
Strategic Income Fund | Annual Report 2019
|
25
|
Portfolio of Investments (continued)
August 31, 2019
Residential
Mortgage-Backed Securities - Non-Agency (continued)
|
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
Bunker
Hill Loan Depositary Trust(a),(g)
|
CMO
Series 2019-2 Class A1
|
07/25/2049
|
2.880%
|
|
14,671,935
|
14,699,677
|
CHL
GMSR Issuer Trust(a),(b)
|
CMO
Series 2018-GT1 Class A
|
1-month
USD LIBOR + 1.000%
05/25/2023
|
4.895%
|
|
13,500,000
|
13,542,167
|
CIM
Trust(a)
|
CMO
Series 2017-8 Class A1
|
12/25/2065
|
3.000%
|
|
10,000,985
|
9,986,062
|
CIM
Trust(a),(b)
|
CMO
Series 2018-R6 Class A1
|
1-month
USD LIBOR + 1.076%
Floor 1.080%
09/25/2058
|
3.176%
|
|
8,449,412
|
8,390,541
|
Citigroup
Mortgage Loan Trust, Inc.(a),(g)
|
CMO
Series 2009-4 Class 9A2
|
03/25/2036
|
4.954%
|
|
987,704
|
955,822
|
CMO
Series 2010-6 Class 2A2
|
09/25/2035
|
4.931%
|
|
976,750
|
999,840
|
CMO
Series 2013-11 Class 3A3
|
09/25/2034
|
4.154%
|
|
3,459,951
|
3,465,703
|
Citigroup
Mortgage Loan Trust, Inc.(a)
|
Subordinated,
CMO Series 2014-C Class B1
|
02/25/2054
|
4.250%
|
|
5,250,000
|
5,413,049
|
COLT
Mortgage Loan Trust(a),(g)
|
CMO
Series 2017-2 Class M1
|
10/25/2047
|
3.510%
|
|
5,000,000
|
4,988,549
|
CMO
Series 2019-1 Class M1
|
03/25/2049
|
4.518%
|
|
13,238,000
|
13,369,071
|
Credit
Suisse Mortgage Capital Certificates(a),(g)
|
CMO
Series 2008-4R Class 3A4
|
01/26/2038
|
4.179%
|
|
582,231
|
581,750
|
Credit
Suisse Mortgage Capital Certificates(a)
|
CMO
Series 2014-2R Class 18A1
|
01/27/2037
|
3.000%
|
|
1,709,845
|
1,703,757
|
CMO
Series 2014-2R Class 19A1
|
05/27/2036
|
3.000%
|
|
1,062,052
|
1,057,928
|
Credit
Suisse Mortgage Trust(a)
|
CMO
Series 2018-RPL2 Class A1
|
08/25/2062
|
4.030%
|
|
4,777,891
|
4,790,185
|
CSMC
Trust(a)
|
CMO
Series 2018-RPL8 Class A1
|
07/25/2058
|
4.125%
|
|
17,800,439
|
17,982,562
|
CTS
Corp.(a)
|
CMO
Series 2015-6R Class 3A2
|
02/27/2036
|
3.750%
|
|
5,177,623
|
5,088,600
|
Residential
Mortgage-Backed Securities - Non-Agency (continued)
|
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
Deutsche
Mortgage Securities, Inc. Mortgage Loan Trust
|
CMO
Series 2003-1 Class 1A7
|
04/25/2033
|
5.500%
|
|
539,127
|
551,229
|
Eagle
RE Ltd.(a),(b)
|
CMO
Series 2019-1 Class M1B
|
1-month
USD LIBOR + 1.800%
04/25/2029
|
3.945%
|
|
20,000,000
|
19,920,790
|
FMC
GMSR Issuer Trust(a),(g)
|
CMO
Series 2019-GT1 Class A
|
05/25/2024
|
5.070%
|
|
29,000,000
|
30,196,128
|
GCAT
LLC(a)
|
CMO
Series 2018-1 Class A1
|
06/25/2048
|
3.844%
|
|
8,537,446
|
8,556,061
|
GCAT
LLC(a),(g)
|
CMO
Series 2019-2 Class A1
|
06/25/2024
|
3.475%
|
|
15,224,527
|
15,229,064
|
Grand
Avenue Mortgage Loan Trust(a)
|
CMO
Series 2017-RPL1 Class A1
|
08/25/2064
|
3.250%
|
|
17,634,360
|
17,725,581
|
Homeward
Opportunities Fund I Trust(a)
|
CMO
Series 2018-1 Class M1
|
06/25/2048
|
4.548%
|
|
8,700,000
|
8,964,185
|
Legacy
Mortgage Asset Trust(a)
|
CMO
Series 2017-GS1 Class A1
|
01/25/2057
|
3.500%
|
|
17,259,717
|
17,273,547
|
Legacy
Mortgage Asset Trust(a),(g)
|
CMO
Series 2019-GS5 Class A1
|
05/25/2059
|
3.200%
|
|
12,432,903
|
12,457,237
|
New
Residential Mortgage LLC(a)
|
CMO
Series 2018-FNT1 Class F
|
05/25/2023
|
5.570%
|
|
21,284,962
|
21,609,922
|
CMO
Series 2018-FNT2 Class F
|
07/25/2054
|
5.950%
|
|
8,846,497
|
8,846,444
|
Subordinated
CMO Series 2018-FNT1 Class D
|
05/25/2023
|
4.690%
|
|
12,101,280
|
12,093,717
|
New
Residential Mortgage Loan Trust(a),(g)
|
CMO
Series 2019-RPL1 Class A1
|
02/26/2024
|
4.335%
|
|
27,718,721
|
27,953,640
|
NRZ
Excess Spread-Collateralized Notes(a)
|
Series
2018-PLS1 Class C
|
01/25/2023
|
3.981%
|
|
6,223,874
|
6,257,103
|
Series
2018-PLS1 Class D
|
01/25/2023
|
4.374%
|
|
12,447,748
|
12,527,784
|
Subordinated
CMO Series 2018-PLS2 Class D
|
02/25/2023
|
4.593%
|
|
11,547,279
|
11,655,171
|
Subordinated,
CMO Series 2018-PLS2 Class C
|
02/25/2023
|
4.102%
|
|
8,490,646
|
8,570,452
|
The accompanying Notes to Financial Statements are an integral part
of this statement.
26
|
Columbia Strategic Income
Fund | Annual Report 2019
|
Portfolio of Investments (continued)
August 31, 2019
Residential
Mortgage-Backed Securities - Non-Agency (continued)
|
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
Oak
Hill Advisors Residential Loan Trust(a)
|
CMO
Series 2017-NPL1 Class A1
|
06/25/2057
|
3.000%
|
|
808,418
|
808,647
|
CMO
Series 2017-NPL2 Class A1
|
07/25/2057
|
3.000%
|
|
2,330,842
|
2,327,318
|
Oaktown
Re III Ltd.(a),(b)
|
CMO
Series 2019-1A Class M1A
|
1-month
USD LIBOR + 1.400%
Floor 1.400%
07/25/2029
|
3.666%
|
|
5,577,000
|
5,576,990
|
CMO
Series 2019-1A Class M1B
|
1-month
USD LIBOR + 1.950%
Floor 1.950%
07/25/2029
|
4.095%
|
|
14,700,000
|
14,700,615
|
PMT
Credit Risk Transfer Trust(a),(b)
|
CMO
Series 2019-1R Class A
|
1-month
USD LIBOR + 2.000%
Floor 2.000%
03/27/2024
|
4.241%
|
|
22,293,481
|
22,230,738
|
Series
2019-2R Class A
|
1-month
USD LIBOR + 2.750%
Floor 2.750%
05/27/2023
|
4.991%
|
|
9,636,068
|
9,654,232
|
PNMAC
GMSR Issuer Trust(a),(b),(l)
|
CMO
Series 2018-GT1 Class A
|
1-month
USD LIBOR + 2.850%
Floor 2.850%
02/25/2023
|
4.995%
|
|
35,000,000
|
35,030,748
|
PNMAC
GMSR Issuer Trust(a),(b)
|
CMO
Series 2018-GT2 Class A
|
1-month
USD LIBOR + 2.650%
08/25/2025
|
4.795%
|
|
25,000,000
|
25,089,675
|
Preston
Ridge Partners Mortgage LLC(a)
|
CMO
Series 2017-2A Class A1
|
09/25/2022
|
3.470%
|
|
13,613,181
|
13,642,938
|
CMO
Series 2019-2A Class A1
|
04/25/2024
|
3.967%
|
|
16,681,419
|
16,835,607
|
Preston
Ridge Partners Mortgage LLC(a),(g)
|
CMO
Series 2017-3A Class A1
|
11/25/2022
|
3.470%
|
|
14,715,252
|
14,725,719
|
CMO
Series 2018-3A Class A1
|
10/25/2023
|
4.483%
|
|
18,047,247
|
18,222,452
|
CMO
Series 2019-1A Class A1
|
01/25/2024
|
4.500%
|
|
27,533,778
|
27,702,819
|
PRPM
LLC(a),(g)
|
CMO
Series 2019-3A Class A1
|
07/25/2024
|
3.351%
|
|
24,729,862
|
24,762,466
|
CMO
Series 2019-3A Class A2
|
07/25/2024
|
4.458%
|
|
17,000,000
|
16,998,312
|
Residential
Mortgage-Backed Securities - Non-Agency (continued)
|
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
Radnor
Re Ltd.(a),(b)
|
CMO
Series 2019-1 Class M1B
|
1-month
USD LIBOR + 1.950%
Floor 1.950%
02/25/2029
|
4.095%
|
|
17,750,000
|
17,802,888
|
Radnor
RE Ltd.(a),(b)
|
CMO
Series 2019-2 Class M1B
|
1-month
USD LIBOR + 1.750%
Floor 1.750%
06/25/2029
|
3.895%
|
|
10,000,000
|
9,999,978
|
RBSSP
Resecuritization Trust(a),(g)
|
CMO
Series 2010-1 Class 3A2
|
08/26/2035
|
4.635%
|
|
5,971,788
|
6,074,273
|
RCO
V Mortgage LLC(a)
|
CMO
Series 2018-1 Class A1
|
05/25/2023
|
4.000%
|
|
7,617,426
|
7,643,504
|
CMO
Series 2019-1 Class A1
|
05/24/2024
|
3.721%
|
|
24,356,376
|
24,474,312
|
RCO
V Mortgage LLC(a),(g)
|
CMO
Series 2018-2 Class A1
|
10/25/2023
|
4.458%
|
|
9,806,336
|
9,849,484
|
Toorak
Mortgage Corp., Ltd.(a),(g)
|
CMO
Series 2019-1 Class A1
|
03/25/2022
|
4.458%
|
|
8,500,000
|
8,569,208
|
VCAT
LLC(a)
|
CMO
Series 2019-NPL1 Class A1
|
02/25/2049
|
4.360%
|
|
11,365,498
|
11,462,747
|
Vericrest
Opportunity Loan Transferee LXII LLC(a)
|
CMO
Series 2017-NPL9 Class A1
|
09/25/2047
|
3.125%
|
|
5,153,889
|
5,148,889
|
Vericrest
Opportunity Loan Transferee LXX LLC(a),(g)
|
CMO
Series 2018-NPL6 Class A1A
|
09/25/2048
|
4.115%
|
|
14,722,225
|
14,790,621
|
Vericrest
Opportunity Loan Transferee LXXI LLC(a)
|
CMO
Series 2018-NPL7 Class A1A
|
09/25/2048
|
3.967%
|
|
7,537,081
|
7,583,525
|
Vericrest
Opportunity Loan Transferee LXXII LLC(a)
|
CMO
Series 2018-NPL8 Class A1B
|
10/26/2048
|
4.655%
|
|
7,200,000
|
7,272,561
|
Vericrest
Opportunity Loan Transferee LXXV LLC(a)
|
CMO
Series 2019-NPL1 Class A1A
|
01/25/2049
|
4.336%
|
|
21,841,277
|
21,967,958
|
Vericrest
Opportunity Loan Trust(a),(g)
|
CMO
Series 2019-NPL5 Class A1A
|
09/25/2049
|
3.352%
|
|
15,000,000
|
14,999,991
|
Verus
Securitization Trust(a)
|
CMO
Series 2018-1 Class A3
|
02/25/2048
|
3.205%
|
|
7,197,690
|
7,206,625
|
The accompanying Notes to Financial Statements are an integral part
of this statement.
Columbia
Strategic Income Fund | Annual Report 2019
|
27
|
Portfolio of Investments (continued)
August 31, 2019
Residential
Mortgage-Backed Securities - Non-Agency (continued)
|
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
Verus
Securitization Trust(a),(g)
|
CMO
Series 2019-1 Class A1
|
02/25/2059
|
3.836%
|
|
5,780,246
|
5,863,736
|
CMO
Series 2019-2 Class A2
|
04/25/2059
|
3.345%
|
|
5,050,956
|
5,123,341
|
CMO
Series 2019-2 Class A3
|
04/25/2059
|
3.448%
|
|
4,862,785
|
4,932,512
|
CMO
Series 2019-2 Class M1
|
04/25/2059
|
3.781%
|
|
10,722,000
|
10,813,871
|
CMO
Series 2019-3 Class M1
|
07/25/2059
|
3.139%
|
|
11,490,000
|
11,555,981
|
CMO
Series 2019-INV1 Class A3
|
12/25/2059
|
3.658%
|
|
10,169,503
|
10,473,696
|
Visio
Trust(a),(g)
|
CMO
Series 2019-1 Class A2
|
06/25/2054
|
3.673%
|
|
5,702,332
|
5,756,772
|
CMO
Series 2019-1 Class A3
|
06/25/2054
|
3.825%
|
|
4,882,465
|
4,928,860
|
Total
Residential Mortgage-Backed Securities - Non-Agency
(Cost $991,546,012)
|
999,167,198
|
|
Senior
Loans 7.0%
|
Borrower
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
Aerospace
& Defense 0.1%
|
Doncasters
US Finance LLC(b),(n)
|
Tranche
B Term Loan
|
3-month
USD LIBOR + 3.500%
Floor 1.000%
04/09/2020
|
5.830%
|
|
940,892
|
643,165
|
TransDigm,
Inc.(b),(n)
|
Tranche
E Term Loan
|
3-month
USD LIBOR + 2.500%
05/30/2025
|
4.830%
|
|
1,592,434
|
1,575,140
|
Tranche
F Term Loan
|
3-month
USD LIBOR + 2.500%
06/09/2023
|
4.830%
|
|
967,747
|
960,131
|
Wesco
Aircraft Hardware Corp.(b),(n)
|
Tranche
B Term Loan
|
3-month
USD LIBOR + 2.500%
Floor 0.750%
02/28/2021
|
4.620%
|
|
500,000
|
499,530
|
Total
|
3,677,966
|
Airlines
0.0%
|
American
Airlines, Inc.(b),(n)
|
Term
Loan
|
3-month
USD LIBOR + 2.000%
10/10/2021
|
4.201%
|
|
969,697
|
968,078
|
Senior
Loans (continued)
|
Borrower
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
United
AirLines, Inc.(b),(n)
|
Term
Loan
|
3-month
USD LIBOR + 1.750%
04/01/2024
|
3.862%
|
|
997,449
|
995,205
|
WestJet
Airlines Ltd.(b),(n),(o)
|
Tranche
B Term Loan
|
3-month
USD LIBOR + 3.000%
Floor 1.000%
08/07/2026
|
|
|
475,000
|
476,040
|
Total
|
2,439,323
|
Automotive
0.1%
|
Dayco
Products LLC/Mark IV Industries, Inc.(b),(n)
|
Term
Loan
|
3-month
USD LIBOR + 4.250%
05/19/2023
|
6.374%
|
|
757,563
|
707,374
|
DexKo
Global Inc.(b),(n)
|
Tranche
B 1st Lien Term Loan
|
3-month
USD LIBOR + 3.500%
Floor 1.000%
07/24/2024
|
5.612%
|
|
986,852
|
971,230
|
Horizon
Global Corp.(b),(d),(n)
|
Term
Loan
|
3-month
USD LIBOR + 6.000%
Floor 1.000%
06/30/2021
|
8.330%
|
|
152,405
|
156,978
|
Navistar,
Inc.(b),(n)
|
Tranche
B Term Loan
|
3-month
USD LIBOR + 3.500%
11/06/2024
|
5.700%
|
|
687,025
|
684,023
|
Panther
BF Aggregator 2 LP(b),(n)
|
1st
Lien Term Loan
|
3-month
USD LIBOR + 3.500%
04/30/2026
|
5.612%
|
|
1,000,000
|
985,000
|
Total
|
3,504,605
|
Brokerage/Asset
Managers/Exchanges 0.1%
|
AlixPartners
LLP(b),(n)
|
Term
Loan
|
3-month
USD LIBOR + 2.750%
Floor 1.000%
04/04/2024
|
4.862%
|
|
1,000,000
|
1,000,540
|
Blackstone
CQP Holdco LP(b),(n)
|
Term
Loan
|
3-month
USD LIBOR + 3.500%
09/30/2024
|
5.887%
|
|
1,500,000
|
1,499,535
|
Greenhill
& Co., Inc.(b),(n)
|
Term
Loan
|
3-month
USD LIBOR + 3.250%
04/12/2024
|
5.445%
|
|
500,000
|
494,790
|
The accompanying Notes to Financial Statements are an integral part
of this statement.
28
|
Columbia Strategic Income
Fund | Annual Report 2019
|
Portfolio of Investments (continued)
August 31, 2019
Senior
Loans (continued)
|
Borrower
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
Victory
Capital Holdings, Inc.(b),(n)
|
Term
Loan
|
3-month
USD LIBOR + 3.250%
07/01/2026
|
5.569%
|
|
1,167,273
|
1,165,452
|
Total
|
4,160,317
|
Building
Materials 0.1%
|
Apex
Tool Group LLC(b),(n)
|
Term
Loan
|
3-month
USD LIBOR + 5.500%
Floor 1.250%
08/01/2024
|
7.612%
|
|
766,235
|
750,335
|
Covia
Holdings Corp.(b),(n)
|
Term
Loan
|
3-month
USD LIBOR + 4.000%
Floor 1.000%
06/01/2025
|
6.313%
|
|
1,495,000
|
1,228,800
|
Ply
Gem Midco, Inc.(b),(n)
|
Term
Loan
|
3-month
USD LIBOR + 3.750%
04/12/2025
|
5.951%
|
|
1,591,481
|
1,543,243
|
QUIKRETE
Holdings, Inc.(b),(n)
|
1st
Lien Term Loan
|
3-month
USD LIBOR + 2.750%
11/15/2023
|
4.862%
|
|
1,255,651
|
1,241,789
|
SRS
Distribution, Inc.(b),(n)
|
Term
Loan
|
3-month
USD LIBOR + 3.250%
05/23/2025
|
5.362%
|
|
495,000
|
479,779
|
TAMKO
Building Products, Inc.(b),(n)
|
Term
Loan
|
3-month
USD LIBOR + 3.250%
05/29/2026
|
5.546%
|
|
500,000
|
500,000
|
US
Silica Co.(b),(n)
|
Term
Loan
|
3-month
USD LIBOR + 4.000%
Floor 1.000%
05/01/2025
|
6.125%
|
|
938,125
|
879,999
|
Wilsonart
LLC(b),(n)
|
Tranche
D Term Loan
|
3-month
USD LIBOR + 3.250%
Floor 1.000%
12/19/2023
|
5.580%
|
|
997,456
|
970,654
|
Total
|
7,594,599
|
Cable
and Satellite 0.2%
|
Charter
Communications Operating LLC/Safari LLC(b),(n)
|
Tranche
B Term Loan
|
3-month
USD LIBOR + 2.000%
04/30/2025
|
4.330%
|
|
687,025
|
688,433
|
Senior
Loans (continued)
|
Borrower
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
Cogeco
Communications (U.S.A.) II LP(b),(n)
|
Tranche
B Term Loan
|
3-month
USD LIBOR + 2.250%
01/03/2025
|
4.362%
|
|
1,412,784
|
1,406,483
|
CSC
Holdings LLC(b),(n)
|
Term
Loan
|
3-month
USD LIBOR + 2.250%
01/15/2026
|
4.445%
|
|
497,500
|
494,600
|
3-month
USD LIBOR + 2.500%
01/25/2026
|
4.695%
|
|
518,438
|
517,572
|
3-month
USD LIBOR + 3.000%
04/15/2027
|
5.195%
|
|
498,750
|
500,246
|
MCC
Iowa LLC(b),(n)
|
Tranche
M Term Loan
|
3-month
USD LIBOR + 2.000%
01/15/2025
|
4.140%
|
|
1,245,565
|
1,246,736
|
Telesat
Canada(b),(n)
|
Tranche
B4 Term Loan
|
3-month
USD LIBOR + 2.500%
Floor 0.750%
11/17/2023
|
4.830%
|
|
1,452,267
|
1,450,060
|
Virgin
Media Bristol LLC(b),(n)
|
Tranche
K Term Loan
|
3-month
USD LIBOR + 2.500%
01/15/2026
|
4.695%
|
|
2,175,000
|
2,173,325
|
Total
|
8,477,455
|
Chemicals
0.5%
|
Alpha
3 BV/Atotech(b),(n)
|
Tranche
B1 Term Loan
|
3-month
USD LIBOR + 3.000%
Floor 1.000%
01/31/2024
|
5.330%
|
|
573,512
|
555,951
|
Aruba
Investments, Inc./ANGUS Chemical Co.(b),(n)
|
Tranche
B1 Term Loan
|
3-month
USD LIBOR + 3.250%
Floor 1.000%
02/02/2022
|
5.580%
|
|
972,152
|
961,215
|
Ascend
Performance Materials Operations LLC(b),(n),(o)
|
Tranche
B Term Loan
|
3-month
USD LIBOR + 5.250%
Floor 1.000%
08/14/2026
|
|
|
950,000
|
948,812
|
Axalta
Coating Systems Dutch Holding BBV/U.S. Holdings, Inc.(b),(n)
|
Tranche
B3 Term Loan
|
3-month
USD LIBOR + 1.750%
06/01/2024
|
4.080%
|
|
1,672,610
|
1,661,638
|
Chemours
Co. (The)(b),(n)
|
Tranche
B2 Term Loan
|
3-month
USD LIBOR + 1.750%
04/03/2025
|
3.870%
|
|
1,753,731
|
1,691,264
|
The accompanying Notes to Financial Statements are an integral part
of this statement.
Columbia
Strategic Income Fund | Annual Report 2019
|
29
|
Portfolio of Investments (continued)
August 31, 2019
Senior
Loans (continued)
|
Borrower
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
ColourOz
Investment 1 GmbH(b),(d),(n)
|
Tranche
C 1st Lien Term Loan
|
3-month
USD LIBOR + 3.000%
Floor 1.000%
09/07/2021
|
5.283%
|
|
162,466
|
128,348
|
ColourOz
Investment 2 LLC(b),(d),(n)
|
Tranche
B2 1st Lien Term Loan
|
3-month
USD LIBOR + 3.000%
Floor 1.000%
09/07/2021
|
5.283%
|
|
982,784
|
776,399
|
Element
Solutions, Inc./MacDermid, Inc.(b),(n),(o)
|
Term
Loan
|
3-month
USD LIBOR + 2.250%
01/30/2026
|
4.362%
|
|
1,746,250
|
1,744,067
|
Hexion,
Inc.(b),(n)
|
Term
Loan
|
3-month
USD LIBOR + 3.500%
07/01/2026
|
5.820%
|
|
1,725,000
|
1,720,687
|
Ineos
US Finance LLC(b),(n)
|
Term
Loan
|
3-month
USD LIBOR + 2.000%
04/01/2024
|
4.258%
|
|
1,760,900
|
1,727,690
|
Invictus
U.S. Newco LLC/SK Intermediate II SARL(b),(n)
|
2nd
Lien Term Loan
|
3-month
USD LIBOR + 6.750%
03/30/2026
|
8.896%
|
|
425,000
|
421,281
|
Kraton
Polymers LLC(b),(n)
|
Term
Loan
|
3-month
USD LIBOR + 2.500%
Floor 1.000%
03/08/2025
|
4.612%
|
|
582,089
|
579,906
|
Messer
Industries GmbH(b),(n)
|
Tranche
B1 Term Loan
|
3-month
USD LIBOR + 2.500%
03/01/2026
|
4.830%
|
|
1,995,000
|
1,980,756
|
Minerals
Technologies, Inc.(b),(n)
|
Tranche
B1 Term Loan
|
3-month
USD LIBOR + 2.250%
Floor 0.750%
02/14/2024
|
4.455%
|
|
750,000
|
750,622
|
Momentive
Performance Materials, Inc.(b),(n)
|
1st
Lien Term Loan
|
3-month
USD LIBOR + 3.250%
05/15/2024
|
5.590%
|
|
1,500,000
|
1,468,125
|
OCI
Partners LP(b),(d),(n)
|
Term
Loan
|
3-month
USD LIBOR + 4.000%
03/13/2025
|
6.330%
|
|
987,500
|
983,797
|
PQ
Corp.(b),(n)
|
Tranche
B1 Term Loan
|
3-month
USD LIBOR + 2.500%
02/08/2025
|
4.756%
|
|
588,144
|
587,515
|
Senior
Loans (continued)
|
Borrower
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
Ravago
Holdings America, Inc.(b),(d),(n)
|
Term
Loan
|
3-month
USD LIBOR + 2.750%
07/13/2023
|
4.870%
|
|
141,184
|
139,949
|
Schenectady
International Group, Inc.(b),(d),(n)
|
Term
Loan
|
3-month
USD LIBOR + 4.750%
10/15/2025
|
7.063%
|
|
696,500
|
666,899
|
Solenis
Holdings LLC(b),(n)
|
1st
Lien Term Loan
|
3-month
USD LIBOR + 4.000%
06/26/2025
|
6.522%
|
|
715,938
|
693,264
|
Starfruit
Finco BV/US Holdco LLC/AzkoNobel(b),(n)
|
Term
Loan
|
3-month
USD LIBOR + 3.250%
10/01/2025
|
5.463%
|
|
1,995,000
|
1,924,337
|
Trinseo
Materials Operating SCA(b),(n)
|
Term
Loan
|
3-month
USD LIBOR + 2.000%
09/06/2024
|
4.112%
|
|
536,663
|
527,674
|
Tronox
Finance LLC(b),(n)
|
1st
Lien Term Loan
|
3-month
USD LIBOR + 2.750%
09/23/2024
|
4.947%
|
|
603,750
|
598,751
|
Univar
U.S.A., Inc.(b),(n)
|
Tranche
B3 Term Loan
|
3-month
USD LIBOR + 2.250%
07/01/2024
|
4.362%
|
|
500,127
|
499,857
|
Vantage
Specialty Chemicals, Inc.(b),(d),(n)
|
1st
Lien Term Loan
|
3-month
USD LIBOR + 3.500%
Floor 1.000%
10/28/2024
|
5.618%
|
|
496,222
|
473,892
|
2nd
Lien Term Loan
|
3-month
USD LIBOR + 8.250%
Floor 1.000%
10/27/2025
|
10.580%
|
|
600,000
|
570,000
|
Total
|
24,782,696
|
Construction
Machinery 0.1%
|
Altra
Industrial Motion Corp.(b),(n)
|
Term
Loan
|
3-month
USD LIBOR + 2.000%
10/01/2025
|
4.112%
|
|
694,030
|
690,851
|
Columbus
McKinnon Corp.(b),(n),(o)
|
Term
Loan
|
3-month
USD LIBOR + 2.500%
Floor 1.000%
01/31/2024
|
|
|
1,000,000
|
998,750
|
The accompanying Notes to Financial Statements are an integral part
of this statement.
30
|
Columbia Strategic Income
Fund | Annual Report 2019
|
Portfolio of Investments
(continued)
August 31, 2019
Senior
Loans (continued)
|
Borrower
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
Douglas
Dynamics LLC(b),(n)
|
Term
Loan
|
3-month
USD LIBOR + 3.000%
Floor 1.000%
12/31/2021
|
5.120%
|
|
234,433
|
233,847
|
DXP
Enterprises, Inc.(b),(n)
|
Term
Loan
|
3-month
USD LIBOR + 4.750%
Floor 1.000%
08/29/2023
|
6.862%
|
|
786,000
|
786,983
|
North
American Lifting Holdings, Inc./TNT Crane & Rigging, Inc.(b),(n)
|
1st
Lien Term Loan
|
3-month
USD LIBOR + 4.500%
Floor 1.000%
11/27/2020
|
6.830%
|
|
908,456
|
842,029
|
United
Rentals, Inc.(b),(n)
|
Term
Loan
|
3-month
USD LIBOR + 1.750%
10/31/2025
|
3.862%
|
|
496,250
|
497,104
|
Vertiv
Group Corp.(b),(n)
|
Tranche
B Term Loan
|
3-month
USD LIBOR + 4.000%
Floor 1.000%
11/30/2023
|
6.330%
|
|
927,155
|
870,756
|
Total
|
4,920,320
|
Consumer
Cyclical Services 0.2%
|
Allied
Universal Holdco LLC(b),(n),(o),(p)
|
Delayed
Draw Term Loan
|
3-month
USD LIBOR + 4.250%
07/10/2026
|
6.507%
|
|
38,288
|
38,202
|
Allied
Universal Holdco LLC(b),(n)
|
Term
Loan
|
3-month
USD LIBOR + 4.250%
07/10/2026
|
6.507%
|
|
386,712
|
385,842
|
Cast
& Crew Payroll LLC(b),(n)
|
1st
Lien Term Loan
|
3-month
USD LIBOR + 4.000%
02/09/2026
|
6.120%
|
|
1,000,000
|
1,002,810
|
Creative
Artists Agency LLC(b),(n)
|
Term
Loan
|
3-month
USD LIBOR + 3.000%
02/15/2024
|
5.112%
|
|
997,468
|
996,720
|
DTZ
U.S. Borrower LLC/Cushman & Wakefield(b),(n)
|
Term
Loan
|
3-month
USD LIBOR + 3.250%
08/21/2025
|
5.362%
|
|
1,117,806
|
1,116,700
|
GoDaddy
Operating Co., LLC/Finance Co., Inc.(b),(n)
|
Tranche
B1 Term Loan
|
3-month
USD LIBOR + 2.000%
02/15/2024
|
4.112%
|
|
1,003,813
|
1,005,318
|
Senior
Loans (continued)
|
Borrower
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
Staples,
Inc.(b),(n)
|
Tranche
B1 Term Loan
|
3-month
USD LIBOR + 5.000%
04/16/2026
|
7.197%
|
|
748,125
|
718,200
|
Trans
Union LLC(b),(n)
|
Tranche
B3 Term Loan
|
3-month
USD LIBOR + 2.000%
04/10/2023
|
4.112%
|
|
1,314,166
|
1,314,876
|
Uber
Technologies, Inc.(b),(n)
|
Term
Loan
|
3-month
USD LIBOR + 3.500%
07/13/2023
|
5.645%
|
|
2,251,132
|
2,242,285
|
USS
Ultimate Holdings, Inc./United Site Services, Inc.(b),(n)
|
1st
Lien Term Loan
|
3-month
USD LIBOR + 3.750%
Floor 1.000%
08/25/2024
|
5.950%
|
|
445,466
|
444,076
|
Waterbridge
Operating LLC(b),(n)
|
Term
Loan
|
3-month
USD LIBOR + 5.750%
Floor 1.000%
06/22/2026
|
8.136%
|
|
1,200,000
|
1,146,000
|
Web.com
Group, Inc.(b),(n)
|
1st
Lien Term Loan
|
3-month
USD LIBOR + 3.750%
10/10/2025
|
5.945%
|
|
500,000
|
493,020
|
2nd
Lien Term Loan
|
3-month
USD LIBOR + 7.750%
10/09/2026
|
9.945%
|
|
731,809
|
713,514
|
West
Corp.(b),(n)
|
Tranche
B Term Loan
|
3-month
USD LIBOR + 4.000%
Floor 1.000%
10/10/2024
|
6.112%
|
|
904,543
|
806,336
|
Total
|
12,423,899
|
Consumer
Products 0.1%
|
Serta
Simmons Bedding LLC(b),(n)
|
1st
Lien Term Loan
|
3-month
USD LIBOR + 3.500%
Floor 1.000%
11/08/2023
|
5.697%
|
|
1,162,576
|
771,823
|
SIWF
Holdings, Inc.(b),(n)
|
1st
Lien Term Loan
|
3-month
USD LIBOR + 4.250%
06/15/2025
|
6.395%
|
|
544,500
|
537,013
|
Steinway
Musical Instruments, Inc.(b),(n)
|
1st
Lien Term Loan
|
3-month
USD LIBOR + 3.750%
Floor 1.000%
02/14/2025
|
5.947%
|
|
1,481,250
|
1,453,476
|
The accompanying Notes to Financial Statements are an integral part
of this statement.
Columbia
Strategic Income Fund | Annual Report 2019
|
31
|
Portfolio of Investments (continued)
August 31, 2019
Senior
Loans (continued)
|
Borrower
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
Weight
Watchers International, Inc.(b),(n)
|
Term
Loan
|
3-month
USD LIBOR + 4.750%
Floor 0.750%
11/29/2024
|
7.045%
|
|
546,390
|
545,538
|
Total
|
3,307,850
|
Diversified
Manufacturing 0.2%
|
Allnex
& Cy SCA(b),(n)
|
Tranche
B2 Term Loan
|
3-month
USD LIBOR + 3.250%
Floor 0.750%
09/13/2023
|
5.394%
|
|
534,468
|
515,762
|
Tranche
B3 Term Loan
|
3-month
USD LIBOR + 3.250%
Floor 0.750%
09/13/2023
|
5.394%
|
|
402,690
|
388,596
|
Bright
Bidco BV/Lumileds LLC(b),(n)
|
Tranche
B Term Loan
|
3-month
USD LIBOR + 3.500%
Floor 1.000%
06/30/2024
|
5.759%
|
|
1,200,520
|
713,565
|
Brookfield
WEC Holdings, Inc./Westinghouse Electric Co., LLC(b),(n)
|
1st
Lien Term Loan
|
3-month
USD LIBOR + 3.500%
Floor 0.750%
08/01/2025
|
5.612%
|
|
1,723,875
|
1,724,496
|
EWT
Holdings III Corp.(b),(n)
|
1st
Lien Term Loan
|
3-month
USD LIBOR + 3.000%
Floor 1.000%
12/20/2024
|
5.112%
|
|
932,971
|
931,804
|
Gardner
Denver, Inc.(b),(n)
|
Tranche
B1 Term Loan
|
3-month
USD LIBOR + 2.750%
07/30/2024
|
4.862%
|
|
1,518,497
|
1,521,822
|
Gates
Global LLC(b),(n)
|
Tranche
B2 Term Loan
|
3-month
USD LIBOR + 2.750%
Floor 1.000%
04/01/2024
|
4.862%
|
|
1,715,755
|
1,671,334
|
Welbilt,
Inc.(b),(n)
|
Tranche
B Term Loan
|
3-month
USD LIBOR + 2.500%
10/23/2025
|
4.612%
|
|
500,000
|
494,790
|
Zekelman
Industries, Inc.(b),(n)
|
Term
Loan
|
3-month
USD LIBOR + 2.250%
Floor 1.000%
06/14/2021
|
4.362%
|
|
960,472
|
959,272
|
Total
|
8,921,441
|
Senior
Loans (continued)
|
Borrower
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
Electric
0.4%
|
AES
Corp. (The)(b),(n)
|
Term
Loan
|
3-month
USD LIBOR + 1.750%
05/31/2022
|
3.874%
|
|
432,444
|
432,336
|
Astoria
Energy LLC(b),(n)
|
Tranche
B Term Loan
|
3-month
USD LIBOR + 4.000%
Floor 1.000%
12/24/2021
|
6.120%
|
|
740,013
|
738,629
|
Calpine
Construction Finance Co., LP(b),(n)
|
Tranche
B Term Loan
|
3-month
USD LIBOR + 2.500%
01/15/2025
|
4.612%
|
|
1,496,203
|
1,491,130
|
Calpine
Corp.(b),(n)
|
Term
Loan
|
3-month
USD LIBOR + 2.500%
Floor 0.750%
01/15/2024
|
4.830%
|
|
528,859
|
527,981
|
Carroll
County Energy LLC(b),(n)
|
Term
Loan
|
3-month
USD LIBOR + 3.500%
02/16/2026
|
5.830%
|
|
492,178
|
491,770
|
CPV
Shore Holdings LLC(b),(n)
|
Tranche
B Term Loan
|
3-month
USD LIBOR + 3.750%
12/29/2025
|
5.870%
|
|
479,982
|
479,085
|
Eastern
Power LLC/Covert Midco LLC/TPF II LC LLC(b),(n)
|
Term
Loan
|
3-month
USD LIBOR + 3.750%
Floor 1.000%
10/02/2023
|
5.862%
|
|
1,913,195
|
1,917,270
|
Edgewater
Generation LLC(b),(n)
|
Term
Loan
|
3-month
USD LIBOR + 3.750%
12/13/2025
|
5.862%
|
|
1,743,744
|
1,719,767
|
EFS
Cogen Holdings I LLC(b),(n)
|
Tranche
B Term Loan
|
3-month
USD LIBOR + 3.250%
Floor 1.000%
06/28/2023
|
5.521%
|
|
993,489
|
988,770
|
Exgen
Renewables IV LLC(b),(n)
|
Term
Loan
|
3-month
USD LIBOR + 3.000%
Floor 1.000%
11/28/2024
|
5.130%
|
|
977,543
|
940,885
|
Frontera
Generation Holdings LLC(b),(n)
|
Term
Loan
|
3-month
USD LIBOR + 4.250%
Floor 1.000%
05/02/2025
|
6.451%
|
|
816,750
|
773,871
|
The accompanying Notes to Financial Statements are an integral part
of this statement.
32
|
Columbia Strategic Income
Fund | Annual Report 2019
|
Portfolio of Investments
(continued)
August 31, 2019
Senior
Loans (continued)
|
Borrower
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
Helix
Gen Funding LLC(b),(n)
|
Term
Loan
|
3-month
USD LIBOR + 3.750%
Floor 1.000%
06/03/2024
|
5.862%
|
|
750,000
|
716,093
|
LMBE-MC
Holdco II LLC(b),(d),(n)
|
Term
Loan
|
3-month
USD LIBOR + 4.000%
Floor 1.000%
12/03/2025
|
6.330%
|
|
708,051
|
708,051
|
MRP
Generation Holdings LLC(b),(n)
|
Term
Loan
|
3-month
USD LIBOR + 7.000%
Floor 1.000%
10/18/2022
|
9.330%
|
|
982,172
|
967,439
|
Nautilus
Power LLC(b),(n)
|
Term
Loan
|
3-month
USD LIBOR + 4.250%
Floor 1.000%
05/16/2024
|
6.362%
|
|
1,697,884
|
1,690,668
|
Oregon
Clean Energy LLC(b),(n)
|
Tranche
B Term Loan
|
3-month
USD LIBOR + 3.750%
Floor 1.000%
03/01/2026
|
5.862%
|
|
722,500
|
721,597
|
Vistra
Operations Co. LLC(b),(n)
|
Term
Loan
|
3-month
USD LIBOR + 2.000%
08/04/2023
|
4.112%
|
|
257,399
|
257,543
|
3-month
USD LIBOR + 2.000%
12/31/2025
|
4.147%
|
|
1,401,763
|
1,402,927
|
West
Deptford Energy LLC(b),(n)
|
Tranche
B Term Loan
|
3-month
USD LIBOR + 3.750%
08/03/2026
|
6.003%
|
|
525,000
|
523,031
|
WG
Partners Acquisition LLC(b),(d),(n)
|
Tranche
B Term Loan
|
3-month
USD LIBOR + 3.500%
11/15/2023
|
5.830%
|
|
616,431
|
604,102
|
Total
|
18,092,945
|
Environmental
0.1%
|
Advanced
Disposal Services, Inc.(b),(n)
|
Term
Loan
|
3-month
USD LIBOR + 2.250%
Floor 0.750%
11/10/2023
|
4.385%
|
|
1,028,113
|
1,028,760
|
EnergySolutions
LLC/Envirocare of Utah LLC(b),(n)
|
Term
Loan
|
3-month
USD LIBOR + 3.750%
Floor 1.000%
05/09/2025
|
6.080%
|
|
792,000
|
744,480
|
Senior
Loans (continued)
|
Borrower
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
GFL
Environmental, Inc.(b),(n)
|
Term
Loan
|
3-month
USD LIBOR + 3.000%
Floor 1.000%
05/30/2025
|
5.112%
|
|
992,481
|
982,556
|
NRC
US Holding Co., LLC(b),(n)
|
Term
Loan
|
3-month
USD LIBOR + 5.250%
Floor 1.000%
06/11/2024
|
7.580%
|
|
990,000
|
983,813
|
US
Ecology, Inc.(b),(n),(o)
|
Term
Loan
|
3-month
USD LIBOR + 2.500%
08/14/2026
|
|
|
1,000,000
|
1,003,750
|
Total
|
4,743,359
|
Finance
Companies 0.1%
|
Avolon
Borrower 1 LLC(b),(n)
|
Tranche
B3 Term Loan
|
3-month
USD LIBOR + 1.750%
Floor 0.750%
01/15/2025
|
3.922%
|
|
1,948,697
|
1,951,542
|
Ellie
Mae, Inc.(b),(n)
|
1st
Lien Term Loan
|
3-month
USD LIBOR + 4.000%
04/17/2026
|
6.172%
|
|
1,000,000
|
995,630
|
FinCo
I LLC/Fortress Investment Group(b),(n)
|
Term
Loan
|
3-month
USD LIBOR + 2.000%
12/27/2022
|
4.112%
|
|
1,702,100
|
1,704,755
|
Total
|
4,651,927
|
Food
and Beverage 0.2%
|
8th
Avenue Food & Provisions, Inc.(b),(n)
|
1st
Lien Term Loan
|
3-month
USD LIBOR + 3.750%
10/01/2025
|
5.963%
|
|
906,805
|
907,377
|
2nd
Lien Term Loan
|
3-month
USD LIBOR + 7.750%
10/01/2026
|
9.963%
|
|
1,686,397
|
1,661,101
|
Aramark
Intermediate HoldCo Corp.(b),(n)
|
Tranche
B2 Term Loan
|
3-month
USD LIBOR + 1.750%
03/28/2024
|
4.080%
|
|
750,000
|
748,875
|
Dole
Food Co., Inc.(b),(n)
|
Tranche
B Term Loan
|
3-month
USD LIBOR + 2.750%
Floor 1.000%
04/06/2024
|
4.898%
|
|
1,610,964
|
1,589,490
|
The accompanying Notes to Financial Statements are an integral part
of this statement.
Columbia
Strategic Income Fund | Annual Report 2019
|
33
|
Portfolio of Investments
(continued)
August 31, 2019
Senior
Loans (continued)
|
Borrower
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
Hostess
Brands LLC(b),(n)
|
Tranche
B Term Loan
|
3-month
USD LIBOR + 2.250%
Floor 0.750%
08/03/2022
|
4.448%
|
|
388,112
|
387,142
|
JBS
U.S.A. Lux SA(b),(n)
|
Term
Loan
|
3-month
USD LIBOR + 2.500%
05/01/2026
|
4.612%
|
|
1,770,563
|
1,772,776
|
Post
Holdings, Inc.(b),(n)
|
Tranche
A Term Loan
|
3-month
USD LIBOR + 2.000%
05/24/2024
|
4.150%
|
|
1,000,000
|
999,860
|
United
Natural Foods, Inc.(b),(n)
|
Term
Loan
|
3-month
USD LIBOR + 4.250%
10/22/2025
|
6.362%
|
|
796,000
|
658,029
|
US
Foods, Inc./US Foodservice, Inc.(b),(n)
|
Term
Loan
|
3-month
USD LIBOR + 2.000%
Floor 0.750%
06/27/2023
|
4.112%
|
|
1,704,045
|
1,705,118
|
Whatabrands
LLC(b),(n)
|
Tranche
B Term Loan
|
3-month
USD LIBOR + 3.250%
08/02/2026
|
3.250%
|
|
1,500,000
|
1,505,160
|
Total
|
11,934,928
|
Foreign
Agencies 0.0%
|
Oxea
Holding Vier GmbH(b),(n)
|
Tranche
B2 Term Loan
|
3-month
USD LIBOR + 3.500%
10/14/2024
|
5.750%
|
|
563,417
|
559,191
|
Gaming
0.3%
|
Affinity
Gaming(b),(n)
|
2nd
Lien Term Loan
|
3-month
USD LIBOR + 8.250%
Floor 1.000%
01/31/2025
|
10.362%
|
|
400,000
|
381,332
|
Aristocrat
Leisure Ltd.(b),(n)
|
Tranche
B3 Term Loan
|
3-month
USD LIBOR + 1.750%
10/19/2024
|
4.028%
|
|
1,595,840
|
1,595,840
|
Caesars
Resort Collection LLC(b),(n)
|
Tranche
B Term Loan
|
3-month
USD LIBOR + 2.750%
12/23/2024
|
4.862%
|
|
1,561,369
|
1,537,058
|
CBAC
Borrower LLC(b),(n)
|
Tranche
B Term Loan
|
3-month
USD LIBOR + 4.000%
07/08/2024
|
6.112%
|
|
558,719
|
548,595
|
Senior
Loans (continued)
|
Borrower
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
CCM
Merger, Inc./MotorCity Casino Hotel(b),(n)
|
Term
Loan
|
3-month
USD LIBOR + 2.250%
Floor 0.750%
08/06/2021
|
4.362%
|
|
1,143,837
|
1,143,838
|
CityCenter
Holdings LLC(b),(n)
|
Tranche
B Term Loan
|
3-month
USD LIBOR + 2.250%
Floor 0.750%
04/18/2024
|
4.362%
|
|
708,513
|
707,960
|
Eldorado
Resorts, Inc.(b),(n)
|
Term
Loan
|
3-month
USD LIBOR + 2.250%
04/17/2024
|
4.419%
|
|
1,885,027
|
1,878,543
|
Gateway
Casinos & Entertainment Ltd.(b),(n)
|
Term
Loan
|
3-month
USD LIBOR + 3.000%
12/01/2023
|
5.330%
|
|
544,500
|
537,013
|
Golden
Nugget, Inc./Landry’s, Inc.(b),(n)
|
Tranche
B Term Loan
|
3-month
USD LIBOR + 2.750%
Floor 0.750%
10/04/2023
|
4.893%
|
|
1,128,075
|
1,127,252
|
Mohegan
Tribal Gaming Authority(b),(n)
|
Tranche
B Term Loan
|
3-month
USD LIBOR + 4.000%
Floor 1.000%
10/13/2023
|
6.112%
|
|
997,204
|
922,414
|
PCI
Gaming Authority(b),(n)
|
Tranche
B Term Loan
|
3-month
USD LIBOR + 3.000%
05/29/2026
|
5.112%
|
|
525,000
|
527,378
|
Scientific
Games International, Inc.(b),(n)
|
Tranche
B5 Term Loan
|
3-month
USD LIBOR + 2.750%
08/14/2024
|
4.889%
|
|
2,343,838
|
2,313,884
|
Stars
Group Holdings BV(b),(n)
|
Term
Loan
|
3-month
USD LIBOR + 3.500%
07/10/2025
|
5.830%
|
|
1,995,424
|
2,000,293
|
Wynn
Resorts Ltd.(b),(n)
|
Term
Loan
|
3-month
USD LIBOR + 2.250%
10/30/2024
|
4.370%
|
|
997,494
|
997,284
|
Total
|
16,218,684
|
Health
Care 0.4%
|
Acadia
Healthcare Co., Inc.(b),(n)
|
Tranche
B4 Term Loan
|
3-month
USD LIBOR + 2.500%
02/16/2023
|
4.612%
|
|
997,447
|
997,447
|
The accompanying Notes to Financial Statements are an integral part
of this statement.
34
|
Columbia Strategic Income
Fund | Annual Report 2019
|
Portfolio of Investments
(continued)
August 31, 2019
Senior
Loans (continued)
|
Borrower
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
Air
Methods Corp.(b),(n)
|
Term
Loan
|
3-month
USD LIBOR + 3.500%
Floor 1.000%
04/22/2024
|
5.830%
|
|
661,500
|
544,362
|
athenahealth,
Inc.(b),(n)
|
Tranche
B 1st Lien Term Loan
|
3-month
USD LIBOR + 4.500%
02/11/2026
|
6.681%
|
|
498,750
|
495,947
|
Avantor
Funding, Inc.(b),(n)
|
Tranche
B2 Term Loan
|
3-month
USD LIBOR + 3.000%
Floor 1.000%
11/21/2024
|
5.112%
|
|
238,305
|
240,193
|
Carestream
Health, Inc.(b),(n)
|
1st
Lien Term Loan
|
3-month
USD LIBOR + 5.750%
Floor 1.000%
02/28/2021
|
7.862%
|
|
638,739
|
607,600
|
Change
Healthcare Holdings, Inc.(b),(n)
|
Term
Loan
|
3-month
USD LIBOR + 2.500%
Floor 1.000%
03/01/2024
|
4.612%
|
|
1,007,063
|
995,310
|
Davita,
Inc.(b),(n),(o)
|
Tranche
B Term Loan
|
3-month
USD LIBOR + 2.250%
08/12/2026
|
|
|
1,000,000
|
1,001,060
|
Diplomat
Pharmacy, Inc.(b),(n)
|
Tranche
B Term Loan
|
3-month
USD LIBOR + 4.500%
Floor 1.000%
12/20/2024
|
6.620%
|
|
800,000
|
740,000
|
Envision
Healthcare Corp.(b),(n)
|
Term
Loan
|
3-month
USD LIBOR + 3.750%
10/10/2025
|
5.862%
|
|
1,169,125
|
902,342
|
Gentiva
Health Services, Inc.(b),(n)
|
1st
Lien Term Loan
|
3-month
USD LIBOR + 3.750%
07/02/2025
|
5.875%
|
|
1,076,036
|
1,075,369
|
HCA,
Inc.(b),(n)
|
Tranche
B10 Term Loan
|
3-month
USD LIBOR + 2.000%
03/13/2025
|
4.330%
|
|
739,388
|
741,354
|
IQVIA,
Inc./Quintiles IMS(b),(n)
|
Tranche
B3 Term Loan
|
3-month
USD LIBOR + 1.750%
06/11/2025
|
4.008%
|
|
495,000
|
493,916
|
Senior
Loans (continued)
|
Borrower
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
MPH
Acquisition Holdings LLC(b),(n)
|
Term
Loan
|
3-month
USD LIBOR + 2.750%
Floor 1.000%
06/07/2023
|
5.080%
|
|
1,101,441
|
1,022,963
|
National
Mentor Holdings, Inc./Civitas Solutions, Inc.(b),(n)
|
1st
Lien Term Loan
|
3-month
USD LIBOR + 4.250%
03/09/2026
|
6.370%
|
|
469,583
|
467,531
|
Tranche
C 1st Lien Term Loan
|
3-month
USD LIBOR + 4.250%
03/09/2026
|
6.370%
|
|
29,240
|
29,112
|
Ortho-Clinical
Diagnostics, Inc.(b),(n)
|
Term
Loan
|
3-month
USD LIBOR + 3.250%
06/30/2025
|
5.563%
|
|
1,078,648
|
1,015,277
|
Owens
& Minor, Inc.(b),(n)
|
Tranche
B Term Loan
|
3-month
USD LIBOR + 4.500%
04/30/2025
|
6.730%
|
|
1,014,750
|
858,479
|
PAREXEL
International Corp.(b),(n)
|
Term
Loan
|
3-month
USD LIBOR + 2.750%
09/27/2024
|
4.862%
|
|
699,220
|
656,142
|
Phoenix
Guarantor, Inc./BrightSpring(b),(n)
|
1st
Lien Term Loan
|
3-month
USD LIBOR + 4.500%
03/05/2026
|
6.744%
|
|
500,000
|
497,375
|
Pluto
Acquisition I, Inc.(b),(n)
|
1st
Lien Term Loan
|
3-month
USD LIBOR + 5.000%
06/22/2026
|
7.278%
|
|
1,000,000
|
985,000
|
RegionalCare
Hospital Partners Holdings, Inc.(b),(n)
|
Tranche
B 1st Lien Term Loan
|
3-month
USD LIBOR + 4.500%
11/16/2025
|
6.645%
|
|
1,995,000
|
1,987,519
|
Select
Medical Corp.(b),(n),(o)
|
Tranche
B Term Loan
|
3-month
USD LIBOR + 2.500%
03/06/2025
|
4.850%
|
|
1,554,334
|
1,545,273
|
Sterigenics-Nordion
Holdings LLC(b),(n)
|
Term
Loan
|
3-month
USD LIBOR + 3.000%
Floor 1.000%
05/15/2022
|
5.112%
|
|
1,091,634
|
1,069,801
|
Team
Health Holdings, Inc.(b),(n)
|
Term
Loan
|
3-month
USD LIBOR + 2.750%
Floor 1.000%
02/06/2024
|
4.862%
|
|
488,750
|
392,344
|
Total
|
19,361,716
|
The accompanying Notes to Financial Statements are an integral part
of this statement.
Columbia
Strategic Income Fund | Annual Report 2019
|
35
|
Portfolio of Investments
(continued)
August 31, 2019
Senior
Loans (continued)
|
Borrower
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
Leisure
0.2%
|
Crown
Finance US, Inc./Cineworld Group PLC(b),(n)
|
Term
Loan
|
3-month
USD LIBOR + 2.250%
02/28/2025
|
4.362%
|
|
1,986,504
|
1,970,572
|
Formula
One Management Ltd.(b),(n)
|
Tranche
B3 Term Loan
|
3-month
USD LIBOR + 2.500%
Floor 1.000%
02/01/2024
|
4.612%
|
|
1,098,574
|
1,074,548
|
Life
Time Fitness, Inc.(b),(n)
|
Term
Loan
|
3-month
USD LIBOR + 2.750%
Floor 1.000%
06/10/2022
|
4.874%
|
|
1,602,634
|
1,593,947
|
Metro-Goldwyn-Mayer,
Inc.(b),(d),(n)
|
1st
Lien Term Loan
|
3-month
USD LIBOR + 2.500%
07/03/2025
|
4.620%
|
|
719,562
|
716,864
|
Metro-Goldwyn-Mayer,
Inc.(b),(n)
|
2nd
Lien Term Loan
|
3-month
USD LIBOR + 4.500%
Floor 1.000%
07/03/2026
|
6.620%
|
|
550,000
|
534,875
|
NAI
Entertainment Holdings LLC(b),(d),(n)
|
Tranche
B Term Loan
|
3-month
USD LIBOR + 2.500%
Floor 1.000%
05/08/2025
|
4.620%
|
|
620,313
|
620,313
|
Six
Flags Theme Parks, Inc.(b),(n)
|
Tranche
B Term Loan
|
3-month
USD LIBOR + 2.000%
04/17/2026
|
4.120%
|
|
500,000
|
500,315
|
William
Morris Endeavor Entertainment LLC/IMG Worldwide Holdings LLC(b),(n)
|
Tranche
B1 1st Lien Term Loan
|
3-month
USD LIBOR + 2.750%
05/18/2025
|
4.870%
|
|
1,698,036
|
1,647,095
|
Total
|
8,658,529
|
Lodging
0.0%
|
Four
Seasons Holdings, Inc.(b),(n)
|
1st
Lien Term Loan
|
3-month
USD LIBOR + 2.000%
Floor 0.750%
11/30/2023
|
4.112%
|
|
997,442
|
998,270
|
Hilton
Worldwide Finance LLC(b),(n),(o)
|
Tranche
B2 Term Loan
|
3-month
USD LIBOR + 1.750%
06/22/2026
|
3.895%
|
|
887,699
|
889,403
|
Senior
Loans (continued)
|
Borrower
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
RHP
Hotel Properties LP(b),(n)
|
Tranche
B Term Loan
|
3-month
USD LIBOR + 2.000%
05/11/2024
|
4.330%
|
|
586,500
|
586,870
|
Total
|
2,474,543
|
Media
and Entertainment 0.5%
|
Cengage
Learning, Inc.(b),(n)
|
Term
Loan
|
3-month
USD LIBOR + 4.250%
Floor 1.000%
06/07/2023
|
6.362%
|
|
1,408,571
|
1,347,425
|
Clear
Channel Outdoor Holdings, Inc.(b),(n),(o)
|
Tranche
B Term Loan
|
3-month
USD LIBOR + 3.500%
08/21/2026
|
|
|
1,000,000
|
998,750
|
Cumulus
Media New Holdings, Inc.(b),(n)
|
Term
Loan
|
3-month
USD LIBOR + 4.500%
Floor 2.000%
05/13/2022
|
0.000%
|
|
1,000,000
|
1,002,500
|
Diamond
Sports Group LLC(b),(n)
|
Term
Loan
|
3-month
USD LIBOR + 3.250%
08/24/2026
|
5.420%
|
|
1,750,000
|
1,750,000
|
Emerald
Expositions Holding, Inc.(b),(n)
|
Term
Loan
|
3-month
USD LIBOR + 2.750%
05/22/2024
|
4.862%
|
|
1,684,836
|
1,642,715
|
Entravision
Communications Corp.(b),(n)
|
Tranche
B Term Loan
|
3-month
USD LIBOR + 2.750%
11/29/2024
|
5.080%
|
|
547,605
|
533,230
|
Gray
Television, Inc.(b),(n)
|
Tranche
C Term Loan
|
3-month
USD LIBOR + 2.500%
01/02/2026
|
4.832%
|
|
1,992,494
|
1,992,075
|
iHeartCommunications,
Inc.(b),(n)
|
Term
Loan
|
3-month
USD LIBOR + 4.000%
05/01/2026
|
6.230%
|
|
234,001
|
234,528
|
ION
Media Networks, Inc.(b),(n)
|
Tranche
B4 Term Loan
|
3-month
USD LIBOR + 3.000%
12/18/2024
|
5.125%
|
|
1,549,109
|
1,545,623
|
Learfield
Communications LLC(b),(n)
|
1st
Lien Term Loan
|
3-month
USD LIBOR + 3.250%
Floor 1.000%
12/01/2023
|
5.370%
|
|
1,179,960
|
1,181,801
|
The accompanying Notes to Financial Statements are an integral part
of this statement.
36
|
Columbia Strategic Income
Fund | Annual Report 2019
|
Portfolio of Investments (continued)
August 31, 2019
Senior
Loans (continued)
|
Borrower
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
Lions
Gate Capital Holdings LLC(b),(n)
|
Tranche
B Term Loan
|
3-month
USD LIBOR + 2.250%
03/24/2025
|
4.362%
|
|
1,703,978
|
1,697,588
|
Meredith
Corp.(b),(n)
|
Tranche
B1 Term Loan
|
3-month
USD LIBOR + 2.750%
01/31/2025
|
4.862%
|
|
1,477,880
|
1,479,550
|
Mission
Broadcasting, Inc.(b),(n)
|
Tranche
B3 Term Loan
|
3-month
USD LIBOR + 2.250%
01/17/2024
|
4.480%
|
|
106,077
|
105,584
|
Montreign
Operating Co., LLC(b),(n)
|
Tranche
B Term Loan
|
3-month
USD LIBOR + 8.250%
Floor 1.000%
01/24/2023
|
10.374%
|
|
1,333,343
|
1,173,342
|
Nascar
Holdings, Inc.(b),(n),(o)
|
Term
Loan
|
3-month
USD LIBOR + 2.750%
07/27/2026
|
|
|
750,000
|
753,593
|
NEP
Group, Inc.(b),(n)
|
1st
Lien Term Loan
|
3-month
USD LIBOR + 3.250%
10/20/2025
|
5.362%
|
|
997,494
|
971,559
|
Nexstar
Broadcasting, Inc.(b),(n),(o)
|
Tranche
B Term Loan
|
3-month
USD LIBOR + 2.750%
06/19/2026
|
|
|
1,000,000
|
1,000,000
|
Nexstar
Broadcasting, Inc.(b),(n)
|
Tranche
B3 Term Loan
|
3-month
USD LIBOR + 2.250%
01/17/2024
|
4.366%
|
|
532,494
|
530,023
|
Nielsen
Finance LLC/VNU, Inc.(b),(n)
|
Tranche
B4 Term Loan
|
3-month
USD LIBOR + 2.000%
10/04/2023
|
4.211%
|
|
1,951,955
|
1,941,376
|
Radio
One, Inc.(b),(n)
|
Term
Loan
|
3-month
USD LIBOR + 4.000%
Floor 1.000%
04/18/2023
|
6.120%
|
|
1,335,149
|
1,291,757
|
Sinclair
Television Group, Inc.(b),(n)
|
Tranche
B Term Loan
|
3-month
USD LIBOR + 2.250%
01/03/2024
|
4.370%
|
|
1,496,164
|
1,491,301
|
Tribune
Media Co.(b),(n)
|
Tranche
B Term Loan
|
3-month
USD LIBOR + 3.000%
Floor 0.750%
12/27/2020
|
5.112%
|
|
60,422
|
60,347
|
Senior
Loans (continued)
|
Borrower
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
Tranche
C Term Loan
|
3-month
USD LIBOR + 3.000%
Floor 0.750%
01/26/2024
|
5.112%
|
|
836,734
|
835,128
|
Univision
Communications, Inc.(b),(n)
|
1st
Lien Term Loan
|
3-month
USD LIBOR + 2.750%
Floor 1.000%
03/15/2024
|
4.862%
|
|
988,655
|
943,988
|
Total
|
26,503,783
|
Metals
and Mining 0.0%
|
Big
River Steel LLC(b),(n)
|
Term
Loan
|
3-month
USD LIBOR + 5.000%
Floor 1.000%
08/23/2023
|
7.330%
|
|
405,154
|
405,154
|
Harsco
Corp.(b),(n)
|
Tranche
B2 Term Loan
|
3-month
USD LIBOR + 2.250%
Floor 1.000%
12/06/2024
|
4.375%
|
|
479,181
|
479,574
|
Total
|
884,728
|
Midstream
0.1%
|
Equitrans
Midstream Corp.(b),(n)
|
Term
Loan
|
3-month
USD LIBOR + 4.500%
01/31/2024
|
6.612%
|
|
497,500
|
495,759
|
GIP
III Stetson I/II LP(b),(n)
|
Term
Loan
|
3-month
USD LIBOR + 4.250%
07/18/2025
|
6.432%
|
|
1,693,242
|
1,614,405
|
Lower
Cadence Holdings LLC(b),(n)
|
Term
Loan
|
3-month
USD LIBOR + 4.000%
05/22/2026
|
6.145%
|
|
650,000
|
632,534
|
Prairie
ECI Acquiror LP(b),(n)
|
Term
Loan
|
3-month
USD LIBOR + 4.750%
03/11/2026
|
7.080%
|
|
1,496,250
|
1,458,096
|
Southcross
Energy Partners LP(b),(n),(q)
|
Debtor
in Possession Letter of Credit Term Loan
|
3-month
USD LIBOR + 9.000%
10/01/2019
|
0.000%
|
|
216,240
|
218,402
|
Debtor
in Possession Term Loan
|
3-month
USD LIBOR + 10.000%
Floor 1.000%
10/01/2019
|
12.250%
|
|
117,949
|
119,129
|
The accompanying Notes to Financial Statements are an integral part
of this statement.
Columbia
Strategic Income Fund | Annual Report 2019
|
37
|
Portfolio of Investments (continued)
August 31, 2019
Senior
Loans (continued)
|
Borrower
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
Delayed
Draw Debtor in Possession Term Loan
|
3-month
USD LIBOR + 10.000%
10/01/2019
|
12.200%
|
|
116,960
|
118,130
|
Southcross
Energy Partners LP(b),(n)
|
Term
Loan
|
3-month
USD LIBOR + 5.250%
10/01/2019
|
10.500%
|
|
200,207
|
191,197
|
3-month
USD LIBOR + 5.250%
Floor 1.000%
10/01/2019
|
10.500%
|
|
72,056
|
68,814
|
3-month
USD LIBOR + 6.250%
10/01/2019
|
10.500%
|
|
236,983
|
177,737
|
Total
|
5,094,203
|
Oil
Field Services 0.1%
|
Apergy
Corp.(b),(n)
|
Term
Loan
|
3-month
USD LIBOR + 2.500%
05/09/2025
|
4.625%
|
|
1,443,373
|
1,440,674
|
Fieldwood
Energy LLC(b),(n)
|
1st
Lien Term Loan
|
3-month
USD LIBOR + 5.250%
Floor 1.000%
04/11/2022
|
7.506%
|
|
275,952
|
241,803
|
2nd
Lien Term Loan
|
3-month
USD LIBOR + 7.250%
Floor 1.000%
04/11/2023
|
9.506%
|
|
372,536
|
279,137
|
MRC
Global, Inc.(b),(n)
|
Term
Loan
|
3-month
USD LIBOR + 3.000%
09/20/2024
|
5.112%
|
|
1,055,163
|
1,055,163
|
Traverse
Midstream Partners LLC(b),(n)
|
Term
Loan
|
3-month
USD LIBOR + 4.000%
Floor 1.000%
09/27/2024
|
6.260%
|
|
1,717,050
|
1,616,895
|
Total
|
4,633,672
|
Other
Financial Institutions 0.1%
|
IRI
Holdings, Inc.(b),(n)
|
1st
Lien Term Loan
|
3-month
USD LIBOR + 4.500%
12/01/2025
|
6.624%
|
|
1,246,250
|
1,186,530
|
Lifescan
Global Corp.(b),(n)
|
1st
Lien Term Loan
|
3-month
USD LIBOR + 6.000%
10/01/2024
|
8.660%
|
|
1,278,625
|
1,199,989
|
Senior
Loans (continued)
|
Borrower
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
UFC
Holdings LLC(b),(n)
|
1st
Lien Term Loan
|
3-month
USD LIBOR + 3.250%
Floor 1.000%
04/29/2026
|
5.370%
|
|
1,573,494
|
1,573,116
|
Total
|
3,959,635
|
Other
Industry 0.2%
|
Filtration
Group Corp.(b),(n)
|
Term
Loan
|
3-month
USD LIBOR + 3.000%
03/29/2025
|
5.112%
|
|
855,268
|
854,738
|
Hamilton
Holdco LLC/Reece International Pty Ltd.(b),(n)
|
Term
Loan
|
3-month
USD LIBOR + 2.000%
07/02/2025
|
4.330%
|
|
997,481
|
997,481
|
Harland
Clarke Holdings Corp.(b),(n)
|
Term
Loan
|
3-month
USD LIBOR + 4.750%
Floor 1.000%
11/03/2023
|
7.080%
|
|
1,207,284
|
935,645
|
Hillman
Group, Inc. (The)(b),(n)
|
Term
Loan
|
3-month
USD LIBOR + 4.000%
05/30/2025
|
6.112%
|
|
668,250
|
646,866
|
II-VI,
Inc.(b),(n),(o)
|
Tranche
B Term Loan
|
3-month
USD LIBOR + 3.500%
05/08/2026
|
|
|
1,500,000
|
1,492,500
|
Interior
Logic Group Holdings IV LLC(b),(n)
|
Term
Loan
|
3-month
USD LIBOR + 4.000%
05/30/2025
|
6.330%
|
|
843,625
|
829,916
|
Lightstone
Holdco LLC(b),(n)
|
Tranche
B Term Loan
|
3-month
USD LIBOR + 3.750%
Floor 1.000%
01/30/2024
|
5.862%
|
|
1,289,449
|
1,241,094
|
Tranche
C Term Loan
|
3-month
USD LIBOR + 3.750%
Floor 1.000%
01/30/2024
|
5.862%
|
|
72,727
|
70,000
|
RBS
Global, Inc./Rexnord LLC(b),(n)
|
Term
Loan
|
3-month
USD LIBOR + 2.000%
08/21/2024
|
4.112%
|
|
1,000,000
|
1,003,380
|
Titan
Acquisition Ltd./Husky IMS International Ltd.(b),(n)
|
Term
Loan
|
3-month
USD LIBOR + 3.000%
03/28/2025
|
5.112%
|
|
640,637
|
613,590
|
Total
|
8,685,210
|
The accompanying Notes to Financial Statements are an integral part
of this statement.
38
|
Columbia Strategic Income
Fund | Annual Report 2019
|
Portfolio of Investments (continued)
August 31, 2019
Senior
Loans (continued)
|
Borrower
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
Other
REIT 0.1%
|
ESH
Hospitality, Inc.(b),(n)
|
Term
Loan
|
3-month
USD LIBOR + 2.000%
08/30/2023
|
4.112%
|
|
1,745,614
|
1,745,893
|
VICI
Properties 1 LLC(b),(n)
|
Tranche
B Term Loan
|
3-month
USD LIBOR + 2.000%
12/20/2024
|
4.170%
|
|
1,811,364
|
1,813,954
|
Total
|
3,559,847
|
Packaging
0.3%
|
Anchor
Glass Container Corp.(b),(n)
|
1st
Lien Term Loan
|
3-month
USD LIBOR + 2.750%
Floor 1.000%
12/07/2023
|
4.967%
|
|
821,435
|
712,086
|
Berry
Global, Inc.(b),(n)
|
Tranche
R Term Loan
|
3-month
USD LIBOR + 2.250%
01/19/2024
|
4.451%
|
|
1,202,721
|
1,201,651
|
Tranche
T Term Loan
|
3-month
USD LIBOR + 2.000%
01/06/2021
|
4.201%
|
|
91,328
|
91,328
|
Consolidated
Container Co., LLC(b),(n)
|
1st
Lien Term Loan
|
3-month
USD LIBOR + 2.750%
Floor 1.000%
05/22/2024
|
4.862%
|
|
442,142
|
435,143
|
Flex
Acquisition Co., Inc./Novolex(b),(n)
|
Term
Loan
|
3-month
USD LIBOR + 3.000%
Floor 1.000%
12/29/2023
|
5.319%
|
|
1,232,494
|
1,171,830
|
LABL,
Inc.(b),(n)
|
Term
Loan
|
3-month
USD LIBOR + 4.500%
07/01/2026
|
6.730%
|
|
775,000
|
772,822
|
Packaging
Coordinators Midco, Inc.(b),(n)
|
1st
Lien Term Loan
|
3-month
USD LIBOR + 4.000%
06/30/2023
|
6.330%
|
|
694,505
|
691,609
|
Plastipak
Holdings, Inc.(b),(n)
|
Tranche
B Term Loan
|
3-month
USD LIBOR + 2.500%
10/14/2024
|
4.620%
|
|
1,726,912
|
1,720,005
|
Printpack
Holdings, Inc.(b),(n)
|
Term
Loan
|
3-month
USD LIBOR + 3.000%
Floor 1.000%
07/26/2023
|
5.125%
|
|
750,630
|
744,061
|
Senior
Loans (continued)
|
Borrower
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
ProAmpac
PG Borrower LLC(b),(n)
|
1st
Lien Term Loan
|
3-month
USD LIBOR + 3.500%
Floor 1.000%
11/20/2023
|
5.703%
|
|
874,386
|
835,765
|
2nd
Lien Term Loan
|
3-month
USD LIBOR + 8.500%
Floor 1.000%
11/18/2024
|
10.624%
|
|
700,000
|
663,831
|
Reynolds
Group Holdings, Inc.(b),(n)
|
Term
Loan
|
3-month
USD LIBOR + 2.750%
Floor 1.000%
02/05/2023
|
4.862%
|
|
2,246,606
|
2,244,202
|
Spectrum
Holdings III Corp.(b),(d),(n)
|
2nd
Lien Term Loan
|
3-month
USD LIBOR + 7.000%
Floor 1.000%
01/31/2026
|
9.112%
|
|
425,000
|
388,875
|
Tricorbraun
Holdings, Inc.(b),(n)
|
1st
Lien Term Loan
|
3-month
USD LIBOR + 3.750%
Floor 1.000%
11/30/2023
|
6.018%
|
|
439,057
|
426,983
|
Trident
TPI Holdings, Inc.(b),(n)
|
Tranche
B1 Term Loan
|
3-month
USD LIBOR + 3.250%
Floor 1.000%
10/17/2024
|
5.362%
|
|
709,175
|
676,376
|
Twist
Beauty International Holdings S.A.(b),(n)
|
Tranche
B2 Term Loan
|
3-month
USD LIBOR + 3.000%
Floor 1.000%
04/22/2024
|
5.524%
|
|
591,263
|
573,524
|
Total
|
13,350,091
|
Pharmaceuticals
0.2%
|
Bausch
Health Companies, Inc.(b),(n)
|
Term
Loan
|
3-month
USD LIBOR + 3.000%
06/02/2025
|
5.201%
|
|
1,553,773
|
1,555,529
|
3-month
USD LIBOR + 2.750%
11/27/2025
|
4.951%
|
|
208,125
|
207,917
|
Catalent
Pharma Solutions, Inc.(b),(n)
|
Tranche
B2 Term Loan
|
3-month
USD LIBOR + 2.250%
05/18/2026
|
4.362%
|
|
997,500
|
1,000,413
|
Endo
Finance Co. I SARL(b),(n)
|
Term
Loan
|
3-month
USD LIBOR + 4.250%
Floor 0.750%
04/29/2024
|
6.375%
|
|
1,458,592
|
1,329,142
|
The accompanying Notes to Financial Statements are an integral part
of this statement.
Columbia
Strategic Income Fund | Annual Report 2019
|
39
|
Portfolio of Investments (continued)
August 31, 2019
Senior
Loans (continued)
|
Borrower
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
Grifols
Worldwide Operations Ltd.(b),(n)
|
Tranche
B Term Loan
|
3-month
USD LIBOR + 2.250%
01/31/2025
|
4.385%
|
|
726,938
|
727,345
|
Jaguar
Holding Co. I LLC/Pharmaceutical Product Development LLC(b),(n)
|
Term
Loan
|
3-month
USD LIBOR + 2.500%
Floor 1.000%
08/18/2022
|
4.612%
|
|
1,248,000
|
1,240,025
|
Mallinckrodt
International Finance SA(b),(n)
|
Term
Loan
|
3-month
USD LIBOR + 3.000%
Floor 0.750%
02/24/2025
|
5.175%
|
|
969,938
|
742,002
|
Nestlé
Skin Health(b),(n),(o)
|
Term
Loan
|
3-month
USD LIBOR + 4.250%
Floor 1.000%
|
6.593%
|
|
600,000
|
599,550
|
RPI
Finance Trust(b),(n)
|
Tranche
B6 Term Loan
|
3-month
USD LIBOR + 2.000%
03/27/2023
|
4.112%
|
|
1,397,260
|
1,399,202
|
Total
|
8,801,125
|
Property
& Casualty 0.2%
|
Alliant
Holdings Intermediate LLC(b),(n)
|
Term
Loan
|
3-month
USD LIBOR + 3.000%
05/09/2025
|
5.145%
|
|
573,138
|
556,351
|
Asurion
LLC(b),(n)
|
Tranche
B2 2nd Lien Term Loan
|
3-month
USD LIBOR + 6.500%
08/04/2025
|
8.612%
|
|
725,000
|
735,012
|
Tranche
B4 Term Loan
|
3-month
USD LIBOR + 3.000%
08/04/2022
|
5.112%
|
|
1,211,529
|
1,211,747
|
Tranche
B6 Term Loan
|
3-month
USD LIBOR + 3.000%
11/03/2023
|
5.112%
|
|
405,041
|
405,114
|
Tranche
B7 Term Loan
|
3-month
USD LIBOR + 3.000%
11/03/2024
|
5.112%
|
|
997,481
|
997,481
|
HUB
International Ltd.(b),(n)
|
Term
Loan
|
3-month
USD LIBOR + 3.000%
04/25/2025
|
5.267%
|
|
1,469,500
|
1,438,832
|
Sedgwick
Claims Management Services, Inc./Lightning Cayman Merger Sub, Ltd.(b),(n)
|
Term
Loan
|
3-month
USD LIBOR + 3.250%
12/31/2025
|
5.362%
|
|
995,000
|
963,906
|
Senior
Loans (continued)
|
Borrower
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
USI,
Inc.(b),(n)
|
Term
Loan
|
3-month
USD LIBOR + 3.000%
05/16/2024
|
5.330%
|
|
1,761,438
|
1,718,142
|
Total
|
8,026,585
|
Restaurants
0.1%
|
Carrols
Restaurant Group, Inc.(b),(n)
|
Term
Loan
|
3-month
USD LIBOR + 3.250%
04/30/2026
|
5.400%
|
|
500,000
|
483,125
|
IRB
Holding Corp./Arby’s/Buffalo Wild Wings(b),(n)
|
Tranche
B Term Loan
|
3-month
USD LIBOR + 3.250%
Floor 1.000%
02/05/2025
|
5.550%
|
|
618,056
|
613,229
|
KFC
Holding Co./Yum! Brands(b),(n)
|
Tranche
B Term Loan
|
3-month
USD LIBOR + 1.750%
04/03/2025
|
3.932%
|
|
1,654,387
|
1,649,903
|
New
Red Finance, Inc./Burger King/Tim Hortons(b),(n)
|
Tranche
B3 Term Loan
|
3-month
USD LIBOR + 2.250%
Floor 1.000%
02/16/2024
|
4.362%
|
|
2,952,949
|
2,947,162
|
Total
|
5,693,419
|
Retailers
0.2%
|
Academy
Ltd.(b),(n)
|
Term
Loan
|
3-month
USD LIBOR + 4.000%
Floor 1.000%
07/01/2022
|
6.235%
|
|
479,418
|
319,014
|
AI
Aqua Merger Sub, Inc.(b),(n)
|
1st
Lien Term Loan
|
3-month
USD LIBOR + 3.250%
Floor 1.000%
12/13/2023
|
5.362%
|
|
343,875
|
327,111
|
Tranche
B1 1st Lien Term Loan
|
3-month
USD LIBOR + 3.250%
Floor 1.000%
12/13/2023
|
5.362%
|
|
634,863
|
605,901
|
ASP
Unifrax Holdings, Inc.(b),(n)
|
1st
Lien Term Loan
|
3-month
USD LIBOR + 3.750%
12/12/2025
|
6.080%
|
|
497,500
|
478,844
|
Bass
Pro Group LLC(b),(n)
|
Term
Loan
|
3-month
USD LIBOR + 5.000%
Floor 0.750%
09/25/2024
|
7.112%
|
|
485,032
|
460,479
|
The accompanying Notes to Financial Statements are an integral part
of this statement.
40
|
Columbia Strategic Income
Fund | Annual Report 2019
|
Portfolio of Investments
(continued)
August 31, 2019
Senior
Loans (continued)
|
Borrower
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
Belk,
Inc.(b),(n)
|
1st
Lien Term Loan
|
3-month
USD LIBOR + 4.750%
Floor 1.000%
12/12/2022
|
6.944%
|
|
530,607
|
412,250
|
BJ’s
Wholesale Club, Inc.(b),(n)
|
Tranche
B 1st Lien Term Loan
|
3-month
USD LIBOR + 2.750%
Floor 1.000%
02/03/2024
|
4.944%
|
|
842,009
|
842,186
|
Burlington
Coat Factory Warehouse Corp.(b),(n)
|
Tranche
B5 Term Loan
|
3-month
USD LIBOR + 2.000%
Floor 0.750%
11/17/2024
|
4.200%
|
|
721,423
|
723,003
|
Harbor
Freight Tools U.S.A., Inc.(b),(n)
|
Term
Loan
|
3-month
USD LIBOR + 2.500%
Floor 0.750%
08/18/2023
|
4.612%
|
|
1,929,828
|
1,854,449
|
J.Crew
Group, Inc.(b),(n)
|
Term
Loan
|
3-month
USD LIBOR + 3.220%
Floor 1.000%
03/05/2021
|
5.405%
|
|
500,122
|
431,495
|
JC
Penney Corp., Inc.(b),(n)
|
Term
Loan
|
3-month
USD LIBOR + 4.250%
Floor 1.000%
06/23/2023
|
6.394%
|
|
740,000
|
631,376
|
Michaels
Stores, Inc.(b),(n)
|
Tranche
B Term Loan
|
3-month
USD LIBOR + 2.500%
Floor 1.000%
01/30/2023
|
4.626%
|
|
994,360
|
942,156
|
Party
City Holdings, Inc.(b),(n)
|
Term
Loan
|
3-month
USD LIBOR + 2.500%
Floor 0.750%
08/19/2022
|
4.620%
|
|
1,144,845
|
1,129,996
|
Total
|
9,158,260
|
Supermarkets
0.0%
|
Albertsons
LLC(b),(n)
|
Tranche
B7 Term Loan
|
3-month
USD LIBOR + 2.750%
Floor 0.750%
11/17/2025
|
4.862%
|
|
489,936
|
491,469
|
Senior
Loans (continued)
|
Borrower
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
Tranche
B8 Term Loan
|
3-month
USD LIBOR + 2.750%
Floor 0.750%
08/17/2026
|
4.862%
|
|
833,226
|
836,351
|
Total
|
1,327,820
|
Technology
1.3%
|
Applied
Systems, Inc.(b),(n)
|
1st
Lien Term Loan
|
3-month
USD LIBOR + 3.000%
Floor 1.000%
09/19/2024
|
5.330%
|
|
1,381,153
|
1,375,974
|
Ascend
Learning LLC(b),(n)
|
Term
Loan
|
3-month
USD LIBOR + 3.000%
Floor 1.000%
07/12/2024
|
5.112%
|
|
1,368,016
|
1,354,336
|
Avaya,
Inc.(b),(n)
|
Tranche
B Term Loan
|
3-month
USD LIBOR + 4.250%
12/15/2024
|
6.439%
|
|
2,005,913
|
1,968,302
|
Boxer
Parent Co., Inc./BMC Software, Inc.(b),(n)
|
Term
Loan
|
3-month
USD LIBOR + 4.250%
10/02/2025
|
6.580%
|
|
996,247
|
939,521
|
CDS
US Intermediate Holdings, Inc.(b),(n)
|
2nd
Lien Term Loan
|
3-month
USD LIBOR + 8.250%
Floor 1.000%
07/10/2023
|
10.580%
|
|
1,000,000
|
905,000
|
Celestica,
Inc.(b),(n)
|
Tranche
B Term Loan
|
3-month
USD LIBOR + 2.125%
06/27/2025
|
4.270%
|
|
993,741
|
963,928
|
CommScope,
Inc.(b),(n)
|
Term
Loan
|
3-month
USD LIBOR + 3.250%
04/06/2026
|
5.362%
|
|
1,500,000
|
1,491,255
|
Cyxtera
DC Holdings, Inc.(b),(n)
|
1st
Lien Term Loan
|
3-month
USD LIBOR + 3.000%
Floor 1.000%
05/01/2024
|
5.210%
|
|
997,455
|
933,120
|
Dawn
Acquisition LLC(b),(n)
|
Term
Loan
|
3-month
USD LIBOR + 3.750%
12/31/2025
|
6.080%
|
|
870,625
|
851,036
|
Dell
International LLC/EMC Corp.(b),(n)
|
Tranche
B Term Loan
|
3-month
USD LIBOR + 2.000%
Floor 0.750%
09/07/2023
|
4.120%
|
|
2,882,497
|
2,888,175
|
The accompanying Notes to Financial Statements are an integral part
of this statement.
Columbia
Strategic Income Fund | Annual Report 2019
|
41
|
Portfolio of Investments
(continued)
August 31, 2019
Senior
Loans (continued)
|
Borrower
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
DigiCert
Holdings, Inc.(b),(n),(o)
|
Tranche
B Term Loan
|
3-month
USD LIBOR + 4.000%
08/07/2026
|
|
|
650,000
|
647,289
|
DigiCert,
Inc.(b),(n)
|
1st
Lien Term Loan
|
3-month
USD LIBOR + 4.000%
Floor 1.000%
10/31/2024
|
6.112%
|
|
668,263
|
668,263
|
DigiCert,
Inc.(b),(d),(n)
|
2nd
Lien Term Loan
|
3-month
USD LIBOR + 8.000%
Floor 1.000%
10/31/2025
|
10.112%
|
|
420,000
|
419,475
|
Dun
& Bradstreet Corp. (The)(b),(n)
|
Term
Loan
|
3-month
USD LIBOR + 5.000%
02/06/2026
|
7.145%
|
|
750,000
|
751,560
|
Evertec
Group LLC(b),(n)
|
Tranche
B Term Loan
|
3-month
USD LIBOR + 3.500%
11/27/2024
|
5.612%
|
|
1,497,500
|
1,500,315
|
Greeneden
US Holdings I LLC/Genesys Telecommunications Laboratories, Inc.(b),(n)
|
Tranche
B3 Term Loan
|
3-month
USD LIBOR + 3.250%
12/01/2023
|
5.362%
|
|
1,839,629
|
1,817,094
|
Hyland
Software, Inc.(b),(n)
|
1st
Lien Term Loan
|
3-month
USD LIBOR + 3.250%
Floor 0.750%
07/01/2024
|
5.362%
|
|
688,986
|
685,975
|
Infor
US, Inc.(b),(n)
|
Tranche
B6 Term Loan
|
3-month
USD LIBOR + 2.750%
Floor 1.000%
02/01/2022
|
5.080%
|
|
886,582
|
885,660
|
Informatica
LLC(b),(n)
|
Tranche
B1 Term Loan
|
3-month
USD LIBOR + 3.250%
08/05/2022
|
5.362%
|
|
823,301
|
823,474
|
ION
Trading Technologies SARL(b),(n)
|
1st
Lien Term Loan
|
3-month
USD LIBOR + 4.000%
Floor 1.000%
11/21/2024
|
6.651%
|
|
1,493,978
|
1,432,979
|
Leidos,
Inc.(b),(n)
|
Tranche
B Term Loan
|
3-month
USD LIBOR + 1.750%
08/22/2025
|
3.875%
|
|
785,714
|
786,555
|
Senior
Loans (continued)
|
Borrower
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
MA
FinanceCo LLC/Micro Focus International PLC(b),(n)
|
Tranche
B2 Term Loan
|
3-month
USD LIBOR + 2.250%
11/19/2021
|
4.362%
|
|
342,594
|
339,473
|
Tranche
B3 Term Loan
|
3-month
USD LIBOR + 2.500%
06/21/2024
|
4.612%
|
|
212,735
|
206,353
|
Maxar
Technologies Ltd.(b),(n)
|
Tranche
B Term Loan
|
3-month
USD LIBOR + 2.750%
10/04/2024
|
4.870%
|
|
985,000
|
860,644
|
McAfee
LLC(b),(n)
|
Tranche
B Term Loan
|
3-month
USD LIBOR + 3.750%
09/30/2024
|
5.866%
|
|
1,020,148
|
1,020,403
|
McDermott
International, Inc.(b),(n)
|
Term
Loan
|
3-month
USD LIBOR + 5.000%
Floor 1.000%
05/12/2025
|
7.112%
|
|
666,562
|
610,325
|
Microchip
Technology, Inc.(b),(n)
|
Term
Loan
|
3-month
USD LIBOR + 2.000%
05/29/2025
|
4.120%
|
|
1,542,264
|
1,540,814
|
Misys
Ltd./Almonde/Tahoe/Finastra USA(b),(n)
|
1st
Lien Term Loan
|
3-month
USD LIBOR + 3.500%
Floor 1.000%
06/13/2024
|
5.696%
|
|
675,009
|
650,445
|
MYOB
US Borrower LLC(b),(n)
|
1st
Lien Term Loan
|
3-month
USD LIBOR + 4.000%
05/06/2026
|
6.112%
|
|
1,300,000
|
1,299,194
|
Natel
Engineering Co., Inc.(b),(n)
|
Term
Loan
|
3-month
USD LIBOR + 5.000%
Floor 1.000%
04/30/2026
|
7.116%
|
|
598,500
|
598,500
|
Neustar,
Inc.(b),(n)
|
Tranche
B4 1st Lien Term Loan
|
3-month
USD LIBOR + 3.500%
08/08/2024
|
5.612%
|
|
996,199
|
964,819
|
Oberthur
Technologies Holding SAS(b),(n)
|
Tranche
B1 Term Loan
|
3-month
USD LIBOR + 3.750%
01/10/2024
|
6.080%
|
|
827,138
|
798,536
|
ON
Semiconductor Corp.(b),(n)
|
Tranche
B3 Term Loan
|
3-month
USD LIBOR + 1.750%
03/31/2023
|
3.862%
|
|
2,000,000
|
1,994,580
|
The accompanying Notes to Financial Statements are an integral part
of this statement.
42
|
Columbia Strategic Income
Fund | Annual Report 2019
|
Portfolio of Investments
(continued)
August 31, 2019
Senior
Loans (continued)
|
Borrower
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
Perspecta,
Inc.(b),(n)
|
Tranche
B Term Loan
|
3-month
USD LIBOR + 2.250%
05/30/2025
|
4.362%
|
|
816,750
|
816,750
|
Plantronics,
Inc.(b),(n)
|
Tranche
B Term Loan
|
3-month
USD LIBOR + 2.500%
07/02/2025
|
4.612%
|
|
1,669,069
|
1,660,723
|
Project
Alpha Intermediate Holding, Inc.(b),(n)
|
Term
Loan
|
3-month
USD LIBOR + 3.500%
Floor 1.000%
04/26/2024
|
5.810%
|
|
481,082
|
474,169
|
3-month
USD LIBOR + 4.250%
04/26/2024
|
6.560%
|
|
1,472,776
|
1,468,181
|
Rackspace
Hosting, Inc.(b),(n),(o)
|
Tranche
B 1st Lien Term Loan
|
3-month
USD LIBOR + 3.000%
Floor 1.000%
11/03/2023
|
5.287%
|
|
1,437,353
|
1,329,997
|
Refinitiv
US Holdings, Inc.(a),(b),(n)
|
Term
Loan
|
3-month
USD LIBOR + 3.750%
10/01/2025
|
5.862%
|
|
1,992,494
|
2,001,340
|
Riverbed
Technology, Inc.(b),(n)
|
Term
Loan
|
3-month
USD LIBOR + 3.250%
Floor 1.000%
04/24/2022
|
5.370%
|
|
909,378
|
755,165
|
Rovi
Solutions Corp./Guides, Inc.(b),(n)
|
Tranche
B Term Loan
|
3-month
USD LIBOR + 2.500%
Floor 0.750%
07/02/2021
|
4.620%
|
|
750,000
|
739,372
|
RP
Crown Parent LLC(b),(n)
|
Term
Loan
|
3-month
USD LIBOR + 2.750%
Floor 1.000%
10/12/2023
|
4.862%
|
|
498,721
|
497,225
|
Sabre
GLBL, Inc.(b),(n)
|
Tranche
B Term Loan
|
3-month
USD LIBOR + 2.000%
02/22/2024
|
4.112%
|
|
1,872,147
|
1,873,195
|
Science
Applications International Corp.(b),(n)
|
Tranche
B Term Loan
|
3-month
USD LIBOR + 1.750%
10/31/2025
|
3.862%
|
|
992,500
|
988,778
|
SCS
Holdings I, Inc.(b),(n)
|
Term
Loan
|
3-month
USD LIBOR + 4.250%
07/01/2026
|
6.569%
|
|
875,000
|
874,177
|
Senior
Loans (continued)
|
Borrower
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
Seattle
SpinCo, Inc./Micro Focus International PLC(b),(n)
|
Term
Loan
|
3-month
USD LIBOR + 2.500%
06/21/2024
|
4.612%
|
|
1,190,788
|
1,155,065
|
Shutterfly,
Inc.(b),(n)
|
Term
Loan
|
3-month
USD LIBOR + 2.750%
08/17/2024
|
4.870%
|
|
355,691
|
355,321
|
SS&C
Technologies Holdings, Inc.(b),(n)
|
Tranche
B3 Term Loan
|
3-month
USD LIBOR + 2.250%
04/16/2025
|
4.362%
|
|
315,226
|
315,541
|
Tranche
B4 Term Loan
|
3-month
USD LIBOR + 2.250%
04/16/2025
|
4.362%
|
|
213,013
|
213,226
|
Tranche
B5 Term Loan
|
3-month
USD LIBOR + 2.250%
04/16/2025
|
4.362%
|
|
1,994,945
|
1,994,666
|
Tempo
Acquisition LLC(b),(n)
|
Term
Loan
|
3-month
USD LIBOR + 3.000%
05/01/2024
|
5.112%
|
|
1,928,455
|
1,926,855
|
TIBCO
Software, Inc.(b),(n)
|
Term
Loan
|
3-month
USD LIBOR + 4.000%
06/30/2026
|
6.250%
|
|
1,000,000
|
999,060
|
TTM
Technologies, Inc.(b),(n)
|
Tranche
B Term Loan
|
3-month
USD LIBOR + 2.500%
09/28/2024
|
4.730%
|
|
1,885,898
|
1,880,391
|
Ultimate
Software Group, Inc. (The)(b),(n)
|
1st
Lien Term Loan
|
3-month
USD LIBOR + 3.750%
05/04/2026
|
6.080%
|
|
2,000,000
|
2,003,580
|
Verint
Systems, Inc.(b),(n)
|
Term
Loan
|
3-month
USD LIBOR + 2.000%
06/28/2024
|
4.230%
|
|
580,313
|
582,130
|
Veritas
US, Inc.(b),(n)
|
Tranche
B Term Loan
|
3-month
USD LIBOR + 4.500%
Floor 1.000%
01/27/2023
|
6.648%
|
|
719,957
|
682,519
|
Verscend
Holding Corp.(b),(n)
|
Tranche
B Term Loan
|
3-month
USD LIBOR + 4.500%
08/27/2025
|
6.612%
|
|
1,070,678
|
1,072,348
|
Western
Digital Corp.(b),(n)
|
Tranche
B4 Term Loan
|
3-month
USD LIBOR + 1.750%
04/29/2023
|
3.862%
|
|
1,994,949
|
1,987,468
|
The accompanying Notes to Financial Statements are an integral part
of this statement.
Columbia
Strategic Income Fund | Annual Report 2019
|
43
|
Portfolio of Investments
(continued)
August 31, 2019
Senior
Loans (continued)
|
Borrower
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
Xperi
Corp.(b),(n)
|
Tranche
B1 Term Loan
|
3-month
USD LIBOR + 2.500%
Floor 0.750%
12/01/2023
|
4.612%
|
|
405,764
|
400,185
|
Total
|
64,020,799
|
Transportation
Services 0.0%
|
HFOTCO
LLC(b),(n)
|
Tranche
B Term Loan
|
3-month
USD LIBOR + 2.750%
06/26/2025
|
4.870%
|
|
1,497,487
|
1,489,072
|
Wireless
0.1%
|
Cellular
South, Inc.(b),(n)
|
Tranche
B Term Loan
|
3-month
USD LIBOR + 2.250%
05/17/2024
|
4.508%
|
|
494,949
|
490,930
|
Numericable
US LLC(b),(n)
|
Tranche
B11 Term Loan
|
3-month
USD LIBOR + 2.750%
07/31/2025
|
4.862%
|
|
977,500
|
942,242
|
SBA
Senior Finance II LLC(b),(n)
|
Term
Loan
|
3-month
USD LIBOR + 2.000%
04/11/2025
|
4.120%
|
|
2,496,222
|
2,480,371
|
Sprint
Communications, Inc.(b),(n)
|
Term
Loan
|
3-month
USD LIBOR + 2.500%
Floor 0.750%
02/02/2024
|
4.625%
|
|
1,031,659
|
1,024,241
|
3-month
USD LIBOR + 3.000%
Floor 0.750%
02/02/2024
|
5.125%
|
|
997,494
|
994,691
|
Switch
Ltd.(b),(n)
|
Tranche
B1 Term Loan
|
3-month
USD LIBOR + 2.250%
06/27/2024
|
4.362%
|
|
563,500
|
563,500
|
Total
|
6,495,975
|
Wirelines
0.1%
|
CenturyLink,
Inc.(b),(n)
|
Tranche
B Term Loan
|
3-month
USD LIBOR + 2.750%
01/31/2025
|
4.862%
|
|
1,315,074
|
1,295,348
|
Level
3 Financing, Inc.(b),(n)
|
Tranche
B Term Loan
|
3-month
USD LIBOR + 2.250%
02/22/2024
|
4.362%
|
|
1,250,000
|
1,250,525
|
Senior
Loans (continued)
|
Borrower
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
Southwire
Co., LLC(b),(n)
|
Term
Loan
|
3-month
USD LIBOR + 1.750%
05/19/2025
|
3.862%
|
|
990,000
|
985,357
|
Windstream
Services LLC(b),(n),(q)
|
Debtor
in Possession Term Loan
|
3-month
USD LIBOR + 2.500%
02/26/2021
|
4.620%
|
|
1,000,000
|
1,002,500
|
Windstream
Services LLC(b),(n)
|
Tranche
B6 Term Loan
|
3-month
USD LIBOR + 6.000%
Floor 0.750%
03/29/2021
|
10.250%
|
|
599,908
|
608,427
|
Total
|
5,142,157
|
Total
Senior Loans
(Cost $354,536,273)
|
347,732,674
|
|
Treasury
Bills(i) 0.1%
|
Issuer
|
Effective
Yield
|
|
Principal
Amount ($)
|
Value
($)
|
Nigeria
0.1%
|
Nigeria
OMO Bill
|
02/20/2020
|
13.860%
|
NGN
|
2,000,000,000
|
5,169,244
|
Nigeria
Treasury Bill
|
01/16/2020
|
13.500%
|
NGN
|
889,000,000
|
2,329,838
|
Total
|
7,499,082
|
Total
Treasury Bills
(Cost $7,491,103)
|
7,499,082
|
|
U.S.
Treasury Obligations 0.2%
|
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
U.S.
Treasury
|
08/15/2048
|
3.000%
|
|
8,265,000
|
10,134,956
|
Total
U.S. Treasury Obligations
(Cost $8,197,847)
|
10,134,956
|
Warrants
0.0%
|
Issuer
|
Shares
|
Value
($)
|
Communication
Services 0.0%
|
Media
0.0%
|
iHeartCommunications,
Inc.(h)
|
11,995
|
160,217
|
Total
Communication Services
|
160,217
|
Total
Warrants
(Cost $203,915)
|
160,217
|
|
The accompanying Notes to Financial Statements are an integral part
of this statement.
44
|
Columbia Strategic Income
Fund | Annual Report 2019
|
Portfolio of Investments (continued)
August 31, 2019
Money
Market Funds 5.0%
|
|
Shares
|
Value
($)
|
Columbia
Short-Term Cash Fund, 2.208%(r),(s)
|
247,839,387
|
247,814,603
|
Total
Money Market Funds
(Cost $247,826,407)
|
247,814,603
|
Total
Investments in Securities
(Cost: $5,440,669,575)
|
5,554,960,870
|
Other
Assets & Liabilities, Net
|
|
(551,817,548)
|
Net
Assets
|
5,003,143,322
|
At August 31, 2019, securities and/or cash totaling $43,406,053
were pledged as collateral.
Investments in
derivatives
Forward
foreign currency exchange contracts
|
Currency
to
be sold
|
Currency
to
be purchased
|
Counterparty
|
Settlement
date
|
Unrealized
appreciation ($)
|
Unrealized
depreciation ($)
|
230,031,878 MXN
|
11,979,579 USD
|
Morgan
Stanley
|
09/10/2019
|
513,766
|
—
|
18,480,458 EUR
|
20,677,785 USD
|
UBS
|
09/10/2019
|
357,195
|
—
|
Total
|
|
|
|
870,961
|
—
|
Long
futures contracts
|
Description
|
Number
of
contracts
|
Expiration
date
|
Trading
currency
|
Notional
amount
|
Value/Unrealized
appreciation ($)
|
Value/Unrealized
depreciation ($)
|
U.S.
Treasury 2-Year Note
|
8,374
|
12/2019
|
USD
|
1,809,765,332
|
898,748
|
—
|
Short
futures contracts
|
Description
|
Number
of
contracts
|
Expiration
date
|
Trading
currency
|
Notional
amount
|
Value/Unrealized
appreciation ($)
|
Value/Unrealized
depreciation ($)
|
Euro-Bobl
|
(2,049)
|
09/2019
|
EUR
|
(279,135,270)
|
—
|
(5,548,306)
|
U.S.
Treasury 10-Year Note
|
(2,738)
|
12/2019
|
USD
|
(360,645,938)
|
—
|
(775,949)
|
U.S.
Treasury 5-Year Note
|
(848)
|
12/2019
|
USD
|
(101,740,125)
|
—
|
(160,739)
|
U.S.
Ultra Treasury Bond
|
(641)
|
12/2019
|
USD
|
(126,557,438)
|
—
|
(1,418,653)
|
Total
|
|
|
|
|
—
|
(7,903,647)
|
Call
option contracts written
|
Description
|
Counterparty
|
Trading
currency
|
Notional
amount
|
Number
of
contracts
|
Exercise
price/Rate
|
Expiration
date
|
Premium
received ($)
|
Value
($)
|
10-Year
OTC interest rate swap with Citi to receive 3-Month USD LIBOR BBA and pay exercise rate
|
Citi
|
USD
|
(380,000,000)
|
(380,000,000)
|
1.65
|
11/04/2019
|
(2,698,000)
|
(11,229,304)
|
10-Year
OTC interest rate swap with Citi to receive 3-Month USD LIBOR BBA and pay exercise rate
|
Citi
|
USD
|
(210,000,000)
|
(210,000,000)
|
1.15
|
11/29/2019
|
(1,701,000)
|
(1,543,605)
|
10-Year
OTC interest rate swap with Morgan Stanley to receive 3-Month USD LIBOR BBA and pay exercise rate
|
Morgan
Stanley
|
USD
|
(210,000,000)
|
(210,000,000)
|
1.15
|
11/29/2019
|
(1,785,000)
|
(1,543,605)
|
Total
|
|
|
|
|
|
|
(6,184,000)
|
(14,316,514)
|
The
accompanying Notes to Financial Statements are an integral part of this statement.
Columbia
Strategic Income Fund | Annual Report 2019
|
45
|
Portfolio of Investments (continued)
August 31, 2019
Interest
rate swap contracts
|
Fund
receives
|
Fund
pays
|
Payment
frequency
|
Counterparty
|
Maturity
date
|
Notional
currency
|
Notional
amount
|
Value
($)
|
Periodic
payments
receivable
(payable)
($)
|
Upfront
payments
($)
|
Upfront
receipts
($)
|
Unrealized
appreciation
($)
|
Unrealized
depreciation
($)
|
U.S.
CPI Urban Consumers NSA
|
Fixed
rate of 2.193%
|
Receives
at Maturity, Pays at Maturity
|
Goldman
Sachs International
|
11/23/2028
|
USD
|
45,300,000
|
(1,935,042)
|
—
|
—
|
—
|
—
|
(1,935,042)
|
U.S.
CPI Urban Consumers NSA
|
Fixed
rate of 2.017%
|
Receives
at Maturity, Pays at Maturity
|
Goldman
Sachs International
|
07/18/2029
|
USD
|
48,500,000
|
(1,085,078)
|
—
|
—
|
—
|
—
|
(1,085,078)
|
U.S.
CPI Urban Consumers NSA
|
Fixed
rate of 2.017%
|
Receives
at Maturity, Pays at Maturity
|
JPMorgan
|
12/21/2028
|
USD
|
41,750,000
|
(1,029,132)
|
—
|
—
|
—
|
—
|
(1,029,132)
|
U.S.
CPI Urban Consumers NSA
|
Fixed
rate of 1.953%
|
Receives
at Maturity, Pays at Maturity
|
JPMorgan
|
01/08/2029
|
USD
|
42,000,000
|
(745,808)
|
—
|
—
|
—
|
—
|
(745,808)
|
U.S.
CPI Urban Consumers NSA
|
Fixed
rate of 1.900%
|
Receives
at Maturity, Pays at Maturity
|
JPMorgan
|
06/27/2029
|
USD
|
47,700,000
|
(468,103)
|
—
|
—
|
—
|
—
|
(468,103)
|
U.S.
CPI Urban Consumers NSA
|
Fixed
rate of 2.193%
|
Receives
at Maturity, Pays at Maturity
|
Morgan
Stanley
|
12/07/2028
|
USD
|
45,300,000
|
(1,945,971)
|
—
|
—
|
—
|
—
|
(1,945,971)
|
Total
|
|
|
|
|
|
|
(7,209,134)
|
—
|
—
|
—
|
—
|
(7,209,134)
|
Cleared
interest rate swap contracts
|
Fund
receives
|
Fund
pays
|
Payment
frequency
|
Counterparty
|
Maturity
date
|
Notional
currency
|
Notional
amount
|
Value
($)
|
Upfront
payments
($)
|
Upfront
receipts
($)
|
Unrealized
appreciation
($)
|
Unrealized
depreciation
($)
|
28-Day
MXN TIIE-Banxico
|
Fixed
rate of 8.100%
|
Receives
at Maturity, Pays at Maturity
|
Morgan
Stanley
|
05/31/2021
|
MXN
|
1,993,000,000
|
(1,632,161)
|
—
|
—
|
—
|
(1,632,161)
|
28-Day
MXN TIIE-Banxico
|
Fixed
rate of 8.130%
|
Receives
at Maturity, Pays at Maturity
|
Morgan
Stanley
|
06/01/2021
|
MXN
|
1,540,987,865
|
(1,304,435)
|
—
|
—
|
—
|
(1,304,435)
|
Fixed
rate of 6.230%
|
28-Day
MXN TIIE-Banxico
|
Receives
Monthly, Pays Monthly
|
Morgan
Stanley
|
01/09/2026
|
MXN
|
580,000,000
|
(809,776)
|
—
|
—
|
—
|
(809,776)
|
Fixed
rate of 5.985%
|
28-Day
MXN TIIE-Banxico
|
Receives
Monthly, Pays Monthly
|
Morgan
Stanley
|
01/21/2026
|
MXN
|
211,000,000
|
(446,140)
|
—
|
—
|
—
|
(446,140)
|
3-Month
USD LIBOR
|
Fixed
rate of 1.781%
|
Receives
Quarterly, Pays Semi-annually
|
Morgan
Stanley
|
08/09/2049
|
USD
|
53,500,000
|
(3,026,658)
|
—
|
—
|
—
|
(3,026,658)
|
Total
|
|
|
|
|
|
|
(7,219,170)
|
—
|
—
|
—
|
(7,219,170)
|
Credit
default swap contracts - buy protection
|
Reference
entity
|
Counterparty
|
Maturity
date
|
Pay
fixed
rate
(%)
|
Payment
frequency
|
Notional
currency
|
Notional
amount
|
Value
($)
|
Periodic
payments
receivable
(payable)
($)
|
Upfront
payments
($)
|
Upfront
receipts
($)
|
Unrealized
appreciation
($)
|
Unrealized
depreciation
($)
|
Markit
CMBX North America Index, Series 10 BBB-
|
Citi
|
11/17/2059
|
3.000
|
Monthly
|
USD
|
13,000,000
|
438,750
|
(6,500)
|
553,808
|
—
|
—
|
(121,558)
|
Markit
CMBX North America Index, Series 10 BBB-
|
Citi
|
11/17/2059
|
3.000
|
Monthly
|
USD
|
24,000,000
|
810,000
|
(12,000)
|
1,396,276
|
—
|
—
|
(598,276)
|
Markit
CMBX North America Index, Series 10 BBB-
|
Citi
|
11/17/2059
|
3.000
|
Monthly
|
USD
|
24,000,000
|
810,000
|
(12,000)
|
1,438,297
|
—
|
—
|
(640,297)
|
Markit
CMBX North America Index, Series 11 BBB-
|
Citi
|
11/18/2054
|
3.000
|
Monthly
|
USD
|
10,500,000
|
567,656
|
(5,250)
|
599,590
|
—
|
—
|
(37,184)
|
The accompanying Notes to Financial Statements are an integral part of this
statement.
46
|
Columbia Strategic Income
Fund | Annual Report 2019
|
Portfolio of Investments (continued)
August 31, 2019
Credit
default swap contracts - buy protection (continued)
|
Reference
entity
|
Counterparty
|
Maturity
date
|
Pay
fixed
rate
(%)
|
Payment
frequency
|
Notional
currency
|
Notional
amount
|
Value
($)
|
Periodic
payments
receivable
(payable)
($)
|
Upfront
payments
($)
|
Upfront
receipts
($)
|
Unrealized
appreciation
($)
|
Unrealized
depreciation
($)
|
Markit
CMBX North America Index, Series 11 BBB-
|
Citi
|
11/18/2054
|
3.000
|
Monthly
|
USD
|
24,000,000
|
1,297,500
|
(12,000)
|
1,353,206
|
—
|
—
|
(67,706)
|
Markit
CMBX North America Index, Series 11 BBB-
|
JPMorgan
|
11/18/2054
|
3.000
|
Monthly
|
USD
|
24,000,000
|
1,297,500
|
(12,000)
|
1,258,059
|
—
|
27,441
|
—
|
Total
|
|
|
|
|
|
|
5,221,406
|
(59,750)
|
6,599,236
|
—
|
27,441
|
(1,465,021)
|
Cleared
credit default swap contracts - buy protection
|
Reference
entity
|
Counterparty
|
Maturity
date
|
Pay
fixed
rate
(%)
|
Payment
frequency
|
Notional
currency
|
Notional
amount
|
Value
($)
|
Upfront
payments
($)
|
Upfront
receipts
($)
|
Unrealized
appreciation
($)
|
Unrealized
depreciation
($)
|
Markit
CDX North America High Yield Index, Series 32
|
Morgan
Stanley
|
06/20/2024
|
5.000
|
Quarterly
|
USD
|
331,471,800
|
(7,460,075)
|
—
|
—
|
—
|
(7,460,075)
|
Reference
index and values for swap contracts as of period end
|
Reference
index
|
|
Reference
rate
|
28-Day
MXN TIIE-Banxico
|
Interbank
Equilibrium Interest Rate
|
8.260%
|
3-Month
USD LIBOR
|
London
Interbank Offered Rate
|
2.138%
|
U.S.
CPI Urban Consumers NSA
|
United
States Consumer Price All Urban Non-Seasonally Adjusted Index
|
1.750%
|
Notes to Portfolio of
Investments
(a)
|
Represents
privately placed and other securities and instruments exempt from Securities and Exchange Commission registration (collectively, private placements), such as Section 4(a)(2) and Rule 144A eligible securities, which are often sold only to qualified
institutional buyers. 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 August 31, 2019, the total value of these securities amounted to $2,791,315,418, which represents 55.79% of total net assets.
|
(b)
|
Variable
rate security. The interest rate shown was the current rate as of August 31, 2019.
|
(c)
|
Represents fair
value as determined in good faith under procedures approved by the Board of Trustees. At August 31, 2019, the total value of these securities amounted to $24,565,127, which represents 0.49% of total net assets.
|
(d)
|
Valuation
based on significant unobservable inputs.
|
(e)
|
Represents shares
owned in the residual interest of an asset-backed securitization.
|
(f)
|
Zero
coupon bond.
|
(g)
|
Variable
or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. The interest rate shown was the current rate as of August 31, 2019.
|
(h)
|
Non-income producing
investment.
|
(i)
|
Principal
amounts are denominated in United States Dollars unless otherwise noted.
|
(j)
|
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 August 31, 2019.
|
(k)
|
Principal
and interest may not be guaranteed by the government.
|
(l)
|
Represents interest
only securities which have the right to receive the monthly interest payments on an underlying pool of mortgage loans.
|
(m)
|
Represents a
security purchased on a when-issued basis.
|
(n)
|
The
stated interest rate represents the weighted average interest rate at August 31, 2019 of contracts within the senior loan facility. Interest rates on contracts are primarily determined either weekly, monthly or quarterly by reference to the
indicated base lending rate and spread and the reset period. These base lending rates are primarily the London Interbank Offered Rate (“LIBOR”) and other short-term rates. Base lending rates may be subject to a floor or minimum rate. The
interest rate for senior loans purchased on a when-issued or delayed delivery basis will be determined upon settlement, therefore no interest rate is disclosed. Senior loans often require prepayments from excess cash flows or permit the borrowers to
repay at their election. The degree to which borrowers repay, cannot be predicted with accuracy. As a result, remaining maturities of senior loans may be less than the stated maturities.
|
(o)
|
Represents a
security purchased on a forward commitment basis.
|
The accompanying Notes to Financial Statements are an integral part of this
statement.
Columbia
Strategic Income Fund | Annual Report 2019
|
47
|
Portfolio of Investments (continued)
August 31, 2019
Notes to Portfolio of
Investments (continued)
(p)
|
At August 31,
2019, the Fund had unfunded senior loan commitments pursuant to the terms of the loan agreement. The Fund receives a stated coupon rate until the borrower draws on the loan commitment, at which time the rate will become the stated rate in the loan
agreement.
|
Borrower
|
Unfunded
Commitment ($)
|
Allied
Universal Holdco LLC
Delayed Draw Term Loan
07/10/2026 6.507%
|
37,905
|
(q)
|
The
borrower filed for protection under Chapter 11 of the U.S. Federal Bankruptcy Code.
|
(r)
|
The rate
shown is the seven-day current annualized yield at August 31, 2019.
|
(s)
|
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 August 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, 2.208%
|
|
266,189,567
|
1,676,462,534
|
(1,694,812,714)
|
247,839,387
|
(9,748)
|
6,359
|
4,724,468
|
247,814,603
|
Abbreviation Legend
CMO
|
Collateralized Mortgage
Obligation
|
PIK
|
Payment In
Kind
|
STRIPS
|
Separate
Trading of Registered Interest and Principal Securities
|
Currency Legend
DOP
|
Dominican
Republic Peso
|
EUR
|
Euro
|
MXN
|
Mexican
Peso
|
NGN
|
Nigerian
Naira
|
RUB
|
Russian
Ruble
|
USD
|
US Dollar
|
ZAR
|
South
African Rand
|
Fair value
measurements
The Fund categorizes its fair value
measurements according to a three-level hierarchy that maximizes the use of observable inputs and minimizes the use of unobservable inputs by prioritizing that the most observable input be used when available. Observable inputs are those that market
participants would use in pricing an investment based on market data obtained from sources independent of the reporting entity. Unobservable inputs are those that reflect the Fund’s assumptions about the information market participants would
use in pricing an investment. An investment’s level within the fair value hierarchy is based on the lowest level of any input that is deemed significant to the asset’s or liability’s fair value measurement. The input levels are not
necessarily an indication of the risk or liquidity associated with investments at that level. For example, certain U.S. government securities are generally high quality and liquid, however, they are reflected as Level 2 because the inputs used to
determine fair value may not always be quoted prices in an active market.
Fair value inputs are summarized in the three broad levels
listed below:
■
|
Level 1 — Valuations
based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments.
|
■
|
Level 2 — Valuations
based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.).
|
■
|
Level 3 — Valuations
based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments).
|
Inputs that are used in determining fair value of an investment
may include price information, credit data, volatility statistics, and other factors. These inputs can be either observable or unobservable. The availability of observable inputs can vary between investments, and is affected by various factors such
as the type of investment, and the volume and level of activity for that investment or similar investments in the marketplace. The inputs will be considered by the Investment Manager, along with any other relevant factors in the calculation of an
investment’s fair value. The Fund uses prices and inputs that are current as of the measurement date, which may include periods of market dislocations. During these periods, the availability of prices and inputs may be reduced for many
investments. This condition could cause an investment to be reclassified between the various levels within the hierarchy.
The accompanying Notes to Financial Statements are an integral part of this
statement.
48
|
Columbia Strategic Income
Fund | Annual Report 2019
|
Portfolio of Investments (continued)
August 31, 2019
Fair value
measurements (continued)
Investments falling into the Level 3 category are primarily supported by quoted prices from brokers and dealers participating in the market for those investments.
However, these may be classified as Level 3 investments due to lack of market transparency and corroboration to support these quoted prices. Additionally, valuation models may be used as the pricing source for any remaining investments classified as
Level 3. These models may rely on one or more significant unobservable inputs and/or significant assumptions by the Investment Manager. Inputs used in valuations may include, but are not limited to, financial statement analysis, capital account
balances, discount rates and estimated cash flows, and comparable company data.
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.
The following table is a summary of the
inputs used to value the Fund’s investments at August 31, 2019:
|
Level
1 ($)
|
Level
2 ($)
|
Level
3 ($)
|
Total
($)
|
Investments
in Securities
|
|
|
|
|
Asset-Backed
Securities — Non-Agency
|
—
|
505,746,005
|
53,475,785
|
559,221,790
|
Commercial
Mortgage-Backed Securities - Non-Agency
|
—
|
201,878,578
|
—
|
201,878,578
|
Common
Stocks
|
|
|
|
|
Communication
Services
|
189,413
|
—
|
—
|
189,413
|
Consumer
Discretionary
|
—
|
69,859
|
—
|
69,859
|
Energy
|
—
|
249,284
|
—
|
249,284
|
Materials
|
—
|
—
|
83,722
|
83,722
|
Utilities
|
—
|
—
|
17,979
|
17,979
|
Total
Common Stocks
|
189,413
|
319,143
|
101,701
|
610,257
|
Corporate
Bonds & Notes
|
—
|
1,908,242,789
|
—
|
1,908,242,789
|
Foreign
Government Obligations
|
—
|
412,694,028
|
—
|
412,694,028
|
Inflation-Indexed
Bonds
|
—
|
32,868,291
|
—
|
32,868,291
|
Residential
Mortgage-Backed Securities - Agency
|
—
|
812,268,307
|
14,668,100
|
826,936,407
|
Residential
Mortgage-Backed Securities - Non-Agency
|
—
|
986,618,108
|
12,549,090
|
999,167,198
|
Senior
Loans
|
—
|
340,378,732
|
7,353,942
|
347,732,674
|
Treasury
Bills
|
—
|
7,499,082
|
—
|
7,499,082
|
U.S.
Treasury Obligations
|
10,134,956
|
—
|
—
|
10,134,956
|
Warrants
|
|
|
|
|
Communication
Services
|
—
|
160,217
|
—
|
160,217
|
Total
Warrants
|
—
|
160,217
|
—
|
160,217
|
Money
Market Funds
|
247,814,603
|
—
|
—
|
247,814,603
|
Total
Investments in Securities
|
258,138,972
|
5,208,673,280
|
88,148,618
|
5,554,960,870
|
Investments
in Derivatives
|
|
|
|
|
Asset
|
|
|
|
|
Forward
Foreign Currency Exchange Contracts
|
—
|
870,961
|
—
|
870,961
|
Futures
Contracts
|
898,748
|
—
|
—
|
898,748
|
Swap
Contracts
|
—
|
27,441
|
—
|
27,441
|
Liability
|
|
|
|
|
Futures
Contracts
|
(7,903,647)
|
—
|
—
|
(7,903,647)
|
Options
Contracts Written
|
—
|
(14,316,514)
|
—
|
(14,316,514)
|
Swap
Contracts
|
—
|
(23,353,400)
|
—
|
(23,353,400)
|
Total
|
251,134,073
|
5,171,901,768
|
88,148,618
|
5,511,184,459
|
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.
Forward foreign currency exchange contracts, futures contracts
and swap contracts are valued at unrealized appreciation (depreciation).
The accompanying Notes to Financial Statements are an integral part of this
statement.
Columbia
Strategic Income Fund | Annual Report 2019
|
49
|
Portfolio of Investments (continued)
August 31, 2019
Fair value
measurements (continued)
The following table is a reconciliation of Level 3 assets for which significant observable and unobservable inputs were used to determine fair value:
|
Balance
as of
08/31/2018
($)
|
Increase
(decrease)
in accrued
discounts/
premiums
($)
|
Realized
gain (loss)
($)
|
Change
in unrealized
appreciation
(depreciation)(a)
($)
|
Purchases
($)
|
Sales
($)
|
Transfers
into
Level 3
($)
|
Transfers
out of
Level 3
($)
|
Balance
as of
08/31/2019
($)
|
Asset-Backed
Securities — Non-Agency
|
35,696,430
|
127,817
|
(1,237,500)
|
(7,736,693)
|
29,800,000
|
(3,174,269)
|
—
|
—
|
53,475,785
|
Common
Stocks
|
81,862
|
—
|
—
|
4,217
|
—
|
—
|
15,622
|
—
|
101,701
|
Residential
Mortgage-Backed Securities — Agency
|
—
|
(8,964)
|
—
|
(249,277)
|
14,926,341
|
—
|
—
|
—
|
14,668,100
|
Residential
Mortgage-Backed Securities — Non-Agency
|
18,443,124
|
17,214
|
—
|
224,016
|
—
|
(77,039)
|
—
|
(6,058,225)
|
12,549,090
|
Senior
Loans
|
9,188,944
|
1,718
|
24,790
|
(321,340)
|
1,235,018
|
(2,532,576)
|
5,915,387
|
(6,157,999)
|
7,353,942
|
Total
|
63,410,360
|
137,785
|
(1,212,710)
|
(8,079,077)
|
45,961,359
|
(5,783,884)
|
5,931,009
|
(12,216,224)
|
88,148,618
|
(a) Change in unrealized
appreciation (depreciation) relating to securities held at August 31, 2019 was $(8,947,014), which is comprised of Asset-Backed Securities — Non-Agency of $(8,636,693), Common Stocks of $4,217, Residential Mortgage-Backed Securities —
Agency of $(249,277), Residential Mortgage-Backed Securities — Non-Agency of $224,016 and Senior Loans of $(289,277).
The Fund’s assets assigned to the Level 3 category are
valued utilizing the valuation technique deemed the most appropriate in the circumstances. Certain common stocks, residential mortgage backed securities, asset backed securities and senior loans 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 have
resulted in a significantly higher (lower) fair value measurement.
Financial assets were transferred from Level 2 to Level 3 due
to utilizing a single market quotation from a broker dealer. As a result, management concluded that the market input(s) were generally unobservable.
Financial assets were transferred from Level 3 to Level 2 as
observable market inputs were utilized and management determined that there was sufficient, reliable and observable market data to value these assets as of period end.
The accompanying Notes to Financial Statements are an integral part of this
statement.
50
|
Columbia Strategic Income
Fund | Annual Report 2019
|
Statement of Assets and Liabilities
August 31, 2019
Assets
|
|
Investments
in securities, at value
|
|
Unaffiliated
issuers (cost $5,192,843,168)
|
$5,307,146,267
|
Affiliated
issuers (cost $247,826,407)
|
247,814,603
|
Cash
|
4,487,056
|
Foreign
currency (cost $882,434)
|
860,894
|
Cash
collateral held at broker for:
|
|
Swap
contracts
|
5,130,000
|
Options
contracts written
|
10,316,000
|
TBA
|
67,000
|
Other
(a)
|
1,624,000
|
Margin
deposits on:
|
|
Futures
contracts
|
7,860,813
|
Swap
contracts
|
18,408,240
|
Unrealized
appreciation on forward foreign currency exchange contracts
|
870,961
|
Unrealized
appreciation on swap contracts
|
27,441
|
Upfront
payments on swap contracts
|
6,599,236
|
Receivable
for:
|
|
Investments
sold
|
5,215,521
|
Investments
sold on a delayed delivery basis
|
1,370,164
|
Capital
shares sold
|
9,682,451
|
Dividends
|
399,861
|
Interest
|
38,276,591
|
Foreign
tax reclaims
|
242,498
|
Variation
margin for futures contracts
|
785,062
|
Variation
margin for swap contracts
|
268,977
|
Prepaid
expenses
|
30,486
|
Trustees’
deferred compensation plan
|
328,735
|
Total
assets
|
5,667,812,857
|
Liabilities
|
|
Option
contracts written, at value (premiums received $6,184,000)
|
14,316,514
|
Unrealized
depreciation on swap contracts
|
8,674,155
|
Payable
for:
|
|
Investments
purchased
|
272,675,730
|
Investments
purchased on a delayed delivery basis
|
358,414,650
|
Capital
shares purchased
|
8,308,318
|
Variation
margin for futures contracts
|
679,082
|
Variation
margin for swap contracts
|
413,904
|
Foreign
capital gains taxes deferred
|
10,947
|
Management
services fees
|
76,391
|
Distribution
and/or service fees
|
15,419
|
Transfer
agent fees
|
424,757
|
Compensation
of board members
|
57,022
|
Compensation
of chief compliance officer
|
297
|
Other
expenses
|
273,614
|
Trustees’
deferred compensation plan
|
328,735
|
Total
liabilities
|
664,669,535
|
Net
assets applicable to outstanding capital stock
|
$5,003,143,322
|
Represented
by
|
|
Paid
in capital
|
4,956,541,532
|
Total
distributable earnings (loss) (Note 2)
|
46,601,790
|
Total
- representing net assets applicable to outstanding capital stock
|
$5,003,143,322
|
The accompanying Notes to Financial Statements are an integral part of this
statement.
Columbia
Strategic Income Fund | Annual Report 2019
|
51
|
Statement of Assets and Liabilities (continued)
August 31, 2019
Class
A
|
|
Net
assets
|
$1,101,846,703
|
Shares
outstanding
|
183,191,990
|
Net
asset value per share
|
$6.01
|
Maximum
sales charge
|
4.75%
|
Maximum
offering price per share (calculated by dividing the net asset value per share by 1.0 minus the maximum sales charge for Class A shares)
|
$6.31
|
Advisor
Class
|
|
Net
assets
|
$285,982,942
|
Shares
outstanding
|
48,437,063
|
Net
asset value per share
|
$5.90
|
Class
C
|
|
Net
assets
|
$282,017,938
|
Shares
outstanding
|
46,887,591
|
Net
asset value per share
|
$6.01
|
Institutional
Class
|
|
Net
assets
|
$2,843,762,286
|
Shares
outstanding
|
481,075,302
|
Net
asset value per share
|
$5.91
|
Institutional
2 Class
|
|
Net
assets
|
$287,752,684
|
Shares
outstanding
|
48,650,493
|
Net
asset value per share
|
$5.91
|
Institutional
3 Class
|
|
Net
assets
|
$192,494,032
|
Shares
outstanding
|
32,660,615
|
Net
asset value per share
|
$5.89
|
Class
R
|
|
Net
assets
|
$9,286,737
|
Shares
outstanding
|
1,533,347
|
Net
asset value per share
|
$6.06
|
(a)
|
Includes
collateral related to options contracts written and swap contracts.
|
The accompanying Notes to Financial Statements are an integral part of this
statement.
52
|
Columbia Strategic Income
Fund | Annual Report 2019
|
Statement of Operations
Year Ended August 31, 2019
Net
investment income
|
|
Income:
|
|
Dividends
— unaffiliated issuers
|
$9,866,267
|
Dividends
— affiliated issuers
|
4,724,468
|
Interest
|
214,782,843
|
Total
income
|
229,373,578
|
Expenses:
|
|
Management
services fees
|
24,981,150
|
Distribution
and/or service fees
|
|
Class
A
|
2,624,834
|
Class
C
|
2,831,325
|
Class
R
|
40,782
|
Class
T
|
7
|
Transfer
agent fees
|
|
Class
A
|
1,068,171
|
Advisor
Class
|
212,717
|
Class
C
|
287,717
|
Institutional
Class
|
2,493,597
|
Institutional
2 Class
|
155,354
|
Institutional
3 Class
|
17,994
|
Class
R
|
8,307
|
Class
T
|
2
|
Compensation
of board members
|
79,219
|
Custodian
fees
|
171,184
|
Printing
and postage fees
|
333,737
|
Registration
fees
|
435,690
|
Audit
fees
|
59,591
|
Legal
fees
|
90,970
|
Interest
on collateral
|
214,569
|
Compensation
of chief compliance officer
|
1,746
|
Other
|
207,217
|
Total
expenses
|
36,315,880
|
Net
investment income
|
193,057,698
|
Realized
and unrealized gain (loss) — net
|
|
Net
realized gain (loss) on:
|
|
Investments
— unaffiliated issuers
|
(17,406,293)
|
Investments
— affiliated issuers
|
(9,748)
|
Foreign
currency translations
|
(363,699)
|
Forward
foreign currency exchange contracts
|
3,385,268
|
Futures
contracts
|
(69,829,744)
|
Options
purchased
|
29,974,001
|
Options
contracts written
|
(18,592,329)
|
Swap
contracts
|
7,212,145
|
Net
realized loss
|
(65,630,399)
|
Net
change in unrealized appreciation (depreciation) on:
|
|
Investments
— unaffiliated issuers
|
196,109,535
|
Investments
— affiliated issuers
|
6,359
|
Foreign
currency translations
|
(99,621)
|
Forward
foreign currency exchange contracts
|
(209,491)
|
Futures
contracts
|
(4,734,345)
|
Options
contracts written
|
(8,277,134)
|
Swap
contracts
|
(12,087,924)
|
Foreign
capital gains tax
|
(10,947)
|
Net
change in unrealized appreciation (depreciation)
|
170,696,432
|
Net
realized and unrealized gain
|
105,066,033
|
Net
increase in net assets resulting from operations
|
$298,123,731
|
The accompanying Notes to Financial Statements are an integral
part of this statement.
Columbia
Strategic Income Fund | Annual Report 2019
|
53
|
Statement of Changes in Net Assets
|
Year
Ended
August 31, 2019
|
Year
Ended
August 31, 2018
|
Operations
|
|
|
Net
investment income
|
$193,057,698
|
$166,682,609
|
Net
realized gain (loss)
|
(65,630,399)
|
35,506,185
|
Net
change in unrealized appreciation (depreciation)
|
170,696,432
|
(156,479,237)
|
Net
increase in net assets resulting from operations
|
298,123,731
|
45,709,557
|
Distributions
to shareholders
|
|
|
Net
investment income and net realized gains
|
|
|
Class
A
|
(47,250,310)
|
|
Advisor
Class
|
(9,668,574)
|
|
Class
C
|
(10,684,840)
|
|
Institutional
Class
|
(118,178,693)
|
|
Institutional
2 Class
|
(12,730,039)
|
|
Institutional
3 Class
|
(9,937,476)
|
|
Class
R
|
(346,766)
|
|
Class
T
|
(188)
|
|
Net
investment income
|
|
|
Class
A
|
|
(36,783,334)
|
Advisor
Class
|
|
(4,542,419)
|
Class
C
|
|
(8,829,242)
|
Institutional
Class
|
|
(80,040,757)
|
Institutional
2 Class
|
|
(8,090,127)
|
Institutional
3 Class
|
|
(6,090,722)
|
Class
K
|
|
(1,541)
|
Class
R
|
|
(218,449)
|
Class
T
|
|
(333)
|
Net
realized gains
|
|
|
Class
A
|
|
(10,886,907)
|
Advisor
Class
|
|
(1,096,130)
|
Class
C
|
|
(3,422,323)
|
Institutional
Class
|
|
(20,637,145)
|
Institutional
2 Class
|
|
(1,834,492)
|
Institutional
3 Class
|
|
(1,513,560)
|
Class
K
|
|
(868)
|
Class
R
|
|
(67,029)
|
Class
T
|
|
(99)
|
Total
distributions to shareholders (Note 2)
|
(208,796,886)
|
(184,055,477)
|
Increase
in net assets from capital stock activity
|
550,922,268
|
822,626,469
|
Total
increase in net assets
|
640,249,113
|
684,280,549
|
Net
assets at beginning of year
|
4,362,894,209
|
3,678,613,660
|
Net
assets at end of year
|
$5,003,143,322
|
$4,362,894,209
|
Undistributed
net investment income
|
$11,986,691
|
$29,869,724
|
The accompanying Notes to Financial Statements are an
integral part of this statement.
54
|
Columbia Strategic Income
Fund | Annual Report 2019
|
Statement of Changes in Net Assets (continued)
|
Year
Ended
|
Year
Ended
|
|
August
31, 2019
|
August
31, 2018
|
|
Shares
|
Dollars
($)
|
Shares
|
Dollars
($)
|
Capital
stock activity
|
Class
A
|
|
|
|
|
Subscriptions
|
44,350,234
|
262,412,358
|
44,188,454
|
265,433,665
|
Distributions
reinvested
|
7,512,413
|
44,142,069
|
7,388,374
|
44,254,936
|
Redemptions
|
(48,550,801)
|
(286,234,016)
|
(52,463,421)
|
(314,442,008)
|
Net
increase (decrease)
|
3,311,846
|
20,320,411
|
(886,593)
|
(4,753,407)
|
Advisor
Class
|
|
|
|
|
Subscriptions
|
35,349,014
|
203,562,249
|
15,537,079
|
91,567,323
|
Distributions
reinvested
|
1,601,003
|
9,282,730
|
951,595
|
5,592,213
|
Redemptions
|
(13,383,029)
|
(77,324,048)
|
(8,305,133)
|
(48,991,987)
|
Net
increase
|
23,566,988
|
135,520,931
|
8,183,541
|
48,167,549
|
Class
C
|
|
|
|
|
Subscriptions
|
10,306,167
|
61,056,449
|
13,698,047
|
82,517,615
|
Distributions
reinvested
|
1,681,431
|
9,872,515
|
1,903,299
|
11,407,704
|
Redemptions
|
(17,079,334)
|
(100,554,314)
|
(18,608,161)
|
(111,201,437)
|
Net
decrease
|
(5,091,736)
|
(29,625,350)
|
(3,006,815)
|
(17,276,118)
|
Institutional
Class
|
|
|
|
|
Subscriptions
|
223,732,861
|
1,301,702,712
|
225,430,309
|
1,330,678,843
|
Distributions
reinvested
|
17,394,922
|
100,586,426
|
15,128,358
|
89,046,746
|
Redemptions
|
(173,915,513)
|
(1,003,305,003)
|
(140,624,281)
|
(828,503,098)
|
Net
increase
|
67,212,270
|
398,984,135
|
99,934,386
|
591,222,491
|
Institutional
2 Class
|
|
|
|
|
Subscriptions
|
29,247,093
|
169,706,819
|
28,917,724
|
170,670,100
|
Distributions
reinvested
|
2,200,304
|
12,723,813
|
1,686,660
|
9,917,976
|
Redemptions
|
(27,282,567)
|
(157,876,474)
|
(12,031,893)
|
(70,620,557)
|
Net
increase
|
4,164,830
|
24,554,158
|
18,572,491
|
109,967,519
|
Institutional
3 Class
|
|
|
|
|
Subscriptions
|
18,464,680
|
106,337,046
|
25,895,863
|
152,998,263
|
Distributions
reinvested
|
1,037,298
|
5,976,380
|
645,851
|
3,784,883
|
Redemptions
|
(19,579,020)
|
(113,163,229)
|
(10,563,193)
|
(62,268,549)
|
Net
increase (decrease)
|
(77,042)
|
(849,803)
|
15,978,521
|
94,514,597
|
Class
K
|
|
|
|
|
Distributions
reinvested
|
—
|
—
|
359
|
2,162
|
Redemptions
|
—
|
—
|
(14,711)
|
(86,354)
|
Net
decrease
|
—
|
—
|
(14,352)
|
(84,192)
|
Class
R
|
|
|
|
|
Subscriptions
|
901,819
|
5,365,305
|
728,790
|
4,392,048
|
Distributions
reinvested
|
48,569
|
287,426
|
36,709
|
221,196
|
Redemptions
|
(609,863)
|
(3,625,480)
|
(624,078)
|
(3,745,214)
|
Net
increase
|
340,525
|
2,027,251
|
141,421
|
868,030
|
Class
T
|
|
|
|
|
Redemptions
|
(1,650)
|
(9,465)
|
—
|
—
|
Net
decrease
|
(1,650)
|
(9,465)
|
—
|
—
|
Total
net increase
|
93,426,031
|
550,922,268
|
138,902,600
|
822,626,469
|
The accompanying Notes to Financial Statements are an integral part of this
statement.
Columbia
Strategic Income Fund | Annual Report 2019
|
55
|
The
following table is intended to help you understand the Fund’s financial performance. Certain information reflects financial results for a single share of a class held for the periods shown. Per share net investment income (loss) amounts are
calculated based on average shares outstanding during the period. Total return assumes reinvestment of all dividends and distributions, if any. Total return does not reflect payment of sales charges, if any. Total return and portfolio turnover are
not annualized for periods of less than one year. The portfolio turnover rate is calculated without regard to purchase and sales transactions of short-term instruments and certain derivatives, if any. If such transactions were included, the
Fund’s portfolio turnover rate may be higher.
|
Net
asset value,
beginning of
period
|
Net
investment
income
|
Net
realized
and
unrealized
gain (loss)
|
Total
from
investment
operations
|
Distributions
from net
investment
income
|
Distributions
from net
realized
gains
|
Total
distributions to
shareholders
|
Class
A
|
Year
Ended 8/31/2019
|
$5.89
|
0.25
|
0.14
|
0.39
|
(0.23)
|
(0.04)
|
(0.27)
|
Year
Ended 8/31/2018
|
$6.09
|
0.24
|
(0.18)
|
0.06
|
(0.20)
|
(0.06)
|
(0.26)
|
Year
Ended 8/31/2017(e)
|
$5.97
|
0.20
|
0.06
|
0.26
|
(0.14)
|
—
|
(0.14)
|
Year
Ended 10/31/2016
|
$5.79
|
0.22
|
0.15
|
0.37
|
(0.19)
|
—
|
(0.19)
|
Year
Ended 10/31/2015
|
$6.13
|
0.23
|
(0.22)
|
0.01
|
(0.25)
|
(0.10)
|
(0.35)
|
Year
Ended 10/31/2014
|
$6.27
|
0.25
|
0.03
|
0.28
|
(0.25)
|
(0.17)
|
(0.42)
|
Advisor
Class
|
Year
Ended 8/31/2019
|
$5.79
|
0.26
|
0.13
|
0.39
|
(0.24)
|
(0.04)
|
(0.28)
|
Year
Ended 8/31/2018
|
$5.99
|
0.25
|
(0.17)
|
0.08
|
(0.22)
|
(0.06)
|
(0.28)
|
Year
Ended 8/31/2017(e)
|
$5.88
|
0.21
|
0.05
|
0.26
|
(0.15)
|
—
|
(0.15)
|
Year
Ended 10/31/2016
|
$5.70
|
0.23
|
0.16
|
0.39
|
(0.21)
|
—
|
(0.21)
|
Year
Ended 10/31/2015
|
$6.04
|
0.24
|
(0.21)
|
0.03
|
(0.27)
|
(0.10)
|
(0.37)
|
Year
Ended 10/31/2014
|
$6.18
|
0.26
|
0.03
|
0.29
|
(0.26)
|
(0.17)
|
(0.43)
|
Class
C
|
Year
Ended 8/31/2019
|
$5.89
|
0.20
|
0.14
|
0.34
|
(0.18)
|
(0.04)
|
(0.22)
|
Year
Ended 8/31/2018
|
$6.09
|
0.19
|
(0.17)
|
0.02
|
(0.16)
|
(0.06)
|
(0.22)
|
Year
Ended 8/31/2017(e)
|
$5.97
|
0.17
|
0.05
|
0.22
|
(0.10)
|
—
|
(0.10)
|
Year
Ended 10/31/2016
|
$5.79
|
0.18
|
0.15
|
0.33
|
(0.15)
|
—
|
(0.15)
|
Year
Ended 10/31/2015
|
$6.13
|
0.19
|
(0.22)
|
(0.03)
|
(0.21)
|
(0.10)
|
(0.31)
|
Year
Ended 10/31/2014
|
$6.27
|
0.22
|
0.02
|
0.24
|
(0.21)
|
(0.17)
|
(0.38)
|
Institutional
Class
|
Year
Ended 8/31/2019
|
$5.80
|
0.26
|
0.13
|
0.39
|
(0.24)
|
(0.04)
|
(0.28)
|
Year
Ended 8/31/2018
|
$5.99
|
0.25
|
(0.16)
|
0.09
|
(0.22)
|
(0.06)
|
(0.28)
|
Year
Ended 8/31/2017(e)
|
$5.88
|
0.22
|
0.04
|
0.26
|
(0.15)
|
—
|
(0.15)
|
Year
Ended 10/31/2016
|
$5.70
|
0.23
|
0.16
|
0.39
|
(0.21)
|
—
|
(0.21)
|
Year
Ended 10/31/2015
|
$6.04
|
0.24
|
(0.21)
|
0.03
|
(0.27)
|
(0.10)
|
(0.37)
|
Year
Ended 10/31/2014
|
$6.18
|
0.27
|
0.02
|
0.29
|
(0.26)
|
(0.17)
|
(0.43)
|
Institutional
2 Class
|
Year
Ended 8/31/2019
|
$5.80
|
0.26
|
0.13
|
0.39
|
(0.24)
|
(0.04)
|
(0.28)
|
Year
Ended 8/31/2018
|
$6.00
|
0.25
|
(0.17)
|
0.08
|
(0.22)
|
(0.06)
|
(0.28)
|
Year
Ended 8/31/2017(e)
|
$5.88
|
0.22
|
0.06
|
0.28
|
(0.16)
|
—
|
(0.16)
|
Year
Ended 10/31/2016
|
$5.71
|
0.24
|
0.14
|
0.38
|
(0.21)
|
—
|
(0.21)
|
Year
Ended 10/31/2015
|
$6.04
|
0.25
|
(0.21)
|
0.04
|
(0.27)
|
(0.10)
|
(0.37)
|
Year
Ended 10/31/2014
|
$6.19
|
0.27
|
0.02
|
0.29
|
(0.27)
|
(0.17)
|
(0.44)
|
The accompanying Notes to Financial Statements are an integral
part of this statement.
56
|
Columbia Strategic 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 8/31/2019
|
$6.01
|
6.75%
|
0.95%
(c)
|
0.95%
(c)
|
4.20%
|
179%
|
$1,101,847
|
Year
Ended 8/31/2018
|
$5.89
|
1.03%
|
0.94%
(c)
|
0.94%
(c),(d)
|
3.94%
|
152%
|
$1,059,907
|
Year
Ended 8/31/2017(e)
|
$6.09
|
4.42%
|
0.95%
(f),(g)
|
0.95%
(d),(f),(g)
|
4.00%
(f)
|
110%
|
$1,100,585
|
Year
Ended 10/31/2016
|
$5.97
|
6.57%
|
1.03%
|
1.02%
(d)
|
3.81%
|
168%
|
$1,770,085
|
Year
Ended 10/31/2015
|
$5.79
|
0.25%
|
1.06%
|
1.03%
(d)
|
3.94%
|
169%
|
$1,461,248
|
Year
Ended 10/31/2014
|
$6.13
|
4.64%
|
1.04%
|
1.04%
(d)
|
4.14%
|
124%
|
$1,313,683
|
Advisor
Class
|
Year
Ended 8/31/2019
|
$5.90
|
6.96%
|
0.70%
(c)
|
0.70%
(c)
|
4.42%
|
179%
|
$285,983
|
Year
Ended 8/31/2018
|
$5.79
|
1.30%
|
0.69%
(c)
|
0.69%
(c),(d)
|
4.21%
|
152%
|
$143,983
|
Year
Ended 8/31/2017(e)
|
$5.99
|
4.53%
|
0.71%
(f),(g)
|
0.71%
(d),(f),(g)
|
4.38%
(f)
|
110%
|
$99,896
|
Year
Ended 10/31/2016
|
$5.88
|
6.95%
|
0.77%
|
0.77%
(d)
|
4.02%
|
168%
|
$53,447
|
Year
Ended 10/31/2015
|
$5.70
|
0.52%
|
0.82%
|
0.78%
(d)
|
4.20%
|
169%
|
$18,630
|
Year
Ended 10/31/2014
|
$6.04
|
4.98%
|
0.79%
|
0.79%
(d)
|
4.36%
|
124%
|
$5,683
|
Class
C
|
Year
Ended 8/31/2019
|
$6.01
|
5.97%
|
1.70%
(c)
|
1.70%
(c)
|
3.45%
|
179%
|
$282,018
|
Year
Ended 8/31/2018
|
$5.89
|
0.28%
|
1.69%
(c)
|
1.69%
(c),(d)
|
3.19%
|
152%
|
$306,303
|
Year
Ended 8/31/2017(e)
|
$6.09
|
3.78%
|
1.71%
(f),(g)
|
1.71%
(d),(f),(g)
|
3.33%
(f)
|
110%
|
$334,829
|
Year
Ended 10/31/2016
|
$5.97
|
5.78%
|
1.78%
|
1.77%
(d)
|
3.05%
|
168%
|
$316,346
|
Year
Ended 10/31/2015
|
$5.79
|
(0.49%)
|
1.81%
|
1.78%
(d)
|
3.19%
|
169%
|
$219,782
|
Year
Ended 10/31/2014
|
$6.13
|
4.00%
|
1.79%
|
1.66%
(d)
|
3.52%
|
124%
|
$186,746
|
Institutional
Class
|
Year
Ended 8/31/2019
|
$5.91
|
6.96%
|
0.70%
(c)
|
0.70%
(c)
|
4.44%
|
179%
|
$2,843,762
|
Year
Ended 8/31/2018
|
$5.80
|
1.47%
|
0.69%
(c)
|
0.69%
(c),(d)
|
4.20%
|
152%
|
$2,398,468
|
Year
Ended 8/31/2017(e)
|
$5.99
|
4.53%
|
0.71%
(f),(g)
|
0.71%
(d),(f),(g)
|
4.42%
(f)
|
110%
|
$1,881,221
|
Year
Ended 10/31/2016
|
$5.88
|
6.95%
|
0.78%
|
0.77%
(d)
|
4.05%
|
168%
|
$910,452
|
Year
Ended 10/31/2015
|
$5.70
|
0.51%
|
0.81%
|
0.78%
(d)
|
4.19%
|
169%
|
$574,482
|
Year
Ended 10/31/2014
|
$6.04
|
4.97%
|
0.79%
|
0.79%
(d)
|
4.39%
|
124%
|
$663,669
|
Institutional
2 Class
|
Year
Ended 8/31/2019
|
$5.91
|
7.00%
|
0.66%
(c)
|
0.66%
(c)
|
4.49%
|
179%
|
$287,753
|
Year
Ended 8/31/2018
|
$5.80
|
1.35%
|
0.65%
(c)
|
0.65%
(c)
|
4.26%
|
152%
|
$257,953
|
Year
Ended 8/31/2017(e)
|
$6.00
|
4.77%
|
0.66%
(f),(g)
|
0.65%
(f),(g)
|
4.41%
(f)
|
110%
|
$155,372
|
Year
Ended 10/31/2016
|
$5.88
|
6.87%
|
0.67%
|
0.67%
|
4.11%
|
168%
|
$103,204
|
Year
Ended 10/31/2015
|
$5.71
|
0.80%
|
0.68%
|
0.68%
|
4.32%
|
169%
|
$12,231
|
Year
Ended 10/31/2014
|
$6.04
|
4.92%
|
0.67%
|
0.67%
|
4.47%
|
124%
|
$4,193
|
The accompanying Notes to Financial Statements are an integral
part of this statement.
Columbia
Strategic Income Fund | Annual Report 2019
|
57
|
Financial Highlights (continued)
|
Net
asset value,
beginning of
period
|
Net
investment
income
|
Net
realized
and
unrealized
gain (loss)
|
Total
from
investment
operations
|
Distributions
from net
investment
income
|
Distributions
from net
realized
gains
|
Total
distributions to
shareholders
|
Institutional
3 Class
|
Year
Ended 8/31/2019
|
$5.78
|
0.26
|
0.14
|
0.40
|
(0.25)
|
(0.04)
|
(0.29)
|
Year
Ended 8/31/2018
|
$5.98
|
0.25
|
(0.17)
|
0.08
|
(0.22)
|
(0.06)
|
(0.28)
|
Year
Ended 8/31/2017(e)
|
$5.87
|
0.22
|
0.05
|
0.27
|
(0.16)
|
—
|
(0.16)
|
Year
Ended 10/31/2016
|
$5.69
|
0.24
|
0.15
|
0.39
|
(0.21)
|
—
|
(0.21)
|
Year
Ended 10/31/2015
|
$6.03
|
0.25
|
(0.21)
|
0.04
|
(0.28)
|
(0.10)
|
(0.38)
|
Year
Ended 10/31/2014
|
$6.17
|
0.27
|
0.03
|
0.30
|
(0.27)
|
(0.17)
|
(0.44)
|
Class
R
|
Year
Ended 8/31/2019
|
$5.93
|
0.23
|
0.15
|
0.38
|
(0.21)
|
(0.04)
|
(0.25)
|
Year
Ended 8/31/2018
|
$6.13
|
0.22
|
(0.17)
|
0.05
|
(0.19)
|
(0.06)
|
(0.25)
|
Year
Ended 8/31/2017(e)
|
$6.01
|
0.19
|
0.06
|
0.25
|
(0.13)
|
—
|
(0.13)
|
Year
Ended 10/31/2016
|
$5.82
|
0.21
|
0.16
|
0.37
|
(0.18)
|
—
|
(0.18)
|
Year
Ended 10/31/2015
|
$6.16
|
0.22
|
(0.22)
|
0.00
(h)
|
(0.24)
|
(0.10)
|
(0.34)
|
Year
Ended 10/31/2014
|
$6.30
|
0.24
|
0.02
|
0.26
|
(0.23)
|
(0.17)
|
(0.40)
|
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)
|
Ratios
include interest on collateral expense. For the periods indicated below, if interest on collateral expense had been excluded, expenses would have been lower by:
|
Class
|
8/31/2019
|
8/31/2018
|
Class
A
|
less
than 0.01%
|
less
than 0.01%
|
Advisor
Class
|
0.01%
|
less
than 0.01%
|
Class
C
|
less
than 0.01%
|
less
than 0.01%
|
Institutional
Class
|
less
than 0.01%
|
less
than 0.01%
|
Institutional
2 Class
|
less
than 0.01%
|
less
than 0.01%
|
Institutional
3 Class
|
less
than 0.01%
|
less
than 0.01%
|
Class
R
|
less
than 0.01%
|
less
than 0.01%
|
(d)
|
The
benefits derived from expense reductions had an impact of less than 0.01%.
|
(e)
|
For the
period from November 1, 2016 to August 31, 2017. During the period, the Fund’s fiscal year end was changed from October 31 to August 31.
|
(f)
|
Annualized.
|
(g)
|
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
|
Institutional
3
Class
|
Class
R
|
08/31/2017
|
0.01%
|
0.01%
|
0.01%
|
0.01%
|
0.01%
|
0.01%
|
0.01%
|
The accompanying Notes to Financial Statements are an
integral part of this statement.
58
|
Columbia Strategic 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 8/31/2019
|
$5.89
|
7.08%
|
0.60%
(c)
|
0.60%
(c)
|
4.55%
|
179%
|
$192,494
|
Year
Ended 8/31/2018
|
$5.78
|
1.40%
|
0.60%
(c)
|
0.60%
(c)
|
4.31%
|
152%
|
$189,195
|
Year
Ended 8/31/2017(e)
|
$5.98
|
4.65%
|
0.64%
(f),(g)
|
0.63%
(f),(g)
|
4.75%
(f)
|
110%
|
$100,173
|
Year
Ended 10/31/2016
|
$5.87
|
7.13%
|
0.62%
|
0.62%
|
4.24%
|
168%
|
$10,642
|
Year
Ended 10/31/2015
|
$5.69
|
0.68%
|
0.64%
|
0.64%
|
4.35%
|
169%
|
$10,704
|
Year
Ended 10/31/2014
|
$6.03
|
5.15%
|
0.63%
|
0.63%
|
4.50%
|
124%
|
$1,582
|
Class
R
|
Year
Ended 8/31/2019
|
$6.06
|
6.62%
|
1.20%
(c)
|
1.20%
(c)
|
3.95%
|
179%
|
$9,287
|
Year
Ended 8/31/2018
|
$5.93
|
0.77%
|
1.19%
(c)
|
1.19%
(c),(d)
|
3.70%
|
152%
|
$7,075
|
Year
Ended 8/31/2017(e)
|
$6.13
|
4.18%
|
1.21%
(f),(g)
|
1.21%
(d),(f),(g)
|
3.83%
(f)
|
110%
|
$6,443
|
Year
Ended 10/31/2016
|
$6.01
|
6.45%
|
1.28%
|
1.27%
(d)
|
3.54%
|
168%
|
$5,687
|
Year
Ended 10/31/2015
|
$5.82
|
0.00%
(h)
|
1.31%
|
1.28%
(d)
|
3.69%
|
169%
|
$2,439
|
Year
Ended 10/31/2014
|
$6.16
|
4.35%
|
1.29%
|
1.29%
(d)
|
3.88%
|
124%
|
$1,629
|
The accompanying Notes to Financial Statements are an integral part of this
statement.
Columbia
Strategic Income Fund | Annual Report 2019
|
59
|
Notes to Financial Statements
August 31, 2019
Note 1. Organization
Columbia Strategic Income Fund (the Fund), a series of
Columbia Funds Series Trust I (the Trust), is a diversified fund. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Massachusetts business
trust.
Fund shares
The Trust may issue an unlimited number of shares (without par
value). The Fund offers each of the share classes listed in the Statement of Assets and Liabilities. Although all share classes generally have identical voting, dividend and liquidation rights, each share class votes separately when required by the
Trust’s organizational documents or by law. Each share class has its own expense and sales charge structure. Different share classes may have different minimum initial investment amounts and pay different distribution amounts to the extent the
expenses of distributing such share classes vary. Distributions to shareholders in a liquidation will be proportional to the net asset value of each share class.
As described in the Fund’s prospectus, Class A and Class
C shares are offered to the general public for investment. Advisor Class, Institutional Class, Institutional 2 Class, Institutional 3 Class and Class R shares are available for purchase through authorized investment professionals to omnibus
retirement plans or to institutional and to certain other investors as also described in the Fund’s prospectus. Class C shares automatically convert to Class A shares after 10 years. Effective 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
All equity securities are valued at the close of business of
the New York Stock Exchange. Equity securities are valued at the official closing price on the principal exchange or market on which they trade. 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.
60
|
Columbia Strategic Income
Fund | Annual Report 2019
|
Notes to Financial Statements (continued)
August 31, 2019
Senior loan securities for which reliable market quotations
are readily available are generally valued by pricing services at the average of the bids received.
Foreign equity securities are valued based on the closing
price 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 determined at the scheduled closing time of the New York Stock Exchange. Many securities markets and exchanges outside the U.S. close prior to the close of the New York Stock Exchange; therefore, the
closing prices for securities in such markets or on such exchanges may not fully reflect events that occur after such close but before the close of the New York Stock Exchange. In those situations, foreign securities will be fair valued pursuant to
a policy adopted by the Board of Trustees. Under the policy, the Fund may utilize a third party pricing service to determine these fair values. The third-party pricing service takes into account multiple factors, including, but not limited to,
movements in the U.S. securities markets, certain depositary receipts, futures contracts and foreign exchange rates that have occurred subsequent to the close of the foreign exchange or market, to determine a good faith estimate that reasonably
reflects the current market conditions as of the close of the New York Stock Exchange. The fair value of a security is likely to be different from the quoted or published price, if available.
Investments in open-end investment companies, 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 mid-market evaluations from independent third-party vendors.
Swap transactions are valued through an independent pricing
service or broker, or if neither is available, through an internal model based upon observable inputs.
Investments for which market quotations are not readily
available, or that have quotations which management believes are not reflective of market value or reliable, are valued at fair value as determined in good faith under procedures approved by 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 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.
Columbia
Strategic Income Fund | Annual Report 2019
|
61
|
Notes to Financial Statements (continued)
August 31, 2019
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 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.
62
|
Columbia Strategic Income
Fund | Annual Report 2019
|
Notes to Financial Statements (continued)
August 31, 2019
Certain ISDA Master Agreements allow counterparties of
over-the-counter derivatives transactions to terminate derivatives contracts prior to maturity in the event the Fund’s net asset value declines by a stated percentage over a specified time period or if the Fund fails to meet certain terms of
the ISDA Master Agreement, which would cause the Fund to accelerate payment of any net liability owed to the counterparty. The Fund also has termination rights if the counterparty fails to meet certain terms of the ISDA Master Agreement. In
determining whether to exercise such termination rights, the Fund would consider, in addition to counterparty credit risk, whether termination would result in a net liability owed from the counterparty.
For financial reporting purposes, the Fund does not offset
derivative assets and derivative liabilities that are subject to netting arrangements in the Statement of Assets and Liabilities.
Forward foreign currency exchange contracts
Forward foreign currency exchange contracts are
over-the-counter agreements between two parties to buy and sell a currency at a set price on a future date. The Fund utilized forward foreign currency exchange contracts to hedge the currency exposure associated with some or all of the Fund’s
securities. These instruments may be used for other purposes in future periods.
The values of forward foreign currency exchange contracts
fluctuate daily with changes in foreign currency exchange rates. Changes in the value of these contracts are recorded as unrealized appreciation or depreciation until the contract is exercised or has expired. The Fund will realize a gain or loss
when the forward foreign currency exchange contract is closed or expires. Non-deliverable forward foreign currency exchange contracts are settled with the counterparty in U.S. dollars without delivery of foreign currency.
The use of forward foreign currency exchange contracts does
not eliminate fluctuations in the prices of the Fund’s portfolio securities. The risks of forward foreign currency exchange contracts include movement in the values of the foreign currencies relative to the U.S. dollar (or other foreign
currencies) and the possibility that counterparties will not complete their contractual obligations, which may be in excess of the amount reflected, if any, in the Statement of Assets and Liabilities.
Futures contracts
Futures contracts are exchange-traded and represent
commitments for the future purchase or sale of an asset at a specified price on a specified date. The Fund bought and sold futures contracts to manage the duration and yield curve exposure of the Fund versus the benchmark. These instruments may be
used for other purposes in future periods. Upon entering into futures contracts, the Fund bears risks that it may not achieve the anticipated benefits of the futures contracts and may realize a loss. Additional risks include counterparty credit
risk, the possibility of an illiquid market, and that a change in the value of the contract or option may not correlate with changes in the value of the underlying asset.
Upon entering into a futures contract, the Fund deposits cash
or securities with the broker, known as a futures commission merchant (FCM), in an amount sufficient to meet the initial margin requirement. The initial margin deposit must be maintained at an established level over the life of the contract. Cash
deposited as initial margin is recorded in the Statement of Assets and Liabilities as margin deposits. Securities deposited as initial margin are designated in the Portfolio of Investments. Subsequent payments (variation margin) are made or received
by the Fund each day. The variation margin payments are equal to the daily change in the contract value and are recorded as variation margin receivable or payable and are offset in unrealized gains or losses. The Fund recognizes a realized gain or
loss when the contract is closed or expires. Futures contracts involve, to varying degrees, risk of loss in excess of the variation margin disclosed in the Statement of Assets and Liabilities.
Options contracts
Options are contracts which entitle the holder to purchase or
sell securities or other identified assets at a specified price, or in the case of index option contracts, to receive or pay the difference between the index value and the strike price of the index option contract. Option contracts can be either
exchange-traded or over-the-counter. The Fund purchased and wrote option contracts to manage exposure to fluctuations in interest rates. 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.
Columbia
Strategic Income Fund | Annual Report 2019
|
63
|
Notes to Financial Statements (continued)
August 31, 2019
Options contracts purchased are recorded as investments. When
the Fund writes an options contract, the premium received is recorded as an asset and an amount equivalent to the premium is recorded as a liability in the Statement of Assets and Liabilities and is subsequently adjusted to reflect the current fair
value of the option written. Changes in the fair value of the written option are recorded as unrealized appreciation or depreciation until the contract is exercised or has expired. The Fund 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.
Interest rate swaption contracts
Interest rate swaption contracts entered into by the Fund
typically represent an option that gives the purchaser the right, but not the obligation, to enter into an interest rate swap contract on a future date. Each interest rate swaption agreement will specify if the buyer is entitled to receive the fixed
or floating rate if the interest rate is exercised. Changes in the value of a purchased interest rate swaption contracts are reported as unrealized appreciation or depreciation on options in the Statement of Assets and Liabilities. Gain or loss is
recognized in the Statement of Operations when the interest rate swaption contract is closed or expires.
When the Fund writes an interest rate swaption contract, the
premium received is recorded as an asset and an amount equivalent to the premium is recorded as a liability in the Statement of Assets and Liabilities and is subsequently adjusted to reflect the current fair value of the interest rate swaption
contract written. Premiums received from writing interest rate swaption contracts that expire unexercised are recorded by the Fund on the expiration date as realized gains from options written in the Statement of Operations. The difference between
the premium and the amount paid on effecting a closing purchase transaction, including brokerage commissions, is also recorded as realized gain, or if the premium is less than the amount paid for the closing purchase, as realized loss. These amounts
are reflected as net realized gain (loss) on options written in the Statement of Operations.
Swap contracts
Swap contracts are negotiated in the over-the-counter market
and 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.
64
|
Columbia Strategic Income
Fund | Annual Report 2019
|
Notes to Financial Statements (continued)
August 31, 2019
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. 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 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.
Columbia
Strategic Income Fund | Annual Report 2019
|
65
|
Notes to Financial Statements (continued)
August 31, 2019
Interest rate swap contracts
The Fund entered into interest rate swap transactions which
may include inflation rate swap contracts to manage long or short exposure to an inflation index and to hedge the portfolio risk associated with some or all of the Fund’s securities. These instruments may be used for other purposes in future
periods. An interest rate swap is an agreement between two parties where there are two flows and payments are made between the two counterparties and the payments are dependent upon changes in an interest rate, inflation rate or inflation index
calculated on a nominal amount. Interest rate swaps are agreements between two parties that involve the exchange of one type of interest rate for another type of interest rate cash flow on specified dates in the future, based on a predetermined,
specified notional amount. Certain interest rate swaps are considered forward-starting, whereby the accrual for the exchange of cash flows does not begin until a specified date in the future. The net cash flow for a standard interest rate swap
transaction is generally the difference between a floating market interest rate versus a fixed interest rate.
Interest rate swaps are valued daily and unrealized
appreciation (depreciation) is recorded. Certain interest rate swaps may accrue periodic interest on a daily basis as a component of unrealized appreciation (depreciation); the Fund will realize a gain or loss upon the payment or receipt of accrued
interest. The Fund will realize a gain or a loss when the interest rate swap is terminated.
Effects of derivative transactions in the financial
statements
The following tables are intended to provide
additional information about the effect of derivatives on the financial statements of the Fund, including: the fair value of derivatives by risk category and the location of those fair values in the Statement of Assets and Liabilities; and the
impact of derivative transactions over the period in the Statement of Operations, including realized and unrealized gains (losses). The derivative instrument schedules following the Portfolio of Investments present additional information regarding
derivative instruments outstanding at the end of the period, if any.
The following table is a summary of the fair value of
derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) at August 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
|
27,441*
|
Credit
risk
|
Upfront
payments on swap contracts
|
6,599,236
|
Foreign
exchange risk
|
Unrealized
appreciation on forward foreign currency exchange contracts
|
870,961
|
Interest
rate risk
|
Component
of total distributable earnings (loss) — unrealized appreciation on futures contracts
|
898,748*
|
Total
|
|
8,396,386
|
|
Liability
derivatives
|
|
Risk
exposure
category
|
Statement
of assets and liabilities
location
|
Fair
value ($)
|
Credit
risk
|
Component
of total distributable earnings (loss) — unrealized depreciation on swap contracts
|
8,925,096*
|
Interest
rate risk
|
Component
of total distributable earnings (loss) — unrealized depreciation on futures contracts
|
7,903,647*
|
Interest
rate risk
|
Options
contracts written, at value
|
14,316,514
|
Interest
rate risk
|
Component
of total distributable earnings (loss) — unrealized depreciation on swap contracts
|
14,428,304*
|
Total
|
|
45,573,561
|
*
|
Includes
cumulative appreciation (depreciation) as reported in the tables following the Portfolio of Investments. Only the current day’s variation margin is reported in receivables or payables in the Statement of Assets and Liabilities.
|
66
|
Columbia Strategic Income
Fund | Annual Report 2019
|
Notes to Financial Statements (continued)
August 31, 2019
The
following table indicates the effect of derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) in the Statement of Operations for the year ended August 31, 2019:
Amount
of realized gain (loss) on derivatives recognized in income
|
Risk
exposure category
|
Forward
foreign
currency
exchange
contracts
($)
|
Futures
contracts
($)
|
Options
contracts
written
($)
|
Options
contracts
purchased
($)
|
Swap
contracts
($)
|
Total
($)
|
Credit
risk
|
—
|
—
|
—
|
—
|
2,885,927
|
2,885,927
|
Foreign
exchange risk
|
3,385,268
|
—
|
—
|
—
|
—
|
3,385,268
|
Interest
rate risk
|
—
|
(69,829,744)
|
(18,592,329)
|
29,974,001
|
4,326,218
|
(54,121,854)
|
Total
|
3,385,268
|
(69,829,744)
|
(18,592,329)
|
29,974,001
|
7,212,145
|
(47,850,659)
|
Change
in unrealized appreciation (depreciation) on derivatives recognized in income
|
Risk
exposure category
|
Forward
foreign
currency
exchange
contracts
($)
|
Futures
contracts
($)
|
Options
contracts
written
($)
|
Swap
contracts
($)
|
Total
($)
|
Credit
risk
|
—
|
—
|
—
|
(4,199,103)
|
(4,199,103)
|
Foreign
exchange risk
|
(209,491)
|
—
|
—
|
—
|
(209,491)
|
Interest
rate risk
|
—
|
(4,734,345)
|
(8,277,134)
|
(7,888,821)
|
(20,900,300)
|
Total
|
(209,491)
|
(4,734,345)
|
(8,277,134)
|
(12,087,924)
|
(25,308,894)
|
The following table is a summary
of the average outstanding volume by derivative instrument for the year ended August 31, 2019:
Derivative
instrument
|
Average
notional
amounts ($)*
|
Futures
contracts — long
|
639,458,403
|
Futures
contracts — short
|
1,713,757,642
|
Credit
default swap contracts — buy protection
|
337,488,350
|
Credit
default swap contracts — sell protection
|
5,000,000
|
Derivative
instrument
|
Average
value ($)*
|
Options
contracts — purchased
|
7,240,395
|
Options
contracts — written
|
(8,167,416)
|
Derivative
instrument
|
Average
unrealized
appreciation ($)*
|
Average
unrealized
depreciation ($)*
|
Forward
foreign currency exchange contracts
|
833,850
|
(300,988)
|
Interest
rate swap contracts
|
886,879
|
(8,206,982)
|
*
|
Based on
the ending quarterly outstanding amounts for the year ended August 31, 2019.
|
Investments in senior loans
The Fund may invest in senior loan assignments. When the Fund
purchases an assignment of a senior loan, the Fund typically has direct rights against the borrower; provided, however, that the Fund’s rights may be more limited than the lender from which it acquired the assignment and the Fund may be able
to enforce its rights only through an administrative agent. Although certain senior loan assignments are secured by collateral, the Fund could experience delays or limitations in realizing such collateral or have its interest subordinated to other
indebtedness of the obligor. In the event that the administrator or collateral agent of a loan becomes insolvent or enters into receivership or bankruptcy, the Fund may incur costs and delays in realizing payment or may suffer a loss of principal
and/or interest. The risk of loss is greater for
Columbia
Strategic Income Fund | Annual Report 2019
|
67
|
Notes to Financial Statements (continued)
August 31, 2019
unsecured or
subordinated loans. In addition, senior loan assignments are vulnerable to market, economic or other conditions or events that may reduce the demand for senior loan assignments and certain senior loan assignments which were liquid when purchased,
may become illiquid.
The Fund may enter into senior loan
assignments where all or a portion of the loan may be unfunded. The Fund is obligated to fund these commitments at the borrower’s discretion. These commitments, if any, are generally traded and priced in the same manner as other senior loan
securities and are disclosed as unfunded senior loan commitments in the Fund’s Portfolio of Investments with a corresponding payable for investments purchased. The Fund designates cash or liquid securities to cover these commitments.
Asset- and mortgage-backed securities
The Fund may invest in asset-backed and mortgage-backed
securities. The maturity dates shown represent the original maturity of the underlying obligation. Actual maturity may vary based upon prepayment activity on these obligations. All, or a portion, of the obligation may be prepaid at any time because
the underlying asset may be prepaid. As a result, decreasing market interest rates could result in an increased level of prepayment. An increased prepayment rate will have the effect of shortening the maturity of the security. Unless otherwise
noted, the coupon rates presented are fixed rates.
Delayed
delivery securities
The Fund may trade securities on
other than normal settlement terms, including securities purchased or sold on a “when-issued” or "forward commitment" basis. This may increase risk to the Fund since the other party to the transaction may fail to deliver, which could
cause the Fund to subsequently invest at less advantageous prices. The Fund designates cash or liquid securities in an amount equal to the delayed delivery commitment.
To be announced securities
The Fund may trade securities on a To Be Announced (TBA)
basis. As with other delayed-delivery transactions, a seller agrees to issue a TBA security at a future date. However, the seller does not specify the particular securities to be delivered. Instead, the Fund agrees to accept any security that meets
specified terms.
In some cases, Master Securities
Forward Transaction Agreements (MSFTAs) may be used to govern transactions of certain forward-settling agency mortgage-backed securities, such as delayed-delivery and TBAs, between the Fund and counterparty. The MSFTA maintains provisions for, among
other things, initiation and confirmation, payment and transfer, events of default, termination, and maintenance of collateral relating to such transactions.
Mortgage dollar roll transactions
The Fund may enter into mortgage “dollar rolls” in
which the Fund sells securities for delivery in the current month and simultaneously contracts with the same counterparty to repurchase similar but not identical securities (same type, coupon and maturity) on a specified future date. During the roll
period, the Fund loses the right to receive principal and interest paid on the securities sold. However, the Fund will benefit because it receives negotiated amounts in the form of reductions of the purchase price for the future purchase plus the
interest earned on the cash proceeds of the securities sold until the settlement date of the forward purchase. The Fund records the incremental difference between the forward purchase and sale of each forward roll as a realized gain or loss. Unless
any realized gains exceed the income, capital appreciation, and gain or loss due to mortgage prepayments that would have been realized on the securities sold as part of the mortgage dollar roll, the use of this technique will diminish the investment
performance of the Fund compared to what the performance would have been without the use of mortgage dollar rolls. All cash proceeds will be invested in instruments that are permissible investments for the Fund. The Fund identifies cash or liquid
securities in an amount equal to the forward purchase price.
For financial reporting and tax purposes, the Fund treats
“to be announced” mortgage dollar rolls as two separate transactions, one involving the purchase of a security and a separate transaction involving a sale. These transactions may increase the Fund’s portfolio turnover rate. The
Fund does not currently enter into mortgage dollar rolls that are accounted for as financing transactions.
Mortgage dollar rolls involve the risk that the market value
of the securities the Fund is obligated to repurchase may decline below the repurchase price, or that the counterparty may default on its obligations.
68
|
Columbia Strategic Income
Fund | Annual Report 2019
|
Notes to Financial Statements (continued)
August 31, 2019
Treasury inflation protected securities
The Fund may invest in treasury inflation protected securities
(TIPS). The principal amount of TIPS is adjusted periodically and is increased for inflation or decreased for deflation based on a monthly published index. These adjustments are recorded as interest income in the Statement of Operations. Coupon
payments are based on the adjusted principal at the time the interest is paid.
Interest only and principal only securities
The Fund may invest in Interest Only (IO) or Principal Only
(PO) securities. IOs are stripped securities entitled to receive all of the security’s interest, but none of its principal. IOs are particularly sensitive to changes in interest rates and therefore subject to greater fluctuations in price than
typical interest bearing debt securities. IOs are also subject to credit risk because the Fund may not receive all or part of the interest payments if the issuer, obligor, guarantor or counterparty defaults on its obligation. Payments received for
IOs are included in interest income on the Statement of Operations. Because no principal will be received at the maturity of an IO, adjustments are made to the cost of the security on a monthly basis until maturity. These adjustments are included in
interest income on the Statement of Operations. POs are stripped securities entitled to receive the principal from the underlying obligation, but not the interest. POs are particularly sensitive to changes in interest rates and therefore are subject
to fluctuations in price. POs are also subject to credit risk because the Fund may not receive all or part of its principal if the issuer, obligor, guarantor or counterparty defaults on its obligation. The Fund may also invest in IO or PO stripped
mortgage-backed securities. Payments received for POs are treated as reductions to the cost and par value of the securities.
Offsetting of assets and liabilities
The following table presents the Fund’s gross and net
amount of assets and liabilities available for offset under netting arrangements as well as any related collateral received or pledged by the Fund as of August 31, 2019:
|
Citi
($) (a)
|
Citi
($) (a)
|
Goldman
Sachs
International ($)
|
JPMorgan
($) (a)
|
JPMorgan
($) (a)
|
Morgan
Stanley ($) (a)
|
Morgan
Stanley ($) (a)
|
UBS
($)
|
Total
($)
|
Assets
|
|
|
|
|
|
|
|
|
|
Centrally
cleared credit default swap contracts (b)
|
-
|
-
|
-
|
-
|
-
|
-
|
198,022
|
-
|
198,022
|
Centrally
cleared interest rate swap contracts (b)
|
-
|
-
|
-
|
-
|
-
|
-
|
70,955
|
-
|
70,955
|
Forward
foreign currency exchange contracts
|
-
|
-
|
-
|
-
|
-
|
513,766
|
-
|
357,195
|
870,961
|
OTC
credit default swap contracts (c)
|
3,876,156
|
-
|
-
|
1,285,500
|
-
|
-
|
-
|
-
|
5,161,656
|
Total
assets
|
3,876,156
|
-
|
-
|
1,285,500
|
-
|
513,766
|
268,977
|
357,195
|
6,301,594
|
Liabilities
|
|
|
|
|
|
|
|
|
|
Centrally
cleared interest rate swap contracts (b)
|
-
|
-
|
-
|
-
|
-
|
-
|
413,904
|
-
|
413,904
|
Options
contracts written
|
-
|
12,772,909
|
-
|
-
|
-
|
1,543,605
|
-
|
-
|
14,316,514
|
OTC
interest rate swap contracts (c)
|
-
|
-
|
3,020,120
|
-
|
2,243,043
|
1,945,971
|
-
|
-
|
7,209,134
|
Total
liabilities
|
-
|
12,772,909
|
3,020,120
|
-
|
2,243,043
|
3,489,576
|
413,904
|
-
|
21,939,552
|
Total
financial and derivative net assets
|
3,876,156
|
(12,772,909)
|
(3,020,120)
|
1,285,500
|
(2,243,043)
|
(2,975,810)
|
(144,927)
|
357,195
|
(15,637,958)
|
Total
collateral received (pledged) (d)
|
3,432,000
|
(10,316,000)
|
(2,940,000)
|
1,285,500
|
(2,190,000)
|
(1,624,000)
|
(144,927)
|
-
|
(12,497,427)
|
Net
amount (e)
|
444,156
|
(2,456,909)
|
(80,120)
|
-
|
(53,043)
|
(1,351,810)
|
-
|
357,195
|
(3,140,531)
|
Columbia
Strategic Income Fund | Annual Report 2019
|
69
|
Notes to Financial Statements (continued)
August 31, 2019
(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)
|
Over-the-Counter
(OTC) swap contracts are presented at market value plus periodic payments receivable (payable), which is comprised of unrealized appreciation, unrealized depreciation, upfront payments and upfront receipts.
|
(d)
|
In some
instances, the actual collateral received and/or pledged may be more than the amount shown due to overcollateralization.
|
(e)
|
Represents the
net amount due from/(to) counterparties in the event of default.
|
Security transactions
Security transactions are accounted for on the trade date.
Cost is determined and gains (losses) are based upon the specific identification method for both financial statement and federal income tax purposes.
The trade date for senior loans purchased in the primary
market is the date on which the loan is allocated. The trade date for senior loans purchased in the secondary market is the date on which the transaction is entered into.
Income recognition
Interest income is recorded on an accrual basis. Market
premiums and discounts, including original issue discounts, are amortized and accreted, respectively, over the expected life of the security on all debt securities, unless otherwise noted. The Fund classifies gains and losses realized on prepayments
received on mortgage-backed securities as adjustments to interest income.
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.
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.
The value of additional securities received as an income
payment through a payment in kind, if any, is recorded as interest income and increases the cost basis of such securities.
The Fund may receive other income from senior loans, including
amendment fees, consent fees and commitment fees. These fees are recorded as income when received by the Fund. These amounts are included in Interest Income in the Statement of Operations.
Expenses
General expenses of the Trust are allocated to the Fund and
other funds of the Trust based upon relative net assets or other expense allocation methodologies determined by the nature of the expense. Expenses directly attributable to the Fund are charged to the Fund. Expenses directly attributable to a
specific class of shares are charged to that share class.
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Columbia Strategic Income
Fund | Annual Report 2019
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Notes to Financial Statements (continued)
August 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.
Foreign taxes
The Fund may be subject to foreign taxes on income, gains on
investments or currency repatriation, a portion of which may be recoverable. The Fund will accrue such taxes and recoveries, as applicable, based upon its current interpretation of tax rules and regulations that exist in the markets in which it
invests.
Realized gains in certain countries may be
subject to foreign taxes at the Fund level, based on statutory rates. The Fund accrues for such foreign taxes on realized and unrealized gains at the appropriate rate for each jurisdiction, as applicable. The amount, if any, is disclosed as a
liability on the Statement of Assets and Liabilities.
Distributions to shareholders
Distributions from net investment income, if any, are declared
and paid monthly. Net realized capital gains, if any, are distributed at least annually. Income distributions and capital gain distributions are determined in accordance with federal income tax regulations, which may differ from GAAP.
Guarantees and indemnifications
Under the Trust’s organizational documents and, in some
cases, by contract, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Trust or its funds. In addition, certain of the Fund’s contracts with its service providers contain
general indemnification clauses. The Fund’s maximum exposure under these arrangements is unknown since the amount of any future claims that may be made against the Fund cannot be determined, and the Fund has no historical basis for predicting
the likelihood of any such claims.
Recent accounting
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. The standard is effective for annual periods beginning after December 15, 2019 and interim periods within
those fiscal years, with early adoption permitted. After evaluation, management determined to adopt the ASU effective for the period ended August 31, 2019 and all subsequent periods. As a result of the amendments, management implemented disclosure
changes which include removal
Columbia
Strategic Income Fund | Annual Report 2019
|
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|
Notes to Financial Statements (continued)
August 31, 2019
of the amount and
reasons for transfers between Level 1 and Level 2 of the fair value hierarchy, removal of the policy for the timing of transfers between levels, removal of the description of the Level 3 valuation processes, as well as modifications to the
measurement uncertainty disclosure.
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 0.600% to 0.393% as the Fund’s net assets increase.
The effective management services fee rate for the year ended August 31, 2019 was 0.560% 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.
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Columbia Strategic Income
Fund | Annual Report 2019
|
Notes to Financial Statements (continued)
August 31, 2019
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 August 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
|
Class
R
|
0.10
|
Class
T
|
0.02
(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 August 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 contingent
deferred sales charges (CDSC), received by the Distributor for distributing Fund shares for the year ended August 31, 2019, if any, are listed below:
|
Front
End (%)
|
CDSC
(%)
|
Amount
($)
|
Class
A
|
4.75
|
0.50 - 1.00
(a)
|
1,234,181
|
Class
C
|
—
|
1.00
(b)
|
27,566
|
Class
T
|
2.50
|
—
|
—
|
(a)
|
This
charge is imposed on certain investments of between $1 million and $50 million redeemed within 18 months after purchase, as follows: 1.00% if redeemed within 12 months after purchase, and 0.50% if redeemed more than 12, but less than 18, months
after purchase, with certain limited exceptions.
|
(b)
|
This
charge applies to redemptions within 12 months after purchase, with certain limited exceptions.
|
Columbia
Strategic Income Fund | Annual Report 2019
|
73
|
Notes to Financial Statements (continued)
August 31, 2019
The
Fund’s other share classes are not subject to sales charges.
Expenses waived/reimbursed by the Investment Manager and its
affiliates
The Investment Manager and certain of its
affiliates have contractually agreed to waive fees and/or reimburse expenses (excluding certain fees and expenses described below) for the period(s) disclosed below, unless sooner terminated at the sole discretion of the Board of Trustees, so that
the Fund’s net operating expenses, after giving effect to fees waived/expenses reimbursed and any balance credits and/or overdraft charges from the Fund’s custodian, do not exceed the following annual rate(s) as a percentage of the
class’ average daily net assets:
|
January
1, 2019
through
December 31, 2019
|
Prior
to
January 1, 2019
|
Class
A
|
1.05%
|
1.05%
|
Advisor
Class
|
0.80
|
0.80
|
Class
C
|
1.80
|
1.80
|
Institutional
Class
|
0.80
|
0.80
|
Institutional
2 Class
|
0.76
|
0.75
|
Institutional
3 Class
|
0.71
|
0.71
|
Class
R
|
1.30
|
1.30
|
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 August 31, 2019, these differences were primarily due to
differing treatment for deferral/reversal of wash sale losses, trustees’ deferred compensation, derivative investments, tax straddles, capital loss carryforward, swap investments, principal and/or interest of fixed income securities,
distribution reclassifications, foreign capital gains tax, investments in partnerships, 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:
Undistributed
net
investment
income ($)
|
Accumulated
net realized
(loss) ($)
|
Paid
in
capital ($)
|
(30,636,356)
|
30,636,356
|
—
|
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.
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Columbia Strategic Income
Fund | Annual Report 2019
|
Notes to Financial Statements (continued)
August 31, 2019
The
tax character of distributions paid during the years indicated was as follows:
Year
Ended August 31, 2019
|
Year
Ended August 31, 2018
|
Ordinary
income ($)
|
Long-term
capital gains ($)
|
Total
($)
|
Ordinary
income ($)
|
Long-term
capital gains ($)
|
Total
($)
|
208,796,886
|
—
|
208,796,886
|
166,123,050
|
17,932,427
|
184,055,477
|
Short-term capital gain
distributions, if any, are considered ordinary income distributions for tax purposes.
At August 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 ($)
|
Net
unrealized
appreciation ($)
|
12,983,996
|
—
|
(38,721,549)
|
72,928,911
|
At August 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) ($)
|
Net
unrealized
appreciation ($)
|
5,438,255,548
|
207,725,138
|
(134,796,227)
|
72,928,911
|
Tax cost of investments and
unrealized appreciation/(depreciation) may also include timing differences that do not constitute adjustments to tax basis.
The following capital loss carryforwards, determined at August
31, 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 August 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
($)
|
(4,812,609)
|
(33,908,940)
|
(38,721,549)
|
—
|
—
|
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 $9,199,353,840 and $8,388,717,671, respectively, for the year ended August 31, 2019, of which $6,265,924,951 and $5,990,481,863, respectively, were U.S.
government securities. The amount of purchase and sale activity impacts the portfolio turnover rate reported in the Financial Highlights.
Note 6. Affiliated money market fund
The Fund invests in Columbia Short-Term Cash Fund, an
affiliated money market fund established for the exclusive use by the Fund and other affiliated funds (the Affiliated MMF). The income earned by the Fund from such investments is included as Dividends - affiliated issuers in the Statement of
Operations. As an investing fund, the Fund indirectly bears its proportionate share of the expenses of the Affiliated MMF. The Affiliated MMF prices its shares with a floating net asset value. In addition,
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Strategic Income Fund | Annual Report 2019
|
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|
Notes to Financial Statements (continued)
August 31, 2019
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 August 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 August 31,
2019.
Note 9. 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 defaults or otherwise becomes unable or unwilling, or is perceived to be unable or unwilling, to honor its financial obligations, such as making payments to the Fund when due. Rating agencies
assign credit ratings to certain debt instruments to indicate their credit risk. Lower rated or unrated debt instruments held by the Fund may present increased credit risk as compared to higher-rated debt instruments.
Derivatives risk
Losses involving derivative instruments may be substantial,
because a relatively small movement in the underlying reference (which is generally the price, rate or other economic indicator associated with a security(ies), commodity, currency 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, liquidity risk and pricing risk.
Foreign securities and emerging market countries risk
Investing in foreign securities may involve certain risks not
typically associated with investing in U.S. securities, such as increased currency volatility and risks associated with political, regulatory, economic, social, diplomatic and other conditions or events occurring in the country or region, which may
result in significant market volatility. In addition, certain foreign
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|
Columbia Strategic Income
Fund | Annual Report 2019
|
Notes to Financial Statements (continued)
August 31, 2019
securities may not
be as liquid as U.S. securities. Investing in emerging markets may increase these risks and expose the Fund to elevated risks associated with increased inflation, deflation or currency devaluation. To the extent that the Fund concentrates its
investment exposure to any one or a few specific countries, the Fund will be particularly susceptible to the risks associated with the conditions, events or other factors impacting those countries or regions and may, therefore, have a greater risk
than that of a fund that is more geographically diversified.
High-yield investments risk
Securities and other debt instruments held by the Fund that
are rated below investment grade (commonly called "high-yield" or "junk" bonds) and unrated debt instruments of comparable quality expose the Fund to a greater risk of loss of principal and income than a fund that invests solely or primarily in
investment grade debt instruments. In addition, these investments have greater price fluctuations, are less liquid and are more likely to experience a default than higher-rated debt instruments. High-yield debt instruments are considered to be
predominantly speculative with respect to the issuer’s capacity to pay interest and repay principal.
Interest rate risk
Interest rate risk is the risk of losses attributable to
changes in interest rates. In general, if 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.
Mortgage- and other asset-backed securities risk
The value of any mortgage-backed and other asset-backed
securities held by the Fund may be affected by, among other things, changes or perceived changes in: interest rates; factors concerning the interests in and structure of the issuer or the originator of the mortgages or other assets; the
creditworthiness of the entities that provide any supporting letters of credit, surety bonds or other credit enhancements; or the market’s assessment of the quality of underlying assets. Payment of principal and interest on some
mortgage-backed securities (but not the market value of the securities themselves) may be guaranteed by the full faith and credit of a particular U.S. Government agency, authority, enterprise or instrumentality, and some, but not all, are also
insured or guaranteed by the U.S. Government. Mortgage-backed securities issued by non-governmental issuers (such as commercial banks, savings and loan institutions, private mortgage insurance companies, mortgage bankers and other secondary market
issuers) may entail greater risk than obligations guaranteed by the U.S. Government. Mortgage- and other asset-backed securities are subject to liquidity risk and prepayment risk. A decline or flattening of housing values may cause delinquencies in
the mortgages (especially sub-prime or non-prime mortgages) underlying mortgage-backed securities and thereby adversely affect the ability of the mortgage-backed securities issuer to make principal and/or interest payments to mortgage-backed
securities holders, including the Fund. Rising or high interest rates tend to extend the duration of mortgage- and other asset-backed securities, making their prices more volatile and more sensitive to changes in interest rates.
Shareholder concentration risk
At August 31, 2019, one unaffiliated shareholder of record
owned 11.9% 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 29.1% of the outstanding shares of the
Fund in one or more accounts. Subscription and
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Strategic Income Fund | Annual Report 2019
|
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|
Notes to Financial Statements (continued)
August 31, 2019
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.
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Columbia Strategic Income
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 Strategic Income Fund
Opinion on the Financial Statements
We have audited the accompanying statement of assets and
liabilities, including the portfolio of investments, of Columbia Strategic Income Fund (one of the funds constituting Columbia Funds Series Trust I, hereafter referred to as the “Fund”) as of August 31, 2019, the related statement of
operations for the year ended August 31, 2019, the statement of changes in net assets for each of the two years in the period ended August 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 August 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 August 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 August 31, 2019, by correspondence with the custodian, transfer agent, agent banks, and brokers; when replies were not received from brokers, we performed other audit procedures. We believe that our audits provide a
reasonable basis for our opinion.
/s/PricewaterhouseCoopers LLP
Minneapolis, Minnesota
October 24, 2019
We have served as the auditor of one or more investment
companies within the Columbia Funds Complex since 1977.
Columbia
Strategic Income Fund | Annual Report 2019
|
79
|
TRUSTEES AND OFFICERS
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), September 2007-October 2018
|
70
|
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, December 2002-May 2006; President of UAL Loyalty Services (airline marketing company), September 2001-December 2002; Executive Vice President and Chief
Financial Officer of United Airlines, July 1999-September 2001
|
70
|
Spartan
Nash Company, (food distributor); former Director, Nash Finch Company (food distributor), 2005-2013; Aircastle Limited (aircraft leasing); former Director, SeaCube Container Leasing Ltd. (container leasing), 2010-2013; 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), 1997-2010; Chair, Wellington Management Portfolios (commingled non-U.S. investment pools), 2007-2010; Director, Wellington Trust Company, NA
and other Wellington affiliates, 1997-2010
|
70
|
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
|
70
|
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
|
80
|
Columbia Strategic 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, August 2007-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, August 1999-October 2005;
University Professor, Boston College, November 2005-August 2007
|
70
|
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, 1988-2014
|
70
|
Former
Director, M Fund, Inc. (M Funds mutual fund family), July 2018-July 2019
|
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, 1994-1997, President – Application Systems Division, 1991-1994, Chief Financial Officer – US Marketing & Services, 1988-1991, and Chief Information Officer, 1987-1988, IBM Corporation
(computer and technology)
|
70
|
Former
Director, Enesco Group, Inc. (producer of giftware and home and garden decor products), 2001-2006
|
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, May
2010-February 2015; President, Columbia Funds, 2009-2015; and senior officer of Columbia Funds and affiliated funds, 2003-2015
|
70
|
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
Strategic Income Fund | Annual Report 2019
|
81
|
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, 2004-2010; Senior Partner, McKinsey & Company, 2001-2004
|
70
|
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, April 2016-September
2016; Senior Vice President and Chief Investment Officer, Calvert Investments, August 2008-January 2016; Section Head and Portfolio Manager, General Motors Asset Management, June 1997-August 2008
|
70
|
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
|
192
|
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, August 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.
82
|
Columbia Strategic 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 as of the printing of this report, 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
Strategic Income Fund | Annual Report 2019
|
83
|
Board Consideration and Approval of
Management
Agreement
On June 12, 2019, the Board of Trustees (the Board) and the
Trustees who are not interested persons (as defined in the Investment Company Act of 1940) (the Independent Trustees) of Columbia Funds Series Trust I (the Trust) unanimously approved the continuation of the Management Agreement (the Management
Agreement) with Columbia Management Investment Advisers, LLC (the Investment Manager) with respect to Columbia Strategic Income Fund (the Fund), a series of the Trust. As detailed below, the Board’s Advisory Fees and Expenses Committee (the
Committee) and the Board met on multiple occasions to review and discuss, among themselves, with the management team of the Investment Manager and with an independent fee consultant, materials provided by the Investment Manager, the independent fee
consultant and others before determining to approve the continuation of the Management Agreement.
In connection with their deliberations regarding the
continuation of the Management Agreement, the Committee and the Board evaluated materials requested from the Investment Manager regarding the Fund and the Management Agreement, and discussed these materials with representatives of the Investment
Manager at Committee meetings held on March 5, 2019, April 25, 2019 and June 11, 2019 and at Board meetings held on March 6, 2019 and June 12, 2019. In addition, the Board and its various committees consider matters bearing on the Management
Agreement at other meetings throughout the year and in prior years and meet regularly with senior management of the Trust and the Investment Manager. Through the Board’s Investment Oversight Committees, Trustees also meet with selected
portfolio managers of the funds the Trustees oversee and with other investment personnel at various times throughout the year. The Committee and the Board also consulted with the independent fee consultant, Fund counsel and the Independent
Trustees’ independent legal counsel, who advised on various matters with respect to the Committee’s and the Board’s considerations and otherwise assisted the Committee and the Board in their deliberations. On June 11, 2019, the
Committee recommended that the Board approve the continuation of the Management Agreement. On June 12, 2019, the Board, including the Independent Trustees, voting separately, unanimously approved the continuation of the Management Agreement for the
Fund.
The Committee and the Board considered all
information that they, their legal counsel or the Investment Manager believed reasonably necessary to evaluate and to determine whether to recommend for approval or approve the continuation of the Management Agreement. The information and factors
considered by the Committee and the Board in recommending for approval or approving the continuation of the Management Agreement for the Fund included the following:
•
|
Information on the
investment performance of the Fund relative to the performance of a group of mutual funds determined to be comparable to the Fund by an independent third-party data provider, as well as performance relative to benchmarks;
|
•
|
Information on the
Fund’s management fees and total expenses, including information comparing the Fund’s expenses to those of a group of comparable mutual funds, as determined by the independent third-party data provider;
|
•
|
The Investment
Manager’s agreement to contractually limit or cap total operating expenses for the Fund through December 31, 2020 so that total operating expenses (excluding certain fees and expenses, such as transaction costs and certain other investment
related expenses, interest, taxes, acquired fund fees and expenses, and infrequent and/or unusual expenses) would not exceed a specified annual rate, as a percentage of the Fund’s net assets;
|
•
|
The terms and conditions of
the Management Agreement;
|
•
|
The current and proposed
terms and conditions of other agreements and arrangements with affiliates of the Investment Manager relating to the operations of the Fund, including agreements with respect to the provision of distribution, transfer agency and shareholder services
to the Fund;
|
•
|
Descriptions of various
functions performed by the Investment Manager under the Management Agreement, including portfolio management and portfolio trading practices;
|
•
|
Information regarding the
management fees of similarly-managed portfolios of other clients of the Investment Manager, including institutional accounts and collective trusts;
|
•
|
Information regarding the
reputation, regulatory history and resources of the Investment Manager, including information regarding senior management, portfolio managers and other personnel;
|
84
|
Columbia Strategic Income
Fund | Annual Report 2019
|
Board Consideration and Approval of Management
Agreement (continued)
•
|
Information regarding the
capabilities of the Investment Manager with respect to compliance monitoring services, including an assessment of the Investment Manager’s compliance system by the Fund’s Chief Compliance Officer; and
|
•
|
The profitability to the
Investment Manager and its affiliates from their relationships with the Fund.
|
Nature, extent and quality of services provided under the
Management Agreement
The Committee and the Board
considered the nature, extent and quality of services provided to the Fund by the Investment Manager and its affiliates under the Management Agreement and under separate agreements for the provision of transfer agency and shareholder services, and
the resources dedicated to the Fund and the other Columbia Funds by the Investment Manager and its affiliates. The Committee and the Board considered, among other things, the Investment Manager’s ability to attract, motivate and retain highly
qualified research, advisory and supervisory investment professionals (including compensation programs for personnel involved in fund management, reputation and other attributes), the portfolio management services provided by those investment
professionals, and the quality of the Investment Manager’s investment research capabilities and trade execution services. The Committee and the Board also considered the potential benefits to shareholders of investing in a mutual fund that is
part of a fund complex offering exposure to a variety of asset classes and investment disciplines and providing a variety of fund and shareholder services.
The Committee and the Board also considered the professional
experience and qualifications of the senior personnel of the Investment Manager, which included consideration of the Investment Manager’s experience with funds using an investment strategy similar to that used by the Investment Manager for the
Fund. The Committee and the Board noted the compliance programs of and the compliance-related resources provided to the Fund by the Investment Manager and its affiliates and the resources dedicated by the Investment Manager and its affiliates to
risk management, and considered the Investment Manager’s ability to provide administrative services to the Fund and coordinate the activities of the Fund’s other service providers. After reviewing these and related factors, the Committee
and the Board concluded, within the context of their overall conclusions, that the nature, extent and quality of the services provided to the Fund under the Management Agreement supported the continuation of the Management Agreement.
Investment performance
The Committee and the Board reviewed information about the
performance of the Fund over various time periods, including performance information relative to benchmarks, information that compared the performance of the Fund to the performance of a group of comparable mutual funds as determined by the
independent third-party data provider, and information and analysis provided by the independent fee consultant. The Committee and the Board also reviewed a description of the third party’s methodology for identifying the Fund’s peer
groups for purposes of performance and expense comparisons.
The Committee and the Board noted that, through December 31,
2018, the Fund’s performance was in the thirty-sixth, forty-eighth and twenty-sixth percentile (where the best performance would be in the first percentile) of its category selected by the independent third-party data provider for the purposes
of performance comparisons for the one-, three- and five-year periods, respectively.
The Committee and the Board also considered the Investment
Manager’s performance and reputation generally, the Investment Manager’s historical responsiveness to Board concerns about performance, and the Investment Manager’s willingness to take steps intended to improve performance. After
reviewing these and related factors, the Committee and the Board concluded, within the context of their overall conclusions, that the performance of the Fund and the Investment Manager was sufficient, in light of other considerations, to support the
continuation of the Management Agreement.
Investment
management fee rates and other expenses
The Committee
and the Board considered the management fees charged to the Fund under the Management Agreement as well as the total expenses incurred by the Fund. In assessing the reasonableness of the fees under the Management Agreement, the Committee and the
Board considered, among other information, the Fund’s total expense ratio as a percentage of average daily net assets. The Committee and the Board considered data provided by the independent third-party data provider and the independent fee
consultant. The Committee and the Board noted that, as of December 31, 2018, the Fund’s actual management fee and net total expense ratio were ranked in the third and second quintiles,
Columbia
Strategic Income Fund | Annual Report 2019
|
85
|
Board Consideration and Approval of Management
Agreement (continued)
respectively, (where the lowest fees and expenses would be in the first
quintile) against the Fund’s expense universe as determined by the independent third-party data provider for purposes of expense comparison. The Committee and the Board also took into account the fee waiver and expense limitation arrangements
agreed to by the Investment Manager, as noted above.
The
Committee and the Board also received and considered information about the management fees charged by the Investment Manager to institutional accounts. In considering the fees charged to those accounts, the Committee and the Board took into account,
among other things, the Investment Manager’s representations about the differences between managing mutual funds as compared to other types of accounts, including differences in the services provided, differences in the risk profile of such
business for the Investment Manager and the additional resources required to manage mutual funds effectively. The Committee and the Board also received and considered information about the fees charged by the Investment Manager for sub-advisory
services it provides to comparable unaffiliated funds. In evaluating the Fund’s management fees, the Committee and the Board also took into account the demands, complexity and quality of the investment management of the Fund.
After reviewing these and related factors, the Committee and
the Board concluded, within the context of their overall conclusions, that the management fee rates and expenses of the Fund, in light of other considerations, supported the continuation of the Management Agreement.
Costs of services provided and profitability
The Committee and the Board also took note of the costs the
Investment Manager and its affiliates incur in connection with the services provided and the profitability to the Investment Manager and its affiliates from their relationships with the Fund, and the efforts undertaken by the Investment Manager and
its affiliates to manage efficiently their costs to provide such services.
The Committee and the Board also considered the compensation
directly or indirectly received by the Investment Manager’s affiliates in connection with their relationships with the Fund. The Committee and the Board reviewed information provided by management as to the profitability to the Investment
Manager and its affiliates of their relationships with the Fund, information about the allocation of expenses used to calculate profitability, and comparisons of profitability levels realized in 2018 to profitability levels realized in 2017. When
reviewing profitability, the Committee and the Board also considered court cases in which adviser profitability was an issue in whole or in part, the performance of similarly managed funds, the performance of the Fund, and the expense ratio of the
Fund. In addition, the Committee and the Board considered information provided by the Investment Manager regarding the Investment Manager’s financial condition and comparing its profitability to that of other asset management firms that are,
or are subsidiaries of, publicly traded companies. In this regard, the Committee and the Board also considered data provided by the independent fee consultant.
After reviewing these and related factors, the Committee and
the Board concluded, within the context of their overall conclusions, that the costs of services provided and the profitability to the Investment Manager and its affiliates from their relationships with the Fund supported the continuation of the
Management Agreement.
Economies of scale
The Committee and the Board considered the potential
existence of economies of scale in the provision by the Investment Manager of services to the Fund, to groups of related funds, and to the Investment Manager’s investment advisory clients as a whole, and whether those economies of scale were
shared with the Fund through breakpoints in investment management fees or other means, such as expense limitation arrangements and additional investments by the Investment Manager in investment, trading, compliance and other resources. The Committee
and the Board noted that the management fee schedules for the Fund contained breakpoints that would reduce the fee rate on assets above specified threshold levels.
In considering these matters, the Committee and the Board also
considered the costs of the services provided and the profitability to the Investment Manager and its affiliates from their relationships with the Fund, as noted above. After reviewing these and related factors, the Committee and the Board
concluded, within the context of their overall conclusions, that the extent to which any economies of scale were expected to be shared with the Fund supported the continuation of the Management Agreement.
86
|
Columbia Strategic Income
Fund | Annual Report 2019
|
Board Consideration and Approval of Management
Agreement (continued)
Other benefits to the Investment Manager
The Committee and the Board received and considered
information regarding “fall-out” or ancillary benefits received by the Investment Manager and its affiliates as a result of their relationships with the Fund, such as the engagement of the Investment Manager’s affiliates to provide
distribution, transfer agency and shareholder services to the Fund. In this regard, among other matters, the Committee and the Board considered that the Fund’s distributor retains a portion of the distribution fees from the Fund and receives a
portion of the sales charges on sales or redemptions of certain classes of shares of the Fund. The Committee and the Board also considered the benefits of research made available to the Investment Manager by reason of brokerage commissions generated
by the Fund’s securities transactions, and reviewed information about the Investment Manager’s practices with respect to considering brokerage and research services when allocating portfolio transactions. In this connection, the Board
also noted that the amount of research made available to the Investment Manager by reason of brokerage commissions had been declining over time, and may decline further. The Committee and the Board recognized that the Investment Manager’s
profitability would be somewhat lower without these benefits.
Conclusion
The Committee and the Board reviewed all of the above
considerations in reaching their decisions to recommend or approve the continuation of the Management Agreement. In their deliberations, the Trustees did not identify any particular information that was all-important or controlling, and individual
Trustees may have attributed different weights to the various factors. Based on their evaluation of all factors that they deemed to be material, including those factors described above, and assisted by the advice of independent legal counsel, the
Board, including the Independent Trustees, voting separately, unanimously approved the continuation of the Management Agreement.
Columbia
Strategic Income Fund | Annual Report 2019
|
87
|
Columbia Strategic Income Fund
P.O. Box 219104
Kansas City, MO 64121-9104
Please read and consider the investment objectives, risks,
charges and expenses for any fund carefully before investing. For a prospectus and summary prospectus, which contains this and other important information about the Fund, go to
columbiathreadneedleus.com/investor/. The Fund is distributed by Columbia Management Investment Distributors, Inc., member FINRA, and managed by Columbia Management Investment Advisers, LLC.
Columbia Threadneedle Investments (Columbia Threadneedle) is
the global brand name of the Columbia and Threadneedle group of companies. All rights reserved.
© 2019 Columbia Management Investment Advisers, LLC.
columbiathreadneedleus.com/investor/
Annual
Report
August 31, 2019
Multi-Manager International Equity Strategies
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
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3
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6
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10
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11
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23
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24
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25
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26
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27
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36
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37
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37
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41
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Multi-Manager International Equity Strategies Fund (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-PORT, and for reporting periods ended prior to March 31, 2019, on Form N-Q. The Fund’s Form N-Q and Form N-PORT filings are available on the SEC’s website at sec.gov.
The Fund’s complete schedule of portfolio holdings, as filed on Form N-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 (the Investment Manager)
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
Multi-Manager
International Equity Strategies Fund | Annual Report 2019
Investment objective
The Fund seeks long-term capital
appreciation.
Portfolio
management
Arrowstreet Capital,
Limited Partnership
Peter Rathjens,
Ph.D.
John
Capeci, Ph.D.
Tuomo
Vuolteenaho, Ph.D.
Manolis
Liodakis, Ph.D., M.B
Baillie Gifford
Overseas Limited
Donald
Farquharson, CFA
Angus
Franklin
Andrew
Stobart
Jenny
Tabberer
Tom Walsh,
CFA
Causeway
Capital Management LLC
Sarah Ketterer,
M.B.A.
Harry
Hartford
James Doyle,
M.B.A.
Conor Muldoon,
CFA, M.B.A
Alessandro
Valentini, CFA, M.B.A.
Jonathan Eng,
M.B.A.
Ellen Lee,
M.B.A.
Morningstar
style boxTM
The Morningstar
Style Box is based on a fund’s portfolio holdings. For equity funds, the vertical axis shows the market capitalization of the stocks owned, and the horizontal axis shows investment style (value, blend, or growth). Information shown is based on
the most recent data provided by Morningstar.
© 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 August 31, 2019)
|
|
|
Inception
|
1
Year
|
Life
|
Institutional
Class
|
05/17/18
|
-5.53
|
-6.77
|
MSCI
EAFE Index (Net)
|
|
-3.26
|
-5.30
|
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 MSCI EAFE Index (Net) is a free float-adjusted market
capitalization index that is designed to measure the equity market performance of developed markets, excluding the U.S. and Canada. The index is compiled from a composite of securities markets of Europe, Australasia and the Far East and is widely
recognized by investors in foreign markets as the measurement index for portfolios of non-North American securities.
Indices are not available for investment, are not
professionally managed and do not reflect sales charges, fees, brokerage commissions, taxes (except the MSCI EAFE Index (Net), which reflects reinvested dividends net of withholding taxes) or other expenses of investing. Securities in the Fund may
not match those in an index.
Multi-Manager
International Equity Strategies Fund | Annual Report 2019
|
3
|
Fund at a Glance (continued)
Performance of a
hypothetical $10,000 investment (May 17, 2018 — August 31, 2019)
The chart above shows the
change in value of a hypothetical $10,000 investment in Institutional Class shares of Multi-Manager International Equity Strategies 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 August 31, 2019)
|
SAP
SE (Germany)
|
1.9
|
Nestlé
SA, Registered Shares (Switzerland)
|
1.6
|
Roche
Holding AG, Genusschein Shares (Switzerland)
|
1.5
|
Prudential
PLC (United Kingdom)
|
1.4
|
Volkswagen
AG (Germany)
|
1.4
|
UniCredit
SpA (Italy)
|
1.3
|
BASF
SE (Germany)
|
1.3
|
Taiwan
Semiconductor Manufacturing Co., Ltd., ADR (Taiwan)
|
1.3
|
Takeda
Pharmaceutical Co., Ltd. (Japan)
|
1.3
|
MercadoLibre,
Inc. (Argentina)
|
1.2
|
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.
Equity
sector breakdown (%) (at August 31, 2019)
|
Communication
Services
|
8.2
|
Consumer
Discretionary
|
12.1
|
Consumer
Staples
|
7.3
|
Energy
|
3.8
|
Financials
|
19.8
|
Health
Care
|
9.2
|
Industrials
|
19.2
|
Information
Technology
|
10.1
|
Materials
|
7.4
|
Real
Estate
|
0.5
|
Utilities
|
2.4
|
Total
|
100.0
|
Percentages indicated are based
upon total equity investments. The Fund’s portfolio composition is subject to change.
4
|
Multi-Manager International
Equity Strategies Fund | Annual Report 2019
|
Fund at a Glance (continued)
Country
breakdown (%) (at August 31, 2019)
|
Argentina
|
1.2
|
Australia
|
3.0
|
Austria
|
0.0
(a)
|
Belgium
|
0.2
|
Brazil
|
0.6
|
Canada
|
3.5
|
Chile
|
0.0
(a)
|
China
|
3.6
|
Colombia
|
0.0
(a)
|
Cyprus
|
0.0
(a)
|
Denmark
|
1.5
|
Finland
|
0.9
|
France
|
6.6
|
Germany
|
11.5
|
Greece
|
0.0
(a)
|
Guernsey
|
0.0
(a)
|
Hong
Kong
|
2.2
|
Ireland
|
1.9
|
Israel
|
0.2
|
Italy
|
2.8
|
Japan
|
15.4
|
Jersey
|
0.4
|
Netherlands
|
5.0
|
New
Zealand
|
0.1
|
Norway
|
0.1
|
Panama
|
0.5
|
Peru
|
0.4
|
Russian
Federation
|
1.1
|
Singapore
|
0.5
|
South
Africa
|
1.0
|
South
Korea
|
3.0
|
Spain
|
2.3
|
Sweden
|
1.5
|
Switzerland
|
7.1
|
Taiwan
|
1.3
|
Turkey
|
0.1
|
United
Kingdom
|
19.0
|
United
States(b)
|
1.5
|
Virgin
Islands
|
0.0
(a)
|
Total
|
100.0
|
(a)
|
Rounds
to zero.
|
(b)
|
Includes
investments in Money Market Funds.
|
Country breakdown is based primarily on issuer’s place
of organization/incorporation. Percentages indicated are based upon total investments excluding investments in derivatives, if any. The Fund’s portfolio composition is subject to change.
Multi-Manager
International Equity Strategies Fund | Annual Report 2019
|
5
|
Manager Discussion of Fund Performance
The
Fund is currently managed by three independent money management firms and each invests a portion of the portfolio’s assets. As of August 31, 2019, Arrowstreet Capital, Limited Partnership (Arrowstreet), Baillie Gifford Overseas Limited
(Baillie Gifford) and Causeway Capital Management LLC (Causeway) managed approximately 30.6%, 36.7% and 32.7% of the portfolio, respectively.
For the 12-month period ended August 31, 2019, the
Fund’s Institutional Class shares returned -5.53%. The Fund underperformed its benchmark, the MSCI EAFE Index (Net), which returned -3.26% for the same time period. The Fund’s value orientation contributed to underperformance as growth
stocks continued their post-financial crisis strength.
Markets faced growth concerns, trade tensions
Global trade trended down in the second half of 2018, and
markets saw a sell-off, but that trend reversed early in 2019 on signs of economic stability. GDP for the first quarter, for example, was better than expected in many developed economies and survey data showed manufacturing activity picking up from
December levels. In addition, Chinese activity showed signs of resilience. There have been a few signs of improved economic stability in the Eurozone, but without any strong evidence of a rebound. Growth in the Asia Pacific region, meanwhile, has
been steady, supported by a stabilization in global goods trade – albeit at weak levels. At the same time, renewed escalation of trade tensions between the U.S. and China reignited concerns of recession in major economies. Lower demand in
foreign markets amid trade concerns pressured U.S. exports near the end of the period and hiring stalled, reflecting a deteriorating outlook for businesses.
Money management firms delivered results based on variety of
strategies
Arrowstreet: As a quantitatively oriented manager, the primary determinant of our strategy’s success or failure tends to be the success of our expected return forecasting models. Our strategy underperformed the MSCI EAFE Index
(Net) during the period primarily because our equity return forecasting performance was below our targets. In terms of signal groups that posed the biggest headwinds over the past year, value was the worst performing signal group in our basket model
and price momentum was the worst performing signal group in our stock model.
Financials was the top contributing sector for the period, as
the Fund benefited from favorable stock selection as well as an underweight position relative to the MSCI EAFE Index (Net) in the U.K. Utilities was also a top contributor, mainly due to an overweight to Italian utilities. Energy also contributed
due to our opportunistic overweight allocation to Russian energy. However, one of the largest sector active overweights in our portion of the Fund’s portfolio, information technology, detracted from performance. An overweight allocation and
weak stock selection within Japanese IT were the main drivers of underperformance in this sector. Allocation within consumer staples also hurt performance, mainly due to underweights to Switzerland and France.
Among individual countries, Italy, the largest country
overweight in our portion of the Fund’s portfolio, was a top contributor for the period due to an overweight to Italian utilities. The U.K. also contributed, primarily due to positive stock selection in consumer staples and an underweight to
financials as noted above. France, meanwhile, detracted from results, due in part to weak selection within consumer discretionary, as well as an underweight and weak selection within industrials. Australia was another country detractor, primarily
due to an overweight and weak selection within health care.
Contributors to Fund performance included Enel SPA, an Italian
utility; Gazprom, a Russian energy company; and Roche Holdings, a Swiss health care company. Detractors included Nestle, a Swiss consumer staples company; CSL Ltd., an Australian health care company; and in Japanese financials, Dai-Ichi Life
Holdings.
During the period, we added to exposure to the
U.K. in our portion of the Fund’s portfolio though an increase in our exposure to materials. We also increased exposure to Germany, mainly by increasing our position in German financials. On the other hand, the largest negative country shift
in our portion of the Fund’s portfolio was within Japan, where we reduced exposure to both health care and materials. We also reduced exposure to the Netherlands in Dutch industrials and financials.
Baillie Gifford: Our portion
of the Fund is managed against the MSCI ACWI ex-US Growth Index (Net), which it underperformed for the period. Strong stock selection in emerging markets was offset by poor stock selection in the U.K., while favorable stock selection in industrials
was offset by sub-par performance in financials.
6
|
Multi-Manager International
Equity Strategies Fund | Annual Report 2019
|
Manager Discussion of Fund Performance (continued)
In addition to financials, consumer staples and utilities
detracted from performance. The Fund was overweight in financials, underweight in consumer staples and had no positions in utilities. Stock selection in financials and asset allocation in consumer staples were the primary drivers of
underperformance. Meanwhile, industrials, information technology and communication services all contributed to performance during the period. Stock selection was the primary driver of performance in all three sectors.
Among, holdings, MercadoLIbre, Endenred, and Constellation
Software were leading contributors to Fund performance. MercadoLibre, the Latin American e-commerce retailer, has been investing heavily, and sensibly, in our opinion, in its logistic network. We trimmed our portion of the Fund’s position in
the stock following a period of extremely strong performance. Edenred, the French prepaid corporate services business, has for some time been converting a sizable portion of its business to a digital platform. This allows the company to target
smaller clients, while facilitating innovation in areas such as mobile payments and meal delivery services. Constellation Services, a Canadian software company, has proved itself to be an excellent allocator of capital, although some of the smaller
deals it prefers have been harder to find.
Ryanair,
ASOS, and Discovery were the largest detractors from performance during the period. Ryanair, the Irish low-cost airline, faced weak passenger demand in Europe, volatile oil prices and cost pressures. In the face of this, Ryanair has added capacity
to increase pressure on its competitors. ASOS, the U.K. online fashion retailer, showed particular weakness in late 2018 and early 2019. In spite of this, the company has highlighted a number of positive developments since last year’s profit
warning, including a new warehouse in Atlanta, which is delivering faster shipments to seven large U.S. cities. Discovery, the South African-based insurance company, has performed poorly despite impressive growth. While the company has reduced debt,
forward guidance has been seen as insufficient or unachievable.
Additions to our portion of the Fund during the period
included Holland-based ASML, a leading developer and manufacturer of lithography equipment. The company has consistently gained market share through innovation, at the expense of weaker competitors. Kuehne & Nagel, a Swiss freight forward
company was also added to the Fund. While the market has worried about slowing global trade, we saw this as an opportunity to take a holding in what we consider a well-managed cash-generative business. Another purchase was Takeaway.com, a Dutch food
delivery business. It has leading market positions in several European countries.
We sold our portion of the Fund’s position in
Taiwan-based Hon Hai Precision Industry, better known as Foxconn, the world’s largest provider of outsourced electronics manufacturing services. While we admire the company’s willingness to invest for the long term and its ability to
deliver on major new product introductions for electronics giants, it has become harder for the company to grow. We also sold Rolls Royce, a company whose long-term maintenance contracts makes up most of the value of the business, and one that we
think needs to do more to deliver attractive operating margins. SGS, a Swiss testing, inspection and certification company whose clients include oil traders, clothing manufacturers, and governments, was also sold. The company has proved resilient at
meeting challenging market environments, but we feel there are other stocks that can offer faster growth potential and lower valuations.
Causeway: Our portion of the
Fund is managed against the MSCI EAFE Value Index (Net), which it underperformed for the period. The Fund’s underperformance relative to the MSCI EAFE Value Index (Net) was primarily due to stock selection. That said, the Fund’s value
orientation has been out of favor for some time. Growth stocks have outperformed value stocks since the global financial crisis, resulting in the widest valuation gap between the two styles in decades. Some of the steepest multiple increases have
come from companies expanding their revenues in excess of the competition, but delivering minimal, if any, earnings.
The top performing sectors for our portion of the Fund during
the period were health care, materials, and consumer discretionary, as the portfolio benefited from stock selection in all three sectors. Our portion of the Fund maintained an overweight position in health care, an overweight position in materials,
and an underweight position in consumer discretionary. Within the MSCI EAFE Value Index (Net), health care delivered positive absolute returns in local currency terms, while materials and consumer discretionary delivered negative absolute returns in
local currency terms. The biggest detractors were communication services, energy, and utilities, due primarily to stock selection in communication services and energy, but also due to an underweight position in utilities.
Multi-Manager
International Equity Strategies Fund | Annual Report 2019
|
7
|
Manager Discussion of Fund Performance (continued)
Leading contributors to Fund performance included AstraZeneca,
Linde and Gildan Activewear. The British pharmaceutical company AstraZeneca successfully navigated a patent cliff and continued a pattern of new product launches. We continued to be optimistic regarding the company’s pipeline-driven margin
expansion potential. Linde Plc, a German industrial gas company, completed a merger with U.S.-listed peer Praxair in 2018 and, we believe, has begun to extract synergies from the deal, as well as increased pricing in its operating regions, which
should support higher margins. Gildan Activewear, a Canadian apparel manufacturer, consistently reported solid operating results during the period, including strong margins and growth drivers.
Top detractors included Encana, Baidu, and BASF SE. Encana, a
Canadian oil and natural gas producer, made a poorly-received acquisition during the period of U.S.-listed Newfield Exploration. Despite providing some positive integration updates, Encana remains a “show me” story as the market awaits
evidence of positive operating results in the Anadarko basin under Encana ownership. With the shares continuing to trade at an unattractive valuation, we believe the risk/reward profile remains compelling. Baidu, a Chinese internet services
provider, underperformed as macroeconomic headwinds, driven by U.S.-China trade tensions, and aggressive investment led to weaker earnings figures. We continue to find the investment attractive as its core search business trades at a discount. BASF
SE, the German diversified chemicals manufacturer, reported weaker earnings figures from softer global auto sales, a demand shortfall in China fueled by the trade conflict with the U.S., and a deteriorating outlook in Europe (partially related to
Brexit concerns). We believe the potential for share buybacks and dividend increases could support the share price going forward.
Purchases during the period included Total, a French global
oil and gas company, which has benefited from production growth, reduced operating costs, and a more favorable commodity price environment, all of which have bolstered the company’s free cash flow. Another purchase was Siemens, a German
multinational industrial conglomerate. Siemens’s leading market share in automation allows the company to spend more on innovation relative to peers and we believe this cash generative business will give Siemens the opportunity to drive
improvements in returns on invested capital. We also purchased Bayer, a German pharmaceutical and chemicals company. The share price declined shortly after Bayer’s acquisition of U.S.-based agrochemical company Monsanto due to litigation
concerns from Monsanto’s glyphosate products’ alleged cancer risks. Though liability risk has increased, we believe combining Bayer’s legacy CropScience business with Monsanto’s seed franchise should drive cost and revenue
synergies.
Sales during the period included Japan
Airlines, which has benefited from solid earnings results driven by better pricing and lower fuel costs, offset by higher maintenance expenses. Capacity growth and improved revenue management from a new reservation system also supported the stock
during the period, and we eliminated our exposure as a result. We also sold Canadian Pacific Railway, which has been transitioning from focusing on restoring its network and cost structure to profitable growth at low incremental cost. The strategy
appears to be working and the stock has performed well. Another sale, Compagnie Financiere Richemont, a Switzerland-based luxury goods holding company, performed well during the period, driven by solid watch sales, and we sold it due to relative
value considerations.
The MSCI ACWI ex-US Growth Index
(Net) captures large- and mid-cap securities exhibiting overall growth style characteristics across 22 Developed Markets (DM) countries and 26 Emerging Markets (EM) countries.
The MSCI EAFE Value Index (Net) is a subset of the MSCI EAFE
Index, and constituents of the index include securities from Europe, Australasia and the Far East. The index generally represents approximately 50% of the free float-adjusted market capitalization of the underlying MSCI EAFE Index.
It is not possible to invest directly in an index.
Market risk may affect a single
issuer, sector of the economy, industry or the market as a whole. The Fund is managed by multiple advisers independently of one another, which may result in contradicting trades (i.e., with no net benefit to
the Fund), while increasing transaction costs. 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. Risks are enhanced for emerging market issuers. Value
securities may be unprofitable if the market fails to recognize their intrinsic worth or the portfolio manager misgauged that worth. Growth securities, at times, may not perform as well as value securities or
the stock market in general and may be out of favor with investors. 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. Quantitative Model Risk Investments selected using quantitative methods may perform differently from the market as a
whole. There can be no assurance that these methodologies will enable the Fund to achieve its objective. Investing in derivatives is a specialized activity that involves special risks, which may result in
significant losses.See the Fund’s prospectus for more information on these and other risks.
8
|
Multi-Manager International
Equity Strategies Fund | Annual Report 2019
|
Manager Discussion of Fund Performance (continued)
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.
Multi-Manager
International Equity Strategies Fund | Annual Report 2019
|
9
|
Understanding Your Fund’s Expenses
(Unaudited)
As an investor, you incur two types of costs. There are
shareholder transaction costs, which may include redemption fees. There are also ongoing fund costs, which generally include management fees, distribution and/or service fees, and other fund expenses. The following information is intended to help
you understand your ongoing costs (in dollars) of investing in the Fund and to help you compare these costs with the ongoing costs of investing in other mutual funds.
Analyzing your Fund’s expenses
To illustrate these ongoing costs, we have provided examples
and calculated the expenses paid by investors in each share class of the Fund during the period. The actual and hypothetical information in the table is based on an initial investment of $1,000 at the beginning of the period indicated and held for
the entire period. Expense information is calculated two ways and each method provides you with different information. The amount listed in the “Actual” column is calculated using the Fund’s actual operating expenses and total
return for the period. You may use the Actual information, together with the amount invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000
= 8.6), then multiply the results by the expenses paid during the period under the “Actual” column. The amount listed in the “Hypothetical” column assumes a 5% annual rate of return before expenses (which is not the
Fund’s actual return) and then applies the Fund’s actual expense ratio for the period to the hypothetical return. You should not use the hypothetical account values and expenses to estimate either your actual account balance at the end
of the period or the expenses you paid during the period. See “Compare with other funds” below for details on how to use the hypothetical data.
Compare with other funds
Since all mutual funds are required to include the same
hypothetical calculations about expenses in shareholder reports, you can use this information to compare the ongoing cost of investing in the Fund with other funds. To do so, compare the hypothetical example with the 5% hypothetical examples that
appear in the shareholder reports of other funds. As you compare hypothetical examples of other funds, it is important to note that hypothetical examples are meant to highlight the ongoing costs of investing in a fund only and do not reflect any
transaction costs, such as redemption or exchange fees. Therefore, the hypothetical calculations are useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. If transaction costs
were included in these calculations, your costs would be higher.
March
1, 2019 — August 31, 2019
|
|
Account
value at the
beginning of the
period ($)
|
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
|
Institutional
Class
|
1,000.00
|
1,000.00
|
979.50
|
1,019.95
|
5.06
|
5.16
|
1.02
|
Expenses paid during the period
are equal to the annualized expense ratio for each class as indicated above, multiplied by the average account value over the period and then multiplied by the number of days in the Fund’s most recent fiscal half year and divided by 365.
Expenses do not include fees and expenses incurred indirectly
by the Fund from its investment in underlying funds, including affiliated and non-affiliated pooled investment vehicles, such as mutual funds and exchange-traded funds.
The Fund is offered only through certain wrap fee programs
sponsored and/or managed by Ameriprise Financial, Inc. or its affiliates. Participants in wrap fee programs pay other fees that are not included in the above table. Please refer to the wrap program documents for information about the fees
charged.
10
|
Multi-Manager International
Equity Strategies Fund | Annual Report 2019
|
Portfolio of Investments
August 31, 2019
(Percentages represent value of investments compared to net
assets)
Investments in securities
Common
Stocks 97.0%
|
Issuer
|
Shares
|
Value
($)
|
Argentina
1.2%
|
MercadoLibre,
Inc.(a)
|
38,422
|
22,845,721
|
Australia
3.0%
|
Accent
Group Ltd.
|
229,775
|
247,232
|
Afterpay
Touch Group Ltd.(a)
|
23,375
|
487,303
|
AGL
Energy Ltd.
|
94,869
|
1,209,378
|
ALS
Ltd.
|
148,292
|
766,914
|
Altium
Ltd.
|
5,488
|
135,497
|
ASX
Ltd.
|
8,704
|
505,590
|
Aurizon
Holdings Ltd.
|
413,814
|
1,645,213
|
Austal
Ltd.
|
4,857
|
13,772
|
BHP
Group Ltd.
|
163,523
|
4,014,062
|
BHP
Group Ltd., ADR
|
83,877
|
4,123,393
|
Brambles
Ltd.
|
197,558
|
1,501,572
|
Brambles
Ltd., ADR
|
895
|
13,550
|
CIMIC
Group Ltd.
|
6,296
|
131,380
|
Cleanaway
Waste Management Ltd.
|
203,401
|
283,432
|
Cochlear
Ltd.
|
60,473
|
8,853,676
|
Coles
Group Ltd.
|
79,701
|
742,882
|
Collins
Foods Ltd.
|
78,824
|
457,857
|
Computershare
Ltd.
|
72,195
|
748,023
|
CSL
Ltd.
|
50,337
|
8,153,786
|
Domino’s
Pizza Enterprises Ltd.
|
2,596
|
74,866
|
Downer
EDI Ltd.
|
125,939
|
653,388
|
Estia
Health
|
145,494
|
263,416
|
FlexiGroup
Ltd.
|
82,560
|
103,101
|
Fortescue
Metals Group Ltd.
|
121,515
|
655,596
|
Fortescue
Metals Group Ltd., ADR
|
9,100
|
97,689
|
G8
Education Ltd.
|
131,931
|
226,577
|
Genworth
Mortgage Insurance Australia Ltd.
|
32,229
|
66,777
|
Harvey
Norman Holdings Ltd.
|
22,859
|
67,404
|
Hotel
Property Investments
|
12,222
|
28,610
|
Insurance
Australia Group Ltd.
|
65,903
|
357,335
|
IPH
Ltd.
|
76,683
|
480,378
|
IRESS
Ltd.
|
66,175
|
555,929
|
Japara
Healthcare Ltd.
|
58,437
|
43,880
|
Karoon
Energy Ltd.(a)
|
67,086
|
56,004
|
Common
Stocks (continued)
|
Issuer
|
Shares
|
Value
($)
|
Link
Administration Holdings Ltd.
|
35,140
|
129,495
|
Magellan
Financial Group Ltd.
|
21,330
|
728,423
|
McMillan
Shakespeare Ltd.
|
28,245
|
302,791
|
Medibank
Pvt Ltd.
|
544,569
|
1,334,224
|
Metcash
Ltd.
|
182,540
|
356,502
|
Monadelphous
Group Ltd.
|
51,817
|
555,188
|
Navigator
Global Investments Ltd.
|
10,178
|
20,450
|
Newcrest
Mining Ltd.
|
72,658
|
1,815,991
|
nib
holdings Ltd.
|
61,307
|
304,980
|
Pinnacle
Investment Management Group Ltd.
|
44,745
|
132,699
|
QBE
Insurance Group Ltd.
|
356,465
|
3,004,060
|
REA
Group Ltd.
|
4,143
|
290,969
|
Reject
Shop Ltd. (The)
|
68,607
|
88,942
|
Rio
Tinto Ltd.
|
32,593
|
1,922,097
|
Rural
Funds Group
|
51,398
|
74,420
|
South32
Ltd.
|
197,950
|
349,788
|
Steadfast
Group Ltd.
|
17,953
|
45,282
|
Suncorp
Group Ltd.
|
36,431
|
338,218
|
Tassal
Group Ltd.
|
25,482
|
74,027
|
Vicinity
Centres
|
297,342
|
518,319
|
Village
Roadshow Ltd.(a)
|
50,672
|
94,696
|
Wesfarmers
Ltd.
|
99,153
|
2,611,341
|
Woolworths
Group Ltd.
|
138,126
|
3,513,767
|
Total
|
56,372,131
|
Austria
0.0%
|
Raiffeisen
Bank International AG
|
21,648
|
473,291
|
Belgium
0.2%
|
Anheuser-Busch
InBev SA/NV
|
18,395
|
1,738,685
|
Barco
NV
|
851
|
181,101
|
Colruyt
SA
|
2,463
|
126,117
|
Econocom
Group SA/NV
|
40,021
|
119,511
|
Melexis
NV
|
7,036
|
446,769
|
Proximus
SADP
|
5,938
|
175,617
|
Telenet
Group Holding NV
|
2,175
|
108,433
|
UCB
SA
|
21,700
|
1,621,855
|
Total
|
4,518,088
|
The accompanying Notes to Financial Statements are an integral part
of this statement.
Multi-Manager
International Equity Strategies Fund | Annual Report 2019
|
11
|
Portfolio of Investments (continued)
August 31, 2019
Common
Stocks (continued)
|
Issuer
|
Shares
|
Value
($)
|
Brazil
0.6%
|
B3
SA - Brasil Bolsa Balcao
|
93,900
|
1,020,632
|
Cielo
SA
|
26,000
|
48,095
|
Cielo
SA, ADR
|
21,831
|
39,514
|
Itaú
Unibanco Holding SA, ADR
|
677,213
|
5,580,235
|
JBS
SA
|
13,300
|
95,872
|
Kroton
Educacional SA
|
1,490,300
|
3,660,070
|
Total
|
10,444,418
|
Canada
3.5%
|
Canadian
Imperial Bank of Commerce
|
62,633
|
4,851,541
|
Canadian
National Railway Co.
|
17,630
|
1,624,428
|
Constellation
Software, Inc.
|
15,702
|
15,292,880
|
Encana
Corp.
|
2,091,317
|
9,267,516
|
Fairfax
Financial Holdings Ltd.
|
26,941
|
12,004,468
|
Gildan
Activewear, Inc.
|
280,463
|
10,281,958
|
Magna
International, Inc.
|
28,229
|
1,414,555
|
Manulife
Financial Corp.
|
374,002
|
6,205,276
|
Ritchie
Bros. Auctioneers, Inc.
|
130,926
|
5,178,123
|
Total
|
66,120,745
|
Chile
0.0%
|
Enel
Americas SA
|
299,800
|
49,108
|
Enel
Chile SA
|
3,548,987
|
306,012
|
Total
|
355,120
|
China
3.6%
|
Alibaba
Group Holding Ltd., ADR(a)
|
81,043
|
14,184,956
|
Ausnutria
Dairy Corp., Ltd.(a)
|
160,000
|
226,299
|
Baidu,
Inc., ADR(a)
|
103,911
|
10,855,582
|
China
Mobile Ltd.
|
2,294,500
|
18,986,042
|
China
Mobile Ltd., ADR
|
28,184
|
1,164,281
|
China
Petroleum & Chemical Corp., ADR
|
11,044
|
642,430
|
China
Shenhua Energy Co., Ltd., ADR
|
6,268
|
48,859
|
Industrial
& Commercial Bank of China Ltd., ADR
|
18,511
|
231,850
|
PetroChina
Co., Ltd., ADR
|
15,400
|
755,370
|
Ping
An Healthcare and Technology Co., Ltd.(a)
|
282,100
|
1,666,851
|
Sinopharm
Group Co. Class H
|
496,125
|
1,790,523
|
SITC
International Holdings Co., Ltd.
|
335,000
|
346,813
|
Tencent
Holdings Ltd.
|
266,400
|
10,998,466
|
Tencent
Music Entertainment Group, ADR(a)
|
478,352
|
6,362,082
|
Common
Stocks (continued)
|
Issuer
|
Shares
|
Value
($)
|
VSTECS
Holdings Ltd.
|
102,000
|
51,807
|
Total
|
68,312,211
|
Colombia
0.0%
|
Interconexion
Electrica SA ESP
|
101,814
|
534,704
|
Cyprus
0.0%
|
Etalon
Group PLC, GDR(b)
|
37,995
|
74,014
|
Denmark
1.4%
|
Carlsberg
A/S, Class B
|
25,347
|
3,743,948
|
Carlsberg
AS, ADR
|
4,900
|
144,427
|
DSV
A/S
|
108,232
|
10,739,378
|
Nordic
Waterproofing Holding AS(b)
|
16,984
|
137,746
|
Novo
Nordisk A/S, ADR
|
30,893
|
1,609,834
|
Novo
Nordisk A/S, Class B
|
67,914
|
3,538,481
|
Novozymes
AS, Class B
|
165,270
|
7,045,324
|
Ørsted
A/S
|
3,110
|
296,807
|
Pandora
A/S
|
4,475
|
190,382
|
Total
|
27,446,327
|
Finland
0.9%
|
KONE
OYJ, Class B
|
203,716
|
11,788,812
|
Nokia
OYJ
|
194,179
|
960,663
|
Sampo
OYJ, Class A
|
117,220
|
4,657,277
|
Tieto
OYJ
|
11,392
|
280,206
|
Total
|
17,686,958
|
France
6.6%
|
Airbus
Group SE
|
39,592
|
5,455,516
|
AXA
SA
|
213,841
|
4,903,495
|
Beneteau
SA
|
4,938
|
46,489
|
BNP
Paribas SA
|
370,619
|
16,705,984
|
Carrefour
SA
|
455,920
|
7,770,064
|
Cie
de Saint-Gobain
|
32,086
|
1,156,924
|
Cie
Generale des Etablissements Michelin CSA
|
26,307
|
2,769,583
|
CNP
Assurances
|
44,897
|
815,609
|
Coface
SA(a)
|
43,569
|
514,581
|
Danone
SA
|
128,207
|
11,485,978
|
Dassault
Systemes
|
15,415
|
2,173,575
|
Edenred
|
343,644
|
16,733,441
|
Electricite
de France SA
|
131,787
|
1,602,636
|
Engie
SA
|
197,477
|
3,002,603
|
The accompanying Notes to Financial Statements are an integral part
of this statement.
12
|
Multi-Manager International
Equity Strategies Fund | Annual Report 2019
|
Portfolio of Investments (continued)
August 31, 2019
Common
Stocks (continued)
|
Issuer
|
Shares
|
Value
($)
|
Groupe
Crit
|
119
|
8,632
|
Kering
SA
|
8,306
|
4,024,661
|
Legrand
SA
|
119,883
|
8,464,021
|
L’Oreal
SA
|
7,646
|
2,087,788
|
LVMH
Moet Hennessy Louis Vuitton SE
|
9,202
|
3,669,630
|
Peugeot
SA
|
108,319
|
2,421,705
|
Renault
SA
|
16,193
|
928,776
|
Rexel
SA
|
16,496
|
174,955
|
Safran
SA
|
7,024
|
1,020,178
|
Sanofi
|
47,975
|
4,121,421
|
Sartorius
Stedim Biotech
|
2,654
|
410,787
|
Societe
BIC SA
|
9,381
|
599,449
|
Societe
Generale SA
|
65,175
|
1,649,882
|
Societe
Generale SA, ADR
|
83,500
|
428,773
|
STMicroelectronics
NV
|
35,006
|
620,587
|
Total
SA
|
300,164
|
14,989,795
|
Veolia
Environnement SA
|
49,471
|
1,183,050
|
Vivendi
SA
|
108,652
|
3,038,347
|
Worldline
SA(a)
|
4,846
|
334,695
|
Total
|
125,313,610
|
Germany
10.0%
|
Adidas
AG
|
18,446
|
5,467,647
|
Adidas
AG, ADR
|
2,084
|
309,609
|
ADVA
Optical Networking SE(a)
|
7,726
|
49,504
|
Allianz
SE, Registered Shares
|
71,788
|
15,843,893
|
BASF
SE
|
357,710
|
23,668,583
|
Bayer
AG, Registered Shares
|
123,433
|
9,174,008
|
Continental
AG
|
51,083
|
6,164,605
|
Covestro
AG
|
39,028
|
1,773,568
|
Deutsche
Boerse AG
|
129,260
|
18,992,577
|
Deutsche
Lufthansa AG, ADR
|
5,300
|
81,673
|
Deutsche
Lufthansa AG, Registered Shares
|
38,549
|
594,168
|
Deutsche
Post AG
|
387,423
|
12,713,517
|
Deutsche
Post AG, ADR
|
5,000
|
164,275
|
Deutsche
Telekom AG, ADR
|
29,900
|
497,536
|
Deutsche
Telekom AG, Registered Shares
|
98,982
|
1,652,469
|
E.ON
SE
|
185,025
|
1,721,415
|
Hamburger
Hafen und Logistik AG
|
7,106
|
171,660
|
Henkel
AG & Co. KGaA, ADR
|
4,500
|
112,410
|
Common
Stocks (continued)
|
Issuer
|
Shares
|
Value
($)
|
MTU
Aero Engines AG
|
37,301
|
10,207,396
|
Muenchener
Rueckversicherungs-Gesellschaft AG in Muenchen, Registered Shares
|
18,561
|
4,444,004
|
Muenchener
Rueckversicherungs-Gesellschaft AG, ADR
|
21,953
|
525,226
|
New
Work SE
|
530
|
154,944
|
Puma
SE
|
9,280
|
705,867
|
SAP
SE
|
298,212
|
35,599,761
|
SAP
SE, ADR
|
32,059
|
3,819,830
|
Scout24
AG(a),(b)
|
271,493
|
16,053,075
|
Siemens
AG, Registered Shares
|
176,164
|
17,616,819
|
Software
AG
|
27,207
|
733,831
|
Talanx
AG
|
18,839
|
781,564
|
Wacker
Chemie AG
|
352
|
27,545
|
Total
|
189,822,979
|
Greece
0.0%
|
Holding
Co. ADMIE IPTO SA
|
15,503
|
36,568
|
Guernsey
0.0%
|
Regional
REIT Ltd.(b)
|
5,294
|
6,696
|
Hong
Kong 2.1%
|
AIA
Group Ltd.
|
1,880,400
|
18,196,177
|
Cafe
de Coral Holdings Ltd.
|
64,000
|
203,906
|
China
Merchants Port Holdings Co., Ltd.
|
2,132,000
|
3,321,040
|
Chow
Tai Fook Jewellery Group Ltd.
|
111,400
|
94,358
|
CK
Asset Holdings Ltd.
|
11,000
|
74,496
|
CNOOC
Ltd., ADR
|
2,802
|
415,368
|
Hang
Lung Group Ltd.
|
106,000
|
263,067
|
Hong
Kong Exchanges and Clearing Ltd.
|
347,380
|
10,601,635
|
Hysan
Development Co., Ltd.
|
41,000
|
165,763
|
Lenovo
Group Ltd., ADR
|
4,883
|
63,967
|
Li
& Fung Ltd.
|
646,000
|
73,185
|
Link
REIT (The)
|
124,500
|
1,395,685
|
New
World Development Co., Ltd.
|
445,000
|
553,781
|
Sands
China Ltd.
|
46,400
|
210,064
|
Spring
Real Estate Investment Trust
|
1,008,000
|
417,626
|
Sun
Hung Kai Properties Ltd.
|
96,500
|
1,364,032
|
Sun
Hung Kai Properties Ltd., ADR
|
5,300
|
74,412
|
Swire
Pacific Ltd., Class A
|
67,500
|
660,319
|
Techtronic
Industries Co., Ltd.
|
106,000
|
731,159
|
The accompanying Notes to Financial Statements are an integral part
of this statement.
Multi-Manager
International Equity Strategies Fund | Annual Report 2019
|
13
|
Portfolio of Investments (continued)
August 31, 2019
Common
Stocks (continued)
|
Issuer
|
Shares
|
Value
($)
|
Valuetronics
Holdings Ltd.
|
229,800
|
101,539
|
Vitasoy
International Holdings Ltd.
|
128,000
|
594,889
|
WH
Group Ltd.
|
1,443,500
|
1,156,768
|
Total
|
40,733,236
|
Ireland
1.9%
|
CRH
PLC
|
277,220
|
9,289,066
|
Kingspan
Group PLC
|
216,893
|
9,902,146
|
Ryanair
Holdings PLC, ADR(a)
|
305,390
|
17,498,847
|
Total
|
36,690,059
|
Israel
0.2%
|
Bank
Leumi Le-Israel BM
|
221,841
|
1,511,594
|
Check
Point Software Technologies Ltd.(a)
|
5,123
|
551,747
|
NiCE
Ltd.(a)
|
801
|
122,657
|
NiCE
Ltd., ADR(a)
|
9,200
|
1,409,900
|
Total
|
3,595,898
|
Italy
2.8%
|
A2A
SpA
|
744,491
|
1,312,585
|
Assicurazioni
Generali SpA
|
293,216
|
5,329,925
|
ASTM
SpA
|
14,906
|
459,691
|
Buzzi
Unicem SpA
|
19,560
|
280,669
|
Cementir
Holding SpA
|
42,169
|
274,831
|
Datalogic
SpA
|
11,302
|
161,504
|
Enel
SpA
|
843,273
|
6,117,771
|
ENI
SpA
|
205,968
|
3,108,773
|
ENI
SpA, ADR
|
50,178
|
1,515,376
|
Italgas
SpA
|
6,706
|
43,603
|
Leonardo-Finmeccanica
SpA
|
17,109
|
210,226
|
Mediobanca
Banca di Credito Finanziario SpA
|
142,942
|
1,420,603
|
Piaggio
& C SpA
|
130,500
|
422,692
|
Poste
Italiane SpA
|
35,954
|
387,721
|
Reply
SpA
|
1,049
|
62,178
|
Snam
SpA
|
640,621
|
3,248,867
|
Telecom
Italia SpA(a)
|
1,408,948
|
753,212
|
Terna
Rete Elettrica Nazionale SpA
|
223,824
|
1,410,337
|
Tinexta
SpA
|
9,091
|
108,677
|
UniCredit
SpA
|
2,215,229
|
24,639,396
|
Unipol
Gruppo SpA
|
74,570
|
376,515
|
Common
Stocks (continued)
|
Issuer
|
Shares
|
Value
($)
|
UnipolSai
SpA
|
425,677
|
1,082,329
|
Total
|
52,727,481
|
Japan
15.4%
|
Advantest
Corp.
|
21,800
|
892,491
|
AGC,
Inc.
|
8,000
|
230,563
|
Ahresty
Corp.
|
28,900
|
144,008
|
Airport
Facilities Co., Ltd.
|
3,500
|
16,722
|
Aisin
Seiki Co., Ltd.
|
500
|
14,795
|
Alpha
Corp.
|
3,000
|
32,329
|
Alpha
Systems, Inc.
|
15,800
|
386,516
|
Amada
Holdings Co., Ltd.
|
39,100
|
406,437
|
Amano
Corp.
|
8,600
|
256,651
|
Argo
Graphics, Inc.
|
12,500
|
313,396
|
Astellas
Pharma, Inc.
|
114,500
|
1,580,499
|
Astellas
Pharma, Inc., ADR
|
27,188
|
374,515
|
Bandai
Namco Holdings, Inc.
|
21,800
|
1,280,916
|
Brother
Industries Ltd.
|
26,900
|
465,051
|
CAC
Holdings Corp.
|
18,500
|
215,106
|
Canon,
Inc.
|
43,500
|
1,127,762
|
Central
Glass Co., Ltd.
|
19,900
|
412,226
|
Central
Japan Railway Co.
|
7,400
|
1,463,164
|
Dai-ichi
Life Holdings, Inc.
|
221,500
|
3,012,232
|
Dainippon
Sumitomo Pharma Co., Ltd.
|
7,200
|
125,502
|
Daiwa
House Industry Co., Ltd.
|
51,000
|
1,597,557
|
Denso
Corp.
|
190,500
|
7,981,583
|
Digital
Arts, Inc.
|
4,400
|
314,860
|
Disco
Corp.
|
4,600
|
833,562
|
Duskin
Co., Ltd.
|
5,800
|
148,830
|
East
Japan Railway Co.
|
177,700
|
16,912,690
|
Eisai
Co., Ltd.
|
18,600
|
949,176
|
Elecom
Co., Ltd.
|
8,100
|
318,086
|
ESPEC
Corp.
|
25,400
|
448,913
|
FANUC
Corp.
|
126,000
|
21,819,738
|
Fast
Retailing Co., Ltd.
|
3,400
|
1,989,039
|
FUJIFILM
Holdings Corp.
|
85,000
|
3,635,483
|
Fujitsu
Ltd.
|
34,600
|
2,668,298
|
Glory
Ltd.
|
8,100
|
222,633
|
Hakuto
Co., Ltd.
|
21,300
|
216,899
|
Hankyu
Hanshin Holdings, Inc.
|
4,500
|
170,412
|
The accompanying Notes to Financial Statements are an integral part
of this statement.
14
|
Multi-Manager International
Equity Strategies Fund | Annual Report 2019
|
Portfolio of Investments (continued)
August 31, 2019
Common
Stocks (continued)
|
Issuer
|
Shares
|
Value
($)
|
Hikari
Tsushin, Inc.
|
2,400
|
561,944
|
Hino
Motors Ltd.
|
77,500
|
608,645
|
Hirakawa
Hewtech Corp.
|
7,700
|
75,953
|
Hitachi
High-Technologies Corp.
|
2,600
|
140,136
|
Hitachi
Ltd.
|
141,200
|
4,816,663
|
Hitachi
Ltd., ADR
|
800
|
54,372
|
Honda
Motor Co., Ltd. ADR
|
21,800
|
515,788
|
Hosokawa
Micron Corp.
|
500
|
17,453
|
Hoya
Corp.
|
50,700
|
4,122,096
|
Hoya
Corp., ADR
|
16,200
|
1,315,197
|
Idec
Corp.
|
16,600
|
274,338
|
Ines
Corp.
|
5,300
|
54,596
|
ITOCHU
Techno-Solutions Corp.
|
53,600
|
1,475,110
|
Japan
Airlines Co., Ltd.
|
5,600
|
174,785
|
Japan
Exchange Group, Inc.
|
693,800
|
10,969,840
|
JBCC
Holdings, Inc.
|
18,500
|
253,324
|
JSR
Corp.
|
32,500
|
530,824
|
JTEKT
Corp.
|
35,400
|
383,141
|
Kamigumi
Co., Ltd.
|
14,000
|
327,855
|
Kaneka
Corp.
|
1,800
|
53,876
|
Kansai
Electric Power Co., Inc. (The)
|
1,900
|
23,102
|
Kao
Corp.
|
29,900
|
2,157,549
|
Kawasaki
Heavy Industries Ltd.
|
29,500
|
577,317
|
KDDI
Corp.
|
796,300
|
21,210,105
|
Keihanshin
Building Co., Ltd.
|
17,200
|
202,386
|
Keio
Corp.
|
16,900
|
1,055,206
|
Konica
Minolta, Inc.
|
74,900
|
531,906
|
Kyocera
Corp.
|
37,600
|
2,231,649
|
Kyocera
Corp., ADR
|
300
|
17,817
|
Marubeni
Corp.
|
131,900
|
841,825
|
Maruzen
Showa Unyu Co., Ltd.
|
2,800
|
81,619
|
Max
Co., Ltd.
|
7,500
|
120,912
|
Mazda
Motor Corp., ADR
|
22,000
|
91,080
|
Mimaki
Engineering Co., Ltd.
|
23,900
|
111,354
|
Mitsubishi
Electric Corp.
|
161,600
|
1,945,088
|
Mitsubishi
Estate Co., Ltd.
|
22,200
|
424,689
|
Mitsubishi
Heavy Industries Ltd.
|
17,100
|
641,917
|
MS&AD
Insurance Group Holdings, Inc.
|
106,500
|
3,380,334
|
Nachi-Fujikoshi
Corp.
|
6,800
|
271,606
|
Common
Stocks (continued)
|
Issuer
|
Shares
|
Value
($)
|
Nagano
Keiki Co., Ltd.
|
21,000
|
130,881
|
NEC
Networks & System Integration Corp.
|
7,800
|
203,479
|
NH
Foods Ltd.
|
10,100
|
387,657
|
Nichirin
Co., Ltd.
|
6,500
|
74,610
|
Nidec
Corp.
|
86,500
|
11,255,794
|
Nikkon
Holdings Co., Ltd.
|
4,600
|
102,414
|
Nikon
Corp.
|
6,300
|
77,888
|
Nintendo
Co., Ltd.
|
1,000
|
378,401
|
Nippon
Express Co., Ltd.
|
2,100
|
108,404
|
Nippon
Hume Corp.
|
19,500
|
119,018
|
Nippon
Telegraph & Telephone Corp.
|
81,000
|
3,882,969
|
Nippon
Telegraph & Telephone Corp., ADR
|
3,200
|
153,200
|
Nissan
Motor Co., Ltd.
|
22,800
|
140,869
|
Nissin
Foods Holdings Co., Ltd.
|
10,100
|
700,017
|
Nitto
Denko Corp.
|
13,500
|
627,523
|
NS
United Kaiun Kaisha Ltd.
|
3,500
|
70,456
|
NSD
Co., Ltd.
|
7,600
|
225,723
|
NTT
Data Corp.
|
111,900
|
1,441,290
|
NTT
DoCoMo, Inc.
|
167,300
|
4,220,289
|
Obayashi
Corp.
|
58,400
|
537,452
|
Okabe
Co., Ltd.
|
20,000
|
150,066
|
Olympus
Corp.
|
34,800
|
406,920
|
Olympus
Corp., ADR
|
10,800
|
125,874
|
Omron
Corp.
|
26,600
|
1,313,573
|
Oracle
Corp. Japan
|
100
|
8,600
|
Organo
Corp.
|
4,300
|
164,367
|
ORIX
Corp.
|
77,700
|
1,146,471
|
Otsuka
Corp.
|
16,100
|
596,963
|
Panasonic
Corp.
|
220,900
|
1,701,576
|
PS
Mitsubishi Construction Co., Ltd.
|
17,100
|
109,380
|
Recruit
Holdings Co., Ltd.
|
107,300
|
3,249,069
|
Ricoh
Co., Ltd.
|
6,900
|
63,774
|
Ryobi
Ltd.
|
9,000
|
135,031
|
Ryoden
Corp.
|
23,900
|
360,477
|
Sankyo
Seiko Co., Ltd.
|
11,200
|
51,554
|
Sanwa
Holdings Corp.
|
43,800
|
486,596
|
SCSK
Corp.
|
10,300
|
507,363
|
Seibu
Holdings, Inc.
|
19,300
|
327,520
|
Seiko
Epson Corp.
|
208,900
|
2,774,752
|
The accompanying Notes to Financial Statements are an integral part
of this statement.
Multi-Manager
International Equity Strategies Fund | Annual Report 2019
|
15
|
Portfolio of Investments (continued)
August 31, 2019
Common
Stocks (continued)
|
Issuer
|
Shares
|
Value
($)
|
Seiko
Holdings Corp.
|
13,800
|
289,555
|
Senshu
Electric Co., Ltd.
|
2,000
|
48,771
|
Shibaura
Mechatronics Corp.
|
4,100
|
107,772
|
Shimano,
Inc.
|
64,600
|
9,278,561
|
Shin-Etsu
Chemical Co., Ltd.
|
30,700
|
3,092,236
|
Shin-Etsu
Chemical Co., Ltd., ADR
|
7,000
|
176,050
|
Shin-Etsu
Polymer Co., Ltd.
|
12,700
|
81,874
|
Shinko
Shoji Co., Ltd.
|
15,800
|
278,910
|
Shinsho
Corp.
|
2,500
|
49,637
|
Shionogi
& Co., Ltd.
|
46,400
|
2,483,579
|
Sintokogio
Ltd.
|
5,100
|
43,293
|
SMC
Corp.
|
28,600
|
10,782,317
|
SMK
Corp.
|
1,900
|
47,777
|
Soliton
Systems KK
|
8,100
|
71,940
|
Sompo
Holdings, Inc.
|
305,300
|
12,170,908
|
Sony
Corp.
|
149,600
|
8,521,582
|
Sony
Financial Holdings, Inc.
|
40,700
|
938,156
|
Subaru
Corp.
|
11,900
|
318,390
|
Suminoe
Textile Co., Ltd.
|
3,400
|
89,140
|
Sumitomo
Corp.
|
135,000
|
2,023,375
|
Sumitomo
Heavy Industries Ltd.
|
10,200
|
292,686
|
Sumitomo
Mitsui Financial Group, Inc.
|
243,000
|
7,962,685
|
Sumitomo
Mitsui Trust Holdings, Inc.
|
209,800
|
6,845,777
|
Sumitomo
Warehouse Co., Ltd. (The)
|
37,300
|
492,961
|
Sun
Corp.
|
7,300
|
89,329
|
Sun-Wa
Technos Corp.
|
3,600
|
25,290
|
Suzuken
Co., Ltd.
|
2,100
|
112,749
|
Systena
Corp.
|
23,200
|
345,667
|
T&D
Holdings, Inc.
|
81,400
|
790,761
|
Taiheiyo
Cement Corp.
|
14,300
|
360,524
|
Takeda
Pharmaceutical Co., Ltd.
|
692,900
|
23,361,759
|
Takisawa
Machine Tool Co., Ltd.
|
4,200
|
47,621
|
Tatsuta
Electric Wire and Cable Co., Ltd.
|
18,000
|
72,667
|
Toa
Corp.
|
5,900
|
67,998
|
Tokio
Marine Holdings, Inc.
|
102,400
|
5,266,461
|
Tokio
Marine Holdings, Inc., ADR
|
6,668
|
342,969
|
Tokyo
Electric Power Co. Holdings, Inc.(a)
|
225,000
|
1,070,894
|
Tokyo
Electron Ltd.
|
22,300
|
3,976,353
|
Tokyo
Gas Co., Ltd.
|
900
|
22,734
|
Common
Stocks (continued)
|
Issuer
|
Shares
|
Value
($)
|
Tokyu
Corp.
|
33,800
|
603,984
|
Toppan
Printing Co., Ltd.
|
32,200
|
512,905
|
Toyo
Corp./Chuo-ku
|
19,500
|
190,353
|
Toyo
Seikan Group Holdings Ltd.
|
23,900
|
347,782
|
Toyo
Suisan Kaisha Ltd.
|
3,300
|
134,267
|
Toyota
Tsusho Corp.
|
289,700
|
8,972,259
|
Trend
Micro, Inc.
|
22,000
|
1,064,192
|
Trend
Micro, Inc., ADR
|
800
|
38,724
|
Uniden
Holdings Corp.
|
5,800
|
94,135
|
Unipres
Corp.
|
10,400
|
161,508
|
Ushio,
Inc.
|
30,900
|
395,745
|
USS
Co., Ltd.
|
13,300
|
251,264
|
Wellnet
Corp.
|
3,800
|
25,780
|
West
Japan Railway Co.
|
22,400
|
1,887,179
|
Yamaha
Motor Co., Ltd.
|
21,200
|
346,141
|
Yamaichi
Electronics Co., Ltd.
|
6,900
|
72,108
|
Yokowo
Co., Ltd.
|
1,500
|
37,763
|
Yorozu
Corp.
|
8,300
|
97,740
|
Total
|
291,815,834
|
Jersey
0.4%
|
boohoo
Group PLC(a)
|
2,510,663
|
7,408,816
|
IWG
PLC
|
119,465
|
606,904
|
Total
|
8,015,720
|
Netherlands
5.0%
|
Adyen
NV(a)
|
571
|
413,970
|
Aegon
NV
|
471,922
|
1,796,449
|
Aegon
NV, Registered Shares
|
11,900
|
44,982
|
Akzo
Nobel NV
|
141,023
|
12,640,757
|
ASML
Holding NV
|
38,046
|
8,461,686
|
ASR
Nederland NV
|
9,258
|
323,733
|
CNH
Industrial NV
|
93,655
|
966,632
|
Heineken
Holding NV
|
109,072
|
10,794,485
|
IMCD
NV
|
66,073
|
4,636,436
|
ING
Groep NV
|
808,088
|
7,720,210
|
Koninklijke
Ahold Delhaize NV, ADR
|
8,900
|
208,749
|
Koninklijke
KPN NV
|
1,318,323
|
4,175,538
|
Koninklijke
Philips NV
|
38,083
|
1,792,948
|
Koninklijke
Philips NV
|
133,075
|
6,272,397
|
NN
Group NV
|
73,143
|
2,450,941
|
The accompanying Notes to Financial Statements are an integral part
of this statement.
16
|
Multi-Manager International
Equity Strategies Fund | Annual Report 2019
|
Portfolio of Investments (continued)
August 31, 2019
Common
Stocks (continued)
|
Issuer
|
Shares
|
Value
($)
|
NN
Group NV, ADR
|
4,000
|
66,760
|
Randstad
NV
|
17,358
|
810,489
|
Signify
NV
|
8,676
|
253,874
|
STMicroelectronics
NV, Registered Shares
|
46,945
|
830,926
|
Takeaway.com
NV(a),(b)
|
57,643
|
5,505,574
|
Unilever
NV
|
25,147
|
1,561,377
|
Unilever
NV(a)
|
318,708
|
19,775,284
|
Wolters
Kluwer NV
|
51,015
|
3,672,350
|
Wolters
Kluwer NV, ADR
|
2,100
|
151,284
|
Total
|
95,327,831
|
New
Zealand 0.1%
|
Freightways
Ltd.
|
1,550
|
7,778
|
Xero
Ltd.(a)
|
20,654
|
879,154
|
Total
|
886,932
|
Norway
0.1%
|
Fjordkraft
Holding ASA(b)
|
20,097
|
107,629
|
Storebrand
ASA
|
148,668
|
854,504
|
Telenor
ASA
|
43,001
|
882,538
|
Total
|
1,844,671
|
Panama
0.5%
|
Copa
Holdings SA, Class A
|
90,216
|
9,308,487
|
Peru
0.4%
|
Credicorp
Ltd.
|
38,296
|
7,931,867
|
Russian
Federation 1.1%
|
Gazprom
PJSC
|
1,279,550
|
4,451,285
|
Gazprom
PJSC, ADR
|
43,500
|
301,179
|
Lukoil
PJSC
|
46,537
|
3,756,798
|
Magnit
PJSC GDR(b)
|
321,248
|
4,259,338
|
MMC
Norilsk Nickel PJSC, ADR
|
4,022
|
98,257
|
MMC
Norilsk Nickel PJSC, ADR
|
199,343
|
4,839,779
|
Rosseti
PJSC(a)
|
23,801,000
|
418,485
|
Sberbank
of Russia PJSC
|
346,190
|
1,163,707
|
Sberbank
of Russia PJSC, ADR
|
5,000
|
68,625
|
TCS
Group Holding PLC, GDR(b)
|
30,791
|
572,713
|
Total
|
19,930,166
|
Singapore
0.5%
|
United
Overseas Bank Ltd.
|
550,300
|
9,881,703
|
Common
Stocks (continued)
|
Issuer
|
Shares
|
Value
($)
|
South
Africa 1.0%
|
Discovery
Ltd.
|
777,489
|
5,898,627
|
Investec
Ltd.
|
146,243
|
772,153
|
Naspers
Ltd., Class N
|
51,421
|
11,701,662
|
Total
|
18,372,442
|
South
Korea 3.0%
|
Chosun
Refractories Co., Ltd.
|
301
|
21,215
|
Dasan
Networks, Inc.(a)
|
20,008
|
113,526
|
Eugene
Technology Co., Ltd.
|
12,300
|
125,044
|
Hana
Financial Group, Inc.
|
44,584
|
1,197,594
|
Jahwa
Electronics Co., Ltd.(a)
|
16,603
|
118,043
|
KB
Financial Group, Inc.
|
29,627
|
968,005
|
KB
Financial Group, Inc., ADR
|
3,985
|
129,552
|
KC
Tech Co., Ltd.
|
10,617
|
135,206
|
Kyeryong
Construction Industrial Co., Ltd.
|
3,444
|
65,060
|
NAVER
Corp.
|
45,720
|
5,538,488
|
Samsung
Electronics Co., Ltd.
|
458,065
|
16,677,680
|
Samsung
Electronics Co., Ltd. GDR
|
17,360
|
15,926,588
|
SK
Innovation Co., Ltd.
|
18,785
|
2,564,295
|
SK
Telecom Co., Ltd.
|
67,928
|
13,428,155
|
TechWing,
Inc.
|
9,956
|
76,269
|
Tovis
Co., Ltd.(a)
|
48,927
|
265,332
|
WiSoL
Co., Ltd.
|
14,017
|
166,757
|
Total
|
57,516,809
|
Spain
2.2%
|
Aena
SME SA
|
8,555
|
1,544,669
|
Amadeus
IT Group SA, ADR
|
1,259
|
93,859
|
Amadeus
IT Group SA, Class A
|
41,805
|
3,117,433
|
Banco
Santander SA, ADR
|
184,332
|
691,245
|
Bankinter
SA
|
954,579
|
5,562,599
|
CaixaBank
SA
|
2,703,326
|
6,134,310
|
Grifols
SA
|
175,055
|
5,555,740
|
Grupo
Catalana Occidente SA, ADR, Class A
|
4,604
|
154,837
|
Iberdrola
SA
|
510,814
|
5,258,325
|
Industria
de Diseno Textil SA
|
292,422
|
9,048,661
|
International
Consolidated Airlines Group SA, ADR
|
2,800
|
28,630
|
Mapfre
SA
|
293,936
|
766,011
|
Naturgy
Energy Group SA
|
12,960
|
339,641
|
The accompanying Notes to Financial Statements are an integral part
of this statement.
Multi-Manager
International Equity Strategies Fund | Annual Report 2019
|
17
|
Portfolio of Investments (continued)
August 31, 2019
Common
Stocks (continued)
|
Issuer
|
Shares
|
Value
($)
|
Telefonica
SA
|
441,342
|
3,066,204
|
Total
|
41,362,164
|
Sweden
1.5%
|
Atlas
Copco AB, Class B
|
431,250
|
11,507,093
|
Cellavision
AB
|
6,119
|
226,347
|
Epiroc
AB, Class B
|
769,804
|
7,642,594
|
Essity
AB, Class B
|
47,279
|
1,476,916
|
Evolution
Gaming Group AB
|
11,289
|
212,355
|
Fortnox
AB
|
5,960
|
92,910
|
Hennes
& Mauritz
|
152,796
|
2,928,094
|
Hexagon
AB, ADR
|
9,400
|
417,125
|
Hexagon
AB, Class B
|
11,275
|
502,151
|
Telefonaktiebolaget
LM Ericsson, ADR
|
103,419
|
810,805
|
Telefonaktiebolaget
LM Ericsson, Class B
|
239,414
|
1,873,457
|
Volvo
AB
|
4,243
|
58,643
|
Total
|
27,748,490
|
Switzerland
7.0%
|
ABB
Ltd.
|
1,064,622
|
20,245,019
|
Belimo
Holding AG, Registered Shares
|
55
|
278,066
|
Cie
Financiere Richemont SA, ADR
|
12,200
|
94,306
|
Cie
Financiere Richemont SA, Class A, Registered Shares
|
134,935
|
10,484,668
|
Coca-Cola
HBC AG(a)
|
47,613
|
1,584,182
|
Credit
Suisse Group AG, Registered Shares(a)
|
555,993
|
6,505,204
|
Kuehne
& Nagel International AG
|
62,052
|
9,040,603
|
Nestle
SA, ADR
|
13,838
|
1,555,599
|
Nestlé
SA, Registered Shares
|
265,844
|
29,874,070
|
Novartis
AG, ADR
|
60,175
|
5,422,369
|
Novartis
AG, Registered Shares
|
204,535
|
18,439,796
|
Roche
Holding AG
|
468
|
127,503
|
Roche
Holding AG, ADR
|
68,141
|
2,331,785
|
Roche
Holding AG, Genusschein Shares
|
99,605
|
27,218,088
|
Temenos
AG(a)
|
1,128
|
190,045
|
Temenos
AG, ADR
|
1,003
|
168,805
|
Total
|
133,560,108
|
Common
Stocks (continued)
|
Issuer
|
Shares
|
Value
($)
|
Taiwan
1.3%
|
Anpec
Electronics Corp.
|
133,000
|
254,100
|
Ardentec
Corp.
|
109,000
|
94,823
|
Globe
Union Industrial Corp.
|
26,000
|
13,403
|
Shane
Global Holding, Inc.
|
31,000
|
126,840
|
Taiwan
FU Hsing Industrial Co., Ltd.
|
83,000
|
117,833
|
Taiwan
Semiconductor Manufacturing Co., Ltd., ADR
|
553,663
|
23,602,654
|
TSC
Auto ID Technology Co., Ltd.
|
6,100
|
49,442
|
Total
|
24,259,095
|
Turkey
0.1%
|
Akbank
T.A.S.(a)
|
1,518,257
|
1,804,677
|
United
Kingdom 18.9%
|
3i
Group PLC
|
250,628
|
3,350,523
|
Abcam
PLC
|
10,481
|
147,681
|
Admiral
Group PLC
|
29,329
|
768,584
|
Aggreko
PLC
|
113,631
|
1,060,497
|
Anglo
American PLC
|
45,799
|
992,442
|
Ashmore
Group PLC
|
84,658
|
466,399
|
Ashtead
Group PLC
|
66,403
|
1,843,496
|
ASOS
PLC(a)
|
168,271
|
4,882,288
|
Associated
British Foods PLC
|
56,610
|
1,566,194
|
AstraZeneca
PLC
|
184,664
|
16,494,455
|
AstraZeneca
PLC, ADR
|
71,696
|
3,228,471
|
Avast
PLC
|
220,557
|
1,022,834
|
Aveva
Group PLC
|
16,093
|
726,049
|
Aviva
PLC
|
1,925,729
|
8,313,647
|
BAE
Systems PLC
|
169,315
|
1,125,967
|
Barclays
Bank PLC
|
9,979,234
|
16,623,686
|
Barratt
Developments PLC
|
55,901
|
431,536
|
BHP
Group PLC
|
224,627
|
4,859,490
|
BHP
Group PLC, ADR
|
67,102
|
2,898,135
|
BP
PLC
|
2,434,434
|
14,826,324
|
Brewin
Dolphin Holdings PLC
|
46,241
|
171,842
|
British
American Tobacco PLC
|
491,249
|
17,232,196
|
BT
Group PLC
|
669,952
|
1,349,695
|
BT
Group PLC, ADR
|
66,171
|
661,710
|
Burberry
Group PLC
|
305,126
|
8,075,530
|
Carnival
PLC
|
112,043
|
4,719,804
|
The accompanying Notes to Financial Statements are an integral part
of this statement.
18
|
Multi-Manager International
Equity Strategies Fund | Annual Report 2019
|
Portfolio of Investments (continued)
August 31, 2019
Common
Stocks (continued)
|
Issuer
|
Shares
|
Value
($)
|
Centrica
PLC
|
463,353
|
393,476
|
Compass
Group PLC
|
120,039
|
3,044,472
|
Compass
Group PLC, ADR
|
27,236
|
690,705
|
DFS
Furniture PLC
|
71,675
|
189,255
|
Diageo
PLC, ADR
|
29,142
|
4,991,442
|
Direct
Line Insurance Group PLC
|
92,639
|
319,664
|
Dunelm
Group PLC
|
64,048
|
682,698
|
Experian
PLC
|
505,839
|
15,557,394
|
Experian
PLC, ADR
|
18,372
|
565,398
|
Ferguson
PLC
|
18,747
|
1,382,622
|
Galiform
PLC
|
725,500
|
4,759,444
|
GlaxoSmithKline
PLC, ADR
|
86,434
|
3,593,926
|
Glencore
PLC(a)
|
799,612
|
2,294,351
|
Go-Ahead
Group PLC (The)
|
7,829
|
198,148
|
GoCo
Group PLC
|
301,247
|
276,861
|
Greggs
PLC
|
40,285
|
1,037,328
|
Halma
PLC
|
71,615
|
1,717,637
|
Hammerson
PLC
|
177,884
|
491,340
|
Hargreaves
Lansdown PLC
|
440,864
|
10,119,251
|
Hays
PLC
|
122,921
|
209,813
|
IG
Group Holdings PLC
|
72,450
|
477,148
|
Imperial
Brands PLC, ADR
|
8,500
|
220,490
|
Inchcape
PLC
|
43,143
|
304,092
|
Indivior
PLC(a)
|
62,615
|
45,958
|
InterContinental
Hotels Group PLC
|
18,664
|
1,168,181
|
Intermediate
Capital Group PLC
|
60,150
|
982,189
|
International
Consolidated Airlines Group SA
|
157,340
|
808,939
|
Johnson
Matthey PLC
|
186,213
|
6,620,659
|
Jupiter
Fund Management PLC
|
263,718
|
1,099,269
|
Just
Eat PLC(a)
|
640,568
|
6,131,594
|
Kingfisher
PLC
|
150,836
|
357,130
|
Kingfisher
PLC, ADR
|
27,200
|
128,792
|
Land
Securities Group PLC
|
49,050
|
463,302
|
Linde
PLC
|
103,555
|
19,496,822
|
Lloyds
Banking Group PLC
|
13,545,611
|
8,241,378
|
Lookers
PLC
|
228,187
|
129,389
|
Meggitt
PLC
|
85,992
|
649,011
|
Micro
Focus International PLC
|
435,566
|
5,948,096
|
Micro
Focus International PLC, ADR
|
4,200
|
57,960
|
Common
Stocks (continued)
|
Issuer
|
Shares
|
Value
($)
|
National
Grid PLC, ADR
|
49,700
|
2,599,807
|
Persimmon
PLC
|
37,678
|
874,868
|
Prudential
PLC
|
1,602,324
|
26,707,667
|
Prudential
PLC, ADR
|
48,313
|
1,613,171
|
Reckitt
Benckiser Group PLC, ADR
|
18,417
|
290,344
|
Redrow
PLC
|
42,759
|
288,056
|
RELX
PLC
|
166,210
|
3,988,418
|
RELX
PLC
|
133,429
|
3,190,421
|
Renishaw
PLC
|
3,379
|
146,306
|
Rio
Tinto PLC
|
343,528
|
17,411,990
|
Rio
Tinto PLC, ADR
|
118,907
|
6,014,316
|
Rolls-Royce
Holdings PLC(a)
|
1,694,354
|
15,924,010
|
Rotork
PLC
|
131,002
|
495,238
|
Royal
Dutch Shell PLC, Class B
|
526,790
|
14,586,730
|
Saga
PLC
|
164,188
|
82,151
|
Sage
Group PLC (The)
|
349,228
|
2,987,137
|
Scottish
& Southern Energy PLC
|
836,735
|
11,738,853
|
Senior
PLC
|
242,289
|
596,710
|
Smith
& Nephew PLC
|
170,873
|
4,094,613
|
St.
James’s Place PLC
|
385,784
|
4,327,103
|
Taylor
Wimpey PLC
|
403,955
|
718,952
|
Unilever
PLC, ADR
|
31,549
|
1,993,266
|
Vesuvius
PLC
|
41,679
|
236,129
|
Victrex
PLC
|
15,768
|
400,681
|
Vodafone
Group PLC
|
7,752,143
|
14,667,191
|
Whitbread
PLC
|
9,675
|
515,904
|
Total
|
360,175,131
|
United
States 0.5%
|
Spotify
Technology SA(a)
|
65,094
|
8,784,435
|
Virgin
Islands 0.0%
|
Hollysys
Automation Technologies Ltd.
|
41,799
|
654,154
|
Total
Common Stocks
(Cost $1,982,771,746)
|
1,843,290,971
|
|
Exchange-Traded
Funds 0.2%
|
|
Shares
|
Value
($)
|
United
States 0.2%
|
iShares
MSCI EAFE ETF
|
47,072
|
2,975,421
|
Total
Exchange-Traded Funds
(Cost $3,038,471)
|
2,975,421
|
The accompanying Notes to Financial Statements are an integral part
of this statement.
Multi-Manager
International Equity Strategies Fund | Annual Report 2019
|
19
|
Portfolio of Investments
(continued)
August 31, 2019
Participation
Notes 0.0%
|
Issuer
|
|
|
Shares
|
Value
($)
|
United
Kingdom 0.0%
|
HSBC
Bank PLC
|
(linked
to common shares of Alinma Bank)
|
01/19/2021
|
|
|
42,005
|
246,707
|
Total
Participation Notes
(Cost $242,409)
|
246,707
|
Preferred
Stocks 1.6%
|
Issuer
|
|
Shares
|
Value
($)
|
Colombia
0.0%
|
Grupo
de Inversiones Suramericana SA
|
|
10,796
|
96,462
|
Germany
1.5%
|
Henkel
AG & Co. KGaA
|
|
13,795
|
1,384,337
|
Porsche
Automobil Holding SE
|
|
18,743
|
1,177,256
|
Schaeffler
AG
|
|
6,869
|
46,681
|
Volkswagen
AG
|
|
162,199
|
26,103,977
|
Total
|
28,712,251
|
Preferred
Stocks (continued)
|
Issuer
|
|
Shares
|
Value
($)
|
Russian
Federation 0.0%
|
Tatneft
PJSC
|
|
21,770
|
207,313
|
Spain
0.1%
|
Grifols
SA
|
|
101,328
|
2,161,005
|
Total
Preferred Stocks
(Cost $34,868,240)
|
31,177,031
|
Money
Market Funds 0.8%
|
|
Shares
|
Value
($)
|
Columbia
Short-Term Cash Fund, 2.208%(c),(d)
|
15,669,041
|
15,667,474
|
Total
Money Market Funds
(Cost $15,667,474)
|
15,667,474
|
Total
Investments in Securities
(Cost $2,036,588,340)
|
1,893,357,604
|
Other
Assets & Liabilities, Net
|
|
7,774,794
|
Net
Assets
|
$1,901,132,398
|
Notes to Portfolio of Investments
(a)
|
Non-income
producing investment.
|
(b)
|
Represents privately
placed and other securities and instruments exempt from Securities and Exchange Commission registration (collectively, private placements), such as Section 4(a)(2) and Rule 144A eligible securities, which are often sold only to qualified
institutional buyers. 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 August 31, 2019, the total value of these securities amounted to $26,716,785, which represents 1.41% of total net assets.
|
(c)
|
The rate
shown is the seven-day current annualized yield at August 31, 2019.
|
(d)
|
As
defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. Holdings and
transactions in these affiliated companies during the year ended August 31, 2019 are as follows:
|
Issuer
|
Beginning
shares
|
Shares
purchased
|
Shares
sold
|
Ending
shares
|
Realized
gain
(loss) —
affiliated
issuers ($)
|
Net
change in
unrealized
appreciation
(depreciation) —
affiliated
issuers ($)
|
Dividends
—
affiliated
issuers ($)
|
Value
—
affiliated
issuers
at end of
period ($)
|
Columbia
Short-Term Cash Fund, 2.208%
|
|
25,677,255
|
383,686,242
|
(393,694,456)
|
15,669,041
|
(273)
|
—
|
524,753
|
15,667,474
|
Abbreviation
Legend
ADR
|
American
Depositary Receipt
|
GDR
|
Global
Depositary Receipt
|
Fair
value measurements
The Fund categorizes its
fair value measurements according to a three-level hierarchy that maximizes the use of observable inputs and minimizes the use of unobservable inputs by prioritizing that the most observable input be used when available. Observable inputs are those
that market participants would use in pricing an investment based on market data obtained from sources independent of the reporting entity. Unobservable inputs are those that reflect the Fund’s assumptions about the information market
participants would use in pricing an investment. An investment’s level within the fair value hierarchy is based on the lowest level of any input that is deemed significant to the asset’s or liability’s fair value measurement. The
input levels are not necessarily an indication of the risk or liquidity associated with investments at that level. For example, certain U.S. government securities are generally high quality and liquid, however, they are reflected as Level 2 because
the inputs used to determine fair value may not always be quoted prices in an active market.
The accompanying Notes to Financial Statements are an integral part of this
statement.
20
|
Multi-Manager International
Equity Strategies Fund | Annual Report 2019
|
Portfolio of Investments (continued)
August 31, 2019
Fair value
measurements (continued)
Fair value inputs are summarized in the three broad levels listed below:
■
|
Level 1 — Valuations
based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments.
|
■
|
Level 2 — Valuations
based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.).
|
■
|
Level 3 — Valuations
based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments).
|
Inputs that are used in determining fair value of an investment
may include price information, credit data, volatility statistics, and other factors. These inputs can be either observable or unobservable. The availability of observable inputs can vary between investments, and is affected by various factors such
as the type of investment, and the volume and level of activity for that investment or similar investments in the marketplace. The inputs will be considered by the Investment Manager, along with any other relevant factors in the calculation of an
investment’s fair value. The Fund uses prices and inputs that are current as of the measurement date, which may include periods of market dislocations. During these periods, the availability of prices and inputs may be reduced for many
investments. This condition could cause an investment to be reclassified between the various levels within the hierarchy.
Foreign equity securities actively traded in markets where there
is a significant delay in the local close relative to the New York Stock Exchange are classified as Level 2. The values of these securities may include an adjustment to reflect the impact of significant market movements following the close of local
trading, as described in Note 2 to the financial statements – Security valuation.
Investments falling into the Level 3 category are primarily
supported by quoted prices from brokers and dealers participating in the market for those investments. However, these may be classified as Level 3 investments due to lack of market transparency and corroboration to support these quoted prices.
Additionally, valuation models may be used as the pricing source for any remaining investments classified as Level 3. These models may rely on one or more significant unobservable inputs and/or significant assumptions by the Investment Manager.
Inputs used in valuations may include, but are not limited to, financial statement analysis, capital account balances, discount rates and estimated cash flows, and comparable company data.
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.
The following table is a summary of the
inputs used to value the Fund’s investments at August 31, 2019:
|
Level
1 ($)
|
Level
2 ($)
|
Level
3 ($)
|
Total
($)
|
Investments
in Securities
|
|
|
|
|
Common
Stocks
|
|
|
|
|
Argentina
|
22,845,721
|
—
|
—
|
22,845,721
|
Australia
|
4,123,393
|
52,248,738
|
—
|
56,372,131
|
Austria
|
—
|
473,291
|
—
|
473,291
|
Belgium
|
—
|
4,518,088
|
—
|
4,518,088
|
Brazil
|
10,404,904
|
39,514
|
—
|
10,444,418
|
Canada
|
66,120,745
|
—
|
—
|
66,120,745
|
Chile
|
355,120
|
—
|
—
|
355,120
|
China
|
33,964,701
|
34,347,510
|
—
|
68,312,211
|
Colombia
|
534,704
|
—
|
—
|
534,704
|
Cyprus
|
—
|
74,014
|
—
|
74,014
|
Denmark
|
1,609,834
|
25,836,493
|
—
|
27,446,327
|
Finland
|
—
|
17,686,958
|
—
|
17,686,958
|
France
|
—
|
125,313,610
|
—
|
125,313,610
|
Germany
|
3,819,830
|
186,003,149
|
—
|
189,822,979
|
Greece
|
—
|
36,568
|
—
|
36,568
|
Guernsey
|
—
|
6,696
|
—
|
6,696
|
Hong
Kong
|
415,368
|
40,317,868
|
—
|
40,733,236
|
Ireland
|
17,498,847
|
19,191,212
|
—
|
36,690,059
|
Israel
|
1,961,647
|
1,634,251
|
—
|
3,595,898
|
Italy
|
1,515,376
|
51,212,105
|
—
|
52,727,481
|
Japan
|
515,788
|
291,300,046
|
—
|
291,815,834
|
Jersey
|
—
|
8,015,720
|
—
|
8,015,720
|
Netherlands
|
4,230,233
|
91,097,598
|
—
|
95,327,831
|
New
Zealand
|
—
|
886,932
|
—
|
886,932
|
Norway
|
—
|
1,844,671
|
—
|
1,844,671
|
The accompanying Notes to Financial Statements are an integral part of this
statement.
Multi-Manager
International Equity Strategies Fund | Annual Report 2019
|
21
|
Portfolio of Investments (continued)
August 31, 2019
Fair value
measurements (continued)
|
Level
1 ($)
|
Level
2 ($)
|
Level
3 ($)
|
Total
($)
|
Panama
|
9,308,487
|
—
|
—
|
9,308,487
|
Peru
|
7,931,867
|
—
|
—
|
7,931,867
|
Russian
Federation
|
—
|
19,930,166
|
—
|
19,930,166
|
Singapore
|
—
|
9,881,703
|
—
|
9,881,703
|
South
Africa
|
—
|
18,372,442
|
—
|
18,372,442
|
South
Korea
|
129,552
|
57,387,257
|
—
|
57,516,809
|
Spain
|
691,245
|
40,670,919
|
—
|
41,362,164
|
Sweden
|
810,805
|
26,937,685
|
—
|
27,748,490
|
Switzerland
|
5,422,369
|
128,137,739
|
—
|
133,560,108
|
Taiwan
|
23,602,654
|
656,441
|
—
|
24,259,095
|
Turkey
|
—
|
1,804,677
|
—
|
1,804,677
|
United
Kingdom
|
27,652,204
|
332,522,927
|
—
|
360,175,131
|
United
States
|
8,784,435
|
—
|
—
|
8,784,435
|
Virgin
Islands
|
654,154
|
—
|
—
|
654,154
|
Total
Common Stocks
|
254,903,983
|
1,588,386,988
|
—
|
1,843,290,971
|
Exchange-Traded
Funds
|
2,975,421
|
—
|
—
|
2,975,421
|
Participation
Notes
|
—
|
246,707
|
—
|
246,707
|
Preferred
Stocks
|
|
|
|
|
Colombia
|
96,462
|
—
|
—
|
96,462
|
Germany
|
—
|
28,712,251
|
—
|
28,712,251
|
Russian
Federation
|
—
|
207,313
|
—
|
207,313
|
Spain
|
—
|
2,161,005
|
—
|
2,161,005
|
Total
Preferred Stocks
|
96,462
|
31,080,569
|
—
|
31,177,031
|
Money
Market Funds
|
15,667,474
|
—
|
—
|
15,667,474
|
Total
Investments in Securities
|
273,643,340
|
1,619,714,264
|
—
|
1,893,357,604
|
See the Portfolio of Investments for
all investment classifications not indicated in the table.
The Fund’s assets assigned to the Level 2 input category
are generally valued using the market approach, in which a security’s value is determined through reference to prices and information from market transactions for similar or identical assets. These assets include certain foreign securities for
which a third party statistical pricing service may be employed for purposes of fair market valuation. The model utilized by such third party statistical pricing service takes into account a security’s correlation to available market data
including, but not limited to, intraday index, ADR, and exchange-traded fund movements.
The accompanying Notes to Financial Statements are an integral part of this
statement.
22
|
Multi-Manager International
Equity Strategies Fund | Annual Report 2019
|
Statement of Assets and Liabilities
August 31, 2019
Assets
|
|
Investments
in securities, at value
|
|
Unaffiliated
issuers (cost $2,020,920,866)
|
$1,877,690,130
|
Affiliated
issuers (cost $15,667,474)
|
15,667,474
|
Foreign
currency (cost $747,122)
|
746,362
|
Receivable
for:
|
|
Investments
sold
|
6,035,600
|
Capital
shares sold
|
2,449,314
|
Dividends
|
5,994,206
|
Foreign
tax reclaims
|
2,339,936
|
Prepaid
expenses
|
12,683
|
Trustees’
deferred compensation plan
|
15,513
|
Total
assets
|
1,910,951,218
|
Liabilities
|
|
Due
to custodian
|
3,085
|
Payable
for:
|
|
Investments
purchased
|
6,481,662
|
Capital
shares purchased
|
2,753,735
|
Management
services fees
|
41,432
|
Transfer
agent fees
|
233,703
|
Compensation
of chief compliance officer
|
124
|
Other
expenses
|
289,566
|
Trustees’
deferred compensation plan
|
15,513
|
Total
liabilities
|
9,818,820
|
Net
assets applicable to outstanding capital stock
|
$1,901,132,398
|
Represented
by
|
|
Paid
in capital
|
2,095,584,031
|
Total
distributable earnings (loss) (Note 2)
|
(194,451,633)
|
Total
- representing net assets applicable to outstanding capital stock
|
$1,901,132,398
|
Institutional
Class
|
|
Net
assets
|
$1,901,132,398
|
Shares
outstanding
|
209,884,422
|
Net
asset value per share
|
$9.06
|
The accompanying Notes to Financial Statements are an integral part of this
statement.
Multi-Manager
International Equity Strategies Fund | Annual Report 2019
|
23
|
Statement of Operations
Year Ended August 31, 2019
Net
investment income
|
|
Income:
|
|
Dividends
— unaffiliated issuers
|
$72,358,218
|
Dividends
— affiliated issuers
|
524,753
|
Interest
|
3,026
|
Foreign
taxes withheld
|
(5,577,165)
|
Total
income
|
67,308,832
|
Expenses:
|
|
Management
services fees
|
15,100,870
|
Transfer
agent fees
|
|
Institutional
Class
|
3,114,501
|
Compensation
of board members
|
39,980
|
Custodian
fees
|
301,790
|
Printing
and postage fees
|
224,053
|
Registration
fees
|
290,593
|
Audit
fees
|
33,800
|
Legal
fees
|
38,650
|
Interest
on interfund lending
|
296
|
Compensation
of chief compliance officer
|
833
|
Other
|
165,830
|
Total
expenses
|
19,311,196
|
Net
investment income
|
47,997,636
|
Realized
and unrealized gain (loss) — net
|
|
Net
realized gain (loss) on:
|
|
Investments
— unaffiliated issuers
|
(80,530,089)
|
Investments
— affiliated issuers
|
(273)
|
Foreign
currency translations
|
188,840
|
Net
realized loss
|
(80,341,522)
|
Net
change in unrealized appreciation (depreciation) on:
|
|
Investments
— unaffiliated issuers
|
(86,242,626)
|
Foreign
currency translations
|
(34,653)
|
Net
change in unrealized appreciation (depreciation)
|
(86,277,279)
|
Net
realized and unrealized loss
|
(166,618,801)
|
Net
decrease in net assets resulting from operations
|
$(118,621,165)
|
The accompanying Notes to Financial Statements are an
integral part of this statement.
24
|
Multi-Manager International
Equity Strategies Fund | Annual Report 2019
|
Statement of Changes in Net Assets
|
Year
Ended
August 31, 2019
|
Year
Ended
August 31, 2018 (a)
|
Operations
|
|
|
Net
investment income
|
$47,997,636
|
$7,950,267
|
Net
realized loss
|
(80,341,522)
|
(12,802,605)
|
Net
change in unrealized appreciation (depreciation)
|
(86,277,279)
|
(56,976,251)
|
Net
decrease in net assets resulting from operations
|
(118,621,165)
|
(61,828,589)
|
Distributions
to shareholders
|
|
|
Net
investment income and net realized gains
|
|
|
Institutional
Class
|
(14,001,879)
|
—
|
Total
distributions to shareholders (Note 2)
|
(14,001,879)
|
—
|
Increase
(decrease) in net assets from capital stock activity
|
(9,518,669)
|
2,105,082,700
|
Total
increase (decrease) in net assets
|
(142,141,713)
|
2,043,254,111
|
Net
assets at beginning of year
|
2,043,274,111
|
20,000
|
Net
assets at end of year
|
$1,901,132,398
|
$2,043,274,111
|
Undistributed
net investment income
|
$42,675,032
|
$8,207,568
|
|
Year
Ended
|
Year
Ended
|
|
August
31, 2019
|
August
31, 2018 (a)
|
|
Shares
|
Dollars
($)
|
Shares
|
Dollars
($)
|
Capital
stock activity
|
Institutional
Class
|
|
|
|
|
Subscriptions
|
44,454,811
|
408,309,500
|
219,285,195
|
2,183,577,392
|
Distributions
reinvested
|
1,678,866
|
14,001,741
|
—
|
—
|
Redemptions
|
(47,483,266)
|
(431,829,910)
|
(8,053,184)
|
(78,494,692)
|
Net
increase (decrease)
|
(1,349,589)
|
(9,518,669)
|
211,232,011
|
2,105,082,700
|
Total
net increase (decrease)
|
(1,349,589)
|
(9,518,669)
|
211,232,011
|
2,105,082,700
|
(a)
|
Based on
operations from May 17, 2018 (fund commencement of operations) through the stated period end.
|
The accompanying Notes to Financial Statements are an integral part of this
statement.
Multi-Manager
International Equity Strategies Fund | Annual Report 2019
|
25
|
The
following table is intended to help you understand the Fund’s financial performance. Certain information reflects financial results for a single share of a class held for the periods shown. Per share net investment income (loss) amounts are
calculated based on average shares outstanding during the period. Total return assumes reinvestment of all dividends and distributions, if any. Total return does not reflect payment of sales charges, if any. Total return and portfolio turnover are
not annualized for periods of less than one year. The portfolio turnover rate is calculated without regard to purchase and sales transactions of short-term instruments and certain derivatives, if any. If such transactions were included, the
Fund’s portfolio turnover rate may be higher.
Institutional
Class
|
Year
Ended August 31,
|
2019
|
2018
(a)
|
Per
share data
|
|
|
Net
asset value, beginning of period
|
$9.67
|
$10.00
|
Income
(loss) from investment operations:
|
|
|
Net
investment income
|
0.23
|
0.04
|
Net
realized and unrealized loss
|
(0.77)
|
(0.37)
|
Total
from investment operations
|
(0.54)
|
(0.33)
|
Distributions
to shareholders
|
|
|
Distributions
from net investment income
|
(0.07)
|
—
|
Total
distributions to shareholders
|
(0.07)
|
—
|
Net
asset value, end of period
|
$9.06
|
$9.67
|
Total
return
|
(5.53%)
|
(3.30%)
|
Ratios
to average net assets
|
|
|
Total
gross expenses(b)
|
1.02%
(c)
|
1.05%
(d)
|
Total
net expenses(b),(e)
|
1.02%
(c)
|
1.05%
(d)
|
Net
investment income
|
2.54%
|
1.51%
(d)
|
Supplemental
data
|
|
|
Net
assets, end of period (in thousands)
|
$1,901,132
|
$2,043,274
|
Portfolio
turnover
|
63%
|
17%
|
Notes
to Financial Highlights
|
(a)
|
The Fund
commenced operations on May 17, 2018. Per share data and total return reflect activity from that date.
|
(b)
|
In
addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense
ratios.
|
(c)
|
Ratios
include interfund lending expense which is less than 0.01%.
|
(d)
|
Annualized.
|
(e)
|
Total net
expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable.
|
The accompanying Notes to Financial Statements are an integral part of this
statement.
26
|
Multi-Manager International
Equity Strategies Fund | Annual Report 2019
|
Notes to Financial Statements
August 31, 2019
Note 1. Organization
Multi-Manager International Equity Strategies Fund (the
Fund), a series of Columbia Funds Series Trust I (the Trust), is a diversified fund. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a
Massachusetts business trust.
Fund shares
The Trust may issue an unlimited number of shares (without par
value). The Fund is offered only through certain wrap fee programs sponsored and/or managed by Ameriprise Financial, Inc. (Ameriprise Financial) or its affiliates. The Fund offers each of the share classes listed in the Statement of Assets and
Liabilities which are not subject to any front-end sales charge or contingent deferred sales charge.
Note 2. Summary of significant accounting
policies
Basis of preparation
The Fund is an investment company that applies the accounting
and reporting guidance in the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946, Financial Services - Investment Companies (ASC 946). The financial statements are prepared
in accordance with U.S. generally accepted accounting principles (GAAP), which requires management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities, the disclosure of contingent assets and
liabilities at the date of the financial statements and the reported amounts of income and expenses during the reporting period. Actual results could differ from those estimates.
The following is a summary of significant accounting policies
followed by the Fund in the preparation of its financial statements.
Security valuation
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 official closing price on the principal exchange or market on which they trade. 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 determined at the scheduled closing time of the New York Stock Exchange. Many securities markets and exchanges outside the U.S. close prior to the close of the New York Stock Exchange; therefore, the
closing prices for securities in such markets or on such exchanges may not fully reflect events that occur after such close but before the close of the New York Stock Exchange. In those situations, foreign securities will be fair valued pursuant to
a policy adopted by the Board of Trustees. Under the policy, the Fund may utilize a third party pricing service to determine these fair values. The third-party pricing service takes into account multiple factors, including, but not limited to,
movements in the U.S. securities markets, certain depositary receipts, futures contracts and foreign exchange rates that have occurred subsequent to the close of the foreign exchange or market, to determine a good faith estimate that reasonably
reflects the current market conditions as of the close of the New York Stock Exchange. The fair value of a security is likely to be different from the quoted or published price, if available.
Participation Notes are valued at the market price of the
underlying equity security. Counterparty risk is regularly reviewed and considered for valuation.
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.
Multi-Manager
International Equity Strategies Fund | Annual Report 2019
|
27
|
Notes to Financial Statements (continued)
August 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.
Participation notes
The Fund invests in Participation Notes (P-Notes), which are a
type of equity-linked note. P-Notes are issued by a bank or broker-dealer that entitles the Fund to a return measured by the change in value of a single equity security, basket of equity securities or an index of equity securities (each, an
Underlying Equity). P-Notes are typically used when a direct investment in the Underlying Equity is restricted due to country-specific regulations. Investment in a P-Note is not the same as investment in the constituent shares of the company (or
other issuer type) to which the Underlying Equity is economically tied. A P-Note represents only an obligation of the company or other issuer type to provide the Fund the economic performance equivalent to holding shares of the Underlying Equity.
The holder of a P-Note is entitled to receive from the bank or broker-dealer any dividends or other distributions paid on the Underlying Equity. Income received from P-Notes is recorded as dividend income in the Statement of Operations. A P-Note
does not provide any beneficial or equitable entitlement or interest in the relevant Underlying Equity. In other words, shares of the Underlying Equity are not in any way owned by the Fund. Risks associated with P-Notes include the possible failure
of a counterparty (i.e., the issuing bank or broker-dealer) to perform in accordance with the terms of the agreement, inability to transfer or liquidate the notes, potential delays or an inability to redeem the notes before maturity under certain
market conditions, and limited legal recourse against the issuer of the underlying common stock.
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.
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,
28
|
Multi-Manager International
Equity Strategies Fund | Annual Report 2019
|
Notes to Financial Statements (continued)
August 31, 2019
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.
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 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
Multi-Manager
International Equity Strategies Fund | Annual Report 2019
|
29
|
Notes to Financial Statements (continued)
August 31, 2019
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. The standard is effective for annual periods beginning after December 15, 2019 and interim periods within
those fiscal years, with early adoption permitted. After evaluation, management determined to adopt the ASU effective for the period ended August 31, 2019 and all subsequent periods. As a result of the amendments, management implemented disclosure
changes which include removal of the amount and reasons for transfers between Level 1 and Level 2 of the fair value hierarchy, removal of the policy for the timing of transfers between levels, removal of the description of the Level 3 valuation
processes, as well as modifications to the measurement uncertainty disclosure.
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 Investment Manager is responsible for the ultimate oversight of investments made by the Fund. The Fund’s subadvisers (see Subadvisory agreements below) have the primary
responsibility for the day-to-day portfolio management of their portion of the Fund. The management services fee is an annual fee that is equal to a percentage of the Fund’s daily net assets that declines from 0.87% to 0.67% as the
Fund’s net assets increase. The effective management services fee rate for the year ended August 31, 2019 was 0.80% of the Fund’s average daily net assets.
Subadvisory agreements
The Investment Manager has entered into Subadvisory Agreements
with Arrowstreet Capital, Limited Partnership (Arrowstreet), Baillie Gifford Overseas Limited (Baillie Gifford) and Causeway Capital Management LLC (Causeway) to subadvise a portion of the Fund. The Investment Manager compensates Arrowstreet,
Baillie Gifford and Causeway to manage the investments of a portion of the Fund’s assets.
Other expenses
Other expenses include offering costs which were incurred
prior to the shares of the Fund being offered. Offering costs include, among other things, state registration filing fees and printing costs. The Fund amortizes offering costs over a period of 12 months from the commencement of operations.
30
|
Multi-Manager International
Equity Strategies Fund | Annual Report 2019
|
Notes to Financial Statements (continued)
August 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.
For the year ended August 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 (%)
|
Institutional
Class
|
0.16
|
Distribution and service fees
The Fund has an agreement with Columbia Management Investment
Distributors, Inc. (the Distributor), an affiliate of the Investment Manager and a wholly-owned subsidiary of Ameriprise Financial, for distribution and shareholder services. The Fund does not pay the Distributor a fee for the distribution services
it provides to the Fund.
Expenses waived/reimbursed by the
Investment Manager and its affiliates
The Investment
Manager and certain of its affiliates have contractually agreed to waive fees and/or reimburse expenses (excluding certain fees and expenses described below) for the period(s) disclosed below, unless sooner terminated at the sole discretion of the
Board of Trustees, so that the Fund’s net operating expenses, after giving effect to fees waived/expenses reimbursed and any balance credits and/or overdraft charges from the Fund’s custodian, do not exceed the following annual rate(s)
as a percentage of the class’ average daily net assets:
|
Fee
rate(s) contractual
through
December 31, 2019
|
Institutional
Class
|
1.07
|
Multi-Manager
International Equity Strategies Fund | Annual Report 2019
|
31
|
Notes to Financial Statements (continued)
August 31, 2019
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 August 31, 2019, these differences were primarily due to
differing treatment for deferral/reversal of wash sale losses, trustees’ deferred compensation, non-deductible expenses, capital loss carryforward, foreign currency transactions, and passive foreign investment company (PFIC) holdings. 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) ($)
|
Paid
in
capital ($)
|
471,707
|
(471,707)
|
—
|
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 August 31, 2019
|
Year
Ended August 31, 2018
|
Ordinary
income ($)
|
Long-term
capital gains ($)
|
Total
($)
|
Ordinary
income ($)
|
Long-term
capital gains ($)
|
Total
($)
|
14,001,879
|
—
|
14,001,879
|
—
|
—
|
—
|
Short-term capital gain
distributions, if any, are considered ordinary income distributions for tax purposes.
At August 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 ($)
|
Net
unrealized
(depreciation) ($)
|
43,099,366
|
—
|
(81,466,281)
|
(156,039,729)
|
At August 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) ($)
|
Net
unrealized
(depreciation) ($)
|
2,049,397,333
|
97,964,827
|
(254,004,556)
|
(156,039,729)
|
Tax cost of investments and
unrealized appreciation/(depreciation) may also include timing differences that do not constitute adjustments to tax basis.
32
|
Multi-Manager International
Equity Strategies Fund | Annual Report 2019
|
Notes to Financial Statements (continued)
August 31, 2019
The
following capital loss carryforwards, determined at August 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 August 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
($)
|
(72,854,354)
|
(8,611,927)
|
(81,466,281)
|
—
|
—
|
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 $1,221,631,796 and $1,190,838,730, respectively, for the year ended August 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.
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 August 31, 2019 was as follows:
Borrower
or lender
|
Average
loan
balance ($)
|
Weighted
average
interest rate (%)
|
Days
outstanding
|
Borrower
|
950,000
|
2.81
|
4
|
Interest expense incurred by the
Fund is recorded as Interfund lending in the Statement of Operations. The Fund had no outstanding interfund loans at August 31, 2019.
Multi-Manager
International Equity Strategies Fund | Annual Report 2019
|
33
|
Notes to Financial Statements (continued)
August 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 August 31,
2019.
Note 9. Significant risks
Foreign securities and emerging market countries risk
Investing in foreign securities may involve certain risks not
typically associated with investing in U.S. securities, such as increased currency volatility and risks associated with political, regulatory, economic, social, diplomatic and other conditions or events occurring in the country or region, which may
result in significant market volatility. In addition, certain foreign securities may not be as liquid as U.S. securities. Investing in emerging markets may increase these risks and expose the Fund to elevated risks associated with increased
inflation, deflation or currency devaluation. To the extent that the Fund concentrates its investment exposure to any one or a few specific countries, the Fund will be particularly susceptible to the risks associated with the conditions, events or
other factors impacting those countries or regions and may, therefore, have a greater risk than that of a fund that is more geographically diversified.
Geographic focus risk
The Fund may be particularly susceptible to economic,
political, regulatory or other events or conditions affecting issuers and countries within the specific geographic regions in which the Fund invests. Currency devaluations could occur in countries that have not yet experienced currency devaluation
to date, or could continue to occur in countries that have already experienced such devaluations. As a result the Fund’s NAV may be more volatile than the NAV of a more geographically diversified fund.
Shareholder concentration risk
At August 31, 2019, affiliated shareholders of record owned
100.0% of the outstanding shares of the Fund in one or more accounts. Subscription and redemption activity by concentrated accounts may have a significant effect on the operations of the Fund. In the case of a large redemption, the Fund may be
forced to sell investments at inopportune times, including its liquid positions, which may result in Fund losses and the Fund holding a higher percentage of less liquid positions. Large redemptions could result in decreased economies of scale and
increased operating expenses for non-redeeming Fund shareholders.
Note 10. Subsequent events
Management has evaluated the events and transactions that
have occurred through the date the financial statements were issued and noted no items requiring adjustment of the financial statements or additional disclosure.
Note 11. Information regarding pending and settled
legal proceedings
Ameriprise Financial and certain of
its affiliates 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
34
|
Multi-Manager International
Equity Strategies Fund | Annual Report 2019
|
Notes to Financial Statements (continued)
August 31, 2019
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.
Multi-Manager
International Equity Strategies Fund | Annual Report 2019
|
35
|
Report of Independent Registered Public Accounting Firm
To the
Board of Trustees of Columbia Funds Series Trust I and Shareholders of Multi-Manager International Equity Strategies Fund
Opinion on the Financial Statements
We have audited the accompanying statement of assets and
liabilities, including the portfolio of investments, of Multi-Manager International Equity Strategies Fund (one of the funds constituting Columbia Funds Series Trust I, hereafter referred to as the “Fund”) as of August 31, 2019, the
related statement of operations for the year ended August 31, 2019 and the statement of changes in net assets and the financial highlights for the year ended August 31, 2019 and for the period May 17, 2018 (commencement of operations) through August
31, 2018, including the related notes (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 August 31, 2019,
the results of its operations for the year ended August 31, 2019, and the changes in its net assets and the financial highlights for the year ended August 31, 2019 and for the period May 17, 2018 (commencement of operations) through August 31, 2018
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 August 31, 2019, by correspondence with the custodian, transfer agent, and brokers; when replies were not received from brokers, we performed other audit procedures. We believe that our audits provides a reasonable basis
for our opinion.
/s/PricewaterhouseCoopers LLP
Minneapolis, Minnesota
October 24, 2019
We have served as the auditor of one or more investment
companies within the Columbia Funds Complex since 1977.
36
|
Multi-Manager International
Equity Strategies Fund | Annual Report 2019
|
Federal Income Tax Information
(Unaudited)
The Fund hereby designates the following tax attributes for
the fiscal year ended August 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
|
Foreign
taxes paid
to foreign
countries
|
Foreign
taxes paid
per share
to foreign
countries
|
Foreign
source
income
|
Foreign
source
income per
share
|
100.00%
|
0.11%
|
$5,546,742
|
$0.03
|
$67,769,177
|
$0.32
|
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.
Foreign taxes. The Fund makes the election to pass through to
shareholders the foreign taxes paid. Eligible shareholders may claim a foreign tax credit. These taxes, and the corresponding foreign source income, are provided.
TRUSTEES AND OFFICERS
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), September 2007-October 2018
|
70
|
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, December 2002-May 2006; President of UAL Loyalty Services (airline marketing company), September 2001-December 2002; Executive Vice President and Chief
Financial Officer of United Airlines, July 1999-September 2001
|
70
|
Spartan
Nash Company, (food distributor); former Director, Nash Finch Company (food distributor), 2005-2013; Aircastle Limited (aircraft leasing); former Director, SeaCube Container Leasing Ltd. (container leasing), 2010-2013; and Travelport Worldwide
Limited (travel information technology)
|
Multi-Manager
International Equity Strategies Fund | Annual Report 2019
|
37
|
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
|
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), 1997-2010; Chair, Wellington Management Portfolios (commingled non-U.S. investment pools), 2007-2010; Director, Wellington Trust Company, NA
and other Wellington affiliates, 1997-2010
|
70
|
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
|
70
|
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
|
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, August 2007-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, August 1999-October 2005;
University Professor, Boston College, November 2005-August 2007
|
70
|
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, 1988-2014
|
70
|
Former
Director, M Fund, Inc. (M Funds mutual fund family), July 2018-July 2019
|
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, 1994-1997, President – Application Systems Division, 1991-1994, Chief Financial Officer – US Marketing & Services, 1988-1991, and Chief Information Officer, 1987-1988, IBM Corporation
(computer and technology)
|
70
|
Former
Director, Enesco Group, Inc. (producer of giftware and home and garden decor products), 2001-2006
|
38
|
Multi-Manager International
Equity Strategies Fund | Annual Report 2019
|
TRUSTEES AND OFFICERS (continued)
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, May
2010-February 2015; President, Columbia Funds, 2009-2015; and senior officer of Columbia Funds and affiliated funds, 2003-2015
|
70
|
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
|
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, 2004-2010; Senior Partner, McKinsey & Company, 2001-2004
|
70
|
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, April 2016-September
2016; Senior Vice President and Chief Investment Officer, Calvert Investments, August 2008-January 2016; Section Head and Portfolio Manager, General Motors Asset Management, June 1997-August 2008
|
70
|
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
|
192
|
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, August 2006 - January 2013
|
Multi-Manager
International Equity Strategies Fund | Annual Report 2019
|
39
|
TRUSTEES AND OFFICERS (continued)
*
|
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.
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 as of the printing of this report, 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:
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.
|
40
|
Multi-Manager International
Equity Strategies Fund | Annual Report 2019
|
Board Consideration and Approval of
Management
and Subadvisory Agreements
On June 12, 2019, the Board of Trustees (the Board) and the
Trustees who are not interested persons (as defined in the Investment Company Act of 1940) (the Independent Trustees) of Columbia Funds Series Trust I (the Trust) unanimously approved the continuation of the Management Agreement (the Management
Agreement) with Columbia Management Investment Advisers, LLC (the Investment Manager) and the Subadvisory Agreements (the Subadvisory Agreements) between the Investment Manager and Threadneedle International Limited, Arrowstreet Capital, Limited
Partnership, Baillie Gifford Overseas Limited and Causeway Capital Management LLC (the Subadvisers) with respect to Multi-Manager International Equity Strategies Fund (the Fund), a series of the Trust. As detailed below, the Board’s Advisory
Fees and Expenses Committee (the Committee) and the Board met on multiple occasions to review and discuss, among themselves, with the management team of the Investment Manager and with an independent fee consultant, materials provided by the
Investment Manager, the independent fee consultant and others before determining to approve the continuation of the Management Agreement and the Subadvisory Agreements (collectively, the Agreements).
In connection with their deliberations regarding the
continuation of the Management Agreement and the Subadvisory Agreements, the Committee and the Board evaluated materials requested from the Investment Manager regarding the Fund and the Agreements, and discussed these materials with representatives
of the Investment Manager at Committee meetings held on March 5, 2019, April 25, 2019 and June 11, 2019 and at Board meetings held on March 6, 2019 and June 12, 2019. In addition, the Board and its various committees consider matters bearing on the
Agreements at other meetings throughout the year and in prior years and meet regularly with senior management of the Trust and the Investment Manager. Through the Board’s Investment Oversight Committees, Trustees also meet with selected
portfolio managers of the funds the Trustees oversee and with other investment personnel at various times throughout the year. The Committee and the Board also consulted with the independent fee consultant, Fund counsel and the Independent
Trustees’ independent legal counsel, who advised on various matters with respect to the Committee’s and the Board’s considerations and otherwise assisted the Committee and the Board in their deliberations. On June 11, 2019, the
Committee recommended that the Board approve the continuation of the Management Agreement and the Subadvisory Agreements. On June 12, 2019, the Board, including the Independent Trustees, voting separately, unanimously approved the continuation of
the Management Agreement and the Subadvisory Agreements for the Fund.
The Committee and the Board considered all information that
they, their legal counsel or the Investment Manager believed reasonably necessary to evaluate and to determine whether to recommend for approval or approve the continuation of the Management Agreement and the Subadvisory Agreements. The information
and factors considered by the Committee and the Board in recommending for approval or approving the continuation of the Management Agreement and the Subadvisory Agreements for the Fund included the following:
•
|
Information on the
investment performance of the Fund relative to the performance of a group of mutual funds determined to be comparable to the Fund by an independent third-party data provider, as well as performance relative to benchmarks;
|
•
|
Information on the
Fund’s management fees and total expenses, including information comparing the Fund’s expenses to those of a group of comparable mutual funds, as determined by the independent third-party data provider;
|
•
|
The Investment
Manager’s agreement to contractually limit or cap total operating expenses for the Fund through December 31, 2020 so that total operating expenses (excluding certain fees and expenses, such as transaction costs and certain other investment
related expenses, interest, taxes, acquired fund fees and expenses, and infrequent and/or unusual expenses) would not exceed a specified annual rate, as a percentage of the Fund’s net assets;
|
•
|
The terms and conditions of
the Agreements;
|
•
|
The subadvisory fees payable
by the Investment Manager under the Subadvisory Agreements;
|
•
|
The current and proposed
terms and conditions of other agreements and arrangements with affiliates of the Investment Manager relating to the operations of the Fund, including agreements with respect to the provision of transfer agency and shareholder services to the Fund;
|
•
|
Descriptions of various
functions performed by the Investment Manager and the Subadvisers under the Agreements, including portfolio management and portfolio trading practices;
|
Multi-Manager
International Equity Strategies Fund | Annual Report 2019
|
41
|
Board Consideration and Approval of Management
and Subadvisory Agreements (continued)
•
|
Information regarding the
management fees of similarly-managed portfolios of other clients of the Investment Manager, including institutional accounts and collective trusts;
|
•
|
Information regarding the
reputation, regulatory history and resources of the Investment Manager and Subadvisers, including information regarding senior management, portfolio managers and other personnel;
|
•
|
Information regarding the
capabilities of the Investment Manager and the Subadvisers with respect to compliance monitoring services, including an assessment of the Investment Manager’s and the Subadvisers’ compliance systems by the Fund’s Chief Compliance
Officer; and
|
•
|
The profitability to the
Investment Manager and its affiliates from their relationships with the Fund.
|
Nature, extent and quality of services provided under the
agreements
The Committee and the Board considered the
nature, extent and quality of services provided to the Fund by the Investment Manager, the Subadvisers and the Investment Manager’s affiliates under the Agreements and under separate agreements for the provision of transfer agency and
shareholder services, and the resources dedicated to the Fund and the other Columbia Funds by the Investment Manager, the Subadvisers and the Investment Manager’s affiliates. The Committee and the Board considered, among other things, the
Investment Manager’s ability to attract, motivate and retain highly qualified research, advisory and supervisory investment professionals (including compensation programs for personnel involved in fund management, reputation and other
attributes), the portfolio management services provided by those investment professionals, and the quality of the Investment Manager’s and the Subadvisers’ investment research capabilities and trade execution services. The Committee and
the Board also considered the potential benefits to shareholders of investing in a mutual fund that is part of a fund complex offering exposure to a variety of asset classes and investment disciplines and providing a variety of fund and shareholder
services.
The Committee and the Board also considered
the professional experience and qualifications of the senior personnel of the Investment Manager and the Subadvisers, which included consideration of the Investment Manager’s and the Subadvisers’ experience with funds using an investment
strategy similar to that used by the Investment Manager and the Subadvisers for the Fund. The Committee and the Board noted the compliance programs of and the compliance-related resources provided to the Fund by the Investment Manager and its
affiliates and the resources dedicated by the Investment Manager and its affiliates to risk management, and considered the Investment Manager’s ability to provide administrative services to the Fund and coordinate the activities of the
Fund’s other service providers. The Board also noted that, based on information provided by the Investment Manager, the Board had approved each Subadviser’s code of ethics and compliance program, and that the Chief Compliance Officer of
the Funds reports to the Trustees on each Subadviser’s compliance program.
The Committee and the Board considered the diligence and
selection process undertaken by the Investment Manager to select each Subadviser, including the Investment Manager’s rationale for recommending the continuation of the Subadvisory Agreements, and the process for monitoring each
Subadviser’s ongoing performance of services for the Fund. As part of these deliberations, the Committee and the Board considered the ability of the Investment Manager, subject to the approval of the Board, to modify or enter into new
subadvisory agreements without a shareholder vote pursuant to an exemptive order of the Securities and Exchange Commission. The Committee and the Board also considered the scope of services provided to the Fund by the Investment Manager that are
distinct from and in addition to those provided by the Subadvisers, including cash flow management, treasury services, risk oversight, investment oversight and Subadviser selection, oversight and transition management. After reviewing these and
related factors, the Committee and the Board concluded, within the context of their overall conclusions, that the nature, extent and quality of the services provided to the Fund under the Agreements supported the continuation of the Management
Agreement and the Subadvisory Agreements.
Investment
performance
The Committee and the Board reviewed
information about the performance of the Fund over various time periods, including performance information relative to benchmarks, information that compared the performance of the Fund to the performance of a group of comparable mutual funds as
determined by the independent third-party data provider, and information and analysis provided by the independent fee consultant. The Committee and the Board also reviewed a description of the third party’s methodology for identifying the
Fund’s peer groups for purposes of performance and expense comparisons.
42
|
Multi-Manager International
Equity Strategies Fund | Annual Report 2019
|
Board Consideration and Approval of Management
and Subadvisory Agreements (continued)
The Committee and the Board noted that, through December 31, 2018, the
Fund’s performance was in the twenty-fifth percentile (where the best performance would be in the first percentile) of its category selected by the independent third-party data provider for the purposes of performance comparisons for the
since-inception period.
The Committee and the Board also
considered the Investment Manager’s and Subadvisers’ performance and reputation generally, the Investment Manager’s evaluation of each Subadviser’s contribution to the Fund’s broader investment mandate, the Investment
Manager’s historical responsiveness to Board concerns about performance, and the Investment Manager’s willingness to take steps intended to improve performance. After reviewing these and related factors, the Committee and the Board
concluded, within the context of their overall conclusions, that the performance of the Fund, the Investment Manager and the Subadvisers were sufficient, in light of other considerations, to support the continuation of the Management Agreement and
the Subadvisory Agreements.
Investment management fee
rates and other expenses
The Committee and the Board
considered the management fees charged to the Fund under the Management Agreement and the Subadvisory Agreements, as well as the total expenses incurred by the Fund. In assessing the reasonableness of the fees under the Management Agreement, the
Committee and the Board considered, among other information, the Fund’s total expense ratio as a percentage of average daily net assets. The Committee and the Board considered data provided by the independent third-party data provider and the
independent fee consultant. The Committee and the Board noted that, as of December 31, 2018, the Fund’s actual management fee and net total expense ratio were ranked in the third and fourth quintiles, respectively, (where the lowest fees and
expenses would be in the first quintile) against the Fund’s expense universe as determined by the independent third-party data provider for purposes of expense comparison. The Committee and the Board also considered the fees that the
Subadvisers charge to their other clients, to the extent publicly available, and noted that the Investment Manager pays the fees of the Subadvisers. The Committee and the Board noted that Threadneedle International Limited was not currently expected
to manage any assets under its respective Subadvisory Agreement, but that the Investment Manager could, in the future, allocate investments to be managed by Threadneedle International Limited. The Committee and the Board also took into account the
fee waiver and expense limitation arrangements agreed to by the Investment Manager, as noted above.
The Committee and the Board also received and considered
information about the management fees charged by the Investment Manager to institutional accounts. In considering the fees charged to those accounts, the Committee and the Board took into account, among other things, the Investment Manager’s
representations about the differences between managing mutual funds as compared to other types of accounts, including differences in the services provided, differences in the risk profile of such business for the Investment Manager and the
additional resources required to manage mutual funds effectively. The Committee and the Board also received and considered information about the fees charged by the Investment Manager for sub-advisory services it provides to comparable unaffiliated
funds. In evaluating the Fund’s management fees, the Committee and the Board also took into account the demands, complexity and quality of the investment management of the Fund.
After reviewing these and related factors, the Committee and
the Board concluded, within the context of their overall conclusions, that the management fee rates and expenses of the Fund, in light of other considerations, supported the continuation of the Management Agreement and the Subadvisory
Agreements.
Costs of services provided and
profitability
The Committee and the Board also took
note of the costs the Investment Manager and its affiliates incur in connection with the services provided and the profitability to the Investment Manager and its affiliates from their relationships with the Fund, and the efforts undertaken by the
Investment Manager and its affiliates to manage efficiently their costs to provide such services.
The Committee and the Board also considered the compensation
directly or indirectly received by the Investment Manager’s affiliates in connection with their relationships with the Fund. The Committee and the Board reviewed information provided by management as to the profitability to the Investment
Manager and its affiliates of their relationships with the Fund, including with respect to funds for which unaffiliated subadvisers provide services, information about the allocation of expenses used to calculate profitability, and comparisons of
profitability levels realized in 2018 to profitability levels realized in 2017. When
Multi-Manager
International Equity Strategies Fund | Annual Report 2019
|
43
|
Board Consideration and Approval of Management
and Subadvisory Agreements (continued)
reviewing profitability, the Committee and the Board also considered court
cases in which adviser profitability was an issue in whole or in part, the performance of similarly managed funds, the performance of the Fund, and the expense ratio of the Fund. In addition, the Committee and the Board considered information
provided by the Investment Manager regarding the Investment Manager’s financial condition and comparing its profitability to that of other asset management firms that are, or are subsidiaries of, publicly traded companies. In this regard, the
Committee and the Board also considered data provided by the independent fee consultant. Because the Subadvisory Agreements were negotiated at arms-length by the Investment Manager, which is responsible for payments to the Subadvisers thereunder,
the Committee and the Board did not consider the profitability to each Subadviser from its relationship with the Fund.
After reviewing these and related factors, the Committee and
the Board concluded, within the context of their overall conclusions, that the costs of services provided and the profitability to the Investment Manager and its affiliates from their relationships with the Fund supported the continuation of the
Management Agreement and the Subadvisory Agreements.
Economies of scale
The Committee and the Board considered the potential
existence of economies of scale in the provision by the Investment Manager of services to the Fund, to groups of related funds, and to the Investment Manager’s investment advisory clients as a whole, and whether those economies of scale were
shared with the Fund through breakpoints in investment management fees or other means, such as expense limitation arrangements and additional investments by the Investment Manager in investment, trading, compliance and other resources. The Committee
and the Board noted that the management fee schedules for the Fund contained breakpoints that would reduce the fee rate on assets above specified threshold levels.
The Committee and the Board noted that the breakpoints in the
Subadvisory Agreements did not occur at the same levels as the breakpoints in the Management Agreement. The Committee and the Board noted that absent a shareholder vote, the Investment Manager would bear any increase in fees payable under the
Subadvisory Agreements. The Committee and the Board also noted the potential challenges of seeking to tailor the Management Agreement breakpoints to those of a subadvisory agreement in this context, and the effect that capacity constraints on a
subadviser’s ability to manage assets could potentially have on the ability of the Investment Manager to achieve economies of scale, as new subadvisers may need to be added as the Fund grows, increasing the Investment Manager’s cost of
compensating and overseeing the Fund’s subadvisers.
In considering these matters, the Committee and the Board also
considered the costs of the services provided and the profitability to the Investment Manager and its affiliates from their relationships with the Fund, as noted above. After reviewing these and related factors, the Committee and the Board
concluded, within the context of their overall conclusions, that the extent to which any economies of scale were expected to be shared with the Fund supported the continuation of the Management Agreement and the Subadvisory Agreements.
Other benefits to the Investment Manager and
Subadvisers
The Committee and the Board received and
considered information regarding “fall-out” or ancillary benefits received by the Investment Manager and its affiliates as a result of their relationships with the Fund, such as the engagement of the Investment Manager’s affiliates
to provide transfer agency and shareholder services to the Fund. The Committee and the Board also considered the benefits of research made available to the Investment Manager and the Subadvisers by reason of brokerage commissions generated by the
Fund’s securities transactions, and reviewed information about the Investment Manager’s practices with respect to considering brokerage and research services when allocating portfolio transactions. In this connection, the Board also
noted that the amount of research made available to the Investment Manager by reason of brokerage commissions had been declining over time, and may decline further. The Committee and the Board recognized that the Investment Manager’s
profitability would be somewhat lower without these benefits.
Conclusion
The Committee and the Board reviewed all of the above
considerations in reaching their decisions to recommend or approve the continuation of the Management Agreement and the Subadvisory Agreements. In their deliberations, the Trustees did not identify any particular information that was all-important
or controlling, and individual Trustees may have attributed different weights to the various factors. Based on their evaluation of all factors that they deemed to be material, including those
44
|
Multi-Manager International
Equity Strategies Fund | Annual Report 2019
|
Board Consideration and Approval of Management
and Subadvisory Agreements (continued)
factors described above, and assisted by the advice of independent legal
counsel, the Board, including the Independent Trustees, voting separately, unanimously approved the continuation of the Management Agreement and the Subadvisory Agreements.
Multi-Manager
International Equity Strategies Fund | Annual Report 2019
|
45
|
[THIS PAGE INTENTIONALLY LEFT BLANK]
[THIS PAGE INTENTIONALLY LEFT BLANK]
Multi-Manager International Equity Strategies Fund
P.O. Box 219104
Kansas City, MO 64121-9104
Please read and consider the investment objectives, risks,
charges and expenses for any fund carefully before investing. For a prospectus and summary prospectus, which contains this and other important information about the Fund, go to
columbiathreadneedleus.com/investor/. The Fund is distributed by Columbia Management Investment Distributors, Inc., member FINRA, and managed by Columbia Management Investment Advisers, LLC.
Columbia Threadneedle Investments (Columbia Threadneedle) is
the global brand name of the Columbia and Threadneedle group of companies. All rights reserved.
© 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 fifteen series of the registrant whose report to stockholders are included in this annual filing.
(a) Audit
Fees. Aggregate Audit Fees billed by the principal accountant for professional services rendered during the fiscal years ended August 31, 2019 and August 31, 2018 are approximately as follows:
|
|
|
2019
|
|
2018
|
$501,000
|
|
$511,800
|
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 August 31, 2019 and August 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
August 31, 2019 and August 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 August 31, 2019 and August 31, 2018 are approximately as follows:
|
|
|
2019
|
|
2018
|
$138,000
|
|
$121,300
|
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 years 2019 and 2018 include Tax Fees for foreign tax filings.
During the fiscal years ended August 31, 2019 and August 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 August 31, 2019 and August 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 August 31, 2019 and
August 31, 2018 are approximately as follows:
|
|
|
2019
|
|
2018
|
$242,500
|
|
$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 August be waived if certain de minimis requirements set forth in the SECs rules are met.
Under the Policy, the Audit Committee August 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 August 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 August 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 August 31, 2019 and August 31, 2018 are approximately as follows:
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2019
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2018
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$380,600
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$363,800
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(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
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(a)
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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.
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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 August recommend nominees to the
registrants board of directors.
Item 11. Controls and Procedures.
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(a)
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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.
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(b)
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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.
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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)
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Columbia Funds Series Trust
I
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By (Signature and Title)
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/s/ Christopher
O.
Petersen
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Christopher O. Petersen, President
and Principal Executive Officer
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Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has
been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
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By (Signature and Title)
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/s/ Christopher
O.
Petersen
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Christopher O. Petersen, President and Principal Executive Officer
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By (Signature and Title)
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/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
COLUMBIA FUNDS
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Applicable Regulatory Authority
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Section 406 of the Sarbanes-Oxley Act of 2002; Item 2 of Form N-CSR
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Related Policies
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Overview and Implementation of Compliance Program Policy
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Requires Annual Board Approval
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No but Covered Officers Must provide annual certification
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Last Reviewed by AMC
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July 2019
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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:
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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
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Any amendments to, or waivers from, the code of ethics relating to such officers.
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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:
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Honest and ethical conduct, including the ethical handling of actual or apparent conflicts of interest between
personal and professional relationships;
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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;
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Compliance with applicable laws and governmental 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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The prompt internal reporting of violations of the Code to an appropriate person or persons identified in the
Code; and
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Accountability for adherence to the Code.
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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.
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Proprietary and Confidential
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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:
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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.
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. Disclosure and Compliance
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. Reporting and Accountability by Covered Officers
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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VI. Other Policies
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.
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. Disclosure of Amendments to the Code
Any amendments will, to the extent required, be disclosed in accordance with law.
VIII. Confidentiality
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.
IX. Internal Use
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.
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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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.
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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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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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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