UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number811-04367
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)
Daniel J. Beckman
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)
Registrant's telephone number, including area code: (800) 345-6611
Date of fiscal year end: April 30
Date of reporting period: April 30, 2021
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
April 30, 2021
April 30, 2021
Columbia Bond
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 are no longer sent by mail, unless you specifically
requested paper copies of the reports. Instead, the reports are 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
shareholder 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 Federally Insured • No
Financial Institution Guarantee • May Lose Value
Table of Contents
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If you elect to receive the
shareholder report for Columbia Bond Fund (the Fund) in paper, mailed to you, the Fund mails one shareholder report to each shareholder address, unless such shareholder elects to receive shareholder reports from the
Fund electronically via e-mail or by having a paper notice mailed to you (Postcard Notice) that your Fund’s shareholder report is available at the Columbia funds’ website
(columbiathreadneedleus.com/investor/). If you would like more than one report in paper to be mailed to you, or would like to elect to receive reports via e-mail or access them through Postcard Notice, please call
shareholder services at 800.345.6611 and additional reports will be sent to you.
Proxy voting policies and
procedures
The policy of the Board of Trustees
is to vote the proxies of the companies in which the Fund holds investments consistent with the procedures as stated in the Statement of Additional Information (SAI). You may obtain a copy of the SAI without charge by
calling 800.345.6611; contacting your financial intermediary; visiting columbiathreadneedleus.com/investor/; or searching the website of the Securities and Exchange Commission (SEC) at sec.gov. Information regarding
how the Fund voted proxies relating to portfolio securities is filed with the SEC by August 31st for the most recent 12-month period ending June 30th of that year, and is available without charge by visiting
columbiathreadneedleus.com/investor/, or searching the website of the SEC at sec.gov.
Quarterly schedule of
investments
The Fund files a complete schedule
of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-PORT. The Fund’s Form N-PORT filings are available on the SEC’s website at sec.gov. The Fund’s
complete schedule of portfolio holdings, as filed on Form N-PORT, 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 Bond Fund | Annual Report
2021
Fund at a Glance
Investment objective
The Fund
seeks current income, consistent with minimal fluctuation of principal.
Portfolio management
Jason Callan
Lead Portfolio Manager
Managed Fund since 2016
Gene Tannuzzo, CFA
Portfolio Manager
Managed Fund since 2017
Alexandre (Alex) Christensen, CFA
Portfolio Manager
Managed Fund since March 2021
Returns for Class A and Class V
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 charges 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 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.
Fund performance may be significantly
negatively impacted by the economic impact of the COVID-19 pandemic. The COVID-19 pandemic has adversely impacted economies and capital markets around the world in ways that will likely continue and may change in
unforeseen ways for an indeterminate period. The COVID-19 pandemic may exacerbate pre-existing political, social and economic risks in certain countries and globally.
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Columbia Bond Fund | Annual Report 2021
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3 |
Fund at a Glance (continued)
Performance of a hypothetical $10,000 investment (April 30, 2011 — April 30, 2021)
The chart above shows the change in
value of a hypothetical $10,000 investment in Class A shares of Columbia Bond 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 April 30, 2021) | |
| Asset-Backed Securities — Non-Agency | 16.0 |
| Commercial Mortgage-Backed Securities - Agency | 0.5 |
| Commercial Mortgage-Backed Securities - Non-Agency | 14.5 |
| Common Stocks | 0.0(a) |
| Corporate Bonds & Notes | 12.0 |
| Money Market Funds | 4.0 |
| Options Purchased Puts | 0.7 |
| Residential Mortgage-Backed Securities - Agency | 17.2 |
| Residential Mortgage-Backed Securities - Non-Agency | 34.9 |
| U.S. Treasury Obligations | 0.2 |
| Total | 100.0 |
| (a) | Rounds to zero. |
Percentages indicated are based upon
total investments including options purchased and excluding all other investments in derivatives, if any. The Fund’s portfolio composition is subject to change.
| Quality breakdown (%) (at April 30, 2021) | |
| AAA rating | 33.9 |
| AA rating | 11.7 |
| A rating | 20.5 |
| BBB rating | 22.6 |
| BB rating | 1.0 |
| Not rated | 10.3 |
| 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. If a security is
not rated but has a rating by Kroll and/or DBRS, the same methodology is applied to those bonds that would otherwise be not rated. When a bond is not rated by any rating agency, it is designated as “Not
rated.” Credit quality ratings assigned by a rating agency are subjective opinions, not statements of fact, and are subject to change, including daily. The ratings assigned by credit rating agencies are but one
of the considerations that the Investment Manager and/or Fund’s subadviser incorporates into its credit analysis process, along with such other issuer-specific factors as cash flows, capital structure and
leverage ratios, ability to de-leverage (repay) through free cash flow, quality of management, market positioning and access to capital, as well as such security-specific factors as the terms of the security (e.g.,
interest rate and time to maturity) and the amount and type of any collateral.
| 4 | Columbia Bond Fund | Annual Report 2021 |
Manager Discussion of Fund Performance
For the 12-month period that
ended April 30, 2021, the Fund’s Class A shares returned 5.96% excluding sales charges. The Fund’s benchmark, the Boomberg Barclays U.S. Aggregate Bond Index, returned -0.27% for the same period.
Market overview
The period saw risk assets
benefit from the extraordinary monetary and fiscal policy support that was initiated in March of 2020 as the COVID-19 pandemic led to widespread economic shutdowns. The Federal Reserve slashed short-term interest
rates to zero and engaged in broad-based bond purchases even as $1.9 trillion in stimulus under the CARES Act rolled out. As a result, credit-sensitive areas of the bond market rebounded over the second quarter of
2020 despite rising COVID-19 cases in certain regions.
Credit sentiment wavered in
September 2020 as an additional economic relief package stalled in the Senate and there was speculation around the potential for a disputed outcome to the upcoming presidential election. November’s election
results helped reduce uncertainty, while the emergency use authorization of a pair of COVID-19 vaccines in December raised the prospect of a return to economic normalcy in the coming months. Finalization of a $900
billion relief package as 2020 concluded further boosted sentiment.
Treasury yields began to move off
of historic lows in October of 2020 and continued to drift higher through the first quarter of 2021. The 10-year Treasury yield ended April of 2021 at 1.65%, 101 basis points higher than its starting point of 0.64% 12
months earlier.
The Fund’s most notable
contributors
| • | The Fund’s outperformance relative to the benchmark was largely the result of favorable sector allocation, security selection and positioning with respect to interest rate risk. |
| • | From an asset allocation perspective, the Fund’s weighting toward credit-sensitive sectors, which benefited most directly from strong policy support as the pandemic emerged, drove positive contributions. |
| ○ | In this vein, exposure to securitized sectors including non-agency mortgage-backed securities (MBS), commercial mortgage-backed securities (CMBS) and asset-backed securities (ABS) added to relative performance. |
| ○ | In particular, the decision to increase exposure to non-agency MBS, which had been severely impacted by forced selling as the economy shut down, benefited return as the segment was boosted by a strong housing market and resilient consumer against a highly supportive policy backdrop. |
| • | Favorable security selection was driven by a preference for issuers within both CMBS and investment-grade corporate bonds that had been most negatively impacted by COVID-19 pandemic-driven economic shutdowns. |
| • | With Treasury yields hovering at historically low levels, the Fund lowered overall portfolio duration and corresponding interest rate sensitivity over the third quarter of 2020. This stance benefited performance as Treasury yields moved higher beginning in October 2020. |
The Fund’s most notable
detractors
| • | Sector allocation within investment-grade corporate bonds weighed on return, although this was offset by positive issuer selection. |
Derivative usage
We invested in highly-liquid,
widely traded Treasury futures and interest rate swap contracts to help manage portfolio duration. These enable us to efficiently implement our yield curve opinions and offset unintended yield curve impacts from other
investments in the portfolio. We invested in swaptions to manage duration and convexity within the Fund. We also used indexed exposure to credit default swaps to manage the Fund’s overall level of credit risk.
On a standalone basis, the Fund’s use of derivatives had a net negative impact on performance.
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Columbia Bond Fund | Annual Report 2021
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5 |
Manager Discussion of Fund Performance (continued)
Market risk may affect a single issuer, sector of the economy, industry or the market as a whole. Mortgage- and asset-backedsecurities 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. A rise in interest rates may result in a price decline of fixed-income instruments held by the Fund, negatively impacting its performance and NAV. Falling rates may result in the Fund investing in lower yielding
debt instruments, lowering the Fund’s income and yield. These risks may be heightened for longer maturity and duration securities. Non-investment-grade (high-yield or junk) securities present greater price volatility and more risk to principal and income than higher rated securities. 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. 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 who have contributed to this report. 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 Bond Fund | Annual Report 2021 |
Understanding Your Fund’s
Expenses
(Unaudited)
(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.
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.
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Columbia Bond Fund | Annual Report 2021
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7 |
Portfolio of Investments
April 30, 2021
April 30, 2021
(Percentages represent value of
investments compared to net assets)
Investments in securities
The accompanying Notes to Financial
Statements are an integral part of this statement.
| 8 | Columbia Bond Fund | Annual Report 2021 |
Portfolio of Investments (continued)
April 30, 2021
April 30, 2021
The accompanying Notes to Financial
Statements are an integral part of this statement.
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Columbia Bond Fund | Annual Report 2021
|
9 |
Portfolio of Investments (continued)
April 30, 2021
April 30, 2021
The accompanying Notes to Financial
Statements are an integral part of this statement.
| 10 | Columbia Bond Fund | Annual Report 2021 |
Portfolio of Investments (continued)
April 30, 2021
April 30, 2021
The accompanying Notes to Financial
Statements are an integral part of this statement.
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Columbia Bond Fund | Annual Report 2021
|
11 |
Portfolio of Investments (continued)
April 30, 2021
April 30, 2021
| Commercial Mortgage-Backed Securities - Non-Agency (continued) | ||||
| Issuer |
Coupon
Rate |
Principal
Amount ($) |
Value ($) | |
| Tricon American Homes(a) | ||||
| Series 2020-SFR1 Class C | ||||
| 07/17/2038 | 2.249% | 7,000,000 | 7,140,426 | |
| UBS Commercial Mortgage Trust(a),(b) | ||||
| Series 2018-NYCH Class A | ||||
|
1-month USD LIBOR + 0.851%
Floor 0.851% 02/15/2032 |
0.965% | 2,000,000 | 1,995,064 | |
| Series 2018-NYCH Class B | ||||
|
1-month USD LIBOR + 1.250%
Floor 1.250% 02/15/2032 |
1.365% | 900,000 | 896,242 | |
| Wells Fargo Commercial Mortgage Trust(a),(b) | ||||
| Series 2017-SMP Class A | ||||
|
1-month USD LIBOR + 0.875%
Floor 0.750% 12/15/2034 |
0.990% | 4,720,000 | 4,705,297 | |
| Series 2020-SDAL Class D | ||||
|
1-month USD LIBOR + 2.090%
Floor 2.090% 02/15/2037 |
2.205% | 5,600,000 | 5,320,759 | |
| Subordinated Series 2017-SMP Class C | ||||
|
1-month USD LIBOR + 1.325%
Floor 1.200% 12/15/2034 |
1.440% | 800,000 | 790,230 | |
|
Total Commercial Mortgage-Backed Securities - Non-Agency
(Cost $193,441,478) |
196,130,351 | |||
| Common Stocks 0.0% | ||
| Issuer | Shares | Value ($) |
| Consumer Staples 0.0% | ||
| Beverages 0.0% | ||
| Crimson Wine Group Ltd.(g) | 3 | 24 |
| Total Consumer Staples | 24 | |
| Financials 0.0% | ||
| Diversified Financial Services 0.0% | ||
| Jefferies Financial Group, Inc. | 39 | 1,268 |
| Total Financials | 1,268 | |
|
Total Common Stocks
(Cost $—) |
1,292 | |
| Corporate Bonds & Notes 14.3% | ||||
| Issuer |
Coupon
Rate |
Principal
Amount ($) |
Value ($) | |
| Aerospace & Defense 0.2% | ||||
| Northrop Grumman Corp. | ||||
| 01/15/2028 | 3.250% | 1,720,000 | 1,860,037 | |
The accompanying Notes to Financial
Statements are an integral part of this statement.
| 12 | Columbia Bond Fund | Annual Report 2021 |
Portfolio of Investments (continued)
April 30, 2021
April 30, 2021
The accompanying Notes to Financial
Statements are an integral part of this statement.
|
Columbia Bond Fund | Annual Report 2021
|
13 |
Portfolio of Investments (continued)
April 30, 2021
April 30, 2021
| Corporate Bonds & Notes (continued) | ||||
| Issuer |
Coupon
Rate |
Principal
Amount ($) |
Value ($) | |
| Natural Gas 0.6% | ||||
| NiSource, Inc. | ||||
| 09/01/2029 | 2.950% | 1,000,000 | 1,043,063 | |
| 05/01/2030 | 3.600% | 1,535,000 | 1,677,309 | |
| 02/15/2043 | 5.250% | 455,000 | 574,539 | |
| 02/15/2044 | 4.800% | 50,000 | 60,167 | |
| 05/15/2047 | 4.375% | 2,741,000 | 3,167,536 | |
| Sempra Energy | ||||
| 06/15/2027 | 3.250% | 92,000 | 99,815 | |
| Total | 6,622,429 | |||
| Pharmaceuticals 0.4% | ||||
| AbbVie, Inc. | ||||
| 06/15/2044 | 4.850% | 2,780,000 | 3,383,208 | |
| 11/21/2049 | 4.250% | 1,440,000 | 1,636,018 | |
| Total | 5,019,226 | |||
| Railroads 0.0% | ||||
| Union Pacific Corp. | ||||
| 02/05/2070 | 3.750% | 397,000 | 410,252 | |
| Retailers 0.1% | ||||
| Lowe’s Companies, Inc. | ||||
| 05/03/2047 | 4.050% | 790,000 | 876,874 | |
| 10/15/2050 | 3.000% | 420,000 | 396,901 | |
| Total | 1,273,775 | |||
| Technology 0.9% | ||||
| Broadcom Corp./Cayman Finance Ltd. | ||||
| 01/15/2027 | 3.875% | 854,000 | 935,670 | |
| Broadcom, Inc. | ||||
| 11/15/2030 | 4.150% | 1,195,000 | 1,305,740 | |
| Broadcom, Inc.(a) | ||||
| 04/15/2034 | 3.469% | 951,000 | 961,198 | |
| Intel Corp. | ||||
| 05/11/2047 | 4.100% | 1,048,000 | 1,204,062 | |
| NXP BV/Funding LLC/USA, Inc.(a) | ||||
| 05/01/2030 | 3.400% | 200,000 | 213,657 | |
| Oracle Corp. | ||||
| 04/01/2050 | 3.600% | 2,595,000 | 2,557,676 | |
| 03/25/2061 | 4.100% | 2,405,000 | 2,516,677 | |
| Total | 9,694,680 | |||
| Transportation Services 0.1% | ||||
| FedEx Corp. | ||||
| 04/01/2046 | 4.550% | 1,075,000 | 1,250,194 | |
| Wireless 0.2% | ||||
| American Tower Corp. | ||||
| 08/15/2029 | 3.800% | 1,195,000 | 1,314,086 | |
The accompanying Notes to Financial
Statements are an integral part of this statement.
| 14 | Columbia Bond Fund | Annual Report 2021 |
Portfolio of Investments (continued)
April 30, 2021
April 30, 2021
| Residential Mortgage-Backed Securities - Agency (continued) | ||||
| Issuer |
Coupon
Rate |
Principal
Amount ($) |
Value ($) | |
| Federal National Mortgage Association(b),(f) | ||||
| CMO Series 2016-53 Class KS | ||||
|
-1.0 x 1-month USD LIBOR + 6.000%
Cap 6.000% 08/25/2046 |
5.894% | 1,051,082 | 266,773 | |
| CMO Series 2016-57 Class SA | ||||
|
-1.0 x 1-month USD LIBOR + 6.000%
Cap 6.000% 08/25/2046 |
5.894% | 2,757,030 | 673,382 | |
| CMO Series 2016-93 Class SL | ||||
|
-1.0 x 1-month USD LIBOR + 6.650%
Cap 6.650% 12/25/2046 |
6.544% | 4,014,433 | 762,723 | |
| CMO Series 2017-109 Class SA | ||||
|
-1.0 x 1-month USD LIBOR + 6.150%
Cap 6.150% 01/25/2048 |
6.044% | 1,276,546 | 276,519 | |
| CMO Series 2017-20 Class SA | ||||
|
-1.0 x 1-month USD LIBOR + 6.100%
Cap 6.100% 04/25/2047 |
5.994% | 1,159,595 | 280,098 | |
| CMO Series 2017-54 Class SN | ||||
|
-1.0 x 1-month USD LIBOR + 6.150%
Cap 6.150% 07/25/2047 |
6.044% | 2,268,560 | 569,491 | |
| CMO Series 2018-66 Class SM | ||||
|
-1.0 x 1-month USD LIBOR + 6.200%
Cap 6.200% 09/25/2048 |
6.094% | 1,517,813 | 311,346 | |
| CMO Series 2018-74 Class SA | ||||
|
-1.0 x 1-month USD LIBOR + 6.150%
Cap 6.150% 10/25/2048 |
6.044% | 1,954,105 | 437,867 | |
| CMO Series 2019-33 Class SB | ||||
|
-1.0 x 1-month USD LIBOR + 6.050%
Cap 6.050% 07/25/2049 |
5.944% | 5,072,435 | 1,009,135 | |
| CMO Series 2019-60 Class SH | ||||
|
-1.0 x 1-month USD LIBOR + 6.050%
Cap 6.050% 10/25/2049 |
5.944% | 1,791,072 | 431,351 | |
The accompanying Notes to Financial
Statements are an integral part of this statement.
|
Columbia Bond Fund | Annual Report 2021
|
15 |
Portfolio of Investments (continued)
April 30, 2021
April 30, 2021
| Residential Mortgage-Backed Securities - Agency (continued) | ||||
| Issuer |
Coupon
Rate |
Principal
Amount ($) |
Value ($) | |
| CMO Series 2018-112 Class LS | ||||
|
-1.0 x 1-month USD LIBOR + 6.200%
Cap 6.200% 08/20/2048 |
6.084% | 1,386,992 | 303,926 | |
| CMO Series 2018-125 Class SK | ||||
|
-1.0 x 1-month USD LIBOR + 6.250%
Cap 6.250% 09/20/2048 |
6.134% | 1,577,417 | 319,515 | |
| CMO Series 2018-134 Class KS | ||||
|
-1.0 x 1-month USD LIBOR + 6.200%
Cap 6.200% 10/20/2048 |
6.084% | 1,345,600 | 267,403 | |
| CMO Series 2018-148 Class SB | ||||
|
-1.0 x 1-month USD LIBOR + 6.200%
Cap 6.200% 01/20/2048 |
6.084% | 2,897,210 | 597,941 | |
| CMO Series 2018-151 Class SA | ||||
|
-1.0 x 1-month USD LIBOR + 6.150%
Cap 6.150% 11/20/2048 |
6.034% | 2,497,734 | 482,454 | |
| CMO Series 2018-89 Class MS | ||||
|
-1.0 x 1-month USD LIBOR + 6.200%
Cap 6.200% 06/20/2048 |
6.084% | 1,410,880 | 309,702 | |
| CMO Series 2018-91 Class DS | ||||
|
-1.0 x 1-month USD LIBOR + 6.200%
Cap 6.200% 07/20/2048 |
6.084% | 1,648,206 | 293,180 | |
| CMO Series 2019-20 Class JS | ||||
|
-1.0 x 1-month USD LIBOR + 6.000%
Cap 6.000% 02/20/2049 |
5.884% | 2,198,204 | 460,637 | |
| CMO Series 2019-5 Class SH | ||||
|
-1.0 x 1-month USD LIBOR + 6.150%
Cap 6.150% 01/20/2049 |
6.034% | 1,616,250 | 320,517 | |
| CMO Series 2019-56 Class SG | ||||
|
-1.0 x 1-month USD LIBOR + 6.150%
Cap 6.150% 05/20/2049 |
6.034% | 1,778,087 | 342,937 | |
The accompanying Notes to Financial
Statements are an integral part of this statement.
| 16 | Columbia Bond Fund | Annual Report 2021 |
Portfolio of Investments (continued)
April 30, 2021
April 30, 2021
| Residential Mortgage-Backed Securities - Agency (continued) | ||||
| Issuer |
Coupon
Rate |
Principal
Amount ($) |
Value ($) | |
| Uniform Mortgage-Backed Security TBA(c) | ||||
|
05/18/2036-
05/13/2051 |
2.500% | 47,100,000 | 48,875,563 | |
|
05/18/2036-
05/13/2051 |
3.000% | 34,978,000 | 36,645,473 | |
| 05/18/2036 | 3.500% | 4,000,000 | 4,278,281 | |
| 05/13/2051 | 2.000% | 39,000,000 | 39,361,055 | |
| 05/13/2051 | 4.000% | 9,000,000 | 9,668,496 | |
|
Total Residential Mortgage-Backed Securities - Agency
(Cost $227,268,138) |
233,113,360 | |||
| Residential Mortgage-Backed Securities - Non-Agency 41.7% | ||||
| American Mortgage Trust(d),(e),(j) | ||||
| CMO Series 2093-3 Class 3A | ||||
| 07/27/2023 | 8.188% | 117 | 71 | |
| Angel Oak Mortgage Trust(a),(e) | ||||
| CMO Series 2020-1 Class M1 | ||||
| 12/25/2059 | 3.161% | 3,000,000 | 3,067,037 | |
| CMO Series 2020-3 Class A1 | ||||
| 04/25/2065 | 1.691% | 6,909,764 | 6,982,284 | |
| Angel Oak Mortgage Trust I LLC(a),(e) | ||||
| CMO Series 2018-3 Class M1 | ||||
| 09/25/2048 | 4.421% | 960,000 | 965,851 | |
| Arroyo Mortgage Trust(a),(e) | ||||
| CMO Series 2019-2 Class A3 | ||||
| 04/25/2049 | 3.800% | 473,041 | 483,880 | |
| Bayview Koitere Fund Trust(a),(e) | ||||
| CMO Series 2020-LT1 Class A1 | ||||
| 06/28/2035 | 4.213% | 3,685,952 | 3,704,338 | |
| Bayview Opportunity Master Fund IVb Trust(a) | ||||
| CMO Series 2017-SPL3 Class A | ||||
| 11/28/2053 | 4.000% | 1,795,658 | 1,837,881 | |
| Bayview Opportunity Master Fund Trust(a),(e) | ||||
| CMO Series 2020-RN1 Class A1 | ||||
| 02/28/2035 | 3.228% | 326,012 | 326,710 | |
| Bellemeade Re Ltd.(a),(b) | ||||
| CMO Series 2018-1A Class M1B | ||||
|
1-month USD LIBOR + 1.600%
04/25/2028 |
1.709% | 4,163,012 | 4,165,713 | |
| CMO Series 2018-1A Class M2 | ||||
|
1-month USD LIBOR + 2.900%
04/25/2028 |
3.009% | 5,000,000 | 5,006,084 | |
| CMO Series 2018-2A Class M1C | ||||
|
1-month USD LIBOR + 1.600%
08/25/2028 |
1.706% | 346,972 | 346,970 | |
| CMO Series 2019-1A Class M1A | ||||
|
1-month USD LIBOR + 1.300%
Floor 1.300% 03/25/2029 |
1.406% | 123,420 | 123,435 | |
The accompanying Notes to Financial
Statements are an integral part of this statement.
|
Columbia Bond Fund | Annual Report 2021
|
17 |
Portfolio of Investments (continued)
April 30, 2021
April 30, 2021
| Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
| Issuer |
Coupon
Rate |
Principal
Amount ($) |
Value ($) | |
| CMO Series 2021-CRT3 Class M1 | ||||
|
30-day Average SOFR + 1.550%
Floor 1.550% 01/10/2031 |
1.561% | 6,804,653 | 6,804,653 | |
| BVRT Financing Trust(a),(b) | ||||
| CMO Series 2021-1F Class M1 | ||||
|
30-day Average SOFR + 1.550%
Floor 1.550% 03/15/2038 |
1.610% | 3,203,304 | 3,203,466 | |
| BVRT Financing Trust(a),(b),(d),(j) | ||||
| CMO Series 2021-2F Class M1 | ||||
|
30-day Average SOFR + 1.550%
Floor 1.550% 01/10/2032 |
1.566% | 4,400,000 | 4,400,000 | |
| CMO Series 2021-CRT1 Class M1 | ||||
|
1-month USD LIBOR + 1.750%
Floor 1.750% 01/10/2033 |
1.861% | 4,820,680 | 4,826,238 | |
| CMO Series 2021-CRT1 Class M2 | ||||
|
1-month USD LIBOR + 2.250%
Floor 2.250% 01/10/2033 |
2.361% | 2,000,000 | 2,002,306 | |
| CIM Trust(a),(e) | ||||
| CMO Series 2018-R4 Class A1 | ||||
| 12/26/2057 | 4.070% | 1,172,264 | 1,174,376 | |
| CIM Trust(a),(b) | ||||
| CMO Series 2018-R6 Class A1 | ||||
|
1-month USD LIBOR + 1.076%
Floor 1.080% 09/25/2058 |
1.186% | 1,242,660 | 1,230,122 | |
| Citigroup Mortgage Loan Trust, Inc.(a),(e) | ||||
| CMO Series 2015-A Class A4 | ||||
| 06/25/2058 | 4.250% | 48,473 | 49,176 | |
| COLT Mortgage Loan Trust(a),(e) | ||||
| CMO Series 2020-2 Class A2 | ||||
| 03/25/2065 | 3.094% | 350,000 | 359,927 | |
| Credit Suisse Mortgage Capital Certificates(a),(e) | ||||
| CMO Series 2020-SPT1 Class A1 | ||||
| 04/25/2065 | 1.616% | 2,230,578 | 2,233,165 | |
| Credit Suisse Mortgage Trust(a),(e) | ||||
| CMO Series 2021-RPL2 Class A1A | ||||
| 01/25/2060 | 1.115% | 4,739,510 | 4,708,275 | |
| CSMC Ltd.(a) | ||||
| Subordinated CMO Series 2020-BPL2 Class A1 | ||||
| 03/25/2026 | 3.453% | 1,511,127 | 1,509,293 | |
| CSMC Trust(a),(e) | ||||
| CMO Series 2020-RPL2 Class A12 | ||||
| 02/25/2060 | 3.460% | 1,174,419 | 1,193,299 | |
| CMO Series 2020-RPL6 Class A1 | ||||
| 03/25/2059 | 2.688% | 12,030,214 | 11,993,264 | |
The accompanying Notes to Financial
Statements are an integral part of this statement.
| 18 | Columbia Bond Fund | Annual Report 2021 |
Portfolio of Investments (continued)
April 30, 2021
April 30, 2021
| Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
| Issuer |
Coupon
Rate |
Principal
Amount ($) |
Value ($) | |
| GS Mortgage-Backed Securities Corp. Trust(a),(e) | ||||
| CMO Series 2021-NQM1 Class A1 | ||||
| 07/25/2061 | 1.017% | 6,000,000 | 5,999,896 | |
| Home RE Ltd.(a),(b) | ||||
| CMO Series 2020-1 Class M1A | ||||
|
1-month USD LIBOR + 2.600%
Floor 2.600% 10/25/2030 |
2.744% | 6,000,000 | 6,015,983 | |
| Legacy Mortgage Asset Trust(a) | ||||
| CMO Series 2019-GS1 Class A1 | ||||
| 01/25/2059 | 4.000% | 643,649 | 644,699 | |
| Legacy Mortgage Asset Trust(a),(e) | ||||
| CMO Series 2021-GS2 Class A1 | ||||
| 04/25/2061 | 1.750% | 2,750,000 | 2,748,888 | |
| LVII Trust(a),(d),(e) | ||||
| CMO Series 2020-1 Class A1 | ||||
| 05/25/2060 | 2.020% | 19,356,629 | 19,386,874 | |
| Mello Warehouse Securitization Trust(a),(b) | ||||
| CMO Series 2020-2 Class B | ||||
|
1-month USD LIBOR + 1.100%
Floor 1.100% 11/25/2053 |
1.206% | 18,000,000 | 18,045,112 | |
| CMO Series 2020-2 Class C | ||||
|
1-month USD LIBOR + 1.300%
Floor 1.300% 11/25/2053 |
1.406% | 7,000,000 | 7,011,053 | |
| MFA Trust(a),(e) | ||||
| CMO Series 2017-RPL1 Class A1 | ||||
| 02/25/2057 | 2.588% | 224,280 | 226,772 | |
| CMO Series 2020-NQM3 Class A1 | ||||
| 01/26/2065 | 1.014% | 15,911,084 | 15,986,877 | |
| CMO Series 2020-NQM3 Class A2 | ||||
| 01/26/2065 | 1.324% | 6,364,434 | 6,376,435 | |
| CMO Series 2020-NQM3 Class A3 | ||||
| 01/26/2065 | 1.632% | 4,773,325 | 4,786,514 | |
| MFRA Trust(a),(e) | ||||
| CMO Series 2021-INV1 Class A2 | ||||
| 01/25/2056 | 1.057% | 948,627 | 945,486 | |
| CMO Series 2021-INV1 Class A3 | ||||
| 01/25/2056 | 1.262% | 1,478,909 | 1,473,986 | |
| Mill City Mortgage Loan Trust(a) | ||||
| CMO Series 2016-1 Class A1 | ||||
| 04/25/2057 | 2.500% | 160,844 | 162,293 | |
| MRA Issuance Trust(a),(b) | ||||
| CMO Series 2020-12 Class A1X | ||||
|
1-month USD LIBOR + 1.350%
Floor 1.350% 07/15/2021 |
1.477% | 19,890,000 | 19,895,665 | |
The accompanying Notes to Financial
Statements are an integral part of this statement.
|
Columbia Bond Fund | Annual Report 2021
|
19 |
Portfolio of Investments (continued)
April 30, 2021
April 30, 2021
The accompanying Notes to Financial
Statements are an integral part of this statement.
| 20 | Columbia Bond Fund | Annual Report 2021 |
Portfolio of Investments (continued)
April 30, 2021
April 30, 2021
| U.S. Treasury Obligations (continued) | ||||
| Issuer |
Coupon
Rate |
Principal
Amount ($) |
Value ($) | |
| U.S. Treasury(l) | ||||
| STRIPS | ||||
| 02/15/2040 | 0.000% | 3,461,000 | 2,246,541 | |
|
Total U.S. Treasury Obligations
(Cost $2,783,436) |
2,854,633 | |||
| Options Purchased Puts 0.8% | ||||
| Value ($) | ||||
| (Cost $2,473,500) | 9,300,122 | |||
| Money Market Funds 4.8% | ||
| Shares | Value ($) | |
| Columbia Short-Term Cash Fund, 0.054%(m),(n) | 54,163,977 | 54,158,560 |
|
Total Money Market Funds
(Cost $54,156,521) |
54,158,560 | |
|
Total Investments in Securities
(Cost: $1,334,017,416) |
1,353,932,095 | |
| Other Assets & Liabilities, Net | (219,885,078) | |
| Net Assets | 1,134,047,017 | |
At April 30, 2021,
securities and/or cash totaling $8,069,354 were pledged as collateral.
Investments in
derivatives
| Long futures contracts | ||||||
| Description |
Number of
contracts |
Expiration
date |
Trading
currency |
Notional
amount |
Value/Unrealized
appreciation ($) |
Value/Unrealized
depreciation ($) |
| U.S. Treasury 10-Year Note | 3,578 | 06/2021 | USD | 472,407,813 | — | (6,426,594) |
| U.S. Treasury 5-Year Note | 390 | 06/2021 | USD | 48,335,625 | — | (406,034) |
| U.S. Ultra Treasury Bond | 72 | 06/2021 | USD | 13,385,250 | — | (431,645) |
| Total | — | (7,264,273) | ||||
The accompanying Notes to Financial
Statements are an integral part of this statement.
|
Columbia Bond Fund | Annual Report 2021
|
21 |
Portfolio of Investments (continued)
April 30, 2021
April 30, 2021
| Call option contracts written | ||||||||
| Description | Counterparty |
Trading
currency |
Notional
amount |
Number of
contracts |
Exercise
price/Rate |
Expiration
date |
Premium
received ($) |
Value ($) |
| 10-Year OTC interest rate swap with Morgan Stanley to receive 3-Month USD LIBOR BBA and pay exercise rate | Morgan Stanley | USD | (40,000,000) | (40,000,000) | 1.70 | 10/01/2021 | (553,000) | (681,608) |
| Cleared interest rate swap contracts | |||||||||||
| Fund receives | Fund pays |
Payment
frequency |
Counterparty |
Maturity
date |
Notional
currency |
Notional
amount |
Value
($) |
Upfront
payments ($) |
Upfront
receipts ($) |
Unrealized
appreciation ($) |
Unrealized
depreciation ($) |
| 3-Month USD LIBOR | Fixed rate of 1.635% | Receives Quarterly, Pays SemiAnnually | Morgan Stanley | 03/18/2031 | USD | 16,000,000 | (13,478) | — | — | — | (13,478) |
| Reference index and values for swap contracts as of period end | ||
| Reference index | Reference rate | |
| 3-Month USD LIBOR | London Interbank Offered Rate | 0.176% |
Notes to Portfolio of
Investments
| (a) | Represents privately placed and other securities and instruments exempt from Securities and Exchange Commission registration (collectively, private placements), such as Section 4(a)(2) and Rule 144A eligible securities, which are often sold only to qualified institutional buyers. At April 30, 2021, the total value of these securities amounted to $878,958,534, which represents 77.51% of total net assets. |
| (b) | Variable rate security. The interest rate shown was the current rate as of April 30, 2021. |
| (c) | Represents a security purchased on a when-issued basis. |
| (d) | Valuation based on significant unobservable inputs. |
| (e) | 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 April 30, 2021. |
| (f) | Represents interest only securities which have the right to receive the monthly interest payments on an underlying pool of mortgage loans. |
| (g) | Non-income producing investment. |
| (h) | 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 April 30, 2021. |
| (i) | This security or a portion of this security has been pledged as collateral in connection with derivative contracts. |
| (j) | Represents fair value as determined in good faith under procedures approved by the Board of Trustees. At April 30, 2021, the total value of these securities amounted to $21,998,281, which represents 1.94% of total net assets. |
| (k) | Represents a security purchased on a forward commitment basis. |
| (l) | Zero coupon bond. |
| (m) | The rate shown is the seven-day current annualized yield at April 30, 2021. |
| (n) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the year ended April 30, 2021 are as follows: |
| Affiliated issuers |
Beginning
of period($) |
Purchases($) | Sales($) |
Net change in
unrealized appreciation (depreciation)($) |
End of
period($) |
Realized gain
(loss)($) |
Dividends($) |
End of
period shares |
| Columbia Short-Term Cash Fund, 0.054% | ||||||||
| 28,606,621 | 841,329,694 | (815,766,963) | (10,792) | 54,158,560 | 2,678 | 55,541 | 54,163,977 | |
The accompanying Notes to Financial Statements are
an integral part of this statement.
| 22 | Columbia Bond Fund | Annual Report 2021 |
Portfolio of Investments (continued)
April 30, 2021
April 30, 2021
Abbreviation Legend
| CMO | Collateralized Mortgage Obligation |
| CMT | Constant Maturity Treasury |
| LIBOR | London Interbank Offered Rate |
| SOFR | Secured Overnight Financing Rate |
| STRIPS | Separate Trading of Registered Interest and Principal Securities |
| TBA | To Be Announced |
Currency Legend
| USD | US Dollar |
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 April 30, 2021:
| Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | |
| Investments in Securities | ||||
| Asset-Backed Securities — Non-Agency | — | 214,422,246 | 2,137,798 | 216,560,044 |
| Commercial Mortgage-Backed Securities - Agency | — | 6,658,772 | — | 6,658,772 |
| Commercial Mortgage-Backed Securities - Non-Agency | — | 196,130,351 | — | 196,130,351 |
| Common Stocks | ||||
| Consumer Staples | — | 24 | — | 24 |
| Financials | 1,268 | — | — | 1,268 |
| Total Common Stocks | 1,268 | 24 | — | 1,292 |
| Corporate Bonds & Notes | — | 162,637,431 | — | 162,637,431 |
The accompanying Notes to Financial Statements are
an integral part of this statement.
|
Columbia Bond Fund | Annual Report 2021
|
23 |
Portfolio of Investments (continued)
April 30, 2021
April 30, 2021
Fair value measurements (continued)
| Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | |
| Residential Mortgage-Backed Securities - Agency | — | 233,113,360 | — | 233,113,360 |
| Residential Mortgage-Backed Securities - Non-Agency | — | 413,603,735 | 58,913,795 | 472,517,530 |
| U.S. Treasury Obligations | 608,092 | 2,246,541 | — | 2,854,633 |
| Options Purchased Puts | — | 9,300,122 | — | 9,300,122 |
| Money Market Funds | 54,158,560 | — | — | 54,158,560 |
| Total Investments in Securities | 54,767,920 | 1,238,112,582 | 61,051,593 | 1,353,932,095 |
| Investments in Derivatives | ||||
| Liability | ||||
| Futures Contracts | (7,264,273) | — | — | (7,264,273) |
| Options Contracts Written | — | (1,392,938) | — | (1,392,938) |
| Swap Contracts | — | (13,478) | — | (13,478) |
| Total | 47,503,647 | 1,236,706,166 | 61,051,593 | 1,345,261,406 |
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.
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 04/30/2020 ($) |
Increase
(decrease) in accrued discounts/ premiums ($) |
Realized
gain (loss) ($) |
Change
in unrealized appreciation (depreciation)(a) ($) |
Purchases
($) |
Sales
($) |
Transfers
into Level 3 ($) |
Transfers
out of Level 3 ($) |
Balance
as of 04/30/2021 ($) |
|
| Asset-Backed Securities — Non-Agency | — | — | — | — | 2,481,000 | (343,202) | — | — | 2,137,798 |
| Residential Mortgage-Backed Securities — Non-Agency | 2,878,774 | 203 | 4,235 | 60,830 | 65,533,221 | (6,685,417) | — | (2,878,051) | 58,913,795 |
| Total | 2,878,774 | 203 | 4,235 | 60,830 | 68,014,221 | (7,028,619) | — | (2,878,051) | 61,051,593 |
(a) Change in unrealized
appreciation (depreciation) relating to securities held at April 30, 2021 was $60,830, which is comprised of Residential Mortgage-Backed Securities — Non-Agency of $60,830.
The Fund’s assets assigned to
the Level 3 category are valued utilizing the valuation technique deemed the most appropriate in the circumstances. Certain residential mortgage backed securities and asset backed securities classified as Level 3
securities are valued using the market approach and utilize single market quotations from broker dealers which may have included, but 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) valuation measurement.
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.
| 24 | Columbia Bond Fund | Annual Report 2021 |
Statement of Assets and Liabilities
April 30, 2021
April 30, 2021
| Assets | |
| Investments in securities, at value | |
| Unaffiliated issuers (cost $1,277,387,395) | $1,290,473,413 |
| Affiliated issuers (cost $54,156,521) | 54,158,560 |
| Options purchased (cost $2,473,500) | 9,300,122 |
| Cash collateral held at broker for: | |
| TBA | 11,000 |
| Margin deposits on: | |
| Swap contracts | 821,031 |
| Receivable for: | |
| Capital shares sold | 1,798,928 |
| Dividends | 2,657 |
| Interest | 3,096,174 |
| Foreign tax reclaims | 20,630 |
| Variation margin for futures contracts | 205,453 |
| Expense reimbursement due from Investment Manager | 4,324 |
| Prepaid expenses | 17,057 |
| Trustees’ deferred compensation plan | 242,862 |
| Total assets | 1,360,152,211 |
| Liabilities | |
| Option contracts written, at value (premiums received $1,488,000) | 1,392,938 |
| Payable for: | |
| Investments purchased | 14,512,665 |
| Investments purchased on a delayed delivery basis | 207,657,269 |
| Capital shares purchased | 476,148 |
| Distributions to shareholders | 1,663,796 |
| Variation margin for swap contracts | 11,046 |
| Management services fees | 15,368 |
| Distribution and/or service fees | 939 |
| Transfer agent fees | 20,097 |
| Compensation of board members | 73,296 |
| Compensation of chief compliance officer | 26 |
| Other expenses | 38,744 |
| Trustees’ deferred compensation plan | 242,862 |
| Total liabilities | 226,105,194 |
| Net assets applicable to outstanding capital stock | $1,134,047,017 |
| Represented by | |
| Paid in capital | 1,128,521,248 |
| Total distributable earnings (loss) | 5,525,769 |
| Total - representing net assets applicable to outstanding capital stock | $1,134,047,017 |
The accompanying Notes to Financial Statements are
an integral part of this statement.
|
Columbia Bond Fund | Annual Report 2021
|
25 |
Statement of Assets and Liabilities (continued)
April 30, 2021
April 30, 2021
| Class A | |
| Net assets | $99,681,151 |
| Shares outstanding | 2,817,526 |
| Net asset value per share | $35.38 |
| 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) | $37.14 |
| Advisor Class | |
| Net assets | $2,123,398 |
| Shares outstanding | 60,101 |
| Net asset value per share | $35.33 |
| Class C | |
| Net assets | $7,679,831 |
| Shares outstanding | 217,380 |
| Net asset value per share | $35.33 |
| Institutional Class | |
| Net assets | $80,542,232 |
| Shares outstanding | 2,276,827 |
| Net asset value per share | $35.37 |
| Institutional 2 Class | |
| Net assets | $10,058,228 |
| Shares outstanding | 285,112 |
| Net asset value per share | $35.28 |
| Institutional 3 Class | |
| Net assets | $925,194,623 |
| Shares outstanding | 26,097,083 |
| Net asset value per share | $35.45 |
| Class R | |
| Net assets | $1,127,207 |
| Shares outstanding | 31,864 |
| Net asset value per share | $35.38 |
| Class V | |
| Net assets | $7,640,347 |
| Shares outstanding | 216,364 |
| Net asset value per share | $35.31 |
| 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 V shares) | $37.07 |
The accompanying Notes to Financial Statements are
an integral part of this statement.
| 26 | Columbia Bond Fund | Annual Report 2021 |
Statement of Operations
Year Ended April 30, 2021
Year Ended April 30, 2021
| Net investment income | |
| Income: | |
| Dividends — unaffiliated issuers | $25 |
| Dividends — affiliated issuers | 55,541 |
| Interest | 21,138,816 |
| Total income | 21,194,382 |
| Expenses: | |
| Management services fees | 3,993,853 |
| Distribution and/or service fees | |
| Class A | 227,267 |
| Class C | 91,926 |
| Class R | 6,104 |
| Class V | 11,838 |
| Transfer agent fees | |
| Class A | 112,271 |
| Advisor Class | 2,619 |
| Class C | 11,389 |
| Institutional Class | 95,240 |
| Institutional 2 Class | 4,855 |
| Institutional 3 Class | 38,803 |
| Class R | 1,516 |
| Class V | 9,790 |
| Compensation of board members | 52,457 |
| Custodian fees | 26,844 |
| Printing and postage fees | 35,358 |
| Registration fees | 132,326 |
| Audit fees | 49,500 |
| Legal fees | 17,624 |
| Interest on collateral | 1,955 |
| Compensation of chief compliance officer | 247 |
| Other | 29,052 |
| Total expenses | 4,952,834 |
| Fees waived or expenses reimbursed by Investment Manager and its affiliates | (1,175,985) |
| Fees waived by transfer agent | |
| Institutional 3 Class | (9,329) |
| Expense reduction | (720) |
| Total net expenses | 3,766,800 |
| Net investment income | 17,427,582 |
| Realized and unrealized gain (loss) — net | |
| Net realized gain (loss) on: | |
| Investments — unaffiliated issuers | 6,011,125 |
| Investments — affiliated issuers | 2,678 |
| Futures contracts | (1,820,606) |
| Swap contracts | (2) |
| Net realized gain | 4,193,195 |
| Net change in unrealized appreciation (depreciation) on: | |
| Investments — unaffiliated issuers | 14,748,399 |
| Investments — affiliated issuers | (10,792) |
| Futures contracts | (13,696,247) |
| Options purchased | 6,826,622 |
| Options contracts written | 95,062 |
| Swap contracts | (13,478) |
| Net change in unrealized appreciation (depreciation) | 7,949,566 |
| Net realized and unrealized gain | 12,142,761 |
| Net increase in net assets resulting from operations | $29,570,343 |
The accompanying Notes to Financial
Statements are an integral part of this statement.
|
Columbia Bond Fund | Annual Report 2021
|
27 |
Statement of Changes in Net Assets
|
Year Ended
April 30, 2021 |
Year Ended
April 30, 2020 |
|
| Operations | ||
| Net investment income | $17,427,582 | $11,493,018 |
| Net realized gain | 4,193,195 | 14,535,502 |
| Net change in unrealized appreciation (depreciation) | 7,949,566 | 2,033,851 |
| Net increase in net assets resulting from operations | 29,570,343 | 28,062,371 |
| Distributions to shareholders | ||
| Net investment income and net realized gains | ||
| Class A | (4,095,337) | (2,327,117) |
| Advisor Class | (95,400) | (52,082) |
| Class C | (341,919) | (163,425) |
| Institutional Class | (3,622,047) | (2,429,802) |
| Institutional 2 Class | (413,556) | (243,329) |
| Institutional 3 Class | (26,231,751) | (11,223,898) |
| Class R | (49,383) | (26,491) |
| Class V | (350,296) | (324,290) |
| Total distributions to shareholders | (35,199,689) | (16,790,434) |
| Increase in net assets from capital stock activity | 704,393,822 | 48,307,507 |
| Total increase in net assets | 698,764,476 | 59,579,444 |
| Net assets at beginning of year | 435,282,541 | 375,703,097 |
| Net assets at end of year | $1,134,047,017 | $435,282,541 |
The accompanying Notes to
Financial Statements are an integral part of this statement.
| 28 | Columbia Bond Fund | Annual Report 2021 |
Statement of Changes in Net Assets (continued)
| Year Ended | Year Ended | |||
| April 30, 2021 | April 30, 2020 | |||
| Shares(a) | Dollars ($) | Shares(a) | Dollars ($) | |
| Capital stock activity | ||||
| Class A | ||||
| Subscriptions | 1,052,886 | 37,794,128 | 1,037,730 | 36,178,190 |
| Distributions reinvested | 97,887 | 3,515,038 | 53,132 | 1,850,202 |
| Redemptions | (494,210) | (17,570,141) | (398,581) | (13,839,503) |
| Net increase | 656,563 | 23,739,025 | 692,281 | 24,188,889 |
| Advisor Class | ||||
| Subscriptions | 87,868 | 3,333,177 | 111,196 | 3,932,808 |
| Distributions reinvested | 2,644 | 94,921 | 1,485 | 51,679 |
| Redemptions | (78,522) | (2,998,903) | (86,405) | (3,064,920) |
| Net increase | 11,990 | 429,195 | 26,276 | 919,567 |
| Class C | ||||
| Subscriptions | 115,398 | 4,142,956 | 187,579 | 6,556,459 |
| Distributions reinvested | 9,177 | 329,004 | 4,183 | 145,278 |
| Redemptions | (151,780) | (5,440,805) | (67,249) | (2,310,964) |
| Net increase (decrease) | (27,205) | (968,845) | 124,513 | 4,390,773 |
| Institutional Class | ||||
| Subscriptions | 998,279 | 35,937,092 | 795,177 | 27,700,453 |
| Distributions reinvested | 89,987 | 3,231,666 | 60,532 | 2,108,611 |
| Redemptions | (779,462) | (27,865,249) | (400,556) | (13,936,157) |
| Net increase | 308,804 | 11,303,509 | 455,153 | 15,872,907 |
| Institutional 2 Class | ||||
| Subscriptions | 140,010 | 5,049,877 | 166,219 | 5,823,625 |
| Distributions reinvested | 11,552 | 413,556 | 6,992 | 242,880 |
| Redemptions | (40,049) | (1,433,710) | (108,913) | (3,809,665) |
| Net increase | 111,513 | 4,029,723 | 64,298 | 2,256,840 |
| Institutional 3 Class | ||||
| Subscriptions | 19,970,295 | 719,666,240 | 580,956 | 20,209,242 |
| Distributions reinvested | 320,691 | 11,517,196 | 3,139 | 109,548 |
| Redemptions | (1,796,093) | (64,570,215) | (575,207) | (19,826,805) |
| Net increase | 18,494,893 | 666,613,221 | 8,888 | 491,985 |
| Class R | ||||
| Subscriptions | 1,413 | 50,793 | 20,286 | 721,713 |
| Distributions reinvested | 1,373 | 49,298 | 762 | 26,481 |
| Redemptions | (6,040) | (219,028) | (6,024) | (210,839) |
| Net increase (decrease) | (3,254) | (118,937) | 15,024 | 537,355 |
| Class V | ||||
| Subscriptions | 4,820 | 169,851 | 1,626 | 56,662 |
| Distributions reinvested | 7,219 | 258,820 | 6,946 | 241,426 |
| Redemptions | (29,619) | (1,061,740) | (18,639) | (648,897) |
| Net decrease | (17,580) | (633,069) | (10,067) | (350,809) |
| Total net increase | 19,535,724 | 704,393,822 | 1,376,366 | 48,307,507 |
| (a) | Share activity has been adjusted on a retroactive basis to reflect a 4 to 1 reverse stock split completed after the close of business on September 11, 2020. |
The accompanying Notes to Financial Statements are
an integral part of this statement.
|
Columbia Bond Fund | Annual Report 2021
|
29 |
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 |
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(c) | |||||||
| Year Ended 4/30/2021 | $34.88 | 0.69 | 1.39 | 2.08 | (0.72) | (0.86) | (1.58) |
| Year Ended 4/30/2020 | $33.84 | 0.88 | 1.48 | 2.36 | (0.88) | (0.44) | (1.32) |
| Year Ended 4/30/2019 | $33.13 | 0.92 | 0.67 | 1.59 | (0.88) | — | (0.88) |
| Year Ended 4/30/2018 | $33.87 | 0.64 | (0.74) | (0.10) | (0.60) | (0.04) | (0.64) |
| Year Ended 4/30/2017 | $34.89 | 0.64 | (0.22) | 0.42 | (0.60) | (0.84) | (1.44) |
| Advisor Class(c) | |||||||
| Year Ended 4/30/2021 | $34.83 | 0.79 | 1.38 | 2.17 | (0.81) | (0.86) | (1.67) |
| Year Ended 4/30/2020 | $33.80 | 0.96 | 1.47 | 2.43 | (0.96) | (0.44) | (1.40) |
| Year Ended 4/30/2019 | $33.09 | 1.00 | 0.71 | 1.71 | (1.00) | — | (1.00) |
| Year Ended 4/30/2018 | $33.85 | 0.72 | (0.72) | 0.00(g) | (0.72) | (0.04) | (0.76) |
| Year Ended 4/30/2017 | $34.87 | 0.72 | (0.22) | 0.50 | (0.68) | (0.84) | (1.52) |
| Class C(c) | |||||||
| Year Ended 4/30/2021 | $34.83 | 0.43 | 1.38 | 1.81 | (0.45) | (0.86) | (1.31) |
| Year Ended 4/30/2020 | $33.79 | 0.60 | 1.52 | 2.12 | (0.64) | (0.44) | (1.08) |
| Year Ended 4/30/2019 | $33.08 | 0.64 | 0.71 | 1.35 | (0.64) | — | (0.64) |
| Year Ended 4/30/2018 | $33.84 | 0.36 | (0.72) | (0.36) | (0.36) | (0.04) | (0.40) |
| Year Ended 4/30/2017 | $34.85 | 0.40 | (0.21) | 0.19 | (0.36) | (0.84) | (1.20) |
| Institutional Class(c) | |||||||
| Year Ended 4/30/2021 | $34.88 | 0.78 | 1.38 | 2.16 | (0.81) | (0.86) | (1.67) |
| Year Ended 4/30/2020 | $33.83 | 0.96 | 1.49 | 2.45 | (0.96) | (0.44) | (1.40) |
| Year Ended 4/30/2019 | $33.13 | 1.00 | 0.70 | 1.70 | (1.00) | — | (1.00) |
| Year Ended 4/30/2018 | $33.87 | 0.60 | (0.58) | 0.02 | (0.72) | (0.04) | (0.76) |
| Year Ended 4/30/2017 | $34.89 | 0.72 | (0.22) | 0.50 | (0.68) | (0.84) | (1.52) |
| Institutional 2 Class(c) | |||||||
| Year Ended 4/30/2021 | $34.78 | 0.80 | 1.39 | 2.19 | (0.83) | (0.86) | (1.69) |
| Year Ended 4/30/2020 | $33.74 | 1.00 | 1.48 | 2.48 | (1.00) | (0.44) | (1.44) |
| Year Ended 4/30/2019 | $33.02 | 1.04 | 0.68 | 1.72 | (1.00) | — | (1.00) |
| Year Ended 4/30/2018 | $33.78 | 0.76 | (0.76) | 0.00(g) | (0.72) | (0.04) | (0.76) |
| Year Ended 4/30/2017 | $34.79 | 0.68 | (0.13) | 0.55 | (0.72) | (0.84) | (1.56) |
| Institutional 3 Class(c) | |||||||
| Year Ended 4/30/2021 | $34.95 | 0.79 | 1.42 | 2.21 | (0.85) | (0.86) | (1.71) |
| Year Ended 4/30/2020 | $33.90 | 1.00 | 1.53 | 2.53 | (1.04) | (0.44) | (1.48) |
| Year Ended 4/30/2019 | $33.19 | 1.04 | 0.71 | 1.75 | (1.04) | — | (1.04) |
| Year Ended 4/30/2018 | $33.93 | 0.84 | (0.78) | 0.06 | (0.76) | (0.04) | (0.80) |
| Year Ended 4/30/2017 | $34.94 | 0.76 | (0.17) | 0.59 | (0.76) | (0.84) | (1.60) |
The accompanying Notes to Financial
Statements are an integral part of this statement.
| 30 | Columbia Bond Fund | Annual Report 2021 |
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(c) | |||||||
| Year Ended 4/30/2021 | $35.38 | 5.96% | 0.91%(d) | 0.77%(d),(e) | 1.92% | 227% | $99,681 |
| Year Ended 4/30/2020 | $34.88 | 7.05% | 0.97% | 0.80%(e) | 2.50% | 229% | $75,375 |
| Year Ended 4/30/2019 | $33.84 | 4.98% | 1.01% | 0.83%(e) | 2.73% | 236% | $49,696 |
| Year Ended 4/30/2018 | $33.13 | (0.33%) | 1.00% | 0.86%(e) | 1.84% | 257% | $50,845 |
| Year Ended 4/30/2017 | $33.87 | 1.34% | 0.98%(f) | 0.82%(e),(f) | 1.86% | 375% | $52,029 |
| Advisor Class(c) | |||||||
| Year Ended 4/30/2021 | $35.33 | 6.20% | 0.66%(d) | 0.52%(d),(e) | 2.19% | 227% | $2,123 |
| Year Ended 4/30/2020 | $34.83 | 7.32% | 0.71% | 0.55%(e) | 2.74% | 229% | $1,676 |
| Year Ended 4/30/2019 | $33.80 | 5.24% | 0.76% | 0.58%(e) | 3.03% | 236% | $738 |
| Year Ended 4/30/2018 | $33.09 | (0.08%) | 0.75% | 0.61%(e) | 2.09% | 257% | $497 |
| Year Ended 4/30/2017 | $33.85 | 1.48% | 0.73%(f) | 0.57%(e),(f) | 2.10% | 375% | $516 |
| Class C(c) | |||||||
| Year Ended 4/30/2021 | $35.33 | 5.15% | 1.66%(d) | 1.52%(d),(e) | 1.19% | 227% | $7,680 |
| Year Ended 4/30/2020 | $34.83 | 6.26% | 1.72% | 1.55%(e) | 1.74% | 229% | $8,519 |
| Year Ended 4/30/2019 | $33.79 | 4.20% | 1.76% | 1.59%(e) | 1.96% | 236% | $4,058 |
| Year Ended 4/30/2018 | $33.08 | (1.08%) | 1.75% | 1.61%(e) | 1.04% | 257% | $6,001 |
| Year Ended 4/30/2017 | $33.84 | 0.59% | 1.73%(f) | 1.57%(e),(f) | 1.11% | 375% | $9,461 |
| Institutional Class(c) | |||||||
| Year Ended 4/30/2021 | $35.37 | 6.19% | 0.66%(d) | 0.52%(d),(e) | 2.18% | 227% | $80,542 |
| Year Ended 4/30/2020 | $34.88 | 7.32% | 0.72% | 0.55%(e) | 2.76% | 229% | $68,640 |
| Year Ended 4/30/2019 | $33.83 | 5.24% | 0.76% | 0.58%(e) | 2.97% | 236% | $51,185 |
| Year Ended 4/30/2018 | $33.13 | (0.08%) | 0.74% | 0.61%(e) | 1.74% | 257% | $56,556 |
| Year Ended 4/30/2017 | $33.87 | 1.60% | 0.73%(f) | 0.58%(e),(f) | 2.11% | 375% | $369,017 |
| Institutional 2 Class(c) | |||||||
| Year Ended 4/30/2021 | $35.28 | 6.24% | 0.60%(d) | 0.45%(d) | 2.23% | 227% | $10,058 |
| Year Ended 4/30/2020 | $34.78 | 7.55% | 0.62% | 0.46% | 2.83% | 229% | $6,038 |
| Year Ended 4/30/2019 | $33.74 | 5.24% | 0.64% | 0.47% | 3.20% | 236% | $3,687 |
| Year Ended 4/30/2018 | $33.02 | 0.13% | 0.64% | 0.51% | 2.20% | 257% | $864 |
| Year Ended 4/30/2017 | $33.78 | 1.58% | 0.63%(f) | 0.49%(f) | 1.99% | 375% | $735 |
| Institutional 3 Class(c) | |||||||
| Year Ended 4/30/2021 | $35.45 | 6.31% | 0.55%(d) | 0.40%(d) | 2.22% | 227% | $925,195 |
| Year Ended 4/30/2020 | $34.95 | 7.47% | 0.57% | 0.40% | 2.91% | 229% | $265,665 |
| Year Ended 4/30/2019 | $33.90 | 5.41% | 0.58% | 0.42% | 3.14% | 236% | $257,417 |
| Year Ended 4/30/2018 | $33.19 | 0.19% | 0.59% | 0.46% | 2.46% | 257% | $284,876 |
| Year Ended 4/30/2017 | $33.93 | 1.63% | 0.54%(f) | 0.42%(f) | 2.26% | 375% | $29,756 |
The accompanying Notes to Financial
Statements are an integral part of this statement.
|
Columbia Bond Fund | Annual Report 2021
|
31 |
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(c) | |||||||
| Year Ended 4/30/2021 | $34.88 | 0.61 | 1.38 | 1.99 | (0.63) | (0.86) | (1.49) |
| Year Ended 4/30/2020 | $33.83 | 0.80 | 1.49 | 2.29 | (0.80) | (0.44) | (1.24) |
| Year Ended 4/30/2019 | $33.12 | 0.84 | 0.67 | 1.51 | (0.80) | — | (0.80) |
| Year Ended 4/30/2018 | $33.88 | 0.52 | (0.72) | (0.20) | (0.52) | (0.04) | (0.56) |
| Year Ended 4/30/2017 | $34.89 | 0.56 | (0.21) | 0.35 | (0.52) | (0.84) | (1.36) |
| Class V(c) | |||||||
| Year Ended 4/30/2021 | $34.82 | 0.73 | 1.37 | 2.10 | (0.75) | (0.86) | (1.61) |
| Year Ended 4/30/2020 | $33.78 | 0.92 | 1.48 | 2.40 | (0.92) | (0.44) | (1.36) |
| Year Ended 4/30/2019 | $33.07 | 0.92 | 0.71 | 1.63 | (0.92) | — | (0.92) |
| Year Ended 4/30/2018 | $33.82 | 0.64 | (0.71) | (0.07) | (0.64) | (0.04) | (0.68) |
| Year Ended 4/30/2017 | $34.83 | 0.68 | (0.21) | 0.47 | (0.64) | (0.84) | (1.48) |
| Notes to Financial Highlights | |
| (a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
| (b) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
| (c) | Per share amounts have been adjusted on a retroactive basis to reflect a 4 to 1 reverse stock split completed after the close of business on September 11, 2020. |
| (d) | Ratios include interest on collateral expense which is less than 0.01%. |
| (e) | The benefits derived from expense reductions had an impact of less than 0.01%. |
| (f) | 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 | Class V |
| 04/30/2017 | 0.04% | 0.04% | 0.04% | 0.03% | 0.02% | 0.03% | 0.03% | 0.03% |
| (g) | Rounds to zero. |
The accompanying Notes to
Financial Statements are an integral part of this statement.
| 32 | Columbia Bond Fund | Annual Report 2021 |
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(c) | |||||||
| Year Ended 4/30/2021 | $35.38 | 5.70% | 1.16%(d) | 1.02%(d),(e) | 1.69% | 227% | $1,127 |
| Year Ended 4/30/2020 | $34.88 | 6.79% | 1.22% | 1.05%(e) | 2.26% | 229% | $1,225 |
| Year Ended 4/30/2019 | $33.83 | 4.71% | 1.26% | 1.08%(e) | 2.51% | 236% | $680 |
| Year Ended 4/30/2018 | $33.12 | (0.58%) | 1.25% | 1.11%(e) | 1.54% | 257% | $550 |
| Year Ended 4/30/2017 | $33.88 | 1.09% | 1.23%(f) | 1.08%(e),(f) | 1.62% | 375% | $922 |
| Class V(c) | |||||||
| Year Ended 4/30/2021 | $35.31 | 6.10% | 0.81%(d) | 0.67%(d),(e) | 2.04% | 227% | $7,640 |
| Year Ended 4/30/2020 | $34.82 | 7.17% | 0.87% | 0.70%(e) | 2.62% | 229% | $8,145 |
| Year Ended 4/30/2019 | $33.78 | 4.96% | 0.91% | 0.73%(e) | 2.83% | 236% | $8,242 |
| Year Ended 4/30/2018 | $33.07 | (0.23%) | 0.90% | 0.76%(e) | 1.92% | 257% | $8,934 |
| Year Ended 4/30/2017 | $33.82 | 1.44% | 0.88%(f) | 0.73%(e),(f) | 1.95% | 375% | $10,139 |
The accompanying Notes to Financial Statements are
an integral part of this statement.
|
Columbia Bond Fund | Annual Report 2021
|
33 |
Notes to Financial Statements
April 30, 2021
April 30, 2021
Note 1. Organization
Columbia Bond 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.
The Fund’s Board of Trustees
approved reverse stock splits of the issued and outstanding shares of the Fund (the Reverse Stock Split). The Reverse Stock Split was completed after the close of business on September 11, 2020. The impact of the
Reverse Stock Split was to decrease the number of shares outstanding and increase the net asset value per share for each share class of the Fund by the ratio of 4 to 1, resulting in no effect on the net assets of each
share class or the value of each affected shareholder’s investment. Capital stock share activity reflected in the Statement of Changes in Net Assets and per share data in the Financial Highlights have been
adjusted on a retroactive basis to reflect the impact of the Reverse Stock Split.
Fund shares
The Trust may issue an unlimited
number of shares (without par value). The Fund offers each of the share classes listed in the Statement of Assets and Liabilities. Although all share classes generally have identical voting, dividend and liquidation
rights, each share class votes separately when required by the Trust’s organizational documents or by law. Each share class has its own expense and sales charge structure. Different share classes may have
different minimum initial investment amounts and pay different net investment income distribution amounts to the extent the expenses of distributing such share classes vary. Distributions to shareholders in a
liquidation will be proportional to the net asset value of each share class.
As described in the Fund’s
prospectus, Class A and Class C shares are offered to the general public for investment. Effective April 1, 2021, Class C shares automatically convert to Class A shares after 8 years. Prior to April 1, 2021, Class C
shares automatically converted to Class A shares after 10 years. Advisor Class, Institutional Class, Institutional 2 Class, Institutional 3 Class and Class R shares are available for purchase through authorized
investment professionals to omnibus retirement plans or to institutional investors and to certain other investors as also described in the Fund’s prospectus. Class V shares are available only to investors who
received (and who continuously held) Class V shares in connection with previous fund reorganizations.
Note 2. Summary of
significant accounting policies
Basis of preparation
The Fund is an investment company
that applies the accounting and reporting guidance in the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946, Financial Services - Investment Companies (ASC 946). The financial statements are prepared in accordance with U.S. generally accepted accounting principles (GAAP), which requires
management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities, the disclosure of contingent assets and liabilities at the date of the financial statements and the
reported amounts of income and expenses during the reporting period. Actual results could differ from those estimates.
The following is a summary of
significant accounting policies followed by the Fund in the preparation of its financial statements.
Security valuation
Equity securities listed on an
exchange are valued at the closing price or last trade on their primary exchange at the close of business of the New York Stock Exchange. Securities with a closing price not readily available or not listed on any
exchange are valued at the mean between the closing bid and asked prices. Listed preferred stocks convertible into common stocks are valued using an evaluated price from a pricing service.
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
| 34 | Columbia Bond Fund | Annual Report 2021 |
Notes to Financial Statements (continued)
April 30, 2021
April 30, 2021
not believed to be reflective of market value may
also be valued based upon a bid quote from an approved independent broker-dealer. Debt securities maturing in 60 days or less are valued primarily at amortized market value, unless this method results in a valuation
that management believes does not approximate fair value.
Asset- and mortgage-backed
securities are generally valued by pricing services, which utilize pricing models that incorporate the securities’ cash flow and loan performance data. These models also take into account available market data,
including trades, market quotations, and benchmark yield curves for identical or similar securities. Factors used to identify similar securities may include, but are not limited to, issuer, collateral type, vintage,
prepayment speeds, collateral performance, credit ratings, credit enhancement and expected life. Asset-backed securities for which quotations are readily available may also be valued based upon an over-the-counter or
exchange bid quote from an approved independent broker-dealer. Debt securities maturing in 60 days or less are valued primarily at amortized market value, unless this method results in a valuation that management
believes does not approximate fair value.
Investments in open-end investment
companies (other than exchange-traded funds (ETFs)), are valued at the latest net asset value reported by those companies as of the valuation time.
Futures and options on futures
contracts are valued based upon the settlement price at the close of regular trading on their principal exchanges or, in the absence of a settlement price, at the mean of the latest quoted bid and ask prices.
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, if available.
The determination of fair value
often requires significant judgment. To determine fair value, management may use assumptions including but not limited to future cash flows and estimated risk premiums. Multiple inputs from various sources may be used
to determine fair value.
GAAP requires disclosure regarding
the inputs and valuation techniques used to measure fair value and any changes in valuation inputs or techniques. In addition, investments shall be disclosed by major category. This information is disclosed following
the Fund’s Portfolio of Investments.
Derivative instruments
The Fund invests in certain
derivative instruments, as detailed below, in seeking to meet its investment objectives. Derivatives are instruments whose values depend on, or are derived from, in whole or in part, the value of one or more
securities, currencies, commodities, indices, or other assets or instruments. Derivatives may be used to increase investment flexibility (including to maintain cash reserves while maintaining desired exposure to
certain assets), for risk management (hedging) purposes, to facilitate trading, to reduce transaction costs and to pursue higher investment returns. The Fund may also use derivative instruments to mitigate certain
investment risks, such as foreign currency exchange rate risk, interest rate risk and credit risk. Derivatives may involve various risks, including the potential inability of the counterparty to fulfill its
obligations under the terms of the contract, the potential for an illiquid secondary market (making it difficult for the Fund to sell or terminate, including at favorable prices) and the potential for market movements
which may expose the Fund to gains or losses in excess of the amount shown in the Statement of Assets and Liabilities. The notional amounts of derivative instruments, if applicable, are not recorded in the financial
statements.
A derivative instrument may suffer
a marked-to-market loss if the value of the contract decreases due to an unfavorable change in the market rates or values of the underlying instrument. Losses can also occur if the counterparty does not perform its
obligations under the contract. The Fund’s risk of loss from counterparty credit risk on over-the-counter derivatives
|
Columbia Bond Fund | Annual Report 2021
|
35 |
Notes to Financial Statements (continued)
April 30, 2021
April 30, 2021
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 clearing brokers are required to segregate customer margin from their own assets, in the event that a
clearing broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the clearing broker for all its clients, U.S. bankruptcy laws will typically
allocate that shortfall on a pro-rata basis across all the clearing broker’s customers (including the Fund), potentially resulting in losses to the Fund.
In order to better define its
contractual rights and to secure rights that will help the Fund mitigate its counterparty risk, the Fund may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (ISDA Master Agreement)
or similar agreement with its derivatives counterparties. An ISDA Master Agreement is an agreement between the Fund and a counterparty that governs over-the-counter derivatives and foreign exchange forward contracts
and contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. Under an ISDA Master Agreement, the Fund may, under certain circumstances, offset
with the counterparty certain derivative 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 for most over-the-counter derivatives are subject to regulatory requirements to exchange variation margin with trading counterparties and may have contract specific margin terms as
well. For over-the-counter derivatives traded under an ISDA Master Agreement, the collateral requirements are typically calculated by netting the marked-to-market amount for each transaction under such agreement and
comparing that amount to the value of any variation margin currently pledged by the Fund and/or the counterparty. Generally, the amount of collateral due from or to a party has to exceed a minimum transfer amount
threshold (e.g., $250,000) before a transfer has to be made. To the extent amounts due to the Fund from its counterparties are not fully collateralized, contractually or otherwise, the Fund bears the risk of loss from
counterparty nonperformance. The Fund may also pay interest expense on cash collateral received from the broker. 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 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
| 36 | Columbia Bond Fund | Annual Report 2021 |
Notes to Financial Statements (continued)
April 30, 2021
April 30, 2021
anticipated benefits of the futures contracts and
may realize a loss. Additional risks include counterparty credit risk, the possibility of an illiquid market, and that a change in the value of the contract or option may not correlate with changes in the value of the
underlying asset.
Upon entering into a futures
contract, the Fund deposits cash or securities with the broker, known as a futures commission merchant (FCM), in an amount sufficient to meet the initial margin requirement. The initial margin deposit must be
maintained at an established level over the life of the contract. Cash deposited as initial margin is recorded in the Statement of Assets and Liabilities as margin deposits. Securities deposited as initial margin are
designated in the Portfolio of Investments. Subsequent payments (variation margin) are made or received by the Fund each day. The variation margin payments are equal to the daily change in the contract value and are
recorded as variation margin receivable or payable and are offset in unrealized gains or losses. The Fund generally expects to earn interest income on its margin deposits. The Fund recognizes a realized gain or loss
when the contract is closed or expires. Futures contracts involve, to varying degrees, risk of loss in excess of the variation margin disclosed in the Statement of Assets and Liabilities.
Options contracts
Options are contracts which entitle
the holder to purchase or sell securities or other identified assets at a specified price, or in the case of index option contracts, to receive or pay the difference between the index value and the strike price of the
index option contract. Option contracts can be either exchange-traded or over-the-counter. The Fund purchased and has written option contracts to manage exposure to fluctuations in interest rates. These instruments
may be used for other purposes in future periods. Completion of transactions for option contracts traded in the over-the-counter market depends upon the performance of the other party. Collateral may be collected or
posted by the Fund to secure over-the-counter option contract trades. Collateral held or posted by the Fund for such option contract trades must be returned to the broker or the Fund upon closure, exercise or
expiration of the contract.
Options contracts purchased are
recorded as investments. When the Fund writes an options contract, the premium received is recorded as an asset and an amount equivalent to the premium is recorded as a liability in the Statement of Assets and
Liabilities and is subsequently adjusted to reflect the current fair value of the option written. Changes in the fair value of the written option are recorded as unrealized appreciation or depreciation until the
contract is exercised or has expired. The Fund realizes a gain or loss when the option contract is closed or expires. When option contracts are exercised, the proceeds on sales for a written call or purchased put
option contract, or the purchase cost for a written put or purchased call option contract, is adjusted by the amount of premium received or paid.
For over-the-counter options
purchased, the Fund bears the risk of loss of the amount of the premiums paid plus the positive change in market values net of any collateral held by the Fund should the counterparty fail to perform under the
contracts. Option contracts written by the Fund do not typically give rise to significant counterparty credit risk, as options written generally obligate the Fund and not the counterparty to perform. The risk in
writing a call option contract is that the Fund gives up the opportunity for profit if the market price of the security increases above the strike price and the option contract is exercised. The risk in writing a put
option contract is that the Fund may incur a loss if the market price of the security decreases below the strike price and the option contract is exercised. Exercise of a written option could result in the Fund
purchasing or selling a security or foreign currency when it otherwise would not, or at a price different from the current market value. In purchasing and writing options, the Fund bears the risk of an unfavorable
change in the value of the underlying instrument or the risk that the Fund may not be able to enter into a closing transaction due to an illiquid market.
Interest rate swaption contracts
Interest rate swaption contracts
entered into by the Fund typically represent an option that gives the purchaser the right, but not the obligation, to enter into an interest rate swap contract on a future date. Each interest rate swaption contract
will specify if the buyer is entitled to receive the fixed or floating rate if the interest rate is exercised. Changes in the value of a purchased interest rate swaption contracts are reported as unrealized
appreciation or depreciation on options in the Statement of Assets and Liabilities. Gain or loss is recognized in the Statement of Operations when the interest rate swaption contract is closed or expires.
|
Columbia Bond Fund | Annual Report 2021
|
37 |
Notes to Financial Statements (continued)
April 30, 2021
April 30, 2021
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. For a bilateral swap
contract, the Fund has credit exposure to the broker, but exchanges daily variation margin with the broker based on the mark-to-market value of the swap contract to minimize that exposure. For centrally cleared swap
contracts, the Fund has minimal credit exposure to the FCM because the CCP stands between the Fund and the relevant buyer/seller on the other side of the contract. Swap contracts are marked-to-market daily and changes
in value are recorded as unrealized appreciation (depreciation). The daily change in valuation of centrally cleared swap contracts, if any, is recorded as a receivable or payable for variation margin in the Statement
of Assets and Liabilities.
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.
Interest rate swap contracts
The Fund entered into interest rate
swap transactions which may include inflation rate swap contracts to manage interest rate and market risk exposure to produce incremental earnings. These instruments may be used for other purposes in future periods.
An interest rate swap 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.
| 38 | Columbia Bond Fund | Annual Report 2021 |
Notes to Financial Statements (continued)
April 30, 2021
April 30, 2021
The following table is a summary of
the fair value of derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) at April 30, 2021:
| Asset derivatives | ||
|
Risk exposure
category |
Statement
of assets and liabilities location |
Fair value ($) |
| Interest rate risk | Investments, at value — Options purchased | 9,300,122 |
| Liability derivatives | ||
|
Risk exposure
category |
Statement
of assets and liabilities location |
Fair value ($) |
| Interest rate risk | Component of total distributable earnings (loss) — unrealized depreciation on futures contracts | 7,264,273* |
| Interest rate risk | Options contracts written, at value | 1,392,938 |
| Interest rate risk | Component of total distributable earnings (loss) — unrealized depreciation on swap contracts | 13,478* |
| Total | 8,670,689 |
| * | Includes cumulative appreciation (depreciation) as reported in the tables following the Portfolio of Investments. Only the current day’s variation margin is reported in receivables or payables in the Statement of Assets and Liabilities. |
The following table indicates the
effect of derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) in the Statement of Operations for the year ended April 30, 2021:
| Amount of realized gain (loss) on derivatives recognized in income | |||
| Risk exposure category |
Futures
contracts ($) |
Swap
contracts ($) |
Total
($) |
| Interest rate risk | (1,820,606) | (2) | (1,820,608) |
The following table is a summary
of the average outstanding volume by derivative instrument for the year ended April 30, 2021:
| Derivative instrument |
Average notional
amounts ($)* |
| Futures contracts — long | 301,204,461 |
| Derivative instrument |
Average
value ($) |
| Options contracts — purchased | 3,613,975* |
| Options contracts — written | (158,670)** |
| Derivative instrument |
Average unrealized
appreciation ($)** |
Average unrealized
depreciation ($)** |
| Interest rate swap contracts | 9,655 | (4,338) |
| * | Based on the ending quarterly outstanding amounts for the year ended April 30, 2021. |
| ** | Based on the ending daily outstanding amounts for the year ended April 30, 2021. |
|
Columbia Bond Fund | Annual Report 2021
|
39 |
Notes to Financial Statements (continued)
April 30, 2021
April 30, 2021
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 may benefit because it receives
negotiated amounts in the form of reductions of the purchase price for the future purchase plus the interest earned on the cash proceeds of the securities sold until the settlement date of the forward purchase. The
Fund records the incremental difference between the forward purchase and sale of each forward roll as a realized gain or loss. Unless any realized gains exceed the income, capital appreciation, and gain or loss due to
mortgage prepayments that would have been realized on the securities sold as part of the mortgage dollar roll, the use of this technique may diminish the investment performance of the Fund compared to what the
performance would have been without the use of mortgage dollar rolls. 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 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.
| 40 | Columbia Bond Fund | Annual Report 2021 |
Notes to Financial Statements (continued)
April 30, 2021
April 30, 2021
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 April 30, 2021:
| Citi ($) | Morgan Stanley (a) ($) | Morgan Stanley (a) ($) | Total ($) | |
| Assets | ||||
| Options purchased puts | 7,970,959 | 1,329,163 | - | 9,300,122 |
| Liabilities | ||||
| Centrally cleared interest rate swap contracts (b) | - | - | 11,046 | 11,046 |
| Options contracts written | 711,330 | 681,608 | - | 1,392,938 |
| Total liabilities | 711,330 | 681,608 | 11,046 | 1,403,984 |
| Total financial and derivative net assets | 7,259,629 | 647,555 | (11,046) | 7,896,138 |
| Total collateral received (pledged) (c) | 6,908,000 | 647,555 | - | 7,555,555 |
| Net amount (d) | 351,629 | - | (11,046) | 340,583 |
| (a) | Exposure can only be netted across transactions governed under the same master agreement with the same legal entity. |
| (b) | Centrally cleared swaps are included within payable/receivable for variation margin on the Statement of Assets and Liabilities. |
| (c) | In some instances, the actual collateral received and/or pledged may be more than the amount shown due to overcollateralization. |
| (d) | Represents the net amount due from/(to) counterparties in the event of default. |
Security transactions
Security transactions are accounted
for on the trade date. Cost is determined and gains (losses) are based upon the specific identification method for both financial statement and federal income tax purposes.
Income recognition
Interest income is recorded on an
accrual basis. Market premiums and discounts, including original issue discounts, are amortized and accreted, respectively, over the expected life of the security on all debt securities, unless otherwise noted. The
Fund classifies gains and losses realized on prepayments received on mortgage-backed securities as adjustments to interest income.
The Fund may place a debt security
on non-accrual status and reduce related interest income when it becomes probable that the interest will not be collected and the amount of uncollectible interest can be reasonably estimated. A defaulted debt security
is removed from non-accrual status when the issuer resumes interest payments or when collectability of interest is reasonably assured.
Corporate actions and dividend
income are recorded on the ex-dividend date.
The Fund may receive distributions
from holdings in equity securities, business development companies (BDCs), exchange-traded funds (ETFs), limited partnerships (LPs), other regulated investment companies (RICs), and real estate investment trusts
(REITs), which report information as to the tax character of their distributions annually. These distributions are allocated to dividend income, capital gain and return of capital based on actual information reported.
Return of capital is recorded as a reduction of the cost basis of securities held. If the Fund no longer owns the applicable securities, return of capital is recorded as a realized gain. With respect to REITs, to the
extent actual information has not yet been reported, estimates for return of capital are made by Columbia Management Investment Advisers, LLC (the Investment Manager), a wholly-owned subsidiary of Ameriprise
Financial, Inc. (Ameriprise Financial). The Investment Manager’s estimates are subsequently adjusted when the actual character of the distributions is disclosed by the REITs, which could result in a
proportionate change in return of capital to shareholders.
|
Columbia Bond Fund | Annual Report 2021
|
41 |
Notes to Financial Statements (continued)
April 30, 2021
April 30, 2021
Awards from class action litigation
are recorded as a reduction of cost basis if the Fund still owns the applicable securities on the payment date. If the Fund no longer owns the applicable securities on the payment date, the proceeds are recorded as
realized gains.
Expenses
General expenses of the Trust are
allocated to the Fund and other funds of the Trust based upon relative net assets or other expense allocation methodologies determined by the nature of the expense. Expenses directly attributable to the Fund are
charged to the Fund. Expenses directly attributable to a specific class of shares are charged to that share class.
Determination of class net asset
value
All income, expenses (other than
class-specific expenses, which are charged to that share class, as shown in the Statement of Operations) and realized and unrealized gains (losses) are allocated to each class of the Fund on a daily basis, based on
the relative net assets of each class, for purposes of determining the net asset value of each class.
Federal income tax status
The Fund intends to qualify each
year as a regulated investment company under Subchapter M of the Internal Revenue Code, as amended, and will distribute substantially all of its investment company taxable income and net capital gain, if any, for its
tax year, and as such will not be subject to federal income taxes. In addition, the Fund intends to distribute in each calendar year substantially all of its ordinary income, capital gain net income and certain other
amounts, if any, such that the Fund should not be subject to federal excise tax. Therefore, no federal income or excise tax provision is recorded.
Foreign taxes
The Fund may be subject to foreign
taxes on income, gains on investments or currency repatriation, a portion of which may be recoverable. The Fund will accrue such taxes and recoveries, as applicable, based upon its current interpretation of tax rules
and regulations that exist in the markets in which it invests.
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 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 pronouncement
Accounting Standards Update 2020-04
Reference Rate Reform
In March 2020, the Financial
Accounting Standards Board issued Accounting Standards Update (ASU) No. 2020-04 Reference Rate Reform – Facilitation of the Effects of Reference Rate Reform on Financial Statements. This standard provides
exceptions for applying GAAP to contract modifications, hedging relationships and other transactions affected by reference rate reform if certain criteria are met. The standard is elective and effective on March 12,
2020 through December 31, 2022. The Fund expects that the adoption of the guidance will not have a material impact on its financial statements.
| 42 | Columbia Bond Fund | Annual Report 2021 |
Notes to Financial Statements (continued)
April 30, 2021
April 30, 2021
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 0.50% to 0.34% as the Fund’s net assets increase. The effective management services fee rate for the year ended April 30, 2021 was 0.50% of the Fund’s
average daily net assets.
Compensation of board members
Members of the Board of Trustees
who are not officers or employees of the Investment Manager or Ameriprise Financial are compensated for their services to the Fund as disclosed in the Statement of Operations. Under a Deferred Compensation Plan (the
Deferred Plan), these members of the Board of Trustees may elect to defer payment of up to 100% of their compensation. Deferred amounts are treated as though equivalent dollar amounts had been invested in shares of
certain funds managed by the Investment Manager. The Fund’s liability for these amounts is adjusted for market value changes and remains in the Fund until distributed in accordance with the Deferred Plan. All
amounts payable under the Deferred Plan constitute a general unsecured obligation of the Fund. The expense for the Deferred Plan, which includes Trustees’ fees deferred during the current period as well as any
gains or losses on the Trustees’ deferred compensation balances as a result of market fluctuations, is included in "Compensation of board members" on the Statement of Operations.
Compensation of Chief Compliance
Officer
The Board of Trustees has appointed
a Chief Compliance Officer for the Fund in accordance with federal securities regulations. As disclosed in the Statement of Operations, a portion of the Chief Compliance Officer’s total compensation is allocated
to the Fund, along with other allocations to affiliated registered investment companies managed by the Investment Manager and its affiliates, based on relative net assets.
Transfer agency fees
Under a Transfer and Dividend
Disbursing Agent Agreement, Columbia Management Investment Services Corp. (the Transfer Agent), an affiliate of the Investment Manager and a wholly-owned subsidiary of Ameriprise Financial, is responsible for
providing transfer agency services to the Fund. The Transfer Agent has contracted with 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. In addition, prior to September 1, 2020, Institutional 3 Class shares were subject to
a contractual transfer agency fee annual limitation of not more than 0.00% of the average daily net assets attributable to Institutional 3 Class shares.
|
Columbia Bond Fund | Annual Report 2021
|
43 |
Notes to Financial Statements (continued)
April 30, 2021
April 30, 2021
For the year ended April 30, 2021,
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 | 0.12 |
| Advisor Class | 0.12 |
| Class C | 0.12 |
| Institutional Class | 0.12 |
| Institutional 2 Class | 0.06 |
| Institutional 3 Class | 0.00 |
| Class R | 0.12 |
| Class V | 0.12 |
An annual minimum account balance
fee of $20 may apply to certain accounts with a value below the applicable share class’s initial minimum investment requirements to reduce the impact of small accounts on transfer agency fees. These minimum
account balance fees are remitted to the Fund and recorded as part of expense reductions in the Statement of Operations. For the year ended April 30, 2021, these minimum account balance fees reduced total expenses of
the Fund by $720.
Distribution and service fees
The Fund has entered into an
agreement with Columbia Management Investment Distributors, Inc. (the Distributor), an affiliate of the Investment Manager and a wholly-owned subsidiary of Ameriprise Financial, for distribution and shareholder
services. The Board of Trustees has approved, and the Fund has adopted, distribution and shareholder service plans (the Plans) applicable to certain share classes, which set the distribution and service fees for the
Fund. These fees are calculated daily and are intended to compensate the Distributor and/or eligible selling and/or servicing agents for selling shares of the Fund and providing services to investors.
Under the Plans, the Fund pays a
monthly service fee to the Distributor at the maximum annual rate of 0.25% of the average daily net assets attributable to Class A and Class C shares of the Fund. Also under the Plans, the Fund pays a
monthly distribution fee to the Distributor at the maximum annual rates of 0.75% and 0.50% of the average daily net assets attributable to Class C and Class R shares of the Fund, respectively.
Shareholder services fees
The Fund has adopted a shareholder
services plan that permits it to pay for certain services provided to Class V shareholders by their selling and/or servicing agents. The Fund may pay shareholder servicing fees up to an aggregate annual rate of 0.40%
of the Fund’s average daily net assets attributable to Class V shares (comprised of up to 0.20% for shareholder services and up to 0.20% for administrative support services). These fees are currently limited to
an aggregate annual rate of not more than 0.15% of the Fund’s average daily net assets attributable to Class V shares.
Sales charges (unaudited)
Sales charges, including front-end
charges and contingent deferred sales charges (CDSCs), received by the Distributor for distributing Fund shares for the year ended April 30, 2021, if any, are listed below:
| Front End (%) | CDSC (%) | Amount ($) | |
| Class A | 4.75 | 0.50 - 1.00(a) | 146,409 |
| Class C | — | 1.00(b) | 168 |
| Class V | 4.75 | 0.50 - 1.00(a) | 48 |
| (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.
| 44 | Columbia Bond Fund | Annual Report 2021 |
Notes to Financial Statements (continued)
April 30, 2021
April 30, 2021
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:
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. This arrangement may be revised or discontinued at any time. Reflected in the contractual cap commitment, prior to September 1, 2020, is the Transfer Agent’s contractual agreement to limit total
transfer agency fees to an annual rate of not more than 0.00% for Institutional 3 Class of the average daily net assets attributable to Institutional 3 Class. 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 April 30, 2021, these
differences were primarily due to differing treatment for deferral/reversal of wash sale losses, trustees’ deferred compensation, derivative investments, tax straddles, post-October capital losses,
distributions, swap investments, principal and/or interest of fixed income securities and distribution reclassifications. To the extent these differences were permanent, reclassifications were made among the
components of the Fund’s net assets. Temporary differences do not require reclassifications.
The following reclassifications
were made:
|
Columbia Bond Fund | Annual Report 2021
|
45 |
Notes to Financial Statements (continued)
April 30, 2021
April 30, 2021
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 April 30, 2021 | Year Ended April 30, 2020 | ||||
|
Ordinary
income ($) |
Long-term
capital gains ($) |
Total ($) |
Ordinary
income ($) |
Long-term
capital gains ($) |
Total ($) |
| 28,415,979 | 6,783,710 | 35,199,689 | 14,650,590 | 2,139,844 | 16,790,434 |
Short-term capital gain
distributions, if any, are considered ordinary income distributions for tax purposes.
At April 30, 2021, the components
of distributable earnings on a tax basis were as follows:
|
Undistributed
ordinary income ($) |
Undistributed
long-term capital gains ($) |
Capital loss
carryforwards ($) |
Net unrealized
appreciation ($) |
| 1,233,399 | — | — | 19,763,382 |
At April 30, 2021, the cost of all
investments for federal income tax purposes along with the aggregate gross unrealized appreciation and depreciation based on that cost was:
|
Federal
tax cost ($) |
Gross unrealized
appreciation ($) |
Gross unrealized
(depreciation) ($) |
Net unrealized
appreciation ($) |
| 1,325,498,024 | 25,667,445 | (5,904,063) | 19,763,382 |
Tax cost of investments and
unrealized appreciation/(depreciation) may also include timing differences that do not constitute adjustments to tax basis.
Under current tax rules, regulated
investment companies can elect to treat certain late-year ordinary losses incurred and post-October capital losses (capital losses realized after October 31) as arising on the first day of the following taxable year.
As of April 30, 2021, the Fund will elect to treat the following late-year ordinary losses and post-October capital losses as arising on May 1, 2021.
|
Late year
ordinary losses ($) |
Post-October
capital losses ($) |
| — | 13,492,251 |
Management of the Fund has
concluded that there are no significant uncertain tax positions in the Fund that would require recognition in the financial statements. However, management’s conclusion may be subject to review and adjustment at
a later date based on factors including, but not limited to, new tax laws, regulations, and administrative interpretations (including relevant court decisions). Generally, the Fund’s federal tax returns for the
prior three fiscal years remain subject to examination by the Internal Revenue Service.
Note 5. Portfolio
information
The cost of purchases and
proceeds from sales of securities, excluding short-term investments and derivatives, if any, aggregated to $2,827,982,045 and $2,064,206,083, respectively, for the year ended April 30, 2021, of which $1,802,187,422
and $1,738,242,669, 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,
| 46 | Columbia Bond Fund | Annual Report 2021 |
Notes to Financial Statements (continued)
April 30, 2021
April 30, 2021
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 April 30, 2021.
Note 8. Line of credit
The Fund has access to a
revolving credit facility with a syndicate of banks led by Citibank, N.A., Wells Fargo Bank, 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. Pursuant to a December 1, 2020 amendment, 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 $950 million. 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, 1.25%. 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. Prior to the December 1, 2020 amendment, the Fund had 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. which permitted collective borrowings up to $1 billion. Interest was charged to each participating fund based on its borrowings at a rate equal
to the higher of (i) the federal funds effective rate, (ii) the one-month LIBOR rate and (iii) the overnight bank funding rate, plus in each case, 1.00%.
The Fund had no borrowings during
the year ended April 30, 2021.
Note 9. Significant
risks
Credit risk
Credit risk is the risk that the
value of debt instruments in the Fund’s portfolio may decline because the issuer defaults or otherwise becomes unable or unwilling, or is perceived to be unable or unwilling, to honor its financial obligations,
such as making payments to the Fund when due. Credit rating agencies assign credit ratings to certain debt instruments to indicate their credit risk. Lower rated or unrated debt instruments held by the Fund may
present increased credit risk as compared to higher-rated debt instruments.
Derivatives risk
Losses involving derivative
instruments may be substantial, because a relatively small movement in the underlying reference (which is generally the price, rate or other economic indicator associated with a security(ies), commodity, currency 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.
|
Columbia Bond Fund | Annual Report 2021
|
47 |
Notes to Financial Statements (continued)
April 30, 2021
April 30, 2021
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 or decreases 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. The
Fund is subject to the risk that the income generated by its investments may not keep pace with inflation.
LIBOR replacement risk
The elimination of London
Inter-Bank Offered Rate (LIBOR), among other "inter-bank offered" reference rates, may adversely affect the interest rates on, and value of, certain Fund investments for which the value is tied to LIBOR. Alternatives
to LIBOR have been established or are in development in most major currencies including the Secured Overnight Financing Rate (SOFR) that is intended to replace U.S. dollar LIBOR. The U.K. Financial Conduct Authority
and the ICE Benchmark Administration have announced that most LIBOR settings will no longer be published after December 31, 2021 and a majority of U.S. dollar LIBOR settings will cease publication after June 30, 2023.
It is possible that a subset of LIBOR settings will be published after these dates on a “synthetic” basis, but any such publications would be considered non-representative of the underlying market. Markets
are slowly developing in response to these new reference rates. Uncertainty related to the liquidity impact of the change in rates, and how to appropriately adjust these rates at the time of transition, poses risks
for the Fund. These risks are likely to persist until new reference rates and fallbacks for both legacy and new instruments and contracts are commercially accepted and market practices become settled.
Liquidity risk
Liquidity risk is the risk
associated with a lack of marketability of investments which may make it difficult to sell the investment at a desirable time or price. Changing regulatory, market or other conditions or environments (for example, the
interest rate or credit environments) may adversely affect the liquidity of the Fund’s investments. The Fund may have to accept a lower selling price for the holding, sell other investments, or forego another,
more appealing investment opportunity. Generally, the less liquid the market at the time the Fund sells a portfolio investment, the greater the risk of loss or decline of value to the Fund. A less liquid market can
lead to an increase in Fund redemptions, which may negatively impact Fund performance and net asset value per share, including, for example, if the Fund is forced to sell securities in a down market.
Market and environment risk
The Fund may incur losses due to
declines in the value of one or more securities in which it invests. These declines may be due to factors affecting a particular issuer, or the result of, among other things, political, regulatory, market, economic or
social developments affecting the relevant market(s) more generally. In addition, turbulence in financial markets and reduced liquidity in equity, credit and/or fixed income markets may negatively affect many issuers,
which could adversely affect the Fund, including causing difficulty in assigning prices to hard-to-value assets in thinly traded and closed markets, significant redemptions and operational challenges. Global economies
and financial markets are increasingly interconnected, and conditions and events in one country, region or financial market may adversely impact issuers in a different country, region or financial market. These risks
may be magnified if certain events or developments adversely interrupt the global supply chain; in these and other circumstances, such risks might affect companies worldwide. As a result, local, regional or global
events such as terrorism, war, natural disasters, disease/virus outbreaks and epidemics or other public health issues, recessions, depressions or other events – or the potential for such events – could
have a significant negative impact on global economic and market conditions.
The Fund’s performance may
also be significantly negatively impacted by the economic impact of the coronavirus disease 2019 (COVID-19) pandemic. The COVID-19 public health crisis has become a pandemic that has resulted in, and may continue to
result in, significant global economic and societal disruption and market volatility due to disruptions in market access, resource availability, facilities operations, imposition of tariffs, export controls and supply
chain disruption, among others. Such disruptions may be caused, or exacerbated by, quarantines and travel restrictions, workforce displacement and loss in human and other resources. The uncertainty surrounding the
magnitude, duration, reach, costs and effects of the global pandemic, as well as actions that have been or could be taken by governmental authorities or other third parties,
| 48 | Columbia Bond Fund | Annual Report 2021 |
Notes to Financial Statements (continued)
April 30, 2021
April 30, 2021
present unknowns that are yet to unfold. The
impacts, as well as the uncertainty over impacts to come, of COVID-19 – and any other infectious illness outbreaks, epidemics and pandemics that may arise in the future – could negatively affect global
economies and markets in ways that cannot necessarily be foreseen. In addition, the impact of infectious illness outbreaks and epidemics in emerging market countries may be greater due to generally less established
healthcare systems, governments and financial markets. Public health crises caused by the COVID-19 outbreak may exacerbate other pre-existing political, social and economic risks in certain countries or globally. The
disruptions caused by COVID-19 could prevent the Fund from executing advantageous investment decisions in a timely manner and negatively impact the Fund’s ability to achieve its investment objectives. Any such
event(s) could have a significant adverse impact on the value and risk profile of the Fund.
The Investment Manager and its
affiliates have systematically implemented strategies to address the operating environment spurred by the COVID-19 pandemic. To promote the safety and security of our employees and to assure the continuity of our
business operations, we have implemented a work from home protocol for virtually all of our employee population, restricted business travel, and provided resources for complying with the guidance from the World Health
Organization, the U.S. Centers for Disease Control and governments. Our operations teams seek to operate without significant disruptions in service. Our pandemic strategy takes into consideration that a pandemic could
be widespread and may occur in multiple waves, affecting different communities at different times with varying levels of severity. We cannot, however, predict the impact that natural or man-made disasters, including
the COVID-19 pandemic, may have on the ability of our employees and third-party service providers to continue ordinary business operations and technology functions over near- or longer-term periods.
Mortgage- and other asset-backed
securities risk
The value of any mortgage-backed
and other asset-backed securities including collateralized debt obligations, if any, held by the Fund may be affected by, among other things, changes or perceived changes in: interest rates; factors concerning the
interests in and structure of the issuer or the originator of the mortgages or other assets; the creditworthiness of the entities that provide any supporting letters of credit, surety bonds or other credit enhancements;
or the market’s assessment of the quality of underlying assets. Payment of principal and interest on some mortgage-backed securities (but not the market value of the securities themselves) may be guaranteed by
the full faith and credit of a particular U.S. Government agency, authority, enterprise or instrumentality, and some, but not all, are also insured or guaranteed by the U.S. Government. Mortgage-backed securities
issued by non-governmental issuers (such as commercial banks, savings and loan institutions, private mortgage insurance companies, mortgage bankers and other secondary market issuers) may entail greater risk than
obligations guaranteed by the U.S. Government. Mortgage- and other asset-backed securities are subject to liquidity risk and prepayment risk. A decline or flattening of housing values may cause delinquencies in
mortgages (especially sub-prime or non-prime mortgages) underlying mortgage-backed securities and thereby adversely affect the ability of the mortgage-backed securities issuer to make principal and/or interest
payments to mortgage-backed securities holders, including the Fund. Rising or high interest rates tend to extend the duration of mortgage- and other asset-backed securities, making their prices more volatile and more
sensitive to changes in interest rates.
Shareholder concentration risk
At April 30, 2021, one unaffiliated
shareholder of record owned 31.5% 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 56.1% of the outstanding shares of the Fund in one or more accounts. Subscription and redemption activity by concentrated accounts may have a significant effect on the operations of the Fund. In the case
of a large redemption, the Fund may be forced to sell investments at inopportune times, including its liquid positions, which may result in Fund losses and the Fund holding a higher percentage of less liquid
positions. Large redemptions could result in decreased economies of scale and increased operating expenses for non-redeeming Fund shareholders.
Note 10. Subsequent
events
Management has evaluated the
events and transactions that have occurred through the date the financial statements were issued and noted no items requiring adjustment of the financial statements or additional disclosure.
|
Columbia Bond Fund | Annual Report 2021
|
49 |
Notes to Financial Statements (continued)
April 30, 2021
April 30, 2021
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 or one or more of its affiliates that provides services to
the Fund.
| 50 | Columbia Bond Fund | Annual Report 2021 |
Report of Independent Registered Public
Accounting Firm
To the Board of Trustees of Columbia
Funds Series Trust I and Shareholders of Columbia Bond Fund
Opinion on the Financial
Statements
We have audited the accompanying
statement of assets and liabilities, including the portfolio of investments, of Columbia Bond Fund (one of the funds constituting Columbia Funds Series Trust I, referred to hereafter as the "Fund") as of April 30,
2021, the related statement of operations for the year ended April 30, 2021, the statement of changes in net assets for each of the two years in the period ended April 30, 2021, including the related notes, and the
financial highlights for each of the five years in the period ended April 30, 2021 (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 April 30, 2021, 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 April 30, 2021 and
the financial highlights for each of the five years in the period ended April 30, 2021 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 April 30, 2021 by correspondence with the custodian, transfer agent and brokers; when replies were
not received from brokers and/or agent banks, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
/s/PricewaterhouseCoopers LLP
Minneapolis, Minnesota
June 22, 2021
We have served as the auditor of
one or more investment companies within the Columbia Funds Complex since 1977.
|
Columbia Bond Fund | Annual Report 2021
|
51 |
Federal Income Tax
Information
(Unaudited)
The Fund hereby designates the
following tax attributes for the fiscal year ended April 30, 2021. Shareholders will be notified in early 2022 of the amounts for use in preparing 2021 income tax returns.
|
Capital
gain dividend |
Section
163(j) Interest Dividends |
| $867,516 | 60.64% |
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.
Section 163(j) Interest Dividends.
The percentage of ordinary income distributed during the fiscal year that shareholders may treat as interest income for purposes of IRC Section 163(j), subject to holding period requirements and other limitations.
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, each Trustee
generally serves until December 31 of the year such Trustee turns seventy-five (75).
Independent trustees
|
Name,
address, year of birth |
Position held
with the Columbia Funds and length of service |
Principal occupation(s)
during 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 |
|
George S. Batejan
c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1953 |
Trustee since 2017 | Executive Vice President, Global Head of Technology and Operations, Janus Capital Group, Inc., 2010-2016 | 170 | Former Chairman of the Board, NICSA (National Investment Company Services Association) (Executive Committee, Nominating Committee and Governance Committee), 2014-2016; former Director, Intech Investment Management, 2011-2016; former Board Member, Metro Denver Chamber of Commerce, 2015-2016; former Advisory Board Member, University of Colorado Business School, 2015-2018 |
| 52 | Columbia Bond Fund | Annual Report 2021 |
TRUSTEES AND OFFICERS (continued)
Independent trustees (continued)
Independent trustees (continued)
|
Name,
address, year of birth |
Position held
with the Columbia Funds and length of service |
Principal occupation(s)
during 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 |
|
Kathleen Blatz
c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1954 |
Trustee since 2006 | Attorney; specializing in arbitration and mediation; Chief Justice, Minnesota Supreme Court, 1998-2006; Associate Justice, Minnesota Supreme Court, 1996-1998; Fourth Judicial District Court Judge, Hennepin County, 1994-1996; Attorney in private practice and public service, 1984-1993; State Representative, Minnesota House of Representatives, 1979-1993, which included service on the Tax and Financial Institutions and Insurance Committees; Member and Interim Chair, Minnesota Sports Facilities Authority, January 2017-July 2017; Interim President and Chief Executive Officer, Blue Cross and Blue Shield of Minnesota (health care insurance), February-July 2018 | 170 | Trustee, BlueCross BlueShield of Minnesota since 2009 (Chair of the Business Development Committee - 2014-2017; Chair of the Governance Committee, 2017-2019); former Member and Chair of the Board, Minnesota Sports Facilities Authority, January 2017-July 2017; Director, Robina Foundation, 2009-2020 (Chair, 2014-2020) |
|
Pamela G. Carlton
c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1954 |
Trustee since 2007 | President, Springboard — Partners in Cross Cultural Leadership (consulting company) since 2003; Managing Director of US Equity Research, JP Morgan Chase, 1999-2003; Director of US Equity Research, Chase Asset Management, 1996-1999; Co-Director Latin America Research, 1993-1996, COO Global Research, 1992-1996, Co-Director of US Research, 1991-1992, Investment Banker, 1982-1991, Morgan Stanley; Attorney at Cleary Gottlieb Steen & Hamilton LLP, 1980-1982 | 170 | Trustee, New York Presbyterian Hospital Board (Executive Committee and Chair of People Committee) since 1996; Director, DR Bank (Audit Committee) since 2017; Director, Evercore Inc. (Audit Committee, Nominating and Governance Committee) since 2019 |
|
Janet Langford Carrig
c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1957 |
Trustee since 1996 | Senior Vice President, General Counsel and Corporate Secretary, ConocoPhillips (independent energy company), September 2007-October 2018 | 168 | Director, EQT Corporation (natural gas producer) since 2019; Director, Whiting Petroleum Corporation (independent oil and gas company) since 2020 |
|
J. Kevin Connaughton
c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1964 |
Trustee since 2020(a) | Member, FINRA National Adjudicatory Council since January 2020; Adjunct Professor of Finance, Bentley University since January 2018; Managing Director and General Manager of Mutual Fund Products, Columbia Management Investment Advisers, LLC, May 2010-February 2015; President, Columbia Funds, 2008-2015; and senior officer of Columbia Funds and affiliated funds, 2003-2015 | 168 | Director, The Autism Project since March 2015; former Member of the Investment Committee, St. Michael’s College, November 2015-February 2020; former Trustee, St. Michael’s College, June 2017-September 2019; former Trustee, New Century Portfolios, January 2015-December 2017 |
|
Olive M. Darragh
c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1962 |
Trustee since 2020(a) | Managing Director of Darragh Inc. (strategy and talent management consulting firm) since 2010; Founder and CEO, Zolio, Inc. (investment management talent identification platform) since 2004; Partner, Tudor Investments, 2004-2010; Senior Partner, McKinsey & Company (consulting), 2001-2004 | 168 | Former Director, University of Edinburgh Business School (Member of US Board); former Director, Boston Public Library Foundation |
|
Columbia Bond Fund | Annual Report 2021
|
53 |
TRUSTEES AND OFFICERS (continued)
Independent trustees (continued)
Independent trustees (continued)
|
Name,
address, year of birth |
Position held
with the Columbia Funds and length of service |
Principal occupation(s)
during 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 |
|
Patricia M. Flynn
c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1950 |
Trustee since 2004 | Trustee Professor of Economics and Management, Bentley University since 1976 (also teaches and conducts research on corporate governance); Dean, McCallum Graduate School of Business, Bentley University, 1992-2002 | 170 | Trustee, MA Taxpayers Foundation since 1997; Board of Governors, Innovation Institute, MA Technology Collaborative, 2010-2019; Board of Directors, The MA Business Roundtable, 2003-2019 |
|
Brian J. Gallagher
c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1954 |
Trustee since 2017 | Retired; Partner with Deloitte & Touche LLP and its predecessors, 1977-2016 | 170 | Trustee, Catholic Schools Foundation since 2004 |
|
Douglas A. Hacker
c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1955 |
Co-Chair since 2021; Chair of CFST I and CFVIT since 2014; Trustee of CFST I and CFVIT since 1996 and CFST, CFST II, CFVST II, Columbia ETF Trust I and Columbia ETF Trust II since 2021 | 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 | 168 | Director, Spartan Nash Company (food distributor); Director, Aircastle Limited (Chair of Audit Committee) (aircraft leasing); former Director, Nash Finch Company (food distributor), 2005-2013; former Director, SeaCube Container Leasing Ltd. (container leasing), 2010-2013; and former Director, Travelport Worldwide Limited (travel information technology), 2014-2019 |
|
Nancy T. Lukitsh
c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1956 |
Trustee since 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 | 168 | |
|
David M. Moffett
c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1952 |
Trustee since 2011 | Retired; Consultant to Bridgewater and Associates | 168 | Director, CSX Corporation (transportation suppliers); Director, Genworth Financial, Inc. (financial and insurance products and services); Director, 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 |
| 54 | Columbia Bond Fund | Annual Report 2021 |
TRUSTEES AND OFFICERS (continued)
Independent trustees (continued)
Independent trustees (continued)
|
Name,
address, year of birth |
Position held
with the Columbia Funds and length of service |
Principal occupation(s)
during 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 |
|
Catherine James Paglia
c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1952 |
Co-Chair since 2021; Chair of CFST, CFST II, CFVST II, Columbia ETF Trust I and Columbia ETF Trust II since 2020; Trustee of CFST, CFST II and CFVST II since 2004 and CFST I and CFVIT since 2021 | Director, Enterprise Asset Management, Inc. (private real estate and asset management company) since September 1998; Managing Director and Partner, Interlaken Capital, Inc., 1989-1997; Vice President, 1982-1985, Principal, 1985-1987, Managing Director, 1987-1989, Morgan Stanley; Vice President, Investment Banking, 1980-1982, Associate, Investment Banking, 1976-1980, Dean Witter Reynolds, Inc. | 170 | Director, Valmont Industries, Inc. (irrigation systems manufacturer) since 2012; Trustee, Carleton College (on the Investment Committee); Trustee, Carnegie Endowment for International Peace (on the Investment Committee) |
|
Anthony M. Santomero
c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1946 |
Trustee since 2008 | Richard K. Mellon Professor Emeritus of Finance, The Wharton School, University of Pennsylvania, since 2002; Senior Advisor, McKinsey & Company (consulting), 2006-2008; President, Federal Reserve Bank of Philadelphia, 2000-2006; Professor of Finance, The Wharton School, University of Pennsylvania, 1972-2002 | 170 | Trustee, Penn Mutual Life Insurance Company since March 2008; Director, RenaissanceRe Holdings Ltd. since May 2008; former Director, Citigroup Inc. and Citibank, N.A., 2009-2019; former Trustee, BofA Funds Series Trust (11 funds), 2008-2011 |
|
Minor M. Shaw
c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1947 |
Trustee since 2003 | President, Micco LLC (private investments) since 2011; President, Micco Corp. (family investment business), 1998-2011 | 170 | Director, BlueCross BlueShield of South Carolina (Chair of Compensation Committee) since April 2008; Trustee, Hollingsworth Funds (on the Investment Committee) since 2016 (previously Board Chair from 2016-2019); Former Advisory Board member, Duke Energy Corp., 2016-2020; Chair of the Duke Endowment; Chair of Greenville – Spartanburg Airport Commission; former Trustee, BofA Funds Series Trust (11 funds), 2003-2011; former Director, Piedmont Natural Gas, 2004-2016; former Director, National Association of Corporate Directors, Carolinas Chapter, 2013-2018; Chair, Daniel-Mickel Foundation |
|
Columbia Bond Fund | Annual Report 2021
|
55 |
TRUSTEES AND OFFICERS (continued)
Independent trustees (continued)
Independent trustees (continued)
|
Name,
address, year of birth |
Position held
with the Columbia Funds and length of service |
Principal occupation(s)
during 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 |
|
Natalie A. Trunow
c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1967 |
Trustee since 2020(a) | Chief Executive Officer, Millennial Portfolio Solutions LLC (asset management and consulting services) since January 2016; Non-executive Member of the Investment Committee, Sarona Asset Management Inc. (private equity firm) since September 2019; Advisor, Horizon Investments (asset management and consulting services) since August 2018; Advisor, Paradigm Asset Management since November 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 | 168 | Director, Health Services for Children with Special Needs, Inc.; Director, Consumer Credit Counseling Services (formerly Guidewell Financial Solutions); Independent Director, Investment Committee, Sarona Asset Management |
|
Sandra Yeager
c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1964 |
Trustee since 2017 | Retired; President and founder, Hanoverian Capital, LLC (SEC registered investment advisor firm), 2008-2016; Managing Director, DuPont Capital, 2006-2008; Managing Director, Morgan Stanley Investment Management, 2004-2006; Senior Vice President, Alliance Bernstein, 1990-2004 | 170 | Director, NAPE Education Foundation, October 2016-October 2020 |
| * | The term “Columbia Funds Complex” as used herein includes Columbia Seligman Premium Technology Growth Fund, Tri-Continental Corporation and each series of Columbia Fund Series Trust (CFST), Columbia Funds Series Trust I (CFST I), Columbia Funds Series Trust II (CFST II), Columbia ETF Trust I, Columbia ETF Trust II, Columbia Funds Variable Insurance Trust (CFVIT) and Columbia Funds Variable Series Trust II (CFVST II). Messrs. Batejan, Gallagher, Petersen and Santomero and Mses. Blatz, Carlton, Flynn, Paglia, Shaw and Yeager serve as a director of Columbia Seligman Premium Technology Growth Fund and Tri-Continental Corporation. |
| (a) | J. Kevin Connaughton was appointed a consultant to the Independent Trustees of CFST I and CFVIT effective March 1, 2016. Natalie A. Trunow was appointed a consultant to the Independent Trustees of CFST I and CFVIT effective September 1, 2016. Olive M. Darragh was appointed a consultant to the Independent Trustees of CFST I and CFVIT effective June 10, 2019. Shareholders of the Funds elected Mr. Connaughton and Mses. Darragh and Trunow as Trustees of CFST, CFST I, CFST II, Columbia ETF Trust I, Columbia ETF Trust II, and CFVST II, effective January 1, 2021, and of CFVIT, effective July 1, 2020. |
Interested trustee affiliated with
Investment Manager*
|
Name,
address, year of birth |
Position held with the Columbia Funds 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 |
|
Christopher O. Petersen
c/o Columbia Management Investment Advisers, LLC 5228 Ameriprise Financial Center Minneapolis, MN 55474 1970 |
Trustee since 2020(a) | 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 | 170 | None |
| * | 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. |
| (a) | Mr. Petersen serves as the Senior Vice President and Assistant Secretary of the Columbia Funds (since 2021). |
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.
| 56 | Columbia Bond Fund | Annual Report 2021 |
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. Petersen, who is Senior Vice President and Assistant Secretary, the Fund’s other officers are:
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. Petersen, who is Senior Vice President and Assistant Secretary, 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 |
|
Daniel J. Beckman
225 Franklin Street Boston, MA 02110 1962 |
President and Principal Executive Officer (2021) | Vice President – Head of North America Product, Columbia Management Investment Advisers, LLC (since April 2015); officer of Columbia Funds and affiliated funds since 2020. |
|
Michael G. Clarke
225 Franklin Street Boston, MA 02110 1969 |
Chief Financial Officer and 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. |
|
Joseph Beranek
5890 Ameriprise Financial Center Minneapolis, MN 55474 1965 |
Treasurer and Chief Accounting Officer (Principal Accounting Officer) (2019) and Principal Financial Officer (2020), CFST, CFST I, CFST II, CFVIT and CFVST II; Assistant Treasurer, Columbia ETF Trust I and Columbia ETF Trust II | 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). |
|
Marybeth Pilat
225 Franklin Street Boston, MA 02110 1968 |
Treasurer and Chief Accounting Officer (Principal Accounting Officer) and Principal Financial Officer (2020) for Columbia ETF Trust I and Columbia ETF Trust II; Assistant Treasurer, CFST, CFST I, CFST II, CFVIT and CFVST II | Vice President – Product Pricing and Administration, Columbia Management Investment Advisers, LLC, since May 2017; Director - Fund Administration, Calvert Investments, August 2015 – March 2017; Vice President - Fund Administration, Legg Mason, May 2015 - July 2015; Vice President - Fund Administration, Columbia Management Investment Advisers, LLC, May 2010 - April 2015. |
|
William F. Truscott
225 Franklin Street Boston, MA 02110 1960 |
Senior Vice President (2001) | Formerly, Trustee of Columbia Funds Complex until January 1, 2021; Chief Executive Officer, Global Asset Management, Ameriprise Financial, Inc. since September 2012; Chairman of the Board and President, Columbia Management Investment Advisers, LLC since July 2004 and February 2012, respectively; Chairman of the Board and Chief Executive Officer, Columbia Management Investment Distributors, Inc. since November 2008 and February 2012, respectively; Chairman of the Board and Director, Threadneedle Asset Management Holdings, Sàrl since March 2013 and December 2008, respectively; senior executive of various entities affiliated with Columbia Threadneedle. |
|
Paul B. Goucher
485 Lexington Avenue New York, NY 10017 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 1972 |
Senior Vice President and Chief Compliance Officer (2012) | Vice President – Asset Management Compliance, Ameriprise Financial, Inc., since May 2010; Chief Compliance Officer, Columbia Acorn/Wanger Funds since December 2015; Chief Compliance Officer, Ameriprise Certificate Company September 2010 – September 2020. |
|
Columbia Bond Fund | Annual Report 2021
|
57 |
TRUSTEES AND OFFICERS (continued)
Fund 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 |
|
Colin Moore
225 Franklin Street Boston, MA 02110 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 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); Chief Legal Officer, Columbia Acorn/Wanger Funds, since September 2020; officer of Columbia Funds and affiliated funds since 2005. |
|
Michael E. DeFao
225 Franklin Street Boston, MA 02110 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 1960 |
Vice President (2015) | President, Columbia Management Investment Services Corp. since October 2014; Vice President & Resolution Officer, Ameriprise Trust Company since August 2009. |
Liquidity Risk
Management Program
Pursuant to Rule 22e-4 under the
1940 Act, the Fund has adopted a liquidity risk management program (Program). The Program’s principal objectives include assessing, managing and periodically reviewing the Fund’s liquidity risk. Liquidity
risk is defined as the risk that the Fund could not meet redemption requests without significant dilution of remaining investors’ interests in the Fund.
The Board has appointed the
Investment Manager as the program administrator for the Fund’s Program. The Investment Manager has delegated oversight of the Program to its Liquidity Risk Management Committee (the Committee). At a board
meeting during the fiscal period, the Committee provided the Board with a report addressing the operations of the program and assessing its adequacy and effectiveness of implementation for the period January 1, 2020,
through December 31, 2020, including:
| • | the Fund had sufficient liquidity to both meet redemptions and operate effectively on behalf of shareholders; |
| • | there were no material changes to the Program during the period; |
| • | the implementation of the Program was effective to manage the Fund’s liquidity risk; and |
| • | the Program operated adequately during the period. |
There can be no assurance that the
Program will achieve its objectives in the future. Please refer to the Fund’s prospectus for more information regarding the Fund’s exposure to liquidity risk and other principal risks to which an
investment in the Fund may be subject.
| 58 | Columbia Bond Fund | Annual Report 2021 |
Results of Meeting of
Shareholders
At a Joint Special Meeting of
Shareholders held on December 22, 2020, shareholders of Columbia Funds Series Trust I elected each of the seventeen nominees for the trustees to the Board of Trustees of Columbia Funds Series Trust I, each to hold
office until he or she dies, retires, resigns or is removed or, if sooner, until the election and qualification of his or her successor, as follows:
| Trustee | Votes for | Votes withheld | Abstentions |
| George S. Batejan | 86,127,701,985 | 836,188,991 | 0 |
| Kathleen Blatz | 86,243,229,991 | 720,660,985 | 0 |
| Pamela G. Carlton | 86,264,105,441 | 699,785,535 | 0 |
| Janet Langford Carrig | 86,054,199,101 | 909,691,875 | 0 |
| J. Kevin Connaughton | 86,079,927,846 | 883,963,131 | 0 |
| Olive M. Darragh | 86,229,808,655 | 734,082,321 | 0 |
| Patricia M. Flynn | 86,198,477,183 | 765,413,793 | 0 |
| Brian J. Gallagher | 86,107,199,569 | 856,691,407 | 0 |
| Douglas A. Hacker | 85,856,681,960 | 1,107,209,016 | 0 |
| Nancy T. Lukitsh | 86,082,583,872 | 881,307,104 | 0 |
| David M. Moffett | 85,916,196,449 | 1,047,694,527 | 0 |
| Catherine James Paglia | 86,220,544,249 | 743,346,727 | 0 |
| Anthony M. Santomero | 86,032,441,166 | 931,449,811 | 0 |
| Minor M. Shaw | 86,027,511,771 | 936,379,205 | 0 |
| Natalie A. Trunow | 86,222,277,961 | 741,613,015 | 0 |
| Sandra Yeager | 86,214,429,708 | 749,461,268 | 0 |
| Christopher O. Petersen | 86,067,188,679 | 896,702,297 | 0 |
|
Columbia Bond Fund | Annual Report 2021
|
59 |
Columbia Bond 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.
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.
© 2021 Columbia Management Investment
Advisers, LLC.
columbiathreadneedleus.com/investor/
ANN121_04_L01_(06/21)
Annual Report
April 30, 2021
April 30, 2021
Columbia Small Cap
Value 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 are no longer sent by mail, unless you specifically
requested paper copies of the reports. Instead, the reports are 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
shareholder 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 Federally Insured • No
Financial Institution Guarantee • May Lose Value
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If you elect to receive the
shareholder report for Columbia Small Cap Value Fund I (the Fund) in paper, mailed to you, the Fund mails one shareholder report to each shareholder address, unless such shareholder elects to receive shareholder
reports from the Fund electronically via e-mail or by having a paper notice mailed to you (Postcard Notice) that your Fund’s shareholder report is available at the Columbia funds’ website
(columbiathreadneedleus.com/investor/). If you would like more than one report in paper to be mailed to you, or would like to elect to receive reports via e-mail or access them through Postcard Notice, please call
shareholder services at 800.345.6611 and additional reports will be sent to you.
Proxy voting policies and
procedures
The policy of the Board of Trustees
is to vote the proxies of the companies in which the Fund holds investments consistent with the procedures as stated in the Statement of Additional Information (SAI). You may obtain a copy of the SAI without charge by
calling 800.345.6611; contacting your financial intermediary; visiting columbiathreadneedleus.com/investor/; or searching the website of the Securities and Exchange Commission (SEC) at sec.gov. Information regarding
how the Fund voted proxies relating to portfolio securities is filed with the SEC by August 31st for the most recent 12-month period ending June 30th of that year, and is available without charge by visiting
columbiathreadneedleus.com/investor/, or searching the website of the SEC at sec.gov.
Quarterly schedule of
investments
The Fund files a complete schedule
of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-PORT. The Fund’s Form N-PORT filings are available on the SEC’s website at sec.gov. The Fund’s
complete schedule of portfolio holdings, as filed on Form N-PORT, 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 Value Fund
I | Annual Report 2021
Fund at a Glance
Investment objective
The Fund
seeks long-term capital appreciation.
Portfolio management
Jeremy Javidi, 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.
© 2021 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.
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 charges 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 Value Index, an
unmanaged index, tracks the performance of those Russell 2000 Index companies with lower price-to-book ratios and lower forecasted growth values.
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.
Fund performance may be significantly
negatively impacted by the economic impact of the COVID-19 pandemic. The COVID-19 pandemic has adversely impacted economies and capital markets around the world in ways that will likely continue and may change in
unforeseen ways for an indeterminate period. The COVID-19 pandemic may exacerbate pre-existing political, social and economic risks in certain countries and globally.
|
Columbia Small Cap Value Fund I | Annual Report 2021
|
3 |
Fund at a Glance (continued)
Performance of a hypothetical $10,000 investment (April 30, 2011 — April 30, 2021)
The chart above shows the change in
value of a hypothetical $10,000 investment in Class A shares of Columbia Small Cap Value 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.
| Portfolio breakdown (%) (at April 30, 2021) | |
| Common Stocks | 98.5 |
| Exchange-Traded Equity Funds | 0.3 |
| Money Market Funds | 1.2 |
| 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.
Percentages indicated are based
upon total equity investments. The Fund’s portfolio composition is subject to change.
| 4 | Columbia Small Cap Value Fund I | Annual Report 2021 |
Manager Discussion of Fund Performance
For the 12-month period that ended
April 30, 2021, the Fund’s Class A shares returned 84.29% excluding sales charges. The Fund outperformed its benchmark, the Russell 2000 Value Index, which returned 78.96% for the same time period.
Market overview
U.S. equities delivered
substantial gains for the 12 months ended April 30, 2021. Quick and unprecedented measures taken by policymakers and the U.S. Federal Reserve in the wake of the sharp COVID-19-driven market plunge in March 2020
spurred markets to rally from the start of the period through to the end, marked by some spikes in volatility on headlines around increasing COVID-19 cases and stalled talks on further stimulus. Market participants,
however, were cheered by expectations that the rollout of multiple COVID-19 vaccines would lead to a strong revival in economic activity. The passage of a fiscal stimulus package, together with the proposal of a $2
trillion infrastructure bill in late March 2021, provided a further boost to the economic outlook.
While the rally during the first
half of the period was largely driven by outsize gains in faster growing market segments such as mega-cap technology stocks, the second half of the year saw a rotation into more economically-sensitive, value-oriented
market segments. Within the benchmark, performance for the period was led by the consumer discretionary, materials, industrials and consumer staples sectors, while utilities and real estate were the biggest
laggards.
The Fund’s most notable
contributors during the period
| • | The Fund’s outperformance of the benchmark during the period was driven primarily by allocation decisions, most notably underweights to the utilities and real estate sectors, and overweights to the materials sector. |
| • | Stock selection, particularly within the materials and industrials sectors, was a secondary contributor to relative results. |
| • | Capstone Mining Corp., a copper miner, delivered strong results and benefited from higher demand for copper in the face of supply shortages. |
| • | Thor Industries, Inc., the largest manufacturer of RVs in the US, benefited as stay-at-home orders across the country hastened a boom in outdoor recreation. The company graduated out of the small-cap space into the mid-cap space and was no longer viable as a portfolio holding. |
| • | Dycom Industries, Inc., which provides contracting services to the telecom and infrastructure industry, benefited from the increased demand for communication services such as broadband as much of the country transitioned to stay-at-home as a result of the COVID-19 pandemic. |
| • | Within the industrials sector, the Fund’s holding in Resideo Technologies, Inc., which specializes in home automation solutions for smart home systems, contributed strongly to Fund results. Resideo’s stock price benefited as consumers shifted their spending to home improvements during the stay-at-home environment resulting from the COVID-19 pandemic. |
| • | Within the materials sector, Louisiana-Pacific Corp., a manufacturer of building materials, saw its stock price rise during the period, also benefiting from strength in the U.S. housing market and increased consumer focus on home improvements during the stay-at-home environment of 2020. |
| • | Discount multiline retailer Big Lots, in the consumer discretionary sector, also contributed to Fund results. The company gained strength during the period, benefiting from its transformation plan focused on driving top-line growth, cost containment and enhancement in infrastructure. |
The Fund’s most notable
detractors during the period
| • | Stock selection within the health care, consumer staples and energy sectors detracted most from the Fund’s performance relative to the benchmark. |
| • | Fresh Del Monte Produce was negatively impacted by the shift away from food service, as demand by restaurants for fresh ingredients declined significantly in the wake of the COVID-19 pandemic shutdowns. |
|
Columbia Small Cap Value Fund I | Annual Report 2021
|
5 |
Manager Discussion of Fund Performance (continued)
| • | Delek U.S. Holdings, Inc., a downstream energy company, suffered from the retrenchment in the energy market caused by a reduction of mobility due to the COVID-19 pandemic. Delek was sold from the portfolio during the first half of the period. |
| • | An out-of-benchmark holding in Quotient Ltd., a commercial-stage blood diagnostics company in the health care sector, saw its stock price decline during the year. |
| • | Not owning positions in Penn National Gaming, Novavax and Game Stop, all of which returned strongly for the benchmark, also weighed on the Fund’s performance compared to the benchmark during the period. |
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 may be subject to greater volatility and price fluctuations because they may be thinly traded and less liquid. 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 who have contributed to this report. 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 Value Fund I | Annual Report 2021 |
Understanding Your Fund’s
Expenses
(Unaudited)
(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.
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 Value Fund I | Annual Report 2021
|
7 |
Portfolio of Investments
April 30, 2021
April 30, 2021
(Percentages represent value of
investments compared to net assets)
Investments in securities
| Common Stocks 98.6% | ||
| Issuer | Shares | Value ($) |
| Communication Services 2.1% | ||
| Diversified Telecommunication Services 0.3% | ||
| Liberty Latin America Ltd., Class C(a) | 206,120 | 2,875,374 |
| Entertainment 0.2% | ||
| Lions Gate Entertainment Corp., Class B(a) | 194,114 | 2,445,836 |
| Interactive Media & Services 0.1% | ||
| Trivago NV, ADR(a) | 493,449 | 1,766,548 |
| Media 0.6% | ||
| Criteo SA, ADR(a) | 166,790 | 6,626,567 |
| Wireless Telecommunication Services 0.9% | ||
| Shenandoah Telecommunications Co. | 57,040 | 2,695,710 |
| Telephone and Data Systems, Inc. | 301,610 | 6,930,998 |
| Total | 9,626,708 | |
| Total Communication Services | 23,341,033 | |
| Consumer Discretionary 13.1% | ||
| Auto Components 1.6% | ||
| Gentherm, Inc.(a) | 84,376 | 6,007,571 |
| Modine Manufacturing Co.(a) | 285,887 | 4,654,240 |
| Visteon Corp.(a) | 54,440 | 6,631,337 |
| Total | 17,293,148 | |
| Distributors 0.3% | ||
| Educational Development Corp. | 187,164 | 3,327,776 |
| Diversified Consumer Services 1.0% | ||
| American Public Education, Inc.(a) | 125,222 | 3,814,262 |
| Carriage Services, Inc. | 182,400 | 6,781,632 |
| Total | 10,595,894 | |
| Household Durables 4.2% | ||
| Cavco Industries, Inc.(a) | 20,257 | 4,242,423 |
| Ethan Allen Interiors, Inc. | 145,413 | 4,174,807 |
| Hamilton Beach Brands Holding Co. | 207,182 | 4,040,049 |
| Hooker Furniture Corp. | 106,400 | 3,991,064 |
| Legacy Housing Corp.(a) | 162,823 | 2,908,019 |
| Lifetime Brands, Inc. | 186,584 | 2,705,468 |
| Meritage Homes Corp.(a) | 87,027 | 9,258,803 |
| Common Stocks (continued) | ||
| Issuer | Shares | Value ($) |
| Skyline Champion Corp.(a) | 138,640 | 6,159,775 |
| Tri Pointe Homes, Inc.(a) | 342,909 | 8,168,092 |
| Total | 45,648,500 | |
| Internet & Direct Marketing Retail 0.4% | ||
| 1-800-Flowers.com, Inc., Class A(a) | 148,980 | 4,763,635 |
| Leisure Products 0.6% | ||
| Malibu Boats, Inc., Class A(a) | 71,402 | 5,952,071 |
| Multiline Retail 0.8% | ||
| Big Lots, Inc. | 129,032 | 8,895,466 |
| Specialty Retail 1.5% | ||
| Aaron’s Co., Inc. (The) | 193,678 | 5,982,714 |
| Leslie’s, Inc.(a) | 179,734 | 5,108,040 |
| Urban Outfitters, Inc.(a) | 135,670 | 4,870,553 |
| Total | 15,961,307 | |
| Textiles, Apparel & Luxury Goods 2.7% | ||
| Canada Goose Holdings, Inc.(a) | 117,880 | 4,982,788 |
| Capri Holdings Ltd.(a) | 66,417 | 3,658,248 |
| Culp, Inc. | 212,365 | 3,004,965 |
| Movado Group, Inc. | 201,362 | 6,316,726 |
| Skechers U.S.A., Inc., Class A(a) | 95,670 | 4,639,038 |
| Steven Madden Ltd. | 174,240 | 7,086,341 |
| Total | 29,688,106 | |
| Total Consumer Discretionary | 142,125,903 | |
| Consumer Staples 3.0% | ||
| Beverages 0.6% | ||
| MGP Ingredients, Inc. | 112,753 | 6,776,456 |
| Food & Staples Retailing 1.2% | ||
| Andersons, Inc. (The) | 211,875 | 6,085,050 |
| Sprouts Farmers Market, Inc.(a) | 284,990 | 7,298,594 |
| Total | 13,383,644 | |
| Food Products 0.8% | ||
| Fresh Del Monte Produce, Inc. | 309,681 | 8,733,004 |
| Personal Products 0.4% | ||
| Inter Parfums, Inc. | 54,802 | 4,033,427 |
| Total Consumer Staples | 32,926,531 | |
The accompanying Notes to Financial
Statements are an integral part of this statement.
| 8 | Columbia Small Cap Value Fund I | Annual Report 2021 |
Portfolio of Investments (continued)
April 30, 2021
April 30, 2021
| Common Stocks (continued) | ||
| Issuer | Shares | Value ($) |
| Energy 4.7% | ||
| Energy Equipment & Services 3.2% | ||
| ChampionX Corp.(a) | 407,610 | 8,563,886 |
| Core Laboratories NV | 122,450 | 3,450,641 |
| Dawson Geophysical Co.(a) | 757,260 | 1,741,698 |
| Frank’s International NV(a) | 776,078 | 2,522,253 |
| Natural Gas Services Group, Inc.(a) | 242,770 | 2,184,930 |
| Newpark Resources, Inc.(a) | 1,255,580 | 3,565,847 |
| Pason Systems, Inc. | 379,273 | 2,900,514 |
| Profire Energy, Inc.(a) | 934,907 | 1,140,587 |
| ProPetro Holding Corp.(a) | 264,750 | 2,549,542 |
| TechnipFMC PLC(a) | 742,035 | 5,491,059 |
| Total | 34,110,957 | |
| Oil, Gas & Consumable Fuels 1.5% | ||
| HollyFrontier Corp. | 135,010 | 4,725,350 |
| Range Resources Corp.(a) | 575,520 | 5,651,606 |
| Talos Energy, Inc.(a) | 315,850 | 3,534,362 |
| W&T Offshore, Inc.(a) | 785,980 | 2,585,874 |
| Total | 16,497,192 | |
| Total Energy | 50,608,149 | |
| Financials 31.3% | ||
| Banks 18.9% | ||
| Altabancorp | 135,662 | 5,663,888 |
| Ameris Bancorp | 212,314 | 11,484,064 |
| Atlantic Union Bankshares Corp. | 147,474 | 5,702,820 |
| BancFirst Corp. | 114,564 | 7,963,344 |
| BankUnited, Inc. | 270,386 | 12,602,691 |
| Banner Corp. | 121,551 | 6,908,959 |
| Brookline Bancorp, Inc. | 376,063 | 6,054,614 |
| Capital Bancorp, Inc.(a) | 196,065 | 4,307,548 |
| Capital City Bank Group, Inc. | 160,901 | 4,065,968 |
| Central Pacific Financial Corp. | 143,081 | 3,856,033 |
| Columbia Banking System, Inc. | 191,919 | 8,354,234 |
| Community Trust Bancorp, Inc. | 103,837 | 4,626,977 |
| First BanCorp | 934,046 | 11,740,958 |
| First BanCorp | 153,761 | 6,519,466 |
| First Community Corp. | 237,149 | 4,363,542 |
| First Financial Corp. | 135,620 | 5,999,829 |
| Common Stocks (continued) | ||
| Issuer | Shares | Value ($) |
| First Hawaiian, Inc. | 177,990 | 4,887,605 |
| First of Long Island Corp. (The) | 221,737 | 4,720,781 |
| Heritage Financial Corp. | 196,984 | 5,535,250 |
| Hilltop Holdings, Inc. | 253,390 | 8,919,328 |
| National Bank Holdings Corp., Class A | 129,470 | 5,165,853 |
| Northrim BanCorp, Inc. | 177,183 | 7,556,855 |
| OFG Bancorp | 311,201 | 7,372,352 |
| Popular, Inc. | 223,669 | 16,542,559 |
| Sierra Bancorp | 97,908 | 2,650,370 |
| Southern First Bancshares, Inc.(a) | 108,993 | 5,613,140 |
| Spirit of Texas Bancshares, Inc. | 227,554 | 5,272,426 |
| Towne Bank | 262,594 | 8,135,162 |
| UMB Financial Corp. | 135,656 | 13,162,702 |
| Total | 205,749,318 | |
| Capital Markets 0.6% | ||
| StoneX Group, Inc.(a) | 101,215 | 6,429,177 |
| Consumer Finance 1.6% | ||
| Ezcorp, Inc., Class A(a) | 1,097,780 | 6,180,501 |
| FirstCash, Inc. | 57,058 | 4,109,888 |
| PROG Holdings, Inc. | 127,807 | 6,510,489 |
| Total | 16,800,878 | |
| Insurance 4.8% | ||
| American Equity Investment Life Holding Co. | 252,461 | 7,821,242 |
| American National Group, Inc. | 70,527 | 7,994,235 |
| Crawford & Co., Class A | 290,514 | 3,047,492 |
| eHealth, Inc.(a) | 56,810 | 4,018,739 |
| Employers Holdings, Inc. | 125,854 | 5,094,570 |
| Global Indemnity Group LLC | 243,897 | 7,014,478 |
| Heritage Insurance Holdings, Inc. | 316,502 | 2,883,333 |
| Horace Mann Educators Corp. | 85,481 | 3,427,788 |
| National Western Life Group, Inc., Class A | 18,914 | 4,336,980 |
| ProAssurance Corp. | 273,730 | 6,843,250 |
| Total | 52,482,107 | |
| Mortgage Real Estate Investment Trusts (REITS) 0.8% | ||
| Blackstone Mortgage Trust, Inc. | 145,200 | 4,717,548 |
| Starwood Property Trust, Inc. | 165,655 | 4,277,212 |
| Total | 8,994,760 | |
The accompanying Notes to Financial
Statements are an integral part of this statement.
|
Columbia Small Cap Value Fund I | Annual Report 2021
|
9 |
Portfolio of Investments (continued)
April 30, 2021
April 30, 2021
| Common Stocks (continued) | ||
| Issuer | Shares | Value ($) |
| Thrifts & Mortgage Finance 4.6% | ||
| HomeStreet, Inc. | 137,691 | 5,623,300 |
| MGIC Investment Corp. | 649,855 | 9,903,790 |
| NMI Holdings, Inc., Class A(a) | 265,267 | 6,854,499 |
| Provident Financial Holdings, Inc. | 188,398 | 3,063,352 |
| Radian Group, Inc. | 505,740 | 12,461,434 |
| Washington Federal, Inc. | 252,073 | 8,204,976 |
| Western New England Bancorp, Inc. | 441,100 | 3,572,910 |
| Total | 49,684,261 | |
| Total Financials | 340,140,501 | |
| Health Care 5.1% | ||
| Biotechnology 2.3% | ||
| ACADIA Pharmaceuticals, Inc.(a) | 310,803 | 6,390,110 |
| Atara Biotherapeutics, Inc.(a) | 246,750 | 3,469,305 |
| bluebird bio, Inc.(a) | 145,010 | 4,350,300 |
| Coherus Biosciences, Inc.(a) | 287,477 | 4,254,660 |
| Spero Therapeutics, Inc.(a) | 201,823 | 2,777,084 |
| uniQure NV(a) | 103,730 | 3,347,367 |
| Total | 24,588,826 | |
| Health Care Equipment & Supplies 0.8% | ||
| Inogen, Inc.(a) | 110,280 | 7,211,209 |
| Quotient Ltd.(a) | 294,373 | 1,153,942 |
| Total | 8,365,151 | |
| Health Care Providers & Services 0.4% | ||
| Triple-S Management Corp., Class B(a) | 204,104 | 4,839,306 |
| Pharmaceuticals 1.6% | ||
| Aerie Pharmaceuticals, Inc.(a) | 256,200 | 4,388,706 |
| ANI Pharmaceuticals, Inc.(a) | 91,834 | 3,056,235 |
| Supernus Pharmaceuticals, Inc.(a) | 159,215 | 4,848,097 |
| Taro Pharmaceutical Industries Ltd.(a) | 33,433 | 2,474,711 |
| TherapeuticsMD, Inc.(a) | 2,187,420 | 2,646,778 |
| Total | 17,414,527 | |
| Total Health Care | 55,207,810 | |
| Industrials 15.8% | ||
| Aerospace & Defense 1.4% | ||
| Curtiss-Wright Corp. | 52,210 | 6,677,659 |
| Moog, Inc., Class A | 95,260 | 8,244,753 |
| Total | 14,922,412 | |
| Common Stocks (continued) | ||
| Issuer | Shares | Value ($) |
| Airlines 0.5% | ||
| Skywest, Inc.(a) | 111,990 | 5,561,423 |
| Building Products 2.1% | ||
| Caesarstone Ltd. | 253,831 | 3,543,481 |
| Resideo Technologies, Inc.(a) | 303,040 | 9,094,230 |
| UFP Industries, Inc. | 122,035 | 10,255,822 |
| Total | 22,893,533 | |
| Commercial Services & Supplies 0.8% | ||
| HNI Corp. | 137,170 | 5,807,778 |
| KAR Auction Services, Inc.(a) | 167,159 | 2,505,713 |
| Total | 8,313,491 | |
| Construction & Engineering 0.5% | ||
| Dycom Industries, Inc.(a) | 63,750 | 5,980,387 |
| Electrical Equipment 2.2% | ||
| Acuity Brands, Inc. | 39,810 | 7,385,551 |
| AZZ, Inc. | 100,940 | 5,313,482 |
| Encore Wire Corp. | 100,944 | 7,538,498 |
| Thermon(a) | 182,280 | 3,481,548 |
| Total | 23,719,079 | |
| Machinery 4.0% | ||
| Commercial Vehicle Group, Inc.(a) | 432,760 | 4,756,032 |
| Gorman-Rupp Co. | 127,875 | 4,414,245 |
| Greenbrier Companies, Inc. (The) | 135,380 | 6,395,351 |
| LB Foster Co., Class A(a) | 151,478 | 2,444,855 |
| Lydall, Inc.(a) | 153,555 | 5,658,502 |
| Manitex International, Inc.(a) | 398,522 | 2,889,285 |
| Mueller Industries, Inc. | 216,592 | 9,718,483 |
| Standex International Corp. | 71,494 | 6,779,061 |
| Total | 43,055,814 | |
| Marine 0.9% | ||
| Atlas Corp. | 471,691 | 6,499,902 |
| Costamare, Inc. | 361,600 | 3,804,032 |
| Total | 10,303,934 | |
| Professional Services 1.0% | ||
| Korn/Ferry International | 159,357 | 10,818,747 |
The accompanying Notes to Financial
Statements are an integral part of this statement.
| 10 | Columbia Small Cap Value Fund I | Annual Report 2021 |
Portfolio of Investments (continued)
April 30, 2021
April 30, 2021
| Common Stocks (continued) | ||
| Issuer | Shares | Value ($) |
| Road & Rail 1.5% | ||
| Marten Transport Ltd. | 266,850 | 4,461,732 |
| Schneider National, Inc., Class B | 276,818 | 6,707,300 |
| Werner Enterprises, Inc. | 112,379 | 5,195,281 |
| Total | 16,364,313 | |
| Trading Companies & Distributors 0.9% | ||
| H&E Equipment Services, Inc. | 140,208 | 5,454,091 |
| Textainer Group Holdings Ltd.(a) | 188,762 | 4,836,083 |
| Total | 10,290,174 | |
| Total Industrials | 172,223,307 | |
| Information Technology 6.9% | ||
| Communications Equipment 2.1% | ||
| Casa Systems, Inc.(a) | 354,226 | 2,778,903 |
| Digi International, Inc.(a) | 213,860 | 3,821,678 |
| KVH Industries, Inc.(a) | 267,035 | 3,575,599 |
| NETGEAR, Inc.(a) | 156,480 | 5,822,621 |
| Netscout Systems, Inc.(a) | 265,654 | 6,958,806 |
| Total | 22,957,607 | |
| Electronic Equipment, Instruments & Components 1.5% | ||
| Airgain, Inc.(a) | 165,170 | 3,902,967 |
| Vishay Intertechnology, Inc. | 418,930 | 10,293,110 |
| Vishay Precision Group, Inc.(a) | 62,294 | 1,985,933 |
| Total | 16,182,010 | |
| IT Services 1.0% | ||
| Cass Information Systems, Inc. | 72,437 | 3,324,134 |
| IBEX Holdings Ltd.(a) | 168,330 | 3,888,423 |
| International Money Express, Inc.(a) | 261,678 | 4,129,279 |
| Total | 11,341,836 | |
| Semiconductors & Semiconductor Equipment 0.5% | ||
| Cohu, Inc.(a) | 135,852 | 5,435,439 |
| Software 1.6% | ||
| Asure Software, Inc.(a) | 402,950 | 3,227,629 |
| CDK Global, Inc. | 151,046 | 8,094,555 |
| Cognyte Software Ltd.(a) | 230,451 | 6,021,685 |
| Total | 17,343,869 | |
| Common Stocks (continued) | ||
| Issuer | Shares | Value ($) |
| Technology Hardware, Storage & Peripherals 0.2% | ||
| Stratasys Ltd.(a) | 84,820 | 1,900,816 |
| Total Information Technology | 75,161,577 | |
| Materials 9.6% | ||
| Chemicals 1.6% | ||
| FutureFuel Corp. | 269,696 | 3,425,139 |
| Livent Corp.(a) | 362,036 | 6,523,889 |
| Tronox Holdings PLC, Class A | 359,394 | 7,619,153 |
| Total | 17,568,181 | |
| Construction Materials 0.7% | ||
| Eagle Materials, Inc.(a) | 55,940 | 7,727,552 |
| Containers & Packaging 0.7% | ||
| Greif, Inc., Class A | 115,109 | 6,965,245 |
| Metals & Mining 5.2% | ||
| Ampco-Pittsburgh Corp.(a) | 748,616 | 5,667,023 |
| Capstone Mining Corp.(a) | 1,812,764 | 8,096,713 |
| Centerra Gold, Inc. | 640,780 | 5,911,764 |
| Commercial Metals Co. | 356,680 | 10,422,190 |
| ERO Copper Corp.(a) | 268,586 | 5,303,325 |
| Ferroglobe PLC(a) | 907,668 | 3,721,439 |
| Olympic Steel, Inc. | 160,980 | 4,676,469 |
| Pretium Resources, Inc.(a) | 457,706 | 4,807,375 |
| Schnitzer Steel Industries, Inc., Class A | 121,396 | 5,731,105 |
| Universal Stainless & Alloy Products, Inc.(a) | 219,337 | 2,004,740 |
| Total | 56,342,143 | |
| Paper & Forest Products 1.4% | ||
| Clearwater Paper Corp.(a) | 101,110 | 3,383,141 |
| Louisiana-Pacific Corp. | 185,938 | 12,249,595 |
| Total | 15,632,736 | |
| Total Materials | 104,235,857 | |
| Real Estate 6.5% | ||
| Equity Real Estate Investment Trusts (REITS) 6.5% | ||
| American Assets Trust, Inc. | 210,360 | 7,373,118 |
| Braemar Hotels & Resorts, Inc.(a) | 609,820 | 3,994,321 |
| Brixmor Property Group, Inc. | 201,390 | 4,499,053 |
| Farmland Partners, Inc. | 480,086 | 6,399,546 |
| Highwoods Properties, Inc. | 100,990 | 4,523,342 |
| Hudson Pacific Properties, Inc. | 157,600 | 4,430,136 |
The accompanying Notes to Financial
Statements are an integral part of this statement.
|
Columbia Small Cap Value Fund I | Annual Report 2021
|
11 |
| Common Stocks (continued) | ||
| Issuer | Shares | Value ($) |
| Macerich Co. (The) | 284,570 | 3,924,220 |
| Pebblebrook Hotel Trust | 354,701 | 8,470,260 |
| PotlatchDeltic Corp. | 168,243 | 9,986,905 |
| RLJ Lodging Trust | 517,145 | 8,346,720 |
| Sunstone Hotel Investors, Inc.(a) | 623,212 | 8,201,470 |
| Total | 70,149,091 | |
| Total Real Estate | 70,149,091 | |
| Utilities 0.5% | ||
| Gas Utilities 0.5% | ||
| National Fuel Gas Co. | 104,560 | 5,192,450 |
| Total Utilities | 5,192,450 | |
|
Total Common Stocks
(Cost $642,723,900) |
1,071,312,209 | |
| Exchange-Traded Equity Funds 0.3% | ||
| Shares | Value ($) | |
| U.S. Small Cap 0.3% | ||
| iShares Russell 2000 Value ETF | 22,060 | 3,582,103 |
|
Total Exchange-Traded Equity Funds
(Cost $2,215,901) |
3,582,103 | |
| Money Market Funds 1.1% | ||
| Columbia Short-Term Cash Fund, 0.054%(b),(c) | 12,381,086 | 12,379,847 |
|
Total Money Market Funds
(Cost $12,379,847) |
12,379,847 | |
|
Total Investments in Securities
(Cost: $657,319,648) |
1,087,274,159 | |
| Other Assets & Liabilities, Net | (243,522) | |
| Net Assets | 1,087,030,637 | |
Notes to Portfolio of
Investments
| (a) | Non-income producing investment. |
| (b) | The rate shown is the seven-day current annualized yield at April 30, 2021. |
| (c) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the year ended April 30, 2021 are as follows: |
| Affiliated issuers |
Beginning
of period($) |
Purchases($) | Sales($) |
Net change in
unrealized appreciation (depreciation)($) |
End of
period($) |
Realized gain
(loss)($) |
Dividends($) |
End of
period shares |
| Columbia Short-Term Cash Fund, 0.054% | ||||||||
| 3,353,471 | 288,690,647 | (279,663,613) | (658) | 12,379,847 | 360 | 8,194 | 12,381,086 | |
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). |
The accompanying Notes to Financial Statements are
an integral part of this statement.
| 12 | Columbia Small Cap Value Fund I | Annual Report 2021 |
Portfolio of Investments (continued)
April 30, 2021
April 30, 2021
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.
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 April 30, 2021:
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 Value Fund I | Annual Report 2021
|
13 |
Statement of Assets and Liabilities
April 30, 2021
April 30, 2021
| Assets | |
| Investments in securities, at value | |
| Unaffiliated issuers (cost $644,939,801) | $1,074,894,312 |
| Affiliated issuers (cost $12,379,847) | 12,379,847 |
| Receivable for: | |
| Capital shares sold | 2,033,801 |
| Dividends | 159,257 |
| Prepaid expenses | 14,698 |
| Trustees’ deferred compensation plan | 396,828 |
| Total assets | 1,089,878,743 |
| Liabilities | |
| Payable for: | |
| Investments purchased | 422,669 |
| Capital shares purchased | 1,805,942 |
| Management services fees | 24,697 |
| Distribution and/or service fees | 2,255 |
| Transfer agent fees | 140,542 |
| Compensation of board members | 3,737 |
| Compensation of chief compliance officer | 8 |
| Other expenses | 51,428 |
| Trustees’ deferred compensation plan | 396,828 |
| Total liabilities | 2,848,106 |
| Net assets applicable to outstanding capital stock | $1,087,030,637 |
| Represented by | |
| Paid in capital | 628,358,835 |
| Total distributable earnings (loss) | 458,671,802 |
| Total - representing net assets applicable to outstanding capital stock | $1,087,030,637 |
The accompanying Notes to Financial Statements are
an integral part of this statement.
| 14 | Columbia Small Cap Value Fund I | Annual Report 2021 |
Statement of Assets and Liabilities (continued)
April 30, 2021
April 30, 2021
| Class A | |
| Net assets | $286,411,233 |
| Shares outstanding | 5,809,444 |
| Net asset value per share | $49.30 |
| 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) | $52.31 |
| Advisor Class | |
| Net assets | $54,620,831 |
| Shares outstanding | 950,452 |
| Net asset value per share | $57.47 |
| Class C | |
| Net assets | $8,516,250 |
| Shares outstanding | 273,433 |
| Net asset value per share | $31.15 |
| Institutional Class | |
| Net assets | $440,126,337 |
| Shares outstanding | 7,911,268 |
| Net asset value per share | $55.63 |
| Institutional 2 Class | |
| Net assets | $116,248,863 |
| Shares outstanding | 2,020,046 |
| Net asset value per share | $57.55 |
| Institutional 3 Class | |
| Net assets | $178,586,245 |
| Shares outstanding | 3,188,289 |
| Net asset value per share | $56.01 |
| Class R | |
| Net assets | $2,520,878 |
| Shares outstanding | 51,364 |
| Net asset value per share | $49.08 |
The accompanying Notes to Financial Statements are
an integral part of this statement.
|
Columbia Small Cap Value Fund I | Annual Report 2021
|
15 |
Statement of Operations
Year Ended April 30, 2021
Year Ended April 30, 2021
| Net investment income | |
| Income: | |
| Dividends — unaffiliated issuers | $11,087,550 |
| Dividends — affiliated issuers | 8,194 |
| Non-cash dividends - unaffiliated issuers | 2,188,137 |
| Foreign taxes withheld | (85,434) |
| Total income | 13,198,447 |
| Expenses: | |
| Management services fees | 5,982,116 |
| Distribution and/or service fees | |
| Class A | 530,322 |
| Class C | 55,245 |
| Class R | 9,713 |
| Transfer agent fees | |
| Class A | 399,194 |
| Advisor Class | 49,364 |
| Class C | 10,336 |
| Institutional Class | 477,443 |
| Institutional 2 Class | 42,731 |
| Institutional 3 Class | 9,437 |
| Class R | 3,696 |
| Compensation of board members | 23,262 |
| Custodian fees | 25,187 |
| Printing and postage fees | 84,259 |
| Registration fees | 162,661 |
| Audit fees | 29,500 |
| Legal fees | 15,797 |
| Interest on interfund lending | 59 |
| Compensation of chief compliance officer | 190 |
| Other | 67,037 |
| Total expenses | 7,977,549 |
| Fees waived or expenses reimbursed by Investment Manager and its affiliates | (140,670) |
| Expense reduction | (4,153) |
| Total net expenses | 7,832,726 |
| Net investment income | 5,365,721 |
| Realized and unrealized gain (loss) — net | |
| Net realized gain (loss) on: | |
| Investments — unaffiliated issuers | 63,573,673 |
| Investments — affiliated issuers | 360 |
| Foreign currency translations | 3,547 |
| Net realized gain | 63,577,580 |
| Net change in unrealized appreciation (depreciation) on: | |
| Investments — unaffiliated issuers | 399,239,320 |
| Investments — affiliated issuers | (658) |
| Net change in unrealized appreciation (depreciation) | 399,238,662 |
| Net realized and unrealized gain | 462,816,242 |
| Net increase in net assets resulting from operations | $468,181,963 |
The accompanying Notes to
Financial Statements are an integral part of this statement.
| 16 | Columbia Small Cap Value Fund I | Annual Report 2021 |
Statement of Changes in Net Assets
|
Year Ended
April 30, 2021 |
Year Ended
April 30, 2020 |
|
| Operations | ||
| Net investment income | $5,365,721 | $3,910,030 |
| Net realized gain (loss) | 63,577,580 | (8,826,433) |
| Net change in unrealized appreciation (depreciation) | 399,238,662 | (121,636,535) |
| Net increase (decrease) in net assets resulting from operations | 468,181,963 | (126,552,938) |
| Distributions to shareholders | ||
| Net investment income and net realized gains | ||
| Class A | (1,160,307) | (8,158,910) |
| Advisor Class | (177,582) | (942,358) |
| Class C | (5,544) | (310,586) |
| Institutional Class | (1,812,485) | (5,963,643) |
| Institutional 2 Class | (577,275) | (1,465,899) |
| Institutional 3 Class | (1,074,845) | (3,686,464) |
| Class R | (7,085) | (70,190) |
| Total distributions to shareholders | (4,815,123) | (20,598,050) |
| Increase (decrease) in net assets from capital stock activity | 192,029,700 | (35,902,834) |
| Total increase (decrease) in net assets | 655,396,540 | (183,053,822) |
| Net assets at beginning of year | 431,634,097 | 614,687,919 |
| Net assets at end of year | $1,087,030,637 | $431,634,097 |
The accompanying Notes to
Financial Statements are an integral part of this statement.
|
Columbia Small Cap Value Fund I | Annual Report 2021
|
17 |
Statement of Changes in Net Assets (continued)
| Year Ended | Year Ended | |||
| April 30, 2021 | April 30, 2020 | |||
| Shares | Dollars ($) | Shares | Dollars ($) | |
| Capital stock activity | ||||
| Class A | ||||
| Subscriptions | 792,138 | 30,745,196 | 507,420 | 15,901,962 |
| Fund reorganization | 749,058 | 20,756,334 | — | — |
| Distributions reinvested | 29,979 | 1,066,400 | 223,604 | 7,583,573 |
| Redemptions | (1,411,683) | (51,005,190) | (1,492,445) | (48,817,503) |
| Net increase (decrease) | 159,492 | 1,562,740 | (761,421) | (25,331,968) |
| Advisor Class | ||||
| Subscriptions | 652,486 | 33,613,095 | 294,967 | 10,689,266 |
| Fund reorganization | 23,850 | 769,407 | — | — |
| Distributions reinvested | 3,386 | 139,315 | 19,604 | 772,788 |
| Redemptions | (338,346) | (14,828,695) | (391,501) | (15,180,398) |
| Net increase (decrease) | 341,376 | 19,693,122 | (76,930) | (3,718,344) |
| Class C | ||||
| Subscriptions | 124,991 | 3,463,386 | 31,735 | 686,502 |
| Fund reorganization | 97,768 | 1,714,870 | — | — |
| Distributions reinvested | 288 | 5,178 | 12,954 | 278,476 |
| Redemptions | (135,914) | (3,249,186) | (194,347) | (4,122,251) |
| Net increase (decrease) | 87,133 | 1,934,248 | (149,658) | (3,157,273) |
| Institutional Class | ||||
| Subscriptions | 5,760,693 | 230,900,160 | 1,367,703 | 46,321,984 |
| Fund reorganization | 1,392,865 | 43,499,400 | — | — |
| Distributions reinvested | 30,595 | 1,282,323 | 97,005 | 3,707,301 |
| Redemptions | (2,774,077) | (123,743,095) | (2,660,086) | (92,363,416) |
| Net increase (decrease) | 4,410,076 | 151,938,788 | (1,195,378) | (42,334,131) |
| Institutional 2 Class | ||||
| Subscriptions | 813,796 | 37,795,832 | 1,075,085 | 33,771,141 |
| Fund reorganization | 14,915 | 481,614 | — | — |
| Distributions reinvested | 14,044 | 577,275 | 37,051 | 1,465,831 |
| Redemptions | (507,180) | (22,924,661) | (367,165) | (13,076,279) |
| Net increase | 335,575 | 15,930,060 | 744,971 | 22,160,693 |
| Institutional 3 Class | ||||
| Subscriptions | 804,192 | 37,736,473 | 1,365,778 | 44,952,340 |
| Fund reorganization | 6,037 | 189,748 | — | — |
| Distributions reinvested | 23,589 | 937,683 | 74,215 | 2,855,588 |
| Redemptions | (818,757) | (37,742,017) | (884,925) | (31,307,094) |
| Net increase | 15,061 | 1,121,887 | 555,068 | 16,500,834 |
| Class R | ||||
| Subscriptions | 19,947 | 726,715 | 5,980 | 197,401 |
| Distributions reinvested | 201 | 7,065 | 2,079 | 70,190 |
| Redemptions | (24,292) | (884,925) | (8,642) | (290,236) |
| Net decrease | (4,144) | (151,145) | (583) | (22,645) |
| Total net increase (decrease) | 5,344,569 | 192,029,700 | (883,931) | (35,902,834) |
The accompanying Notes to Financial Statements are
an integral part of this statement.
| 18 | Columbia Small Cap Value Fund I | Annual Report 2021 |
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 4/30/2021 | $26.90 | 0.19 | 22.41 | 22.60 | (0.17) | (0.03) | (0.20) |
| Year Ended 4/30/2020 | $36.62 | 0.18 | (8.59) | (8.41) | (0.17) | (1.14) | (1.31) |
| Year Ended 4/30/2019 | $40.70 | 0.08 | (1.08) | (1.00) | (0.13) | (2.95) | (3.08) |
| Year Ended 4/30/2018 | $41.62 | (0.03) | 3.95 | 3.92 | (0.01) | (4.83) | (4.84) |
| Year Ended 4/30/2017 | $37.50 | 0.05 | 8.85 | 8.90 | (0.06) | (4.72) | (4.78) |
| Advisor Class | |||||||
| Year Ended 4/30/2021 | $31.32 | 0.37 | 26.06 | 26.43 | (0.25) | (0.03) | (0.28) |
| Year Ended 4/30/2020 | $42.37 | 0.30 | (9.98) | (9.68) | (0.23) | (1.14) | (1.37) |
| Year Ended 4/30/2019 | $46.56 | 0.21 | (1.25) | (1.04) | (0.20) | (2.95) | (3.15) |
| Year Ended 4/30/2018 | $46.89 | 0.10 | 4.48 | 4.58 | (0.08) | (4.83) | (4.91) |
| Year Ended 4/30/2017 | $41.66 | 0.15 | 9.94 | 10.09 | (0.14) | (4.72) | (4.86) |
| Class C | |||||||
| Year Ended 4/30/2021 | $17.06 | (0.04) | 14.16 | 14.12 | — | (0.03) | (0.03) |
| Year Ended 4/30/2020 | $23.72 | (0.04) | (5.48) | (5.52) | — | (1.14) | (1.14) |
| Year Ended 4/30/2019 | $27.55 | (0.16) | (0.72) | (0.88) | — | (2.95) | (2.95) |
| Year Ended 4/30/2018 | $29.86 | (0.24) | 2.76 | 2.52 | — | (4.83) | (4.83) |
| Year Ended 4/30/2017 | $28.24 | (0.19) | 6.44 | 6.25 | — | (4.63) | (4.63) |
| Institutional Class | |||||||
| Year Ended 4/30/2021 | $30.33 | 0.33 | 25.25 | 25.58 | (0.25) | (0.03) | (0.28) |
| Year Ended 4/30/2020 | $41.07 | 0.30 | (9.67) | (9.37) | (0.23) | (1.14) | (1.37) |
| Year Ended 4/30/2019 | $45.24 | 0.20 | (1.22) | (1.02) | (0.20) | (2.95) | (3.15) |
| Year Ended 4/30/2018 | $45.70 | 0.08 | 4.37 | 4.45 | (0.08) | (4.83) | (4.91) |
| Year Ended 4/30/2017 | $40.71 | 0.14 | 9.71 | 9.85 | (0.14) | (4.72) | (4.86) |
| Institutional 2 Class | |||||||
| Year Ended 4/30/2021 | $31.36 | 0.40 | 26.11 | 26.51 | (0.29) | (0.03) | (0.32) |
| Year Ended 4/30/2020 | $42.40 | 0.36 | (10.00) | (9.64) | (0.26) | (1.14) | (1.40) |
| Year Ended 4/30/2019 | $46.57 | 0.27 | (1.25) | (0.98) | (0.24) | (2.95) | (3.19) |
| Year Ended 4/30/2018 | $46.88 | 0.17 | 4.46 | 4.63 | (0.11) | (4.83) | (4.94) |
| Year Ended 4/30/2017 | $41.64 | 0.23 | 9.92 | 10.15 | (0.19) | (4.72) | (4.91) |
The accompanying Notes to
Financial Statements are an integral part of this statement.
| 20 | Columbia Small Cap Value Fund I | Annual Report 2021 |
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 4/30/2021 | $49.30 | 84.29% | 1.33%(c) | 1.31%(c),(d) | 0.53% | 43% | $286,411 |
| Year Ended 4/30/2020 | $26.90 | (23.69%) | 1.37%(c),(e) | 1.32%(c),(d),(e) | 0.55% | 60% | $152,006 |
| Year Ended 4/30/2019 | $36.62 | (2.38%) | 1.36%(c),(e) | 1.32%(c),(d),(e) | 0.21% | 62% | $234,765 |
| Year Ended 4/30/2018 | $40.70 | 10.03% | 1.35%(e) | 1.33%(d),(e) | (0.07%) | 51% | $248,266 |
| Year Ended 4/30/2017 | $41.62 | 26.02% | 1.38%(e) | 1.37%(d),(e) | 0.12% | 50% | $245,315 |
| Advisor Class | |||||||
| Year Ended 4/30/2021 | $57.47 | 84.74% | 1.08%(c) | 1.06%(c),(d) | 0.87% | 43% | $54,621 |
| Year Ended 4/30/2020 | $31.32 | (23.49%) | 1.12%(c),(e) | 1.07%(c),(d),(e) | 0.79% | 60% | $19,077 |
| Year Ended 4/30/2019 | $42.37 | (2.14%) | 1.12%(c),(e) | 1.07%(c),(d),(e) | 0.48% | 62% | $29,064 |
| Year Ended 4/30/2018 | $46.56 | 10.34% | 1.10%(e) | 1.08%(d),(e) | 0.20% | 51% | $11,734 |
| Year Ended 4/30/2017 | $46.89 | 26.30% | 1.13%(e) | 1.12%(d),(e) | 0.34% | 50% | $4,729 |
| Class C | |||||||
| Year Ended 4/30/2021 | $31.15 | 82.90% | 2.08%(c) | 2.05%(c),(d) | (0.19%) | 43% | $8,516 |
| Year Ended 4/30/2020 | $17.06 | (24.24%) | 2.12%(c),(e) | 2.07%(c),(d),(e) | (0.20%) | 60% | $3,178 |
| Year Ended 4/30/2019 | $23.72 | (3.15%) | 2.10%(c),(e) | 2.07%(c),(d),(e) | (0.59%) | 62% | $7,969 |
| Year Ended 4/30/2018 | $27.55 | 9.24% | 2.10%(e) | 2.08%(d),(e) | (0.83%) | 51% | $22,792 |
| Year Ended 4/30/2017 | $29.86 | 25.05% | 2.12%(e) | 2.12%(d),(e) | (0.65%) | 50% | $26,703 |
| Institutional Class | |||||||
| Year Ended 4/30/2021 | $55.63 | 84.72% | 1.07%(c) | 1.05%(c),(d) | 0.77% | 43% | $440,126 |
| Year Ended 4/30/2020 | $30.33 | (23.48%) | 1.12%(c),(e) | 1.07%(c),(d),(e) | 0.79% | 60% | $106,186 |
| Year Ended 4/30/2019 | $41.07 | (2.16%) | 1.11%(c),(e) | 1.07%(c),(d),(e) | 0.47% | 62% | $192,878 |
| Year Ended 4/30/2018 | $45.24 | 10.32% | 1.10%(e) | 1.08%(d),(e) | 0.17% | 51% | $209,822 |
| Year Ended 4/30/2017 | $45.70 | 26.33% | 1.13%(e) | 1.12%(d),(e) | 0.34% | 50% | $239,246 |
| Institutional 2 Class | |||||||
| Year Ended 4/30/2021 | $57.55 | 84.97% | 0.95%(c) | 0.93%(c) | 0.93% | 43% | $116,249 |
| Year Ended 4/30/2020 | $31.36 | (23.39%) | 0.98%(c),(e) | 0.94%(c),(e) | 0.96% | 60% | $52,825 |
| Year Ended 4/30/2019 | $42.40 | (2.01%) | 0.97%(c),(e) | 0.94%(c),(e) | 0.61% | 62% | $39,831 |
| Year Ended 4/30/2018 | $46.57 | 10.45% | 0.97%(e) | 0.96%(e) | 0.35% | 51% | $15,739 |
| Year Ended 4/30/2017 | $46.88 | 26.50% | 0.97%(e) | 0.97%(e) | 0.52% | 50% | $9,135 |
The accompanying Notes to
Financial Statements are an integral part of this statement.
|
Columbia Small Cap Value Fund I | Annual Report 2021
|
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 |
Distributions
from net realized gains |
Total
distributions to shareholders |
|
| Institutional 3 Class | |||||||
| Year Ended 4/30/2021 | $30.53 | 0.39 | 25.43 | 25.82 | (0.31) | (0.03) | (0.34) |
| Year Ended 4/30/2020 | $41.30 | 0.37 | (9.72) | (9.35) | (0.28) | (1.14) | (1.42) |
| Year Ended 4/30/2019 | $45.45 | 0.28 | (1.22) | (0.94) | (0.26) | (2.95) | (3.21) |
| Year Ended 4/30/2018 | $45.86 | 0.17 | 4.37 | 4.54 | (0.12) | (4.83) | (4.95) |
| Year Ended 4/30/2017 | $40.83 | 0.09 | 9.87 | 9.96 | (0.21) | (4.72) | (4.93) |
| Class R | |||||||
| Year Ended 4/30/2021 | $26.79 | 0.11 | 22.30 | 22.41 | (0.09) | (0.03) | (0.12) |
| Year Ended 4/30/2020 | $36.50 | 0.10 | (8.56) | (8.46) | (0.11) | (1.14) | (1.25) |
| Year Ended 4/30/2019 | $40.61 | (0.01) | (1.09) | (1.10) | (0.06) | (2.95) | (3.01) |
| Year Ended 4/30/2018 | $41.63 | (0.13) | 3.94 | 3.81 | — | (4.83) | (4.83) |
| Year Ended 4/30/2017 | $37.54 | (0.06) | 8.87 | 8.81 | — | (4.72) | (4.72) |
| 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) | 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 Small Cap Value Fund I | Annual Report 2021 |
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 4/30/2021 | $56.01 | 85.03% | 0.90%(c) | 0.88%(c) | 0.96% | 43% | $178,586 |
| Year Ended 4/30/2020 | $30.53 | (23.34%) | 0.93%(c),(e) | 0.89%(c),(e) | 1.01% | 60% | $96,875 |
| Year Ended 4/30/2019 | $41.30 | (1.97%) | 0.92%(c),(e) | 0.89%(c),(e) | 0.64% | 62% | $108,132 |
| Year Ended 4/30/2018 | $45.45 | 10.50% | 0.93%(e) | 0.91%(e) | 0.37% | 51% | $115,296 |
| Year Ended 4/30/2017 | $45.86 | 26.57% | 0.92%(e) | 0.92%(e) | 0.22% | 50% | $64,230 |
| Class R | |||||||
| Year Ended 4/30/2021 | $49.08 | 83.85% | 1.58%(c) | 1.56%(c),(d) | 0.30% | 43% | $2,521 |
| Year Ended 4/30/2020 | $26.79 | (23.87%) | 1.62%(c),(e) | 1.57%(c),(d),(e) | 0.31% | 60% | $1,487 |
| Year Ended 4/30/2019 | $36.50 | (2.67%) | 1.60%(c),(e) | 1.57%(c),(d),(e) | (0.03%) | 62% | $2,048 |
| Year Ended 4/30/2018 | $40.61 | 9.77% | 1.60%(e) | 1.58%(d),(e) | (0.31%) | 51% | $3,790 |
| Year Ended 4/30/2017 | $41.63 | 25.71% | 1.63%(e) | 1.62%(d),(e) | (0.15%) | 50% | $3,032 |
The accompanying Notes to Financial Statements are
an integral part of this statement.
|
Columbia Small Cap Value Fund I | Annual Report 2021
|
23 |
Notes to Financial Statements
April 30, 2021
April 30, 2021
Note 1. Organization
Columbia Small Cap Value 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 net investment income distribution amounts to the extent the expenses of distributing such share classes vary. Distributions to shareholders in a
liquidation will be proportional to the net asset value of each share class.
As described in the Fund’s
prospectus, Class A and Class C shares are offered to the general public for investment. Effective April 1, 2021, Class C shares automatically convert to Class A shares after 8 years. Prior to April 1, 2021, Class C
shares automatically converted to Class A shares after 10 years. Advisor Class, Institutional Class, Institutional 2 Class, Institutional 3 Class and Class R shares are available for purchase through authorized
investment professionals to omnibus retirement plans or to institutional investors and to certain other investors as also described in the Fund’s prospectus.
Note 2. Summary of
significant accounting policies
Basis of preparation
The Fund is an investment company
that applies the accounting and reporting guidance in the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946, Financial Services - Investment Companies (ASC 946). The financial statements are prepared in accordance with U.S. generally accepted accounting principles (GAAP), which requires
management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities, the disclosure of contingent assets and liabilities at the date of the financial statements and the
reported amounts of income and expenses during the reporting period. Actual results could differ from those estimates.
The following is a summary of
significant accounting policies followed by the Fund in the preparation of its financial statements.
Security valuation
Equity securities listed on an
exchange are valued at the closing price or last trade on their primary exchange at the close of business of the New York Stock Exchange. Securities with a closing price not readily available or not listed on any
exchange are valued at the mean between the closing bid and asked prices. Listed preferred stocks convertible into common stocks are valued using an evaluated price from a pricing service.
Foreign equity securities are
valued based on the closing price or last trade on their primary exchange at the close of business of the New York Stock Exchange. If any foreign equity security closing prices are not readily available, the
securities are valued at the mean of the latest quoted bid and ask prices on such exchanges or markets. Foreign currency exchange rates are determined at the scheduled closing time of the New York Stock Exchange. Many
securities markets and exchanges outside the U.S. close prior to the close of the New York Stock Exchange; therefore, the closing prices for securities in such markets or on such exchanges may not fully reflect events
that occur after such close but before the close of the New York Stock Exchange. In those situations, foreign securities will be fair valued pursuant to a policy 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.
| 24 | Columbia Small Cap Value Fund I | Annual Report 2021 |
Notes to Financial Statements (continued)
April 30, 2021
April 30, 2021
Investments in open-end investment
companies (other than exchange-traded funds (ETFs)), are valued at the latest net asset value reported by those companies as of the valuation time.
Investments for which market
quotations are not readily available, or that have quotations which management believes are not reflective of market value or reliable, are valued at fair value as determined in good faith under procedures approved by
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, if available.
The determination of fair value
often requires significant judgment. To determine fair value, management may use assumptions including but not limited to future cash flows and estimated risk premiums. Multiple inputs from various sources may be used
to determine fair value.
GAAP requires disclosure regarding
the inputs and valuation techniques used to measure fair value and any changes in valuation inputs or techniques. In addition, investments shall be disclosed by major category. This information is disclosed following
the Fund’s Portfolio of Investments.
Foreign currency transactions and
translations
The values of all assets and
liabilities denominated in foreign currencies are generally translated into U.S. dollars at exchange rates determined at the close of regular trading on the New York Stock Exchange. Net realized and unrealized gains
(losses) on foreign currency transactions and translations include gains (losses) arising from the fluctuation in exchange rates between trade and settlement dates on securities transactions, gains (losses) arising
from the disposition of foreign currency and currency gains (losses) between the accrual and payment dates on dividends, interest income and foreign withholding taxes.
For financial statement purposes,
the Fund does not distinguish that portion of gains (losses) on investments which is due to changes in foreign exchange rates from that which is due to changes in market prices of the investments. Such fluctuations
are included with the net realized and unrealized gains (losses) on investments in the Statement of Operations.
Security transactions
Security transactions are accounted
for on the trade date. Cost is determined and gains (losses) are based upon the specific identification method for both financial statement and federal income tax purposes.
Income recognition
Corporate actions and dividend
income are generally recorded net of any non-reclaimable tax withholdings, on the ex-dividend date or upon receipt of an ex-dividend notification in the case of certain foreign securities.
Non-cash dividends received in the
form of stock are recorded as dividend income at fair value.
The Fund may receive distributions
from holdings in equity securities, business development companies (BDCs), exchange-traded funds (ETFs), limited partnerships (LPs), other regulated investment companies (RICs), and real estate investment trusts
(REITs), which report information as to the tax character of their distributions annually. These distributions are allocated to dividend income, capital gain and return of capital based on actual information reported.
Return of capital is recorded as a reduction of the cost basis of securities held. If the Fund no longer owns the applicable securities, return of capital is recorded as a realized gain. With respect to REITs, to the
extent actual information has not yet been reported, estimates for return of capital are made by Columbia Management Investment Advisers, LLC (the Investment Manager), a wholly-owned subsidiary of Ameriprise
Financial, Inc. (Ameriprise Financial). The Investment Manager’s estimates are subsequently adjusted when the actual character of the distributions is disclosed by the REITs, which could result in a
proportionate change in return of capital to shareholders.
Awards from class action litigation
are recorded as a reduction of cost basis if the Fund still owns the applicable securities on the payment date. If the Fund no longer owns the applicable securities on the payment date, the proceeds are recorded as
realized gains.
|
Columbia Small Cap Value Fund I | Annual Report 2021
|
25 |
Notes to Financial Statements (continued)
April 30, 2021
April 30, 2021
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 semi-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.
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. Effective July 8, 2020, 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. Prior to July 8, 2020, the management services fee was equal to a percentage of the
Fund’s daily net assets that declined from 0.87% to 0.75% as the Fund’s net assets increased. The effective management services fee rate for the year ended April 30, 2021 was 0.83% of the Fund’s
average daily net assets.
| 26 | Columbia Small Cap Value Fund I | Annual Report 2021 |
Notes to Financial Statements (continued)
April 30, 2021
April 30, 2021
Compensation of board members
Members of the Board of Trustees
who are not officers or employees of the Investment Manager or Ameriprise Financial are compensated for their services to the Fund as disclosed in the Statement of Operations. Under a Deferred Compensation Plan (the
Deferred Plan), these members of the Board of Trustees may elect to defer payment of up to 100% of their compensation. Deferred amounts are treated as though equivalent dollar amounts had been invested in shares of
certain funds managed by the Investment Manager. The Fund’s liability for these amounts is adjusted for market value changes and remains in the Fund until distributed in accordance with the Deferred Plan. All
amounts payable under the Deferred Plan constitute a general unsecured obligation of the Fund. The expense for the Deferred Plan, which includes Trustees’ fees deferred during the current period as well as any
gains or losses on the Trustees’ deferred compensation balances as a result of market fluctuations, is included in "Compensation of board members" on the Statement of Operations.
Compensation of Chief Compliance
Officer
The Board of Trustees has appointed
a Chief Compliance Officer for the Fund in accordance with federal securities regulations. As disclosed in the Statement of Operations, a portion of the Chief Compliance Officer’s total compensation is allocated
to the Fund, along with other allocations to affiliated registered investment companies managed by the Investment Manager and its affiliates, based on relative net assets.
Transfer agency fees
Under a Transfer and Dividend
Disbursing Agent Agreement, Columbia Management Investment Services Corp. (the Transfer Agent), an affiliate of the Investment Manager and a wholly-owned subsidiary of Ameriprise Financial, is responsible for
providing transfer agency services to the Fund. The Transfer Agent has contracted with 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 April 30, 2021,
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 | 0.19 |
| Advisor Class | 0.19 |
| Class C | 0.19 |
| Institutional Class | 0.18 |
| Institutional 2 Class | 0.06 |
| Institutional 3 Class | 0.01 |
| Class R | 0.19 |
An annual minimum account balance
fee of $20 may apply to certain accounts with a value below the applicable share class’s initial minimum investment requirements to reduce the impact of small accounts on transfer agency fees. These minimum
account balance fees are remitted to the Fund and recorded as part of expense reductions in the Statement of Operations. For the year ended April 30, 2021, these minimum account balance fees reduced total expenses of
the Fund by $4,153.
|
Columbia Small Cap Value Fund I | Annual Report 2021
|
27 |
Notes to Financial Statements (continued)
April 30, 2021
April 30, 2021
Distribution and service fees
The Fund has entered into an
agreement with Columbia Management Investment Distributors, Inc. (the Distributor), an affiliate of the Investment Manager and a wholly-owned subsidiary of Ameriprise Financial, for distribution and shareholder
services. The Board of Trustees has approved, and the Fund has adopted, distribution and shareholder service plans (the Plans) applicable to certain share classes, which set the distribution and service fees for the
Fund. These fees are calculated daily and are intended to compensate the Distributor and/or eligible selling and/or servicing agents for selling shares of the Fund and providing services to investors.
Under the Plans, the Fund pays a
monthly service fee to the Distributor at the maximum annual rate of 0.25% of the average daily net assets attributable to Class A and Class C shares of the Fund. Also under the Plans, the Fund pays a
monthly distribution fee to the Distributor at the maximum annual rates of 0.75% and 0.50% of the average daily net assets attributable to Class C and Class R shares of the Fund, respectively.
Sales charges (unaudited)
Sales charges, including front-end
charges and contingent deferred sales charges (CDSCs), received by the Distributor for distributing Fund shares for the year ended April 30, 2021, if any, are listed below:
| Front End (%) | CDSC (%) | Amount ($) | |
| Class A | 5.75 | 0.50 - 1.00(a) | 117,224 |
| Class C | — | 1.00(b) | 66 |
| (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 as well as any reorganization costs allocated to the Fund) 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:
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
| 28 | Columbia Small Cap Value Fund I | Annual Report 2021 |
Notes to Financial Statements (continued)
April 30, 2021
April 30, 2021
waive fees and/or reimburse Fund expenses
(excluding certain fees and expenses described above) so that Fund level expenses (expenses directly attributable to the Fund and not to a specific share class) are waived proportionately across all share classes.
This arrangement may be revised or discontinued at any time. 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. Reorganization (see Fund reorganization note) costs were allocated to the Fund only to the extent they are expected to be offset by the anticipated reduction in expenses borne by the
Fund’s shareholders during the first year following the reorganization.
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 April 30, 2021, these
differences were primarily due to differing treatment for deferral/reversal of wash sale losses, trustees’ deferred compensation, capital loss carryforward, re-characterization of distributions for investments,
earnings and profits distributed to shareholders on the redemption of shares, 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 gain ($) |
Paid in
capital ($) |
| (715,594) | (9,865,206) | 10,580,800 |
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 April 30, 2021 | Year Ended April 30, 2020 | ||||
|
Ordinary
income ($) |
Long-term
capital gains ($) |
Total ($) |
Ordinary
income ($) |
Long-term
capital gains ($) |
Total ($) |
| 4,371,513 | 443,610 | 4,815,123 | 3,081,220 | 17,516,830 | 20,598,050 |
Short-term capital gain
distributions, if any, are considered ordinary income distributions for tax purposes.
At April 30, 2021, the components
of distributable earnings on a tax basis were as follows:
|
Undistributed
ordinary income ($) |
Undistributed
long-term capital gains ($) |
Capital loss
carryforwards ($) |
Net unrealized
appreciation ($) |
| 6,753,236 | 33,360,535 | (7,621,188) | 426,578,749 |
At April 30, 2021, 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) ($) |
Net unrealized
appreciation ($) |
| 660,695,410 | 432,855,083 | (6,276,334) | 426,578,749 |
Tax cost of investments and
unrealized appreciation/(depreciation) may also include timing differences that do not constitute adjustments to tax basis.
|
Columbia Small Cap Value Fund I | Annual Report 2021
|
29 |
Notes to Financial Statements (continued)
April 30, 2021
April 30, 2021
The following capital loss
carryforwards, determined at April 30, 2021, may be available to reduce future net realized gains on investments, if any, to the extent permitted by the Internal Revenue Code. In addition, for the year ended April 30,
2021, capital loss carryforwards utilized, if any, were as follows:
|
No expiration
short-term ($) |
No expiration
long-term ($) |
Total ($) | Utilized ($) |
| (7,621,188) | — | (7,621,188) | 478,325 |
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.
The Fund acquired $8,099,513 of
capital loss carryforward in connection with the Columbia Disciplined Small Core Fund (the Acquired Fund) merger (Note 9). In addition to the acquired capital loss carryforward, the Fund also acquired unrealized
capital losses as a result of the merger. The yearly utilization of the acquired capital loss carryforward and unrealized losses may be limited by the Internal Revenue Code.
Note 5. Portfolio
information
The cost of purchases and
proceeds from sales of securities, excluding short-term investments and derivatives, if any, aggregated to $425,556,639 and $295,613,646, respectively, for the year ended April 30, 2021. The amount of purchase and
sale activity impacts the portfolio turnover rate reported in the Financial Highlights.
Transactions to realign the
portfolio for the Fund following the reorganization as described in Note 9 are excluded for purposes of calculating the Fund’s portfolio turnover rate. These realignment transactions amounted to cost of
purchases and proceeds from sales of $16,396,105 and $23,588,407, respectively.
Note 6. Affiliated money
market fund
The Fund invests in Columbia
Short-Term Cash Fund, an affiliated money market fund established for the exclusive use by the Fund and other affiliated funds (the Affiliated MMF). The income earned by the Fund from such investments is included as
Dividends - affiliated issuers in the Statement of Operations. As an investing fund, the Fund indirectly bears its proportionate share of the expenses of the Affiliated MMF. The Affiliated MMF prices its shares with a
floating net asset value. In addition, the Board of Trustees of the Affiliated MMF may impose a fee on redemptions (sometimes referred to as a liquidity fee) or temporarily suspend redemptions (sometimes referred to
as imposing a redemption gate) in the event its liquidity falls below regulatory limits.
Note 7. Interfund
lending
Pursuant to an exemptive order
granted by the Securities and Exchange Commission, the Fund participates in a program (the Interfund Program) allowing each participating Columbia Fund (each, a Participating Fund) to lend money directly to and,
except for closed-end funds and money market funds, borrow money directly from other Participating Funds for temporary purposes. The amounts eligible for borrowing and lending under the Interfund Program are subject
to certain restrictions.
Interfund loans are subject to the
risk that the borrowing fund could be unable to repay the loan when due, and a delay in repayment to the lending fund could result in lost opportunities and/or additional lending costs. The exemptive order is subject
to conditions intended to mitigate conflicts of interest arising from the Investment Manager’s relationship with each Participating Fund.
The Fund’s activity in the
Interfund Program during the year ended April 30, 2021 was as follows:
| Borrower or lender |
Average loan
balance ($) |
Weighted average
interest rate (%) |
Number of days
with outstanding loans |
| Borrower | 566,667 | 0.62 | 6 |
| 30 | Columbia Small Cap Value Fund I | Annual Report 2021 |
Notes to Financial Statements (continued)
April 30, 2021
April 30, 2021
Interest expense incurred by the
Fund is recorded as Interfund lending in the Statement of Operations. The Fund had no outstanding interfund loans at April 30, 2021.
Note 8. Line of credit
The Fund has access to a
revolving credit facility with a syndicate of banks led by Citibank, N.A., Wells Fargo Bank, 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. Pursuant to a December 1, 2020 amendment, 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 $950 million. 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, 1.25%. 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. Prior to the December 1, 2020 amendment, the Fund had 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. which permitted collective borrowings up to $1 billion. Interest was charged to each participating fund based on its borrowings at a rate equal
to the higher of (i) the federal funds effective rate, (ii) the one-month LIBOR rate and (iii) the overnight bank funding rate, plus in each case, 1.00%.
The Fund had no borrowings during
the year ended April 30, 2021.
Note 9. Fund
reorganization
At the close of business on July
10, 2020, the Fund acquired the assets and assumed the identified liabilities of Columbia Disciplined Small Core Fund (the Acquired Fund), a series of Columbia Funds Series Trust I. The reorganization was completed
after the Board of Trustees of the Acquired Fund approved a plan of reorganization at a meeting held in February 2020. The purpose of the transaction was to combine two funds managed by the Investment Manager with
comparable investment objectives and strategies.
The aggregate net assets of the
Fund immediately before the reorganization were $437,882,159 and the combined net assets immediately after the reorganization were $505,293,532.
The reorganization was accomplished
by a tax-free exchange of 16,812,075 shares of the Acquired Fund valued at $67,411,373 (including $(3,143,694) of unrealized appreciation/(depreciation)).
In exchange for the Acquired
Fund’s shares, the Fund issued the following number of shares:
| Shares | |
| Class A | 749,058 |
| Advisor Class | 23,850 |
| Class C | 97,768 |
| Institutional Class | 1,392,865(a) |
| Institutional 2 Class | 14,915 |
| Institutional 3 Class | 6,037 |
| (a) | 1,101,599 shares of Institutional Class were issued in exchange of Class V shares of the Acquired Fund. |
For financial reporting purposes,
net assets received and shares issued by the Fund were recorded at fair value; however, the Acquired Fund’s cost of investments was carried forward.
The Fund’s financial
statements reflect both the operations of the Fund for the period prior to the reorganization and the combined Fund for the period subsequent to the reorganization. Because the combined investment portfolios have been
managed as a single integrated portfolio since the reorganization was completed, it is not practicable to separate the amounts of revenue and earnings of the Acquired Fund that have been included in the combined
Fund’s Statement of Operations since the reorganization was completed.
|
Columbia Small Cap Value Fund I | Annual Report 2021
|
31 |
Notes to Financial Statements (continued)
April 30, 2021
April 30, 2021
Assuming the reorganization had
been completed on May 1, 2020, the Fund’s pro-forma results of operations for the year ended April 30, 2021 would have been approximately:
| ($) | |
| Net investment income | 5,436,000 |
| Net realized gain | 63,659,000 |
| Net change in unrealized appreciation | 403,525,000 |
| Net increase in net assets from operations | 472,620,000 |
Note 10. Significant
risks
Financial sector risk
The Fund is more susceptible to the
particular risks that may affect companies in the financial services sector than if it were invested in a wider variety of companies in unrelated sectors. Companies in the financial services sector are subject to
certain risks, including the risk of regulatory change, decreased liquidity in credit markets and unstable interest rates. Such companies may have concentrated portfolios, such as a high level of loans to 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, agreements and
counterparties, including credit products that, under certain circumstances, may lead to losses (e.g., subprime loans). Companies in the financial services sector are subject to extensive governmental regulation that
may limit the amount and types of loans and other financial commitments they can make, and interest rates and fees that they may charge. In addition, profitability of such companies is largely dependent upon the
availability and the cost of capital.
Market and environment risk
The Fund may incur losses due to
declines in the value of one or more securities in which it invests. These declines may be due to factors affecting a particular issuer, or the result of, among other things, political, regulatory, market, economic or
social developments affecting the relevant market(s) more generally. In addition, turbulence in financial markets and reduced liquidity in equity, credit and/or fixed income markets may negatively affect many issuers,
which could adversely affect the Fund, including causing difficulty in assigning prices to hard-to-value assets in thinly traded and closed markets, significant redemptions and operational challenges. Global economies
and financial markets are increasingly interconnected, and conditions and events in one country, region or financial market may adversely impact issuers in a different country, region or financial market. These risks
may be magnified if certain events or developments adversely interrupt the global supply chain; in these and other circumstances, such risks might affect companies worldwide. As a result, local, regional or global
events such as terrorism, war, natural disasters, disease/virus outbreaks and epidemics or other public health issues, recessions, depressions or other events – or the potential for such events – could
have a significant negative impact on global economic and market conditions.
The Fund’s performance may
also be significantly negatively impacted by the economic impact of the coronavirus disease 2019 (COVID-19) pandemic. The COVID-19 public health crisis has become a pandemic that has resulted in, and may continue to
result in, significant global economic and societal disruption and market volatility due to disruptions in market access, resource availability, facilities operations, imposition of tariffs, export controls and supply
chain disruption, among others. Such disruptions may be caused, or exacerbated by, quarantines and travel restrictions, workforce displacement and loss in human and other resources. The uncertainty surrounding the
magnitude, duration, reach, costs and effects of the global pandemic, as well as actions that have been or could be taken by governmental authorities or other third parties, present unknowns that are yet to unfold.
The impacts, as well as the uncertainty over impacts to come, of COVID-19 – and any other infectious illness outbreaks, epidemics and pandemics that may arise in the future – could negatively affect global
economies and markets in ways that cannot necessarily be foreseen. In addition, the impact of infectious illness outbreaks and epidemics in emerging market countries may be greater due to generally less established
healthcare systems, governments and financial markets. Public health crises caused by the COVID-19 outbreak may exacerbate other pre-existing political, social and economic risks in certain countries or globally. The
disruptions caused by COVID-19 could prevent the Fund from executing advantageous investment decisions in a timely manner and negatively impact the Fund’s ability to achieve its investment objectives. Any such
event(s) could have a significant adverse impact on the value and risk profile of the Fund.
| 32 | Columbia Small Cap Value Fund I | Annual Report 2021 |
Notes to Financial Statements (continued)
April 30, 2021
April 30, 2021
The Investment Manager and its
affiliates have systematically implemented strategies to address the operating environment spurred by the COVID-19 pandemic. To promote the safety and security of our employees and to assure the continuity of our
business operations, we have implemented a work from home protocol for virtually all of our employee population, restricted business travel, and provided resources for complying with the guidance from the World Health
Organization, the U.S. Centers for Disease Control and governments. Our operations teams seek to operate without significant disruptions in service. Our pandemic strategy takes into consideration that a pandemic could
be widespread and may occur in multiple waves, affecting different communities at different times with varying levels of severity. We cannot, however, predict the impact that natural or man-made disasters, including
the COVID-19 pandemic, may have on the ability of our employees and third-party service providers to continue ordinary business operations and technology functions over near- or longer-term periods.
Shareholder concentration risk
At April 30, 2021, two unaffiliated
shareholders of record owned 33.6% 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. Affiliated shareholders of
record owned 13.6% of the outstanding shares of the Fund in one or more accounts. Subscription and redemption activity by concentrated accounts may have a significant effect on the operations of the Fund. In the case
of a large redemption, the Fund may be forced to sell investments at inopportune times, including its liquid positions, which may result in Fund losses and the Fund holding a higher percentage of less liquid
positions. Large redemptions could result in decreased economies of scale and increased operating expenses for non-redeeming Fund shareholders.
Small- and mid-cap company risk
Investments in small- and
mid-capitalization companies (small- and mid-cap companies) often involve greater risks than investments in larger, more established companies (larger companies) because small- and mid-cap companies tend to have less
predictable earnings and may lack the management experience, financial resources, product diversification and competitive strengths of larger companies. Securities of small- and mid-cap companies may be less liquid
and more volatile than the securities of larger companies.
Note 11. Subsequent
events
Management has evaluated the
events and transactions that have occurred through the date the financial statements were issued and noted no items requiring adjustment of the financial statements or additional disclosure.
Note 12. Information
regarding pending and settled legal proceedings
Ameriprise Financial and certain
of its affiliates 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 or one or more of its affiliates that provides services to
the Fund.
|
Columbia Small Cap Value Fund I | Annual Report 2021
|
33 |
Report of Independent Registered Public
Accounting Firm
To the Board of Trustees of Columbia
Funds Series Trust I and Shareholders of Columbia Small Cap Value 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 Value Fund I (one of the funds constituting Columbia Funds Series Trust I, referred to hereafter as the "Fund") as of
April 30, 2021, the related statement of operations for the year ended April 30, 2021, the statement of changes in net assets for each of the two years in the period ended April 30, 2021, including the related notes,
and the financial highlights for each of the five years in the period ended April 30, 2021 (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 April 30, 2021, 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 April 30,
2021 and the financial highlights for each of the five years in the period ended April 30, 2021 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 April 30, 2021 by correspondence with the custodian, transfer agent and brokers. We believe that our
audits provide a reasonable basis for our opinion.
/s/PricewaterhouseCoopers LLP
Minneapolis, Minnesota
June 22, 2021
We have served as the auditor of
one or more investment companies within the Columbia Funds Complex since 1977.
| 34 | Columbia Small Cap Value Fund I | Annual Report 2021 |
Federal Income Tax
Information
(Unaudited)
The Fund hereby designates the
following tax attributes for the fiscal year ended April 30, 2021. Shareholders will be notified in early 2022 of the amounts for use in preparing 2021 income tax returns.
|
Qualified
dividend income |
Dividends
received deduction |
Capital
gain dividend |
| 100.00% | 81.79% | $36,755,496 |
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, each Trustee
generally serves until December 31 of the year such Trustee turns seventy-five (75).
Independent trustees
|
Name,
address, year of birth |
Position held
with the Columbia Funds and length of service |
Principal occupation(s)
during 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 |
|
George S. Batejan
c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1953 |
Trustee since 2017 | Executive Vice President, Global Head of Technology and Operations, Janus Capital Group, Inc., 2010-2016 | 170 | Former Chairman of the Board, NICSA (National Investment Company Services Association) (Executive Committee, Nominating Committee and Governance Committee), 2014-2016; former Director, Intech Investment Management, 2011-2016; former Board Member, Metro Denver Chamber of Commerce, 2015-2016; former Advisory Board Member, University of Colorado Business School, 2015-2018 |
|
Columbia Small Cap Value Fund I | Annual Report 2021
|
35 |
TRUSTEES AND OFFICERS (continued)
Independent trustees (continued)
Independent trustees (continued)
|
Name,
address, year of birth |
Position held
with the Columbia Funds and length of service |
Principal occupation(s)
during 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 |
|
Kathleen Blatz
c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1954 |
Trustee since 2006 | Attorney; specializing in arbitration and mediation; Chief Justice, Minnesota Supreme Court, 1998-2006; Associate Justice, Minnesota Supreme Court, 1996-1998; Fourth Judicial District Court Judge, Hennepin County, 1994-1996; Attorney in private practice and public service, 1984-1993; State Representative, Minnesota House of Representatives, 1979-1993, which included service on the Tax and Financial Institutions and Insurance Committees; Member and Interim Chair, Minnesota Sports Facilities Authority, January 2017-July 2017; Interim President and Chief Executive Officer, Blue Cross and Blue Shield of Minnesota (health care insurance), February-July 2018 | 170 | Trustee, BlueCross BlueShield of Minnesota since 2009 (Chair of the Business Development Committee - 2014-2017; Chair of the Governance Committee, 2017-2019); former Member and Chair of the Board, Minnesota Sports Facilities Authority, January 2017-July 2017; Director, Robina Foundation, 2009-2020 (Chair, 2014-2020) |
|
Pamela G. Carlton
c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1954 |
Trustee since 2007 | President, Springboard — Partners in Cross Cultural Leadership (consulting company) since 2003; Managing Director of US Equity Research, JP Morgan Chase, 1999-2003; Director of US Equity Research, Chase Asset Management, 1996-1999; Co-Director Latin America Research, 1993-1996, COO Global Research, 1992-1996, Co-Director of US Research, 1991-1992, Investment Banker, 1982-1991, Morgan Stanley; Attorney at Cleary Gottlieb Steen & Hamilton LLP, 1980-1982 | 170 | Trustee, New York Presbyterian Hospital Board (Executive Committee and Chair of People Committee) since 1996; Director, DR Bank (Audit Committee) since 2017; Director, Evercore Inc. (Audit Committee, Nominating and Governance Committee) since 2019 |
|
Janet Langford Carrig
c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1957 |
Trustee since 1996 | Senior Vice President, General Counsel and Corporate Secretary, ConocoPhillips (independent energy company), September 2007-October 2018 | 168 | Director, EQT Corporation (natural gas producer) since 2019; Director, Whiting Petroleum Corporation (independent oil and gas company) since 2020 |
|
J. Kevin Connaughton
c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1964 |
Trustee since 2020(a) | Member, FINRA National Adjudicatory Council since January 2020; Adjunct Professor of Finance, Bentley University since January 2018; Managing Director and General Manager of Mutual Fund Products, Columbia Management Investment Advisers, LLC, May 2010-February 2015; President, Columbia Funds, 2008-2015; and senior officer of Columbia Funds and affiliated funds, 2003-2015 | 168 | Director, The Autism Project since March 2015; former Member of the Investment Committee, St. Michael’s College, November 2015-February 2020; former Trustee, St. Michael’s College, June 2017-September 2019; former Trustee, New Century Portfolios, January 2015-December 2017 |
|
Olive M. Darragh
c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1962 |
Trustee since 2020(a) | Managing Director of Darragh Inc. (strategy and talent management consulting firm) since 2010; Founder and CEO, Zolio, Inc. (investment management talent identification platform) since 2004; Partner, Tudor Investments, 2004-2010; Senior Partner, McKinsey & Company (consulting), 2001-2004 | 168 | Former Director, University of Edinburgh Business School (Member of US Board); former Director, Boston Public Library Foundation |
| 36 | Columbia Small Cap Value Fund I | Annual Report 2021 |
TRUSTEES AND OFFICERS (continued)
Independent trustees (continued)
Independent trustees (continued)
|
Name,
address, year of birth |
Position held
with the Columbia Funds and length of service |
Principal occupation(s)
during 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 |
|
Patricia M. Flynn
c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1950 |
Trustee since 2004 | Trustee Professor of Economics and Management, Bentley University since 1976 (also teaches and conducts research on corporate governance); Dean, McCallum Graduate School of Business, Bentley University, 1992-2002 | 170 | Trustee, MA Taxpayers Foundation since 1997; Board of Governors, Innovation Institute, MA Technology Collaborative, 2010-2019; Board of Directors, The MA Business Roundtable, 2003-2019 |
|
Brian J. Gallagher
c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1954 |
Trustee since 2017 | Retired; Partner with Deloitte & Touche LLP and its predecessors, 1977-2016 | 170 | Trustee, Catholic Schools Foundation since 2004 |
|
Douglas A. Hacker
c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1955 |
Co-Chair since 2021; Chair of CFST I and CFVIT since 2014; Trustee of CFST I and CFVIT since 1996 and CFST, CFST II, CFVST II, Columbia ETF Trust I and Columbia ETF Trust II since 2021 | 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 | 168 | Director, Spartan Nash Company (food distributor); Director, Aircastle Limited (Chair of Audit Committee) (aircraft leasing); former Director, Nash Finch Company (food distributor), 2005-2013; former Director, SeaCube Container Leasing Ltd. (container leasing), 2010-2013; and former Director, Travelport Worldwide Limited (travel information technology), 2014-2019 |
|
Nancy T. Lukitsh
c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1956 |
Trustee since 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 | 168 | |
|
David M. Moffett
c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1952 |
Trustee since 2011 | Retired; Consultant to Bridgewater and Associates | 168 | Director, CSX Corporation (transportation suppliers); Director, Genworth Financial, Inc. (financial and insurance products and services); Director, PayPal Holdings Inc. (payment and data processing services); Trustee, University of Oklahoma Foundation; former Director, eBay Inc. (online trading community), 2007-2015; and former Director, CIT Bank, CIT Group Inc. (commercial and consumer finance), 2010-2016 |
|
Columbia Small Cap Value Fund I | Annual Report 2021
|
37 |
TRUSTEES AND OFFICERS (continued)
Independent trustees (continued)
Independent trustees (continued)
|
Name,
address, year of birth |
Position held
with the Columbia Funds and length of service |
Principal occupation(s)
during 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 |
|
Catherine James Paglia
c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1952 |
Co-Chair since 2021; Chair of CFST, CFST II, CFVST II, Columbia ETF Trust I and Columbia ETF Trust II since 2020; Trustee of CFST, CFST II and CFVST II since 2004 and CFST I and CFVIT since 2021 | Director, Enterprise Asset Management, Inc. (private real estate and asset management company) since September 1998; Managing Director and Partner, Interlaken Capital, Inc., 1989-1997; Vice President, 1982-1985, Principal, 1985-1987, Managing Director, 1987-1989, Morgan Stanley; Vice President, Investment Banking, 1980-1982, Associate, Investment Banking, 1976-1980, Dean Witter Reynolds, Inc. | 170 | Director, Valmont Industries, Inc. (irrigation systems manufacturer) since 2012; Trustee, Carleton College (on the Investment Committee); Trustee, Carnegie Endowment for International Peace (on the Investment Committee) |
|
Anthony M. Santomero
c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1946 |
Trustee since 2008 | Richard K. Mellon Professor Emeritus of Finance, The Wharton School, University of Pennsylvania, since 2002; Senior Advisor, McKinsey & Company (consulting), 2006-2008; President, Federal Reserve Bank of Philadelphia, 2000-2006; Professor of Finance, The Wharton School, University of Pennsylvania, 1972-2002 | 170 | Trustee, Penn Mutual Life Insurance Company since March 2008; Director, RenaissanceRe Holdings Ltd. since May 2008; former Director, Citigroup Inc. and Citibank, N.A., 2009-2019; former Trustee, BofA Funds Series Trust (11 funds), 2008-2011 |
|
Minor M. Shaw
c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1947 |
Trustee since 2003 | President, Micco LLC (private investments) since 2011; President, Micco Corp. (family investment business), 1998-2011 | 170 | Director, BlueCross BlueShield of South Carolina (Chair of Compensation Committee) since April 2008; Trustee, Hollingsworth Funds (on the Investment Committee) since 2016 (previously Board Chair from 2016-2019); Former Advisory Board member, Duke Energy Corp., 2016-2020; Chair of the Duke Endowment; Chair of Greenville – Spartanburg Airport Commission; former Trustee, BofA Funds Series Trust (11 funds), 2003-2011; former Director, Piedmont Natural Gas, 2004-2016; former Director, National Association of Corporate Directors, Carolinas Chapter, 2013-2018; Chair, Daniel-Mickel Foundation |
| 38 | Columbia Small Cap Value Fund I | Annual Report 2021 |
TRUSTEES AND OFFICERS (continued)
Independent trustees (continued)
Independent trustees (continued)
|
Name,
address, year of birth |
Position held
with the Columbia Funds and length of service |
Principal occupation(s)
during 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 |
|
Natalie A. Trunow
c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1967 |
Trustee since 2020(a) | Chief Executive Officer, Millennial Portfolio Solutions LLC (asset management and consulting services) since January 2016; Non-executive Member of the Investment Committee, Sarona Asset Management Inc. (private equity firm) since September 2019; Advisor, Horizon Investments (asset management and consulting services) since August 2018; Advisor, Paradigm Asset Management since November 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 | 168 | Director, Health Services for Children with Special Needs, Inc.; Director, Consumer Credit Counseling Services (formerly Guidewell Financial Solutions); Independent Director, Investment Committee, Sarona Asset Management |
|
Sandra Yeager
c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1964 |
Trustee since 2017 | Retired; President and founder, Hanoverian Capital, LLC (SEC registered investment advisor firm), 2008-2016; Managing Director, DuPont Capital, 2006-2008; Managing Director, Morgan Stanley Investment Management, 2004-2006; Senior Vice President, Alliance Bernstein, 1990-2004 | 170 | Director, NAPE Education Foundation, October 2016-October 2020 |
| * | The term “Columbia Funds Complex” as used herein includes Columbia Seligman Premium Technology Growth Fund, Tri-Continental Corporation and each series of Columbia Fund Series Trust (CFST), Columbia Funds Series Trust I (CFST I), Columbia Funds Series Trust II (CFST II), Columbia ETF Trust I, Columbia ETF Trust II, Columbia Funds Variable Insurance Trust (CFVIT) and Columbia Funds Variable Series Trust II (CFVST II). Messrs. Batejan, Gallagher, Petersen and Santomero and Mses. Blatz, Carlton, Flynn, Paglia, Shaw and Yeager serve as a director of Columbia Seligman Premium Technology Growth Fund and Tri-Continental Corporation. |
| (a) | J. Kevin Connaughton was appointed a consultant to the Independent Trustees of CFST I and CFVIT effective March 1, 2016. Natalie A. Trunow was appointed a consultant to the Independent Trustees of CFST I and CFVIT effective September 1, 2016. Olive M. Darragh was appointed a consultant to the Independent Trustees of CFST I and CFVIT effective June 10, 2019. Shareholders of the Funds elected Mr. Connaughton and Mses. Darragh and Trunow as Trustees of CFST, CFST I, CFST II, Columbia ETF Trust I, Columbia ETF Trust II, and CFVST II, effective January 1, 2021, and of CFVIT, effective July 1, 2020. |
Interested trustee affiliated with
Investment Manager*
|
Name,
address, year of birth |
Position held with the Columbia Funds 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 |
|
Christopher O. Petersen
c/o Columbia Management Investment Advisers, LLC 5228 Ameriprise Financial Center Minneapolis, MN 55474 1970 |
Trustee since 2020(a) | 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 | 170 | None |
| * | 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. |
| (a) | Mr. Petersen serves as the Senior Vice President and Assistant Secretary of the Columbia Funds (since 2021). |
The Statement of Additional
Information has additional information about the Fund’s Board members and is available, without charge, upon request by calling 800.345.6611, visiting columbiathreadneedleus.com/investor/ or contacting your
financial intermediary.
|
Columbia Small Cap Value Fund I | Annual Report 2021
|
39 |
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. Petersen, who is Senior Vice President and Assistant Secretary, the Fund’s other officers are:
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. Petersen, who is Senior Vice President and Assistant Secretary, 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 |
|
Daniel J. Beckman
225 Franklin Street Boston, MA 02110 1962 |
President and Principal Executive Officer (2021) | Vice President – Head of North America Product, Columbia Management Investment Advisers, LLC (since April 2015); officer of Columbia Funds and affiliated funds since 2020. |
|
Michael G. Clarke
225 Franklin Street Boston, MA 02110 1969 |
Chief Financial Officer and 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. |
|
Joseph Beranek
5890 Ameriprise Financial Center Minneapolis, MN 55474 1965 |
Treasurer and Chief Accounting Officer (Principal Accounting Officer) (2019) and Principal Financial Officer (2020), CFST, CFST I, CFST II, CFVIT and CFVST II; Assistant Treasurer, Columbia ETF Trust I and Columbia ETF Trust II | 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). |
|
Marybeth Pilat
225 Franklin Street Boston, MA 02110 1968 |
Treasurer and Chief Accounting Officer (Principal Accounting Officer) and Principal Financial Officer (2020) for Columbia ETF Trust I and Columbia ETF Trust II; Assistant Treasurer, CFST, CFST I, CFST II, CFVIT and CFVST II | Vice President – Product Pricing and Administration, Columbia Management Investment Advisers, LLC, since May 2017; Director - Fund Administration, Calvert Investments, August 2015 – March 2017; Vice President - Fund Administration, Legg Mason, May 2015 - July 2015; Vice President - Fund Administration, Columbia Management Investment Advisers, LLC, May 2010 - April 2015. |
|
William F. Truscott
225 Franklin Street Boston, MA 02110 1960 |
Senior Vice President (2001) | Formerly, Trustee of Columbia Funds Complex until January 1, 2021; Chief Executive Officer, Global Asset Management, Ameriprise Financial, Inc. since September 2012; Chairman of the Board and President, Columbia Management Investment Advisers, LLC since July 2004 and February 2012, respectively; Chairman of the Board and Chief Executive Officer, Columbia Management Investment Distributors, Inc. since November 2008 and February 2012, respectively; Chairman of the Board and Director, Threadneedle Asset Management Holdings, Sàrl since March 2013 and December 2008, respectively; senior executive of various entities affiliated with Columbia Threadneedle. |
|
Paul B. Goucher
485 Lexington Avenue New York, NY 10017 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 1972 |
Senior Vice President and Chief Compliance Officer (2012) | Vice President – Asset Management Compliance, Ameriprise Financial, Inc., since May 2010; Chief Compliance Officer, Columbia Acorn/Wanger Funds since December 2015; Chief Compliance Officer, Ameriprise Certificate Company September 2010 – September 2020. |
| 40 | Columbia Small Cap Value Fund I | Annual Report 2021 |
TRUSTEES AND OFFICERS (continued)
Fund 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 |
|
Colin Moore
225 Franklin Street Boston, MA 02110 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 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); Chief Legal Officer, Columbia Acorn/Wanger Funds, since September 2020; officer of Columbia Funds and affiliated funds since 2005. |
|
Michael E. DeFao
225 Franklin Street Boston, MA 02110 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 1960 |
Vice President (2015) | President, Columbia Management Investment Services Corp. since October 2014; Vice President & Resolution Officer, Ameriprise Trust Company since August 2009. |
Liquidity Risk
Management Program
Pursuant to Rule 22e-4 under the
1940 Act, the Fund has adopted a liquidity risk management program (Program). The Program’s principal objectives include assessing, managing and periodically reviewing the Fund’s liquidity risk. Liquidity
risk is defined as the risk that the Fund could not meet redemption requests without significant dilution of remaining investors’ interests in the Fund.
The Board has appointed the
Investment Manager as the program administrator for the Fund’s Program. The Investment Manager has delegated oversight of the Program to its Liquidity Risk Management Committee (the Committee). At a board
meeting during the fiscal period, the Committee provided the Board with a report addressing the operations of the program and assessing its adequacy and effectiveness of implementation for the period January 1, 2020,
through December 31, 2020, including:
| • | the Fund had sufficient liquidity to both meet redemptions and operate effectively on behalf of shareholders; |
| • | there were no material changes to the Program during the period; |
| • | the implementation of the Program was effective to manage the Fund’s liquidity risk; and |
| • | the Program operated adequately during the period. |
There can be no assurance that the
Program will achieve its objectives in the future. Please refer to the Fund’s prospectus for more information regarding the Fund’s exposure to liquidity risk and other principal risks to which an
investment in the Fund may be subject.
|
Columbia Small Cap Value Fund I | Annual Report 2021
|
41 |
Results of Meeting of
Shareholders
At a Joint Special Meeting of
Shareholders held on December 22, 2020, shareholders of Columbia Funds Series Trust I elected each of the seventeen nominees for the trustees to the Board of Trustees of Columbia Funds Series Trust I, each to hold
office until he or she dies, retires, resigns or is removed or, if sooner, until the election and qualification of his or her successor, as follows:
| 42 | Columbia Small Cap Value Fund I | Annual Report 2021 |
Columbia Small Cap Value 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.
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.
© 2021 Columbia Management Investment
Advisers, LLC.
columbiathreadneedleus.com/investor/
ANN287_04_L01_(06/21)
Annual Report
April 30, 2021
April 30, 2021
Columbia U.S.
Treasury Index 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 are no longer sent by mail, unless you specifically
requested paper copies of the reports. Instead, the reports are 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
shareholder 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 Federally Insured • No
Financial Institution Guarantee • May Lose Value
Table of Contents
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If you elect to receive the
shareholder report for Columbia U.S. Treasury Index Fund (the Fund) in paper, mailed to you, the Fund mails one shareholder report to each shareholder address, unless such shareholder elects to receive shareholder
reports from the Fund electronically via e-mail or by having a paper notice mailed to you (Postcard Notice) that your Fund’s shareholder report is available at the Columbia funds’ website
(columbiathreadneedleus.com/investor/). If you would like more than one report in paper to be mailed to you, or would like to elect to receive reports via e-mail or access them through Postcard Notice, please call
shareholder services at 800.345.6611 and additional reports will be sent to you.
Proxy voting policies and
procedures
The policy of the Board of Trustees
is to vote the proxies of the companies in which the Fund holds investments consistent with the procedures as stated in the Statement of Additional Information (SAI). You may obtain a copy of the SAI without charge by
calling 800.345.6611; contacting your financial intermediary; visiting columbiathreadneedleus.com/investor/; or searching the website of the Securities and Exchange Commission (SEC) at sec.gov. Information regarding
how the Fund voted proxies relating to portfolio securities is filed with the SEC by August 31st for the most recent 12-month period ending June 30th of that year, and is available without charge by visiting
columbiathreadneedleus.com/investor/, or searching the website of the SEC at sec.gov.
Quarterly schedule of
investments
The Fund files a complete schedule
of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-PORT. The Fund’s Form N-PORT filings are available on the SEC’s website at sec.gov. The Fund’s
complete schedule of portfolio holdings, as filed on Form N-PORT, 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 U.S. Treasury Index
Fund | Annual Report 2021
Fund at a Glance
Investment objective
The Fund
seeks total return that corresponds to the total return of the FTSE USBIG Treasury Index, before fees and expenses.
Portfolio management
Alan Erickson, CFA
Portfolio Manager
Managed Fund since 2017
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 FTSE USBIG Treasury Index tracks
the performance of US Dollar-denominated bonds issued in the US investment-grade bond market. The index includes fixed-rate U.S. Treasury bonds with USD 5 billion public amount outstanding and greater than one year to
maturity. The index excludes U.S. Federal Reserve purchases, inflation-indexed securities and STRIPS.
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.
Fund performance may be significantly
negatively impacted by the economic impact of the COVID-19 pandemic. The COVID-19 pandemic has adversely impacted economies and capital markets around the world in ways that will likely continue and may change in
unforeseen ways for an indeterminate period. The COVID-19 pandemic may exacerbate pre-existing political, social and economic risks in certain countries and globally.
|
Columbia U.S. Treasury Index Fund | Annual Report 2021
|
3 |
Fund at a Glance (continued)
Performance of a hypothetical $10,000 investment (April 30, 2011 — April 30, 2021)
The chart above shows the change in
value of a hypothetical $10,000 investment in Class A shares of Columbia U.S. Treasury Index 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 April 30, 2021) | |
| Money Market Funds | 0.5 |
| U.S. Treasury Obligations | 99.5 |
| 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 April 30, 2021) | |
| AAA rating | 100.0 |
| Total | 100.0 |
Percentages indicated are based
upon total fixed income investments.
Bond ratings apply to the underlying
holdings of the Fund and not the Fund itself and are divided into categories ranging from highest to lowest credit quality, determined by using the middle rating of Moody’s, S&P and Fitch, after dropping the
highest and lowest available ratings. When ratings are available from only two rating agencies, the lower rating is used. When a rating is available from only one rating agency, that rating is used. If a security is
not rated but has a rating by Kroll and/or DBRS, the same methodology is applied to those bonds that would otherwise be not rated. When a bond is not rated by any rating agency, it is designated as “Not
rated.” Credit quality ratings assigned by a rating agency are subjective opinions, not statements of fact, and are subject to change, including daily. The ratings assigned by credit rating agencies are but one
of the considerations that the Investment Manager and/or Fund’s subadviser incorporates into its credit analysis process, along with such other issuer-specific factors as cash flows, capital structure and
leverage ratios, ability to de-leverage (repay) through free cash flow, quality of management, market positioning and access to capital, as well as such security-specific factors as the terms of the security (e.g.,
interest rate and time to maturity) and the amount and type of any collateral.
| 4 | Columbia U.S. Treasury Index Fund | Annual Report 2021 |
Manager Discussion of Fund Performance
At April 30, 2021, approximately
79.49% of the Fund’s shares were owned in the aggregate by affiliated funds-of-funds managed by Columbia Management Investment Advisers, LLC (the Investment Manager). As a result of asset allocation decisions by
the Investment Manager, it is possible that the Fund may experience relatively large purchases or redemptions from affiliated funds-of-funds. The Investment Manager seeks to minimize the impact of these transactions
by structuring them over a reasonable period of time. The Fund may experience increased expenses as it buys and sells securities as a result of purchases or redemptions by affiliated funds-of-funds.
For the 12-month period ended April
30, 2021, the Fund’s Class A shares returned -4.66%. The Fund closely tracked its benchmark, the unmanaged FTSE USBIG Treasury Index, which returned -4.34% for the same period. Mutual funds, unlike unmanaged
indices, incur operating expenses.
Market overview
U.S. Treasury rates were
influenced by a number of powerful factors during the 12 months ended April 30, 2021. Rates moved steadily higher over the latter half of 2020 and accelerated their move upward at the beginning of this year due to the
rapid approval and deployment of COVID-19 vaccines, as well as large fiscal stimulus packages from Washington that were approved in rapid succession over only a few months. This environment pressured interest rates
higher and further out the yield curve as the market began to “price in” improving economic growth and higher inflation. The very front end of the yield curve (three-year maturities and under) was anchored
at very low levels.
The U.S. Federal Reserve (Fed) has
now altered its strategy to accept inflation in excess of its long-term target of 2% as long as it is making up for previous inflation that ran below 2%. The new strategy is called “flexible average inflation
targeting.” Prior to the strategy change, the Fed would adjust its policy rate preemptively in attempting to keep inflation at approximately 2%. Whereas Fed officials previously believed that its inflation
target/full employment mandates were symmetrical, they now believe the trade-off between the two is asymmetrical, and they will tolerate higher inflation if employment continues to improve. The current environment for
Treasury securities has no recent historical precedent, and the Fed’s recent acceptance of higher inflation has created additional market uncertainty. Since Treasury rates peaked in March 2021, we have seen
increased stability for these rates, and buyers have now stepped in at higher rate levels. It is notable that as of period end 10-year Treasury yields were approximately equal to their pre-COVID levels (February
2020), with 30-year Treasury yields approximately 20 basis points higher than February of last year.
The Fund’s notable
contributors during the period
| • | The Fund attempts to match the return of the unmanaged FTSE USBIG Treasury Index benchmark. |
| • | Short-term Treasury yields were anchored by the Fed’s commitment to keep short rates low in order to assist in stimulating the economy to make up for significant disruptions in the labor market as well as depressed U.S. economic activity. |
The Fund’s notable
detractors during the period
| • | Treasury returns were negatively impacted by the significant move higher in rates, along with the steepening of the yield curve. |
| • | Three-year Treasuries moved 13 basis points higher than late July/early August 2020, whereas 10-year Treasury yields rose 100 basis points over the same period. |
| • | From their low point in the summer of 2020, five-year Treasury yields moved higher by 60 basis points, while 30-year Treasury yields increased by 100 basis points during the same period. |
| • | The yield curve steepening that we saw over the 12-month period was unusual, as most historical steepening environments are due to the Fed lowering rates and pushing the front end of the curve lower. |
Market risk may affect a single issuer, sector of the economy, industry or the market as a whole. The U.S. government may be unable or unwilling to honor its financial obligations. Securities issued or guaranteed by federal agencies and U.S. government-sponsored instrumentalities may or may not be backed
by the full faith and credit of the U.S. government. A rise in interest rates may result in a price decline of fixed-income instruments held by the Fund, negatively
|
Columbia U.S. Treasury Index Fund | Annual Report 2021
|
5 |
Manager Discussion of Fund Performance (continued)
impacting its performance and NAV. Falling rates
may result in the Fund investing in lower yielding debt instruments, lowering the Fund’s income and yield. These risks may be heightened for longer maturity and duration securities. The Fund’s net value
will generally decline when the performance of its targeted index declines. 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 who have contributed to this report. 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 U.S. Treasury Index Fund | Annual Report 2021 |
Understanding Your Fund’s
Expenses
(Unaudited)
(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.
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 U.S. Treasury Index Fund | Annual Report 2021
|
7 |
Portfolio of Investments
April 30, 2021
April 30, 2021
(Percentages represent value of
investments compared to net assets)
Investments in securities
| U.S. Treasury Obligations 99.0% | ||||
| Issuer |
Coupon
Rate |
Principal
Amount ($) |
Value ($) | |
| U.S. Treasury | ||||
| 05/15/2022 | 2.125% | 11,627,000 | 11,872,711 | |
| 05/31/2022 | 0.125% | 10,681,000 | 10,686,424 | |
| 05/31/2022 | 1.750% | 3,487,000 | 3,549,793 | |
| 05/31/2022 | 1.875% | 2,679,000 | 2,730,696 | |
| 06/15/2022 | 1.750% | 2,956,000 | 3,010,963 | |
| 06/30/2022 | 0.125% | 3,936,000 | 3,937,538 | |
| 06/30/2022 | 1.750% | 4,977,000 | 5,072,652 | |
| 06/30/2022 | 2.125% | 3,763,000 | 3,851,636 | |
| 07/15/2022 | 1.750% | 4,781,000 | 4,876,060 | |
| 07/31/2022 | 0.125% | 5,270,000 | 5,271,853 | |
| 07/31/2022 | 1.875% | 2,811,000 | 2,873,369 | |
| 07/31/2022 | 2.000% | 2,630,000 | 2,692,257 | |
| 08/15/2022 | 1.500% | 5,166,000 | 5,259,230 | |
| 08/15/2022 | 1.625% | 6,041,000 | 6,159,696 | |
| 08/31/2022 | 0.125% | 4,920,000 | 4,921,345 | |
| 08/31/2022 | 1.625% | 5,252,000 | 5,357,655 | |
| 08/31/2022 | 1.875% | 5,303,000 | 5,427,082 | |
| 09/15/2022 | 1.500% | 5,201,000 | 5,299,535 | |
| 09/30/2022 | 0.125% | 9,509,000 | 9,510,114 | |
| 09/30/2022 | 1.750% | 4,941,000 | 5,054,875 | |
| 09/30/2022 | 1.875% | 2,485,000 | 2,546,543 | |
| 10/15/2022 | 1.375% | 5,539,000 | 5,639,611 | |
| 10/31/2022 | 1.875% | 4,226,000 | 4,336,107 | |
| 10/31/2022 | 2.000% | 6,441,000 | 6,621,147 | |
| 11/30/2022 | 0.125% | 6,959,000 | 6,958,728 | |
| 11/30/2022 | 2.000% | 3,927,000 | 4,042,509 | |
| 12/15/2022 | 1.625% | 4,795,000 | 4,910,380 | |
| 12/31/2022 | 2.125% | 6,873,000 | 7,098,789 | |
| 01/15/2023 | 1.500% | 2,792,000 | 2,856,347 | |
| 01/31/2023 | 0.125% | 3,958,000 | 3,956,609 | |
| 01/31/2023 | 1.750% | 3,340,000 | 3,433,024 | |
| 01/31/2023 | 2.375% | 1,475,000 | 1,532,156 | |
| 02/15/2023 | 1.375% | 3,053,000 | 3,119,665 | |
| 02/28/2023 | 1.500% | 2,065,000 | 2,115,496 | |
| 02/28/2023 | 2.625% | 2,928,000 | 3,059,531 | |
| 03/15/2023 | 0.500% | 5,584,000 | 5,619,554 | |
| 03/31/2023 | 1.500% | 4,328,000 | 4,438,229 | |
| 03/31/2023 | 2.500% | 4,278,000 | 4,469,173 | |
| 04/15/2023 | 0.250% | 5,022,000 | 5,030,239 | |
| 04/30/2023 | 2.750% | 3,348,000 | 3,519,585 | |
| 05/15/2023 | 0.125% | 12,058,000 | 12,044,812 | |
| 05/15/2023 | 1.750% | 4,330,000 | 4,467,680 | |
| 05/31/2023 | 1.625% | 7,274,000 | 7,491,083 | |
| 05/31/2023 | 2.750% | 3,539,000 | 3,727,286 | |
| 06/15/2023 | 0.250% | 6,948,000 | 6,957,228 | |
| 06/30/2023 | 1.375% | 6,823,000 | 6,996,240 | |
| 06/30/2023 | 2.625% | 6,836,000 | 7,195,424 | |
| 07/15/2023 | 0.125% | 6,693,000 | 6,682,019 | |
| 07/31/2023 | 1.250% | 3,432,000 | 3,512,169 | |
| 07/31/2023 | 2.750% | 4,617,000 | 4,879,953 | |
| 08/15/2023 | 0.125% | 9,193,000 | 9,175,045 | |
| 08/15/2023 | 2.500% | 10,669,000 | 11,224,121 | |
| 08/31/2023 | 1.375% | 5,465,000 | 5,611,872 | |
| 08/31/2023 | 2.750% | 1,832,000 | 1,939,630 | |
The accompanying Notes to Financial
Statements are an integral part of this statement.
| 8 | Columbia U.S. Treasury Index Fund | Annual Report 2021 |
Portfolio of Investments (continued)
April 30, 2021
April 30, 2021
| U.S. Treasury Obligations (continued) | ||||
| Issuer |
Coupon
Rate |
Principal
Amount ($) |
Value ($) | |
| 07/31/2025 | 2.875% | 2,468,000 | 2,696,676 | |
| 08/15/2025 | 2.000% | 10,216,000 | 10,793,044 | |
| 08/31/2025 | 0.250% | 8,883,000 | 8,712,974 | |
| 08/31/2025 | 2.750% | 4,848,000 | 5,275,230 | |
| 09/30/2025 | 0.250% | 6,177,000 | 6,052,977 | |
| 09/30/2025 | 3.000% | 3,564,000 | 3,920,122 | |
| 10/31/2025 | 0.250% | 7,432,000 | 7,272,328 | |
| 10/31/2025 | 3.000% | 3,111,000 | 3,424,287 | |
| 11/15/2025 | 2.250% | 6,847,000 | 7,310,777 | |
| 11/30/2025 | 0.375% | 4,687,000 | 4,606,442 | |
| 11/30/2025 | 2.875% | 3,722,000 | 4,078,789 | |
| 12/31/2025 | 0.375% | 7,714,000 | 7,571,171 | |
| 01/31/2026 | 0.375% | 6,744,000 | 6,610,174 | |
| 01/31/2026 | 2.625% | 4,569,000 | 4,960,578 | |
| 02/15/2026 | 1.625% | 5,126,000 | 5,323,031 | |
| 02/15/2026 | 6.000% | 2,388,000 | 2,969,515 | |
| 02/28/2026 | 2.500% | 4,259,000 | 4,600,718 | |
| 03/31/2026 | 0.750% | 2,534,000 | 2,524,102 | |
| 03/31/2026 | 2.250% | 6,048,000 | 6,461,910 | |
| 04/30/2026 | 2.375% | 6,787,000 | 7,294,965 | |
| 05/15/2026 | 1.625% | 5,906,000 | 6,127,936 | |
| 05/31/2026 | 2.125% | 4,135,000 | 4,393,438 | |
| 07/31/2026 | 1.875% | 3,061,000 | 3,212,615 | |
| 08/15/2026 | 1.500% | 8,703,000 | 8,959,331 | |
| 08/31/2026 | 1.375% | 5,002,000 | 5,116,499 | |
| 10/31/2026 | 1.625% | 2,647,000 | 2,738,818 | |
| 11/15/2026 | 2.000% | 8,262,000 | 8,713,183 | |
| 11/30/2026 | 1.625% | 3,260,000 | 3,371,553 | |
| 12/31/2026 | 1.750% | 2,844,000 | 2,960,204 | |
| 01/31/2027 | 1.500% | 6,535,000 | 6,705,523 | |
| 02/15/2027 | 2.250% | 5,499,000 | 5,871,901 | |
| 02/28/2027 | 1.125% | 5,093,000 | 5,113,292 | |
| 03/31/2027 | 0.625% | 2,295,000 | 2,235,473 | |
| 04/30/2027 | 0.500% | 3,196,000 | 3,084,390 | |
| 05/15/2027 | 2.375% | 5,797,000 | 6,230,869 | |
| 05/31/2027 | 0.500% | 5,916,000 | 5,698,310 | |
| 06/30/2027 | 0.500% | 7,037,000 | 6,766,515 | |
| 07/31/2027 | 0.375% | 9,213,000 | 8,773,943 | |
| 08/15/2027 | 2.250% | 7,510,000 | 8,008,711 | |
| 08/31/2027 | 0.500% | 4,638,000 | 4,445,233 | |
| 09/30/2027 | 0.375% | 9,622,000 | 9,131,128 | |
| 10/31/2027 | 0.500% | 13,366,000 | 12,764,530 | |
| 11/15/2027 | 2.250% | 8,740,000 | 9,310,831 | |
| 11/30/2027 | 0.625% | 3,745,000 | 3,600,466 | |
| 12/31/2027 | 0.625% | 5,653,000 | 5,426,880 | |
| 01/31/2028 | 0.750% | 10,850,000 | 10,487,203 | |
| 02/15/2028 | 2.750% | 8,150,000 | 8,942,078 | |
| 03/31/2028 | 1.250% | 1,292,000 | 1,288,366 | |
| 05/15/2028 | 2.875% | 7,901,000 | 8,739,247 | |
| 08/15/2028 | 2.875% | 7,563,000 | 8,371,296 | |
| 11/15/2028 | 3.125% | 7,800,000 | 8,778,656 | |
| 11/15/2028 | 5.250% | 2,293,000 | 2,932,890 | |
| 02/15/2029 | 2.625% | 9,624,000 | 10,485,649 | |
| 02/15/2029 | 5.250% | 6,351,000 | 8,161,035 | |
| 05/15/2029 | 2.375% | 6,437,000 | 6,892,619 | |
| 08/15/2029 | 1.625% | 6,694,000 | 6,777,675 | |
| 11/15/2029 | 1.750% | 5,207,000 | 5,316,022 | |
The accompanying Notes to Financial
Statements are an integral part of this statement.
|
Columbia U.S. Treasury Index Fund | Annual Report 2021
|
9 |
Portfolio of Investments (continued)
April 30, 2021
April 30, 2021
| U.S. Treasury Obligations (continued) | ||||
| Issuer |
Coupon
Rate |
Principal
Amount ($) |
Value ($) | |
| 02/15/2051 | 1.875% | 3,355,000 | 3,053,050 | |
|
Total U.S. Treasury Obligations
(Cost $1,204,616,032) |
1,225,896,115 | |||
| Money Market Funds 0.5% | ||
| Shares | Value ($) | |
| Columbia Short-Term Cash Fund, 0.054%(a),(b) | 5,962,033 | 5,961,437 |
|
Total Money Market Funds
(Cost $5,961,242) |
5,961,437 | |
|
Total Investments in Securities
(Cost: $1,210,577,274) |
1,231,857,552 | |
| Other Assets & Liabilities, Net | 6,397,802 | |
| Net Assets | 1,238,255,354 | |
Notes to Portfolio of
Investments
| (a) | The rate shown is the seven-day current annualized yield at April 30, 2021. |
| (b) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the year ended April 30, 2021 are as follows: |
| Affiliated issuers |
Beginning
of period($) |
Purchases($) | Sales($) |
Net change in
unrealized appreciation (depreciation)($) |
End of
period($) |
Realized gain
(loss)($) |
Dividends($) |
End of
period shares |
| Columbia Short-Term Cash Fund, 0.054% | ||||||||
| 12,559,865 | 217,055,672 | (223,652,092) | (2,008) | 5,961,437 | (1,701) | 9,474 | 5,962,033 | |
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.
| 10 | Columbia U.S. Treasury Index Fund | Annual Report 2021 |
Portfolio of Investments (continued)
April 30, 2021
April 30, 2021
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.
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 April 30, 2021:
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 U.S. Treasury Index Fund | Annual Report 2021
|
11 |
Statement of Assets and Liabilities
April 30, 2021
April 30, 2021
| Assets | |
| Investments in securities, at value | |
| Unaffiliated issuers (cost $1,204,616,032) | $1,225,896,115 |
| Affiliated issuers (cost $5,961,242) | 5,961,437 |
| Receivable for: | |
| Investments sold | 24,952,087 |
| Capital shares sold | 1,885,466 |
| Dividends | 222 |
| Interest | 5,703,837 |
| Expense reimbursement due from Investment Manager | 7,814 |
| Trustees’ deferred compensation plan | 139,372 |
| Total assets | 1,264,546,350 |
| Liabilities | |
| Payable for: | |
| Investments purchased | 24,134,446 |
| Capital shares purchased | 718,576 |
| Distributions to shareholders | 1,279,994 |
| Management services fees | 13,550 |
| Distribution and/or service fees | 347 |
| Compensation of board members | 4,711 |
| Trustees’ deferred compensation plan | 139,372 |
| Total liabilities | 26,290,996 |
| Net assets applicable to outstanding capital stock | $1,238,255,354 |
| Represented by | |
| Paid in capital | 1,218,128,970 |
| Total distributable earnings (loss) | 20,126,384 |
| Total - representing net assets applicable to outstanding capital stock | $1,238,255,354 |
| Class A | |
| Net assets | $48,338,479 |
| Shares outstanding | 4,194,475 |
| Net asset value per share | $11.52 |
| Class C | |
| Net assets | $6,680,058 |
| Shares outstanding | 579,700 |
| Net asset value per share | $11.52 |
| Institutional Class | |
| Net assets | $537,273,039 |
| Shares outstanding | 46,602,866 |
| Net asset value per share | $11.53 |
| Institutional 2 Class | |
| Net assets | $53,191,341 |
| Shares outstanding | 4,623,490 |
| Net asset value per share | $11.50 |
| Institutional 3 Class | |
| Net assets | $592,772,437 |
| Shares outstanding | 51,130,288 |
| Net asset value per share | $11.59 |
The accompanying Notes to Financial Statements are
an integral part of this statement.
| 12 | Columbia U.S. Treasury Index Fund | Annual Report 2021 |
Statement of Operations
Year Ended April 30, 2021
Year Ended April 30, 2021
| Net investment income | |
| Income: | |
| Dividends — affiliated issuers | $9,474 |
| Interest | 17,930,645 |
| Total income | 17,940,119 |
| Expenses: | |
| Management services fees | 4,744,922 |
| Distribution and/or service fees | |
| Class A | 139,980 |
| Class C | 87,425 |
| Compensation of board members | 32,427 |
| Other | 1,094 |
| Total expenses | 5,005,848 |
| Fees waived or expenses reimbursed by Investment Manager and its affiliates | (2,758,251) |
| Fees waived by distributor | |
| Class A | (56,054) |
| Class C | (16,036) |
| Expense reduction | (560) |
| Total net expenses | 2,174,947 |
| Net investment income | 15,765,172 |
| Realized and unrealized gain (loss) — net | |
| Net realized gain (loss) on: | |
| Investments — unaffiliated issuers | 4,879,884 |
| Investments — affiliated issuers | (1,701) |
| Net realized gain | 4,878,183 |
| Net change in unrealized appreciation (depreciation) on: | |
| Investments — unaffiliated issuers | (77,709,763) |
| Investments — affiliated issuers | (2,008) |
| Net change in unrealized appreciation (depreciation) | (77,711,771) |
| Net realized and unrealized loss | (72,833,588) |
| Net decrease in net assets resulting from operations | $(57,068,416) |
The accompanying Notes to
Financial Statements are an integral part of this statement.
|
Columbia U.S. Treasury Index Fund | Annual Report 2021
|
13 |
Statement of Changes in Net Assets
|
Year Ended
April 30, 2021 |
Year Ended
April 30, 2020 |
|
| Operations | ||
| Net investment income | $15,765,172 | $18,899,109 |
| Net realized gain | 4,878,183 | 13,906,991 |
| Net change in unrealized appreciation (depreciation) | (77,711,771) | 92,971,205 |
| Net increase (decrease) in net assets resulting from operations | (57,068,416) | 125,777,305 |
| Distributions to shareholders | ||
| Net investment income and net realized gains | ||
| Class A | (1,007,331) | (691,605) |
| Class C | (102,605) | (44,719) |
| Institutional Class | (10,927,800) | (9,616,113) |
| Institutional 2 Class | (1,056,029) | (796,599) |
| Institutional 3 Class | (9,468,987) | (7,744,004) |
| Total distributions to shareholders | (22,562,752) | (18,893,040) |
| Increase in net assets from capital stock activity | 210,255,941 | 157,956,007 |
| Total increase in net assets | 130,624,773 | 264,840,272 |
| Net assets at beginning of year | 1,107,630,581 | 842,790,309 |
| Net assets at end of year | $1,238,255,354 | $1,107,630,581 |
The accompanying Notes to
Financial Statements are an integral part of this statement.
| 14 | Columbia U.S. Treasury Index Fund | Annual Report 2021 |
Statement of Changes in Net Assets (continued)
| Year Ended | Year Ended | |||
| April 30, 2021 | April 30, 2020 | |||
| Shares | Dollars ($) | Shares | Dollars ($) | |
| Capital stock activity | ||||
| Class A | ||||
| Subscriptions | 2,503,519 | 30,279,238 | 3,489,419 | 41,663,933 |
| Distributions reinvested | 52,006 | 623,745 | 30,276 | 352,443 |
| Redemptions | (2,581,410) | (30,736,169) | (2,544,507) | (29,862,330) |
| Net increase (decrease) | (25,885) | 166,814 | 975,188 | 12,154,046 |
| Class C | ||||
| Subscriptions | 463,270 | 5,632,251 | 505,393 | 5,939,164 |
| Distributions reinvested | 8,523 | 102,314 | 3,750 | 43,694 |
| Redemptions | (454,200) | (5,406,784) | (201,633) | (2,338,843) |
| Net increase | 17,593 | 327,781 | 307,510 | 3,644,015 |
| Institutional Class | ||||
| Subscriptions | 13,476,919 | 162,645,987 | 28,352,853 | 326,628,841 |
| Distributions reinvested | 877,042 | 10,532,133 | 795,276 | 9,247,081 |
| Redemptions | (15,064,561) | (180,968,131) | (11,201,780) | (129,793,821) |
| Net increase (decrease) | (710,600) | (7,790,011) | 17,946,349 | 206,082,101 |
| Institutional 2 Class | ||||
| Subscriptions | 3,633,451 | 43,793,657 | 2,670,305 | 31,549,517 |
| Distributions reinvested | 24,726 | 296,679 | 10,018 | 117,091 |
| Redemptions | (3,212,716) | (38,649,751) | (1,766,617) | (20,768,799) |
| Net increase | 445,461 | 5,440,585 | 913,706 | 10,897,809 |
| Institutional 3 Class | ||||
| Subscriptions | 31,328,526 | 377,853,939 | 22,455,255 | 267,873,940 |
| Distributions reinvested | 785,573 | 9,460,633 | 664,076 | 7,740,810 |
| Redemptions | (14,582,431) | (175,203,800) | (29,735,701) | (350,436,714) |
| Net increase (decrease) | 17,531,668 | 212,110,772 | (6,616,370) | (74,821,964) |
| Total net increase | 17,258,237 | 210,255,941 | 13,526,383 | 157,956,007 |
The accompanying Notes to Financial Statements are
an integral part of this statement.
|
Columbia U.S. Treasury Index Fund | Annual Report 2021
|
15 |
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 |
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 4/30/2021 | $12.30 | 0.14 | (0.71) | (0.57) | (0.14) | (0.07) | (0.21) |
| Year Ended 4/30/2020 | $11.00 | 0.21 | 1.30 | 1.51 | (0.21) | — | (0.21) |
| Year Ended 4/30/2019 | $10.75 | 0.21 | 0.25 | 0.46 | (0.21) | — | (0.21) |
| Year Ended 4/30/2018 | $11.06 | 0.16 | (0.31) | (0.15) | (0.16) | — | (0.16) |
| Year Ended 4/30/2017 | $11.34 | 0.14 | (0.25) | (0.11) | (0.14) | (0.03) | (0.17) |
| Class C | |||||||
| Year Ended 4/30/2021 | $12.29 | 0.06 | (0.70) | (0.64) | (0.06) | (0.07) | (0.13) |
| Year Ended 4/30/2020 | $11.00 | 0.13 | 1.29 | 1.42 | (0.13) | — | (0.13) |
| Year Ended 4/30/2019 | $10.75 | 0.13 | 0.25 | 0.38 | (0.13) | — | (0.13) |
| Year Ended 4/30/2018 | $11.06 | 0.09 | (0.31) | (0.22) | (0.09) | — | (0.09) |
| Year Ended 4/30/2017 | $11.34 | 0.06 | (0.24) | (0.18) | (0.07) | (0.03) | (0.10) |
| Institutional Class | |||||||
| Year Ended 4/30/2021 | $12.30 | 0.16 | (0.70) | (0.54) | (0.16) | (0.07) | (0.23) |
| Year Ended 4/30/2020 | $11.01 | 0.23 | 1.29 | 1.52 | (0.23) | — | (0.23) |
| Year Ended 4/30/2019 | $10.75 | 0.22 | 0.27 | 0.49 | (0.23) | — | (0.23) |
| Year Ended 4/30/2018 | $11.06 | 0.18 | (0.31) | (0.13) | (0.18) | — | (0.18) |
| Year Ended 4/30/2017 | $11.34 | 0.16 | (0.25) | (0.09) | (0.16) | (0.03) | (0.19) |
| Institutional 2 Class | |||||||
| Year Ended 4/30/2021 | $12.27 | 0.16 | (0.70) | (0.54) | (0.16) | (0.07) | (0.23) |
| Year Ended 4/30/2020 | $10.98 | 0.23 | 1.29 | 1.52 | (0.23) | — | (0.23) |
| Year Ended 4/30/2019 | $10.73 | 0.23 | 0.25 | 0.48 | (0.23) | — | (0.23) |
| Year Ended 4/30/2018 | $11.04 | 0.18 | (0.31) | (0.13) | (0.18) | — | (0.18) |
| Year Ended 4/30/2017 | $11.32 | 0.16 | (0.25) | (0.09) | (0.16) | (0.03) | (0.19) |
The accompanying Notes to
Financial Statements are an integral part of this statement.
| 16 | Columbia U.S. Treasury Index Fund | Annual Report 2021 |
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 4/30/2021 | $11.52 | (4.66%) | 0.65% | 0.32%(c) | 1.20% | 40% | $48,338 |
| Year Ended 4/30/2020 | $12.30 | 13.88% | 0.65% | 0.33%(c) | 1.83% | 54% | $51,890 |
| Year Ended 4/30/2019 | $11.00 | 4.32% | 0.65% | 0.35%(c) | 1.93% | 50% | $35,707 |
| Year Ended 4/30/2018 | $10.75 | (1.35%) | 0.65% | 0.35%(c) | 1.49% | 27% | $45,074 |
| Year Ended 4/30/2017 | $11.06 | (0.94%) | 0.65% | 0.35%(c) | 1.27% | 50% | $48,312 |
| Class C | |||||||
| Year Ended 4/30/2021 | $11.52 | (5.22%) | 1.40% | 0.99%(c) | 0.53% | 40% | $6,680 |
| Year Ended 4/30/2020 | $12.29 | 13.00% | 1.41% | 1.03%(c) | 1.12% | 54% | $6,910 |
| Year Ended 4/30/2019 | $11.00 | 3.59% | 1.40% | 1.05%(c) | 1.23% | 50% | $2,801 |
| Year Ended 4/30/2018 | $10.75 | (2.03%) | 1.41% | 1.05%(c) | 0.78% | 27% | $4,143 |
| Year Ended 4/30/2017 | $11.06 | (1.63%) | 1.40% | 1.05%(c) | 0.56% | 50% | $6,938 |
| Institutional Class | |||||||
| Year Ended 4/30/2021 | $11.53 | (4.44%) | 0.40% | 0.17%(c) | 1.35% | 40% | $537,273 |
| Year Ended 4/30/2020 | $12.30 | 13.95% | 0.40% | 0.18%(c) | 1.98% | 54% | $581,931 |
| Year Ended 4/30/2019 | $11.01 | 4.57% | 0.40% | 0.20%(c) | 2.08% | 50% | $323,226 |
| Year Ended 4/30/2018 | $10.75 | (1.20%) | 0.40% | 0.20%(c) | 1.64% | 27% | $392,889 |
| Year Ended 4/30/2017 | $11.06 | (0.79%) | 0.40% | 0.20%(c) | 1.42% | 50% | $380,519 |
| Institutional 2 Class | |||||||
| Year Ended 4/30/2021 | $11.50 | (4.45%) | 0.40% | 0.17% | 1.35% | 40% | $53,191 |
| Year Ended 4/30/2020 | $12.27 | 13.98% | 0.40% | 0.18% | 1.98% | 54% | $51,284 |
| Year Ended 4/30/2019 | $10.98 | 4.48% | 0.40% | 0.20% | 2.10% | 50% | $35,855 |
| Year Ended 4/30/2018 | $10.73 | (1.20%) | 0.40% | 0.20% | 1.65% | 27% | $30,710 |
| Year Ended 4/30/2017 | $11.04 | (0.80%) | 0.41% | 0.20% | 1.45% | 50% | $24,839 |
The accompanying Notes to
Financial Statements are an integral part of this statement.
|
Columbia U.S. Treasury Index Fund | Annual Report 2021
|
17 |
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 4/30/2021 | $12.37 | 0.16 | (0.71) | (0.55) | (0.16) | (0.07) | (0.23) |
| Year Ended 4/30/2020 | $11.07 | 0.23 | 1.30 | 1.53 | (0.23) | — | (0.23) |
| Year Ended 4/30/2019 | $10.81 | 0.23 | 0.26 | 0.49 | (0.23) | — | (0.23) |
| Year Ended 4/30/2018 | $11.13 | 0.18 | (0.32) | (0.14) | (0.18) | — | (0.18) |
| Year Ended 4/30/2017(d) | $11.02 | 0.03 | 0.11(e) | 0.14 | (0.03) | — | (0.03) |
| 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.
| 18 | Columbia U.S. Treasury Index Fund | Annual Report 2021 |
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 4/30/2021 | $11.59 | (4.49%) | 0.40% | 0.17% | 1.33% | 40% | $592,772 |
| Year Ended 4/30/2020 | $12.37 | 13.97% | 0.40% | 0.18% | 2.00% | 54% | $415,616 |
| Year Ended 4/30/2019 | $11.07 | 4.56% | 0.40% | 0.20% | 2.10% | 50% | $445,200 |
| Year Ended 4/30/2018 | $10.81 | (1.27%) | 0.40% | 0.20% | 1.66% | 27% | $401,768 |
| Year Ended 4/30/2017(d) | $11.13 | 1.24% | 0.40%(f) | 0.20%(f) | 1.52%(f) | 50% | $252,341 |
The accompanying Notes to Financial Statements are
an integral part of this statement.
|
Columbia U.S. Treasury Index Fund | Annual Report 2021
|
19 |
Notes to Financial Statements
April 30, 2021
April 30, 2021
Note 1. Organization
Columbia U.S. Treasury Index Fund
(the Fund), a series of Columbia Funds Series Trust I (the Trust), is a diversified fund. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management
investment company organized as a Massachusetts business trust.
Fund shares
The Trust may issue an unlimited
number of shares (without par value). The Fund offers each of the share classes listed in the Statement of Assets and Liabilities. Although all share classes generally have identical voting, dividend and liquidation
rights, each share class votes separately when required by the Trust’s organizational documents or by law. Each share class has its own expense and sales charge structure. Different share classes may have
different minimum initial investment amounts and pay different net investment income distribution amounts to the extent the expenses of distributing such share classes vary. Distributions to shareholders in a
liquidation will be proportional to the net asset value of each share class.
As described in the Fund’s
prospectus, Class A and Class C shares are offered to the general public for investment. Effective April 1, 2021, Class C shares automatically convert to Class A shares after 8 years. Prior to April 1, 2021, Class C
shares automatically converted to Class A shares after 10 years. Institutional Class, Institutional 2 Class and Institutional 3 Class shares are available through authorized investment professionals to omnibus
retirement plans or to institutional investors and to certain other investors as also described in the Fund’s prospectus.
Note 2. Summary of
significant accounting policies
Basis of preparation
The Fund is an investment company
that applies the accounting and reporting guidance in the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946, Financial Services - Investment Companies (ASC 946). The financial statements are prepared in accordance with U.S. generally accepted accounting principles (GAAP), which requires
management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities, the disclosure of contingent assets and liabilities at the date of the financial statements and the
reported amounts of income and expenses during the reporting period. Actual results could differ from those estimates.
The following is a summary of
significant accounting policies followed by the Fund in the preparation of its financial statements.
Security valuation
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 market value, unless this method results in a valuation that management believes does not approximate fair value.
Investments in open-end investment
companies (other than exchange-traded funds (ETFs)), are valued at the latest net asset value reported by those companies as of the valuation time.
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, if available.
The determination of fair value
often requires significant judgment. To determine fair value, management may use assumptions including but not limited to future cash flows and estimated risk premiums. Multiple inputs from various sources may be used
to determine fair value.
| 20 | Columbia U.S. Treasury Index Fund | Annual Report 2021 |
Notes to Financial Statements (continued)
April 30, 2021
April 30, 2021
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
Interest income is recorded on an
accrual basis. Market premiums and discounts, including original issue discounts, are amortized and accreted, respectively, over the expected life of the security on all debt securities, unless otherwise noted.
The Fund may place a debt security
on non-accrual status and reduce related interest income when it becomes probable that the interest will not be collected and the amount of uncollectible interest can be reasonably estimated. A defaulted debt security
is removed from non-accrual status when the issuer resumes interest payments or when collectability of interest is reasonably assured.
Dividend income is recorded on the
ex-dividend date.
Expenses
General expenses of the Trust are
allocated to the Fund and other funds of the Trust based upon relative net assets or other expense allocation methodologies determined by the nature of the expense. Expenses directly attributable to the Fund are
charged to the Fund. Expenses directly attributable to a specific class of shares are charged to that share class.
Determination of class net asset
value
All income, expenses (other than
class-specific expenses, which are charged to that share class, as shown in the Statement of Operations) and realized and unrealized gains (losses) are allocated to each class of the Fund on a daily basis, based on
the relative net assets of each class, for purposes of determining the net asset value of each class.
Federal income tax status
The Fund intends to qualify each
year as a regulated investment company under Subchapter M of the Internal Revenue Code, as amended, and will distribute substantially all of its investment company taxable income and net capital gain, if any, for its
tax year, and as such will not be subject to federal income taxes. In addition, the Fund intends to distribute in each calendar year substantially all of its ordinary income, capital gain net income and certain other
amounts, if any, such that the Fund should not be subject to federal excise tax. Therefore, no federal income or excise tax provision is recorded.
Distributions to shareholders
Distributions from net investment
income, if any, are declared 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.
|
Columbia U.S. Treasury Index Fund | Annual Report 2021
|
21 |
Notes to Financial Statements (continued)
April 30, 2021
April 30, 2021
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 0.40% of the Fund’s
daily net assets.
The Investment Manager, from the
management services fee it receives from the Fund, pays all operating expenses of the Fund, with the exception of brokerage fees and commissions, taxes, interest, fees and expenses of Board of Trustees who are not
officers, directors or employees of the Investment Manager or its affiliates, distribution and/or shareholder servicing and any extraordinary non-recurring expenses that may arise, including litigation fees.
Compensation of board members
Members of the Board of Trustees
who are not officers or employees of the Investment Manager or Ameriprise Financial are compensated for their services to the Fund as disclosed in the Statement of Operations. Under a Deferred Compensation Plan (the
Deferred Plan), these members of the Board of Trustees may elect to defer payment of up to 100% of their compensation. Deferred amounts are treated as though equivalent dollar amounts had been invested in shares of
certain funds managed by the Investment Manager. The Fund’s liability for these amounts is adjusted for market value changes and remains in the Fund until distributed in accordance with the Deferred Plan. All
amounts payable under the Deferred Plan constitute a general unsecured obligation of the Fund. The expense for the Deferred Plan, which includes Trustees’ fees deferred during the current period as well as any
gains or losses on the Trustees’ deferred compensation balances as a result of market fluctuations, is included in "Compensation of board members" on the Statement of Operations.
Compensation of Chief Compliance
Officer
The Board of Trustees has appointed
a Chief Compliance Officer for the Fund in accordance with federal securities regulations. 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. The expenses of the Chief Compliance Officer allocated to the Fund are payable by the
Investment Manager.
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 agency fees are
payable by the Investment Manager. 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. The Transfer Agent also receives
compensation from the Investment Manager for various shareholder services and reimbursements for certain out-of-pocket expenses.
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 April 30, 2021, these minimum account balance fees reduced total expenses of
the Fund by $560.
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
| 22 | Columbia U.S. Treasury Index Fund | Annual Report 2021 |
Notes to Financial Statements (continued)
April 30, 2021
April 30, 2021
Plans) applicable to certain share classes, which
set the distribution and service fees for the Fund. These fees are calculated daily and are intended to compensate the Distributor and/or eligible selling and/or servicing agents for selling shares of the Fund and
providing services to investors.
Under the Plans, the Fund pays a
monthly service fee to the Distributor at the maximum annual rate of 0.25% of the average daily net assets attributable to Class A and Class C shares of the Fund. Also under the Plans, the Fund pays a monthly
distribution fee to the Distributor at the maximum annual rate of 0.75% of the average daily net assets attributable to Class C shares of the Fund.
Effective September 1, 2020, the
Distributor has contractually agreed to waive a portion of the service fee for Class A and Class C shares through August 31, 2021 so that the service fee does not exceed 0.15% annually of the average daily net assets
attributable to each share class. This arrangement may be modified or terminated at the sole discretion of the Board of Trustees. Prior to September 1, 2020, this was a voluntary waiver.
Effective September 1, 2020, the
Distributor has contractually agreed to waive a portion of the distribution fee for Class C shares through August 31, 2021 so that the distribution fee does not exceed 0.65% annually of the average daily net assets
attributable to Class C shares. This arrangement may be modified or terminated at the sole discretion of the Board of Trustees. Prior to September 1, 2020, the Distributor voluntarily agreed to waive a portion of the
distribution fee for Class C shares so that the distribution fee did not exceed 0.70% annually of the average daily net assets attributable to Class C shares.
Sales charges (unaudited)
Sales charges, including front-end
charges and contingent deferred sales charges (CDSCs), received by the Distributor for distributing Fund shares for the year ended April 30, 2021, if any, are listed below:
| Front End (%) | CDSC (%) | Amount ($) | |
| Class C | — | 1.00(a) | 4,858 |
| (a) | 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
August 31, 2021 |
|
| Class A | 0.42% |
| Class C | 1.17 |
| Institutional Class | 0.17 |
| Institutional 2 Class | 0.17 |
| Institutional 3 Class | 0.17 |
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 U.S. Treasury Index Fund | Annual Report 2021
|
23 |
Notes to Financial Statements (continued)
April 30, 2021
April 30, 2021
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. Class A and Class C distribution and service fees waived by the Distributor, as discussed above, are in addition to the waiver/reimbursement commitment under the
agreement.
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 April 30, 2021, these
differences were primarily due to differing treatment for deferral/reversal of wash sale losses, trustees’ deferred compensation, post-October capital losses, distributions and distribution reclassifications. To
the extent these differences were permanent, reclassifications were made among the components of the Fund’s net assets. Temporary differences do not require reclassifications.
The following reclassifications
were made:
|
Excess of distributions
over net investment income ($) |
Accumulated
net realized (loss) ($) |
Paid in
capital ($) |
| (20,183) | 20,183 | — |
Net investment income (loss) and
net realized gains (losses), as disclosed in the Statement of Operations, and net assets were not affected by this reclassification.
The tax character of distributions
paid during the years indicated was as follows:
| Year Ended April 30, 2021 | Year Ended April 30, 2020 | ||||
|
Ordinary
income ($) |
Long-term
capital gains ($) |
Total ($) |
Ordinary
income ($) |
Long-term
capital gains ($) |
Total ($) |
| 19,038,808 | 3,523,944 | 22,562,752 | 18,893,040 | — | 18,893,040 |
Short-term capital gain
distributions, if any, are considered ordinary income distributions for tax purposes.
At April 30, 2021, the components
of distributable earnings on a tax basis were as follows:
|
Undistributed
ordinary income ($) |
Undistributed
long-term capital gains ($) |
Capital loss
carryforwards ($) |
Net unrealized
appreciation ($) |
| 1,257,571 | 2,528,218 | — | 19,700,292 |
At April 30, 2021, the cost of all
investments for federal income tax purposes along with the aggregate gross unrealized appreciation and depreciation based on that cost was:
|
Federal
tax cost ($) |
Gross unrealized
appreciation ($) |
Gross unrealized
(depreciation) ($) |
Net unrealized
appreciation ($) |
| 1,212,157,260 | 39,391,961 | (19,691,669) | 19,700,292 |
Tax cost of investments and
unrealized appreciation/(depreciation) may also include timing differences that do not constitute adjustments to tax basis.
Under current tax rules, regulated
investment companies can elect to treat certain late-year ordinary losses incurred and post-October capital losses (capital losses realized after October 31) as arising on the first day of the following taxable year.
As of April 30, 2021, the Fund will elect to treat the following late-year ordinary losses and post-October capital losses as arising on May 1, 2021.
| 24 | Columbia U.S. Treasury Index Fund | Annual Report 2021 |
Notes to Financial Statements (continued)
April 30, 2021
April 30, 2021
|
Late year
ordinary losses ($) |
Post-October
capital losses ($) |
| — | 1,937,028 |
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 $678,923,512 and $473,006,492, respectively, for the year ended April 30, 2021, of which $678,923,512 and
$473,006,492, respectively, were U.S. government securities. The amount of purchase and sale activity impacts the portfolio turnover rate reported in the Financial Highlights.
Note 6. Affiliated money
market fund
The Fund invests in Columbia
Short-Term Cash Fund, an affiliated money market fund established for the exclusive use by the Fund and other affiliated funds (the Affiliated MMF). The income earned by the Fund from such investments is included as
Dividends - affiliated issuers in the Statement of Operations. As an investing fund, the Fund indirectly bears its proportionate share of the expenses of the Affiliated MMF. The Affiliated MMF prices its shares with a
floating net asset value. In addition, the Board of Trustees of the Affiliated MMF may impose a fee on redemptions (sometimes referred to as a liquidity fee) or temporarily suspend redemptions (sometimes referred to
as imposing a redemption gate) in the event its liquidity falls below regulatory limits.
Note 7. Interfund
lending
Pursuant to an exemptive order
granted by the Securities and Exchange Commission, the Fund participates in a program (the Interfund Program) allowing each participating Columbia Fund (each, a Participating Fund) to lend money directly to and,
except for closed-end funds and money market funds, borrow money directly from other Participating Funds for temporary purposes. The amounts eligible for borrowing and lending under the Interfund Program are subject
to certain restrictions.
Interfund loans are subject to the
risk that the borrowing fund could be unable to repay the loan when due, and a delay in repayment to the lending fund could result in lost opportunities and/or additional lending costs. The exemptive order is subject
to conditions intended to mitigate conflicts of interest arising from the Investment Manager’s relationship with each Participating Fund.
The Fund did not borrow or lend
money under the Interfund Program during the year ended April 30, 2021.
Note 8. Line of credit
The Fund has access to a
revolving credit facility with a syndicate of banks led by Citibank, N.A., Wells Fargo Bank, 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. Pursuant to a December 1, 2020 amendment, 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 $950 million. 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, 1.25%. 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. Prior to the December 1, 2020 amendment, the Fund had access to a revolving credit facility with a syndicate of banks
led by Citibank,
|
Columbia U.S. Treasury Index Fund | Annual Report 2021
|
25 |
Notes to Financial Statements (continued)
April 30, 2021
April 30, 2021
N.A., HSBC Bank USA, N.A. and JPMorgan Chase Bank,
N.A. which permitted collective borrowings up to $1 billion. Interest was charged to each participating fund based on its borrowings at a rate equal to the higher of (i) the federal funds effective rate, (ii) the
one-month LIBOR rate and (iii) the overnight bank funding rate, plus in each case, 1.00%.
The Fund had no borrowings during
the year ended April 30, 2021.
Note 9. Significant
risks
Credit risk
Credit risk is the risk that the
value of debt instruments in the Fund’s portfolio may decline because the issuer defaults or otherwise becomes unable or unwilling, or is perceived to be unable or unwilling, to honor its financial obligations,
such as making payments to the Fund when due. Credit rating agencies assign credit ratings to certain debt instruments to indicate their credit risk. Lower rated or unrated debt instruments held by the Fund may
present increased credit risk as compared to higher-rated debt instruments.
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 or decreases 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. The
Fund is subject to the risk that the income generated by its investments may not keep pace with inflation.
Market and environment risk
The Fund may incur losses due to
declines in the value of one or more securities in which it invests. These declines may be due to factors affecting a particular issuer, or the result of, among other things, political, regulatory, market, economic or
social developments affecting the relevant market(s) more generally. In addition, turbulence in financial markets and reduced liquidity in equity, credit and/or fixed income markets may negatively affect many issuers,
which could adversely affect the Fund, including causing difficulty in assigning prices to hard-to-value assets in thinly traded and closed markets, significant redemptions and operational challenges. Global economies
and financial markets are increasingly interconnected, and conditions and events in one country, region or financial market may adversely impact issuers in a different country, region or financial market. These risks
may be magnified if certain events or developments adversely interrupt the global supply chain; in these and other circumstances, such risks might affect companies worldwide. As a result, local, regional or global
events such as terrorism, war, natural disasters, disease/virus outbreaks and epidemics or other public health issues, recessions, depressions or other events – or the potential for such events – could
have a significant negative impact on global economic and market conditions.
The Fund’s performance may
also be significantly negatively impacted by the economic impact of the coronavirus disease 2019 (COVID-19) pandemic. The COVID-19 public health crisis has become a pandemic that has resulted in, and may continue to
result in, significant global economic and societal disruption and market volatility due to disruptions in market access, resource availability, facilities operations, imposition of tariffs, export controls and supply
chain disruption, among others. Such disruptions may be caused, or exacerbated by, quarantines and travel restrictions, workforce displacement and loss in human and other resources. The uncertainty surrounding the
magnitude, duration, reach, costs and effects of the global pandemic, as well as actions that have been or could be taken by governmental authorities or other third parties, present unknowns that are yet to unfold.
The impacts, as well as the uncertainty over impacts to come, of COVID-19 – and any other infectious illness outbreaks, epidemics and pandemics that may arise in the future – could negatively affect global
economies and markets in ways that cannot necessarily be foreseen. In addition, the impact of infectious illness outbreaks and epidemics in emerging market countries may be greater due to generally less established
healthcare systems, governments and financial markets. Public health crises caused by the COVID-19 outbreak may exacerbate other pre-existing
| 26 | Columbia U.S. Treasury Index Fund | Annual Report 2021 |
Notes to Financial Statements (continued)
April 30, 2021
April 30, 2021
political, social and economic risks in certain
countries or globally. The disruptions caused by COVID-19 could prevent the Fund from executing advantageous investment decisions in a timely manner and negatively impact the Fund’s ability to achieve its
investment objectives. Any such event(s) could have a significant adverse impact on the value and risk profile of the Fund.
The Investment Manager and its
affiliates have systematically implemented strategies to address the operating environment spurred by the COVID-19 pandemic. To promote the safety and security of our employees and to assure the continuity of our
business operations, we have implemented a work from home protocol for virtually all of our employee population, restricted business travel, and provided resources for complying with the guidance from the World Health
Organization, the U.S. Centers for Disease Control and governments. Our operations teams seek to operate without significant disruptions in service. Our pandemic strategy takes into consideration that a pandemic could
be widespread and may occur in multiple waves, affecting different communities at different times with varying levels of severity. We cannot, however, predict the impact that natural or man-made disasters, including
the COVID-19 pandemic, may have on the ability of our employees and third-party service providers to continue ordinary business operations and technology functions over near- or longer-term periods.
Passive investment risk
The Fund is not
“actively” managed and may be affected by a general decline in market segments related to its underlying index. The Fund invests in securities or instruments included in, or believed by the Investment
Manager to be representative of, its underlying index, regardless of their investment merits. The Fund does not seek temporary defensive positions when markets decline or appear overvalued. The decision of whether to
remove a security from an index is made by an independent index provider who is not affiliated with the Fund or the Investment Manager.
Shareholder concentration risk
At April 30, 2021, affiliated
shareholders of record owned 83.4% of the outstanding shares of the Fund in one or more accounts. Subscription and redemption activity by concentrated accounts may have a significant effect on the operations of the
Fund. In the case of a large redemption, the Fund may be forced to sell investments at inopportune times, including its liquid positions, which may result in Fund losses and the Fund holding a higher percentage of
less liquid positions. Large redemptions could result in decreased economies of scale and increased operating expenses for non-redeeming Fund shareholders.
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 or one or more of its affiliates that provides services to
the Fund.
|
Columbia U.S. Treasury Index Fund | Annual Report 2021
|
27 |
Report of Independent Registered Public
Accounting Firm
To the Board of Trustees of Columbia
Funds Series Trust I and Shareholders of Columbia U.S. Treasury Index Fund
Opinion on the Financial
Statements
We have audited the accompanying
statement of assets and liabilities, including the portfolio of investments, of Columbia U.S. Treasury Index Fund (one of the funds constituting Columbia Funds Series Trust I, referred to hereafter as the "Fund") as
of April 30, 2021, the related statement of operations for the year ended April 30, 2021, the statement of changes in net assets for each of the two years in the period ended April 30, 2021, 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 April 30, 2021, 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 April 30, 2021 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 April 30, 2021 by correspondence with the custodian, transfer agent and brokers; when replies were
not received from brokers and/or agent banks, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
/s/PricewaterhouseCoopers LLP
Minneapolis, Minnesota
June 22, 2021
We have served as the auditor of
one or more investment companies within the Columbia Funds Complex since 1977.
| 28 | Columbia U.S. Treasury Index Fund | Annual Report 2021 |
Federal Income Tax
Information
(Unaudited)
The Fund hereby designates the
following tax attributes for the fiscal year ended April 30, 2021. Shareholders will be notified in early 2022 of the amounts for use in preparing 2021 income tax returns.
|
Capital
gain dividend |
Section
163(j) Interest Dividends |
| $6,354,770 | 84.97% |
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.
Section 163(j) Interest Dividends.
The percentage of ordinary income distributed during the fiscal year that shareholders may treat as interest income for purposes of IRC Section 163(j), subject to holding period requirements and other limitations.
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, each Trustee
generally serves until December 31 of the year such Trustee turns seventy-five (75).
Independent trustees
|
Name,
address, year of birth |
Position held
with the Columbia Funds and length of service |
Principal occupation(s)
during 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 |
|
George S. Batejan
c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1953 |
Trustee since 2017 | Executive Vice President, Global Head of Technology and Operations, Janus Capital Group, Inc., 2010-2016 | 170 | Former Chairman of the Board, NICSA (National Investment Company Services Association) (Executive Committee, Nominating Committee and Governance Committee), 2014-2016; former Director, Intech Investment Management, 2011-2016; former Board Member, Metro Denver Chamber of Commerce, 2015-2016; former Advisory Board Member, University of Colorado Business School, 2015-2018 |
|
Columbia U.S. Treasury Index Fund | Annual Report 2021
|
29 |
TRUSTEES AND OFFICERS (continued)
Independent trustees (continued)
Independent trustees (continued)
|
Name,
address, year of birth |
Position held
with the Columbia Funds and length of service |
Principal occupation(s)
during 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 |
|
Kathleen Blatz
c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1954 |
Trustee since 2006 | Attorney; specializing in arbitration and mediation; Chief Justice, Minnesota Supreme Court, 1998-2006; Associate Justice, Minnesota Supreme Court, 1996-1998; Fourth Judicial District Court Judge, Hennepin County, 1994-1996; Attorney in private practice and public service, 1984-1993; State Representative, Minnesota House of Representatives, 1979-1993, which included service on the Tax and Financial Institutions and Insurance Committees; Member and Interim Chair, Minnesota Sports Facilities Authority, January 2017-July 2017; Interim President and Chief Executive Officer, Blue Cross and Blue Shield of Minnesota (health care insurance), February-July 2018 | 170 | Trustee, BlueCross BlueShield of Minnesota since 2009 (Chair of the Business Development Committee - 2014-2017; Chair of the Governance Committee, 2017-2019); former Member and Chair of the Board, Minnesota Sports Facilities Authority, January 2017-July 2017; Director, Robina Foundation, 2009-2020 (Chair, 2014-2020) |
|
Pamela G. Carlton
c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1954 |
Trustee since 2007 | President, Springboard — Partners in Cross Cultural Leadership (consulting company) since 2003; Managing Director of US Equity Research, JP Morgan Chase, 1999-2003; Director of US Equity Research, Chase Asset Management, 1996-1999; Co-Director Latin America Research, 1993-1996, COO Global Research, 1992-1996, Co-Director of US Research, 1991-1992, Investment Banker, 1982-1991, Morgan Stanley; Attorney at Cleary Gottlieb Steen & Hamilton LLP, 1980-1982 | 170 | Trustee, New York Presbyterian Hospital Board (Executive Committee and Chair of People Committee) since 1996; Director, DR Bank (Audit Committee) since 2017; Director, Evercore Inc. (Audit Committee, Nominating and Governance Committee) since 2019 |
|
Janet Langford Carrig
c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1957 |
Trustee since 1996 | Senior Vice President, General Counsel and Corporate Secretary, ConocoPhillips (independent energy company), September 2007-October 2018 | 168 | Director, EQT Corporation (natural gas producer) since 2019; Director, Whiting Petroleum Corporation (independent oil and gas company) since 2020 |
|
J. Kevin Connaughton
c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1964 |
Trustee since 2020(a) | Member, FINRA National Adjudicatory Council since January 2020; Adjunct Professor of Finance, Bentley University since January 2018; Managing Director and General Manager of Mutual Fund Products, Columbia Management Investment Advisers, LLC, May 2010-February 2015; President, Columbia Funds, 2008-2015; and senior officer of Columbia Funds and affiliated funds, 2003-2015 | 168 | Director, The Autism Project since March 2015; former Member of the Investment Committee, St. Michael’s College, November 2015-February 2020; former Trustee, St. Michael’s College, June 2017-September 2019; former Trustee, New Century Portfolios, January 2015-December 2017 |
|
Olive M. Darragh
c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1962 |
Trustee since 2020(a) | Managing Director of Darragh Inc. (strategy and talent management consulting firm) since 2010; Founder and CEO, Zolio, Inc. (investment management talent identification platform) since 2004; Partner, Tudor Investments, 2004-2010; Senior Partner, McKinsey & Company (consulting), 2001-2004 | 168 | Former Director, University of Edinburgh Business School (Member of US Board); former Director, Boston Public Library Foundation |
| 30 | Columbia U.S. Treasury Index Fund | Annual Report 2021 |
TRUSTEES AND OFFICERS (continued)
Independent trustees (continued)
Independent trustees (continued)
|
Name,
address, year of birth |
Position held
with the Columbia Funds and length of service |
Principal occupation(s)
during 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 |
|
Patricia M. Flynn
c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1950 |
Trustee since 2004 | Trustee Professor of Economics and Management, Bentley University since 1976 (also teaches and conducts research on corporate governance); Dean, McCallum Graduate School of Business, Bentley University, 1992-2002 | 170 | Trustee, MA Taxpayers Foundation since 1997; Board of Governors, Innovation Institute, MA Technology Collaborative, 2010-2019; Board of Directors, The MA Business Roundtable, 2003-2019 |
|
Brian J. Gallagher
c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1954 |
Trustee since 2017 | Retired; Partner with Deloitte & Touche LLP and its predecessors, 1977-2016 | 170 | Trustee, Catholic Schools Foundation since 2004 |
|
Douglas A. Hacker
c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1955 |
Co-Chair since 2021; Chair of CFST I and CFVIT since 2014; Trustee of CFST I and CFVIT since 1996 and CFST, CFST II, CFVST II, Columbia ETF Trust I and Columbia ETF Trust II since 2021 | 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 | 168 | Director, Spartan Nash Company (food distributor); Director, Aircastle Limited (Chair of Audit Committee) (aircraft leasing); former Director, Nash Finch Company (food distributor), 2005-2013; former Director, SeaCube Container Leasing Ltd. (container leasing), 2010-2013; and former Director, Travelport Worldwide Limited (travel information technology), 2014-2019 |
|
Nancy T. Lukitsh
c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1956 |
Trustee since 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 | 168 | |
|
David M. Moffett
c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1952 |
Trustee since 2011 | Retired; Consultant to Bridgewater and Associates | 168 | Director, CSX Corporation (transportation suppliers); Director, Genworth Financial, Inc. (financial and insurance products and services); Director, PayPal Holdings Inc. (payment and data processing services); Trustee, University of Oklahoma Foundation; former Director, eBay Inc. (online trading community), 2007-2015; and former Director, CIT Bank, CIT Group Inc. (commercial and consumer finance), 2010-2016 |
|
Columbia U.S. Treasury Index Fund | Annual Report 2021
|
31 |
TRUSTEES AND OFFICERS (continued)
Independent trustees (continued)
Independent trustees (continued)
|
Name,
address, year of birth |
Position held
with the Columbia Funds and length of service |
Principal occupation(s)
during 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 |
|
Catherine James Paglia
c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1952 |
Co-Chair since 2021; Chair of CFST, CFST II, CFVST II, Columbia ETF Trust I and Columbia ETF Trust II since 2020; Trustee of CFST, CFST II and CFVST II since 2004 and CFST I and CFVIT since 2021 | Director, Enterprise Asset Management, Inc. (private real estate and asset management company) since September 1998; Managing Director and Partner, Interlaken Capital, Inc., 1989-1997; Vice President, 1982-1985, Principal, 1985-1987, Managing Director, 1987-1989, Morgan Stanley; Vice President, Investment Banking, 1980-1982, Associate, Investment Banking, 1976-1980, Dean Witter Reynolds, Inc. | 170 | Director, Valmont Industries, Inc. (irrigation systems manufacturer) since 2012; Trustee, Carleton College (on the Investment Committee); Trustee, Carnegie Endowment for International Peace (on the Investment Committee) |
|
Anthony M. Santomero
c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1946 |
Trustee since 2008 | Richard K. Mellon Professor Emeritus of Finance, The Wharton School, University of Pennsylvania, since 2002; Senior Advisor, McKinsey & Company (consulting), 2006-2008; President, Federal Reserve Bank of Philadelphia, 2000-2006; Professor of Finance, The Wharton School, University of Pennsylvania, 1972-2002 | 170 | Trustee, Penn Mutual Life Insurance Company since March 2008; Director, RenaissanceRe Holdings Ltd. since May 2008; former Director, Citigroup Inc. and Citibank, N.A., 2009-2019; former Trustee, BofA Funds Series Trust (11 funds), 2008-2011 |
|
Minor M. Shaw
c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1947 |
Trustee since 2003 | President, Micco LLC (private investments) since 2011; President, Micco Corp. (family investment business), 1998-2011 | 170 | Director, BlueCross BlueShield of South Carolina (Chair of Compensation Committee) since April 2008; Trustee, Hollingsworth Funds (on the Investment Committee) since 2016 (previously Board Chair from 2016-2019); Former Advisory Board member, Duke Energy Corp., 2016-2020; Chair of the Duke Endowment; Chair of Greenville – Spartanburg Airport Commission; former Trustee, BofA Funds Series Trust (11 funds), 2003-2011; former Director, Piedmont Natural Gas, 2004-2016; former Director, National Association of Corporate Directors, Carolinas Chapter, 2013-2018; Chair, Daniel-Mickel Foundation |
| 32 | Columbia U.S. Treasury Index Fund | Annual Report 2021 |
TRUSTEES AND OFFICERS (continued)
Independent trustees (continued)
Independent trustees (continued)
|
Name,
address, year of birth |
Position held
with the Columbia Funds and length of service |
Principal occupation(s)
during 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 |
|
Natalie A. Trunow
c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1967 |
Trustee since 2020(a) | Chief Executive Officer, Millennial Portfolio Solutions LLC (asset management and consulting services) since January 2016; Non-executive Member of the Investment Committee, Sarona Asset Management Inc. (private equity firm) since September 2019; Advisor, Horizon Investments (asset management and consulting services) since August 2018; Advisor, Paradigm Asset Management since November 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 | 168 | Director, Health Services for Children with Special Needs, Inc.; Director, Consumer Credit Counseling Services (formerly Guidewell Financial Solutions); Independent Director, Investment Committee, Sarona Asset Management |
|
Sandra Yeager
c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1964 |
Trustee since 2017 | Retired; President and founder, Hanoverian Capital, LLC (SEC registered investment advisor firm), 2008-2016; Managing Director, DuPont Capital, 2006-2008; Managing Director, Morgan Stanley Investment Management, 2004-2006; Senior Vice President, Alliance Bernstein, 1990-2004 | 170 | Director, NAPE Education Foundation, October 2016-October 2020 |
| * | The term “Columbia Funds Complex” as used herein includes Columbia Seligman Premium Technology Growth Fund, Tri-Continental Corporation and each series of Columbia Fund Series Trust (CFST), Columbia Funds Series Trust I (CFST I), Columbia Funds Series Trust II (CFST II), Columbia ETF Trust I, Columbia ETF Trust II, Columbia Funds Variable Insurance Trust (CFVIT) and Columbia Funds Variable Series Trust II (CFVST II). Messrs. Batejan, Gallagher, Petersen and Santomero and Mses. Blatz, Carlton, Flynn, Paglia, Shaw and Yeager serve as a director of Columbia Seligman Premium Technology Growth Fund and Tri-Continental Corporation. |
| (a) | J. Kevin Connaughton was appointed a consultant to the Independent Trustees of CFST I and CFVIT effective March 1, 2016. Natalie A. Trunow was appointed a consultant to the Independent Trustees of CFST I and CFVIT effective September 1, 2016. Olive M. Darragh was appointed a consultant to the Independent Trustees of CFST I and CFVIT effective June 10, 2019. Shareholders of the Funds elected Mr. Connaughton and Mses. Darragh and Trunow as Trustees of CFST, CFST I, CFST II, Columbia ETF Trust I, Columbia ETF Trust II, and CFVST II, effective January 1, 2021, and of CFVIT, effective July 1, 2020. |
Interested trustee affiliated with
Investment Manager*
|
Name,
address, year of birth |
Position held with the Columbia Funds 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 |
|
Christopher O. Petersen
c/o Columbia Management Investment Advisers, LLC 5228 Ameriprise Financial Center Minneapolis, MN 55474 1970 |
Trustee since 2020(a) | 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 | 170 | None |
| * | 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. |
| (a) | Mr. Petersen serves as the Senior Vice President and Assistant Secretary of the Columbia Funds (since 2021). |
The Statement of Additional
Information has additional information about the Fund’s Board members and is available, without charge, upon request by calling 800.345.6611, visiting columbiathreadneedleus.com/investor/ or contacting your
financial intermediary.
|
Columbia U.S. Treasury Index Fund | Annual Report 2021
|
33 |
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. Petersen, who is Senior Vice President and Assistant Secretary, the Fund’s other officers are:
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. Petersen, who is Senior Vice President and Assistant Secretary, 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 |
|
Daniel J. Beckman
225 Franklin Street Boston, MA 02110 1962 |
President and Principal Executive Officer (2021) | Vice President – Head of North America Product, Columbia Management Investment Advisers, LLC (since April 2015); officer of Columbia Funds and affiliated funds since 2020. |
|
Michael G. Clarke
225 Franklin Street Boston, MA 02110 1969 |
Chief Financial Officer and 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. |
|
Joseph Beranek
5890 Ameriprise Financial Center Minneapolis, MN 55474 1965 |
Treasurer and Chief Accounting Officer (Principal Accounting Officer) (2019) and Principal Financial Officer (2020), CFST, CFST I, CFST II, CFVIT and CFVST II; Assistant Treasurer, Columbia ETF Trust I and Columbia ETF Trust II | 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). |
|
Marybeth Pilat
225 Franklin Street Boston, MA 02110 1968 |
Treasurer and Chief Accounting Officer (Principal Accounting Officer) and Principal Financial Officer (2020) for Columbia ETF Trust I and Columbia ETF Trust II; Assistant Treasurer, CFST, CFST I, CFST II, CFVIT and CFVST II | Vice President – Product Pricing and Administration, Columbia Management Investment Advisers, LLC, since May 2017; Director - Fund Administration, Calvert Investments, August 2015 – March 2017; Vice President - Fund Administration, Legg Mason, May 2015 - July 2015; Vice President - Fund Administration, Columbia Management Investment Advisers, LLC, May 2010 - April 2015. |
|
William F. Truscott
225 Franklin Street Boston, MA 02110 1960 |
Senior Vice President (2001) | Formerly, Trustee of Columbia Funds Complex until January 1, 2021; Chief Executive Officer, Global Asset Management, Ameriprise Financial, Inc. since September 2012; Chairman of the Board and President, Columbia Management Investment Advisers, LLC since July 2004 and February 2012, respectively; Chairman of the Board and Chief Executive Officer, Columbia Management Investment Distributors, Inc. since November 2008 and February 2012, respectively; Chairman of the Board and Director, Threadneedle Asset Management Holdings, Sàrl since March 2013 and December 2008, respectively; senior executive of various entities affiliated with Columbia Threadneedle. |
|
Paul B. Goucher
485 Lexington Avenue New York, NY 10017 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 1972 |
Senior Vice President and Chief Compliance Officer (2012) | Vice President – Asset Management Compliance, Ameriprise Financial, Inc., since May 2010; Chief Compliance Officer, Columbia Acorn/Wanger Funds since December 2015; Chief Compliance Officer, Ameriprise Certificate Company September 2010 – September 2020. |
| 34 | Columbia U.S. Treasury Index Fund | Annual Report 2021 |
TRUSTEES AND OFFICERS (continued)
Fund 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 |
|
Colin Moore
225 Franklin Street Boston, MA 02110 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 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); Chief Legal Officer, Columbia Acorn/Wanger Funds, since September 2020; officer of Columbia Funds and affiliated funds since 2005. |
|
Michael E. DeFao
225 Franklin Street Boston, MA 02110 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 1960 |
Vice President (2015) | President, Columbia Management Investment Services Corp. since October 2014; Vice President & Resolution Officer, Ameriprise Trust Company since August 2009. |
Liquidity Risk
Management Program
Pursuant to Rule 22e-4 under the
1940 Act, the Fund has adopted a liquidity risk management program (Program). The Program’s principal objectives include assessing, managing and periodically reviewing the Fund’s liquidity risk. Liquidity
risk is defined as the risk that the Fund could not meet redemption requests without significant dilution of remaining investors’ interests in the Fund.
The Board has appointed the
Investment Manager as the program administrator for the Fund’s Program. The Investment Manager has delegated oversight of the Program to its Liquidity Risk Management Committee (the Committee). At a board
meeting during the fiscal period, the Committee provided the Board with a report addressing the operations of the program and assessing its adequacy and effectiveness of implementation for the period January 1, 2020,
through December 31, 2020, including:
| • | the Fund had sufficient liquidity to both meet redemptions and operate effectively on behalf of shareholders; |
| • | there were no material changes to the Program during the period; |
| • | the implementation of the Program was effective to manage the Fund’s liquidity risk; and |
| • | the Program operated adequately during the period. |
There can be no assurance that the
Program will achieve its objectives in the future. Please refer to the Fund’s prospectus for more information regarding the Fund’s exposure to liquidity risk and other principal risks to which an
investment in the Fund may be subject.
|
Columbia U.S. Treasury Index Fund | Annual Report 2021
|
35 |
Results of Meeting of
Shareholders
At a Joint Special Meeting of
Shareholders held on December 22, 2020, shareholders of Columbia Funds Series Trust I elected each of the seventeen nominees for the trustees to the Board of Trustees of Columbia Funds Series Trust I, each to hold
office until he or she dies, retires, resigns or is removed or, if sooner, until the election and qualification of his or her successor, as follows:
| Trustee | Votes for | Votes withheld | Abstentions |
| George S. Batejan | 86,127,701,985 | 836,188,991 | 0 |
| Kathleen Blatz | 86,243,229,991 | 720,660,985 | 0 |
| Pamela G. Carlton | 86,264,105,441 | 699,785,535 | 0 |
| Janet Langford Carrig | 86,054,199,101 | 909,691,875 | 0 |
| J. Kevin Connaughton | 86,079,927,846 | 883,963,131 | 0 |
| Olive M. Darragh | 86,229,808,655 | 734,082,321 | 0 |
| Patricia M. Flynn | 86,198,477,183 | 765,413,793 | 0 |
| Brian J. Gallagher | 86,107,199,569 | 856,691,407 | 0 |
| Douglas A. Hacker | 85,856,681,960 | 1,107,209,016 | 0 |
| Nancy T. Lukitsh | 86,082,583,872 | 881,307,104 | 0 |
| David M. Moffett | 85,916,196,449 | 1,047,694,527 | 0 |
| Catherine James Paglia | 86,220,544,249 | 743,346,727 | 0 |
| Anthony M. Santomero | 86,032,441,166 | 931,449,811 | 0 |
| Minor M. Shaw | 86,027,511,771 | 936,379,205 | 0 |
| Natalie A. Trunow | 86,222,277,961 | 741,613,015 | 0 |
| Sandra Yeager | 86,214,429,708 | 749,461,268 | 0 |
| Christopher O. Petersen | 86,067,188,679 | 896,702,297 | 0 |
| 36 | Columbia U.S. Treasury Index Fund | Annual Report 2021 |
Columbia U.S. Treasury Index 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.
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.
© 2021 Columbia Management Investment
Advisers, LLC.
columbiathreadneedleus.com/investor/
ANN237_04_L01_(06/21)
Annual Report
April 30, 2021
April 30, 2021
Columbia Corporate
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 are no longer sent by mail, unless you specifically
requested paper copies of the reports. Instead, the reports are 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
shareholder 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 Federally Insured • No
Financial Institution Guarantee • May Lose Value
Table of Contents
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If you elect to receive the
shareholder report for Columbia Corporate Income Fund (the Fund) in paper, mailed to you, the Fund mails one shareholder report to each shareholder address, unless such shareholder elects to receive shareholder
reports from the Fund electronically via e-mail or by having a paper notice mailed to you (Postcard Notice) that your Fund’s shareholder report is available at the Columbia funds’ website
(columbiathreadneedleus.com/investor/). If you would like more than one report in paper to be mailed to you, or would like to elect to receive reports via e-mail or access them through Postcard Notice, please call
shareholder services at 800.345.6611 and additional reports will be sent to you.
Proxy voting policies and
procedures
The policy of the Board of Trustees
is to vote the proxies of the companies in which the Fund holds investments consistent with the procedures as stated in the Statement of Additional Information (SAI). You may obtain a copy of the SAI without charge by
calling 800.345.6611; contacting your financial intermediary; visiting columbiathreadneedleus.com/investor/; or searching the website of the Securities and Exchange Commission (SEC) at sec.gov. Information regarding
how the Fund voted proxies relating to portfolio securities is filed with the SEC by August 31st for the most recent 12-month period ending June 30th of that year, and is available without charge by visiting
columbiathreadneedleus.com/investor/, or searching the website of the SEC at sec.gov.
Quarterly schedule of
investments
The Fund files a complete schedule
of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-PORT. The Fund’s Form N-PORT filings are available on the SEC’s website at sec.gov. The Fund’s
complete schedule of portfolio holdings, as filed on Form N-PORT, 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 Corporate Income Fund | Annual
Report 2021
Fund at a Glance
Investment objective
The Fund
seeks total return, consisting primarily of current income and secondarily of capital appreciation.
Portfolio management
Tom Murphy, CFA
Lead Portfolio Manager
Managed Fund since 2011
Royce Wilson, CFA
Portfolio Manager
Managed Fund since 2020
John Dawson, CFA
Portfolio Manager
Managed Fund since 2020
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 Blended Benchmark is a weighted
custom benchmark, established by the Investment Manager, consisting of an 85% weighting in the Bloomberg Barclays U.S. Corporate Bond Index and a 15% weighting in the ICE Bank of America (ICE BofA) U.S. Cash Pay High
Yield Constrained Index, which 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 Bloomberg Barclays U.S.
Corporate Bond Index measures the investment-grade, fixed-rate, taxable, corporate bond market.
Indices are not available for
investment, are not professionally managed and do not reflect sales charges, fees, brokerage commissions, taxes or other expenses of investing. Securities in the Fund may not match those in an index.
Fund performance may be significantly
negatively impacted by the economic impact of the COVID-19 pandemic. The COVID-19 pandemic has adversely impacted economies and capital markets around the world in ways that will likely continue and may change in
unforeseen ways for an indeterminate period. The COVID-19 pandemic may exacerbate pre-existing political, social and economic risks in certain countries and globally.
|
Columbia Corporate Income Fund | Annual Report 2021
|
3 |
Fund at a Glance (continued)
Performance of a hypothetical $10,000 investment (April 30, 2011 — April 30, 2021)
The chart above shows the change in
value of a hypothetical $10,000 investment in Class A shares of Columbia Corporate 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 April 30, 2021) | |
| Common Stocks | 0.0(a) |
| Convertible Bonds | 0.0(a) |
| Corporate Bonds & Notes | 96.5 |
| Foreign Government Obligations | 0.0(a) |
| Money Market Funds | 0.7 |
| Senior Loans | 0.1 |
| U.S. Treasury Obligations | 2.7 |
| Total | 100.0 |
| (a) | Rounds to zero. |
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 April 30, 2021) | |
| AAA rating | 3.9 |
| AA rating | 5.3 |
| A rating | 29.8 |
| BBB rating | 46.7 |
| BB rating | 6.7 |
| B rating | 5.8 |
| CCC rating | 1.7 |
| Not rated | 0.1 |
| Total | 100.0 |
Percentages indicated are based
upon total fixed income investments.
Bond ratings apply to the underlying
holdings of the Fund and not the Fund itself and are divided into categories ranging from highest to lowest credit quality, determined by using the middle rating of Moody’s, S&P and Fitch, after dropping the
highest and lowest available ratings. When ratings are available from only two rating agencies, the lower rating is used. When a rating is available from only one rating agency, that rating is used. If a security is
not rated but has a rating by Kroll and/or DBRS, the same methodology is applied to those bonds that would otherwise be not rated. When a bond is not rated by any rating agency, it is designated as “Not
rated.” Credit quality ratings assigned by a rating agency are subjective opinions, not statements of fact, and are subject to change, including daily. The ratings assigned by credit rating agencies are but one
of the considerations that the Investment Manager and/or Fund’s subadviser incorporates into its credit analysis process, along with such other issuer-specific factors as cash flows, capital structure and
leverage ratios, ability to de-leverage (repay) through free cash flow, quality of management, market positioning and access to capital, as well as such security-specific factors as the terms of the security (e.g.,
interest rate and time to maturity) and the amount and type of any collateral.
| 4 | Columbia Corporate Income Fund | Annual Report 2021 |
Manager Discussion of Fund Performance
At April 30, 2021, approximately
64.75% of the Fund’s shares were owned in the aggregate by affiliated funds-of-funds managed by Columbia Management Investment Advisers, LLC (the Investment Manager). As a result of asset allocation decisions by
the Investment Manager, it is possible that the Fund may experience relatively large purchases or redemptions from affiliated funds-of-funds. The Investment Manager seeks to minimize the impact of these transactions
by structuring them over a reasonable period of time. The Fund may experience increased expenses as it buys and sells securities as a result of purchases or redemptions by affiliated funds-of-funds.
For the 12-month period that ended
April 30, 2021, the Fund’s Class A shares returned 5.47% excluding sales charges. The Fund underperformed its Blended Benchmark, which returned 6.66%, but outperformed the Bloomberg Barclays U.S. Corporate Bond
Index, which returned 4.46% for the same time period.
Market overview
The Federal Reserve’s
(Fed’s) intervention to stabilize credit markets was one of the most notable developments during the 12-month period ended April 30, 2021. Quick and decisive actions by the Fed in March 2020 put a floor under
the economy and calmed the capital markets. Corporations were therefore able to access liquidity and, while record bond issuance last year resulted in total debt increasing, cash positions also grew by a substantial
amount.
While primary and secondary market
purchase programs ended on 12/31/20 and the number of bonds and ETFs purchased was minimal compared to the overall market size, the Fed’s message that it would do whatever was needed to ensure markets were
functioning properly was powerful. Investor sentiment was also supported by three rounds of fiscal stimulus during the period.
Broad reopening activity, in
conjunction with record fiscal stimulus and a proposed $2.2 trillion infrastructure plan, led to sharply higher rates over the last few months of the period and to sharply negative total returns for the
investment-grade corporate market.
Higher quality sectors materially
underperformed versus lower quality sectors during the reporting period. Airlines, midstream and energy were the strongest performing sectors during the period while banking, packaging and health insurance lagged.
The success of the COVID-19
vaccines rollout in the U.S., along with those previously infected by COVID-19, may enable the U.S. to reach herd immunity by the third quarter of 2021. Moreover, we think the meaningful drop in COVID-19 cases and
hospitalization rates (both from January 2021 peaks) may allow for activity to return to normal over the coming months.
The Fund’s most notable
detractors during the period:
| • | The Fund’s security selection detracted from performance. |
| • | Selection in a life insurance company and an energy company were the primary drivers of underperformance during the period. |
| • | Defensive positioning within the portfolio’s high-yield allocation was a notable detractor, given the strong risk rally during the period. |
The Fund’s most notable
contributors during the period:
| • | The Fund’s relative overweight to credit within investment grade and high yield contributed to performance. |
| • | The Fund’s sector allocation contributed slightly to performance as positive performance in the midstream, finance companies and life insurance sectors was mostly offset by negative performance in the electric, natural gas, and food & beverage sectors. |
Derivatives usage
Futures contracts were used in
the Fund during the time period for the purposes of managing duration closely to that of the benchmarks. On a stand-alone basis, the use of these derivatives had a positive impact on the Fund’s performance.
|
Columbia Corporate Income Fund | Annual Report 2021
|
5 |
Manager Discussion of Fund Performance (continued)
Market risk may affect a single issuer, sector of the economy, industry or the market as a whole. Fixed-income securities present issuer default risk. A rise in interest rates may result in a price decline of fixed-income instruments held by the Fund, negatively impacting its performance and NAV. Falling rates may result in the Fund investing in lower yielding
debt instruments, lowering the Fund’s income and yield. These risks may be heightened for longer maturity and duration securities. Non-investment-grade (high-yield or junk) securities present greater price volatility and more risk to principal and income than higher rated 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. 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 who have contributed to the report. 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 Corporate Income Fund | Annual Report 2021 |
Understanding Your Fund’s
Expenses
(Unaudited)
(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.
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 Corporate Income Fund | Annual Report 2021
|
7 |
Portfolio of Investments
April 30, 2021
April 30, 2021
(Percentages represent value of
investments compared to net assets)
Investments in securities
| Common Stocks 0.0% | ||
| Issuer | Shares | Value ($) |
| Financials 0.0% | ||
| Insurance 0.0% | ||
| Mr. Cooper Group, Inc.(a) | 1,782 | 61,443 |
| WMI Holdings Corp. Escrow(a),(b),(c) | 1,075 | — |
| Total | 61,443 | |
| Total Financials | 61,443 | |
|
Total Common Stocks
(Cost $1,077,470) |
61,443 | |
The accompanying Notes to Financial
Statements are an integral part of this statement.
| 8 | Columbia Corporate Income Fund | Annual Report 2021 |
Portfolio of Investments (continued)
April 30, 2021
April 30, 2021
The accompanying Notes to Financial
Statements are an integral part of this statement.
|
Columbia Corporate Income Fund | Annual Report 2021
|
9 |
Portfolio of Investments (continued)
April 30, 2021
April 30, 2021
The accompanying Notes to Financial
Statements are an integral part of this statement.
| 10 | Columbia Corporate Income Fund | Annual Report 2021 |
Portfolio of Investments (continued)
April 30, 2021
April 30, 2021
The accompanying Notes to Financial
Statements are an integral part of this statement.
|
Columbia Corporate Income Fund | Annual Report 2021
|
11 |
Portfolio of Investments (continued)
April 30, 2021
April 30, 2021
The accompanying Notes to Financial
Statements are an integral part of this statement.
| 12 | Columbia Corporate Income Fund | Annual Report 2021 |
Portfolio of Investments (continued)
April 30, 2021
April 30, 2021
The accompanying Notes to Financial
Statements are an integral part of this statement.
|
Columbia Corporate Income Fund | Annual Report 2021
|
13 |
Portfolio of Investments (continued)
April 30, 2021
April 30, 2021
| Corporate Bonds & Notes (continued) | ||||
| Issuer |
Coupon
Rate |
Principal
Amount ($) |
Value ($) | |
| Hilcorp Energy I LP/Finance Co.(d) | ||||
| 02/01/2029 | 5.750% | 281,000 | 286,805 | |
| 02/01/2031 | 6.000% | 300,000 | 311,061 | |
| Indigo Natural Resources LLC(d) | ||||
| 02/01/2029 | 5.375% | 227,000 | 225,275 | |
| Matador Resources Co. | ||||
| 09/15/2026 | 5.875% | 890,000 | 887,294 | |
| MEG Energy Corp.(d) | ||||
| 02/01/2029 | 5.875% | 172,000 | 176,380 | |
| Newfield Exploration Co. | ||||
| 07/01/2024 | 5.625% | 32,000 | 35,655 | |
| 01/01/2026 | 5.375% | 270,000 | 302,483 | |
| Occidental Petroleum Corp. | ||||
| 08/15/2024 | 2.900% | 365,000 | 364,141 | |
| 07/15/2025 | 8.000% | 786,000 | 917,433 | |
| 09/01/2030 | 6.625% | 593,000 | 677,054 | |
| 01/01/2031 | 6.125% | 648,000 | 722,287 | |
| 09/15/2036 | 6.450% | 208,000 | 236,814 | |
| 03/15/2046 | 6.600% | 1,048,000 | 1,163,355 | |
| 04/15/2046 | 4.400% | 118,000 | 104,278 | |
| 08/15/2049 | 4.400% | 235,000 | 204,571 | |
| Ovintiv, Inc. | ||||
| 11/01/2031 | 7.200% | 45,000 | 58,569 | |
| SM Energy Co. | ||||
| 06/01/2025 | 5.625% | 85,000 | 81,170 | |
| 09/15/2026 | 6.750% | 450,000 | 436,500 | |
| 01/15/2027 | 6.625% | 394,000 | 380,527 | |
| Total | 19,551,431 | |||
| Integrated Energy 0.3% | ||||
| BP Capital Markets America, Inc. | ||||
| 02/08/2061 | 3.379% | 1,455,000 | 1,382,572 | |
| Cenovus Energy, Inc. | ||||
| 07/15/2025 | 5.375% | 144,000 | 163,630 | |
| 04/15/2027 | 4.250% | 10,000 | 10,983 | |
| 11/15/2039 | 6.750% | 250,000 | 317,459 | |
| Chevron USA, Inc. | ||||
| 11/15/2043 | 5.250% | 348,000 | 457,159 | |
| Suncor Energy, Inc. | ||||
| 11/15/2047 | 4.000% | 650,000 | 677,863 | |
| Total Capital International SA | ||||
| 06/29/2060 | 3.386% | 975,000 | 956,327 | |
| Total | 3,965,993 | |||
| Leisure 0.4% | ||||
| Boyne USA, Inc.(d) | ||||
| 05/15/2029 | 4.750% | 117,000 | 120,244 | |
The accompanying Notes to Financial
Statements are an integral part of this statement.
| 14 | Columbia Corporate Income Fund | Annual Report 2021 |
Portfolio of Investments (continued)
April 30, 2021
April 30, 2021
The accompanying Notes to Financial
Statements are an integral part of this statement.
|
Columbia Corporate Income Fund | Annual Report 2021
|
15 |
Portfolio of Investments (continued)
April 30, 2021
April 30, 2021
The accompanying Notes to Financial
Statements are an integral part of this statement.
| 16 | Columbia Corporate Income Fund | Annual Report 2021 |
Portfolio of Investments (continued)
April 30, 2021
April 30, 2021
The accompanying Notes to Financial
Statements are an integral part of this statement.
|
Columbia Corporate Income Fund | Annual Report 2021
|
17 |
Portfolio of Investments (continued)
April 30, 2021
April 30, 2021
| Corporate Bonds & Notes (continued) | ||||
| Issuer |
Coupon
Rate |
Principal
Amount ($) |
Value ($) | |
| Macy’s Retail Holdings LLC(d) | ||||
| 04/01/2029 | 5.875% | 146,000 | 149,688 | |
| PetSmart, Inc./Finance Corp.(d) | ||||
| 02/15/2028 | 4.750% | 203,000 | 209,223 | |
| 02/15/2029 | 7.750% | 118,000 | 127,985 | |
| Total | 14,119,332 | |||
| Supermarkets 0.3% | ||||
| Albertsons Companies LLC/Safeway, Inc./New Albertsons LP/Albertsons LLC(d) | ||||
| 03/15/2026 | 7.500% | 147,000 | 162,044 | |
| 02/15/2028 | 5.875% | 378,000 | 402,739 | |
| 03/15/2029 | 3.500% | 486,000 | 468,119 | |
| Albertsons Companies, Inc./Safeway, Inc./New Albertsons LP/Albertsons LLC(d) | ||||
| 03/15/2026 | 3.250% | 223,000 | 222,517 | |
| 01/15/2027 | 4.625% | 339,000 | 352,451 | |
| 02/15/2030 | 4.875% | 124,000 | 129,146 | |
| Kroger Co. (The) | ||||
| 01/15/2048 | 4.650% | 1,883,000 | 2,222,034 | |
| Total | 3,959,050 | |||
| Technology 5.6% | ||||
| Apple, Inc. | ||||
| 02/08/2026 | 0.700% | 13,795,000 | 13,631,535 | |
| 02/09/2045 | 3.450% | 4,555,000 | 4,915,781 | |
| Ascend Learning LLC(d) | ||||
| 08/01/2025 | 6.875% | 280,000 | 286,045 | |
| Banff Merger Sub, Inc.(d) | ||||
| 09/01/2026 | 9.750% | 56,000 | 59,472 | |
| Black Knight InfoServ LLC(d) | ||||
| 09/01/2028 | 3.625% | 185,000 | 181,807 | |
| Boxer Parent Co., Inc.(d) | ||||
| 10/02/2025 | 7.125% | 82,000 | 88,166 | |
| Broadcom Corp./Cayman Finance Ltd. | ||||
| 01/15/2028 | 3.500% | 1,830,000 | 1,959,437 | |
| Broadcom, Inc. | ||||
| 11/15/2030 | 4.150% | 8,120,000 | 8,872,473 | |
| Fidelity National Information Services, Inc. | ||||
| 03/01/2024 | 0.600% | 1,932,000 | 1,927,329 | |
| Gartner, Inc.(d) | ||||
| 07/01/2028 | 4.500% | 2,178,000 | 2,289,963 | |
| Helios Software Holdings, Inc.(d) | ||||
| 05/01/2028 | 4.625% | 476,000 | 471,904 | |
| Intel Corp. | ||||
| 05/11/2047 | 4.100% | 4,105,000 | 4,716,292 | |
| International Business Machines Corp. | ||||
| 05/15/2050 | 2.950% | 5,255,000 | 4,994,331 | |
| Iron Mountain, Inc.(d) | ||||
| 07/15/2030 | 5.250% | 827,000 | 858,630 | |
The accompanying Notes to Financial
Statements are an integral part of this statement.
| 18 | Columbia Corporate Income Fund | Annual Report 2021 |
Portfolio of Investments (continued)
April 30, 2021
April 30, 2021
The accompanying Notes to Financial
Statements are an integral part of this statement.
|
Columbia Corporate Income Fund | Annual Report 2021
|
19 |
| Senior Loans (continued) | ||||
| Borrower |
Coupon
Rate |
Principal
Amount ($) |
Value ($) | |
| Technology 0.1% | ||||
| DCert Buyer, Inc.(j),(k) | ||||
| 2nd Lien Term Loan | ||||
|
1-month USD LIBOR + 7.000%
02/19/2029 |
7.113% | 357,000 | 358,339 | |
| Epicore Software Corp.(j),(k) | ||||
| 2nd Lien Term Loan | ||||
|
1-month USD LIBOR + 7.750%
Floor 1.000% 07/31/2028 |
8.750% | 101,000 | 103,525 | |
| Total | 461,864 | |||
|
Total Senior Loans
(Cost $990,077) |
996,230 | |||
| U.S. Treasury Obligations 2.7% | ||||
| Issuer |
Coupon
Rate |
Principal
Amount ($) |
Value ($) | |
| U.S. Treasury | ||||
| 04/30/2022 | 0.125% | 5,640,000 | 5,643,085 | |
| 06/30/2025 | 0.250% | 3,450,000 | 3,393,129 | |
| 11/30/2025 | 0.375% | 3,600,000 | 3,538,125 | |
| 12/31/2025 | 0.375% | 11,000,000 | 10,796,328 | |
| Money Market Funds 0.7% | ||
| Shares | Value ($) | |
| Columbia Short-Term Cash Fund, 0.054%(l),(m) | 10,465,896 | 10,464,850 |
|
Total Money Market Funds
(Cost $10,464,674) |
10,464,850 | |
|
Total Investments in Securities
(Cost: $1,431,417,124) |
1,453,605,394 | |
| Other Assets & Liabilities, Net | 6,110,666 | |
| Net Assets | 1,459,716,060 | |
At April 30, 2021,
securities and/or cash totaling $3,349,396 were pledged as collateral.
Investments in
derivatives
| Long futures contracts | ||||||
| Description |
Number of
contracts |
Expiration
date |
Trading
currency |
Notional
amount |
Value/Unrealized
appreciation ($) |
Value/Unrealized
depreciation ($) |
| U.S. Long Bond | 546 | 06/2021 | USD | 85,858,500 | — | (1,610,144) |
| U.S. Treasury 2-Year Note | 342 | 06/2021 | USD | 75,499,172 | — | (44,631) |
| U.S. Treasury 5-Year Note | 351 | 06/2021 | USD | 43,502,063 | 41,282 | — |
| U.S. Treasury 5-Year Note | 86 | 06/2021 | USD | 10,658,625 | — | (89,523) |
| Total | 41,282 | (1,744,298) | ||||
| Short futures contracts | ||||||
| Description |
Number of
contracts |
Expiration
date |
Trading
currency |
Notional
amount |
Value/Unrealized
appreciation ($) |
Value/Unrealized
depreciation ($) |
| U.S. Treasury 10-Year Note | (506) | 06/2021 | USD | (66,807,813) | — | (58,430) |
| U.S. Ultra Bond 10-Year Note | (836) | 06/2021 | USD | (121,677,188) | 2,284,331 | — |
| U.S. Ultra Treasury Bond | (219) | 06/2021 | USD | (40,713,469) | 1,310,171 | — |
| Total | 3,594,502 | (58,430) | ||||
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 April 30, 2021, the total value of these securities amounted to $9,525, which represents less than 0.01% of total net assets. |
| (c) | Valuation based on significant unobservable inputs. |
The accompanying Notes to Financial Statements are
an integral part of this statement.
| 20 | Columbia Corporate Income Fund | Annual Report 2021 |
Portfolio of Investments (continued)
April 30, 2021
April 30, 2021
Notes to Portfolio of Investments (continued)
| (d) | Represents privately placed and other securities and instruments exempt from Securities and Exchange Commission registration (collectively, private placements), such as Section 4(a)(2) and Rule 144A eligible securities, which are often sold only to qualified institutional buyers. At April 30, 2021, the total value of these securities amounted to $345,003,147, which represents 23.63% of total net assets. |
| (e) | 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 April 30, 2021. |
| (f) | Represents a security purchased on a when-issued basis. |
| (g) | Represents securities that have defaulted on payment of interest. The Fund has stopped accruing interest on these securities. At April 30, 2021, the total value of these securities amounted to $9,525, which represents less than 0.01% of total net assets. |
| (h) | Payment-in-kind security. Interest can be paid by issuing additional par of the security or in cash. |
| (i) | Principal and interest may not be guaranteed by a governmental entity. |
| (j) | The stated interest rate represents the weighted average interest rate at April 30, 2021 of contracts within the senior loan facility. Interest rates on contracts are primarily determined either weekly, monthly or quarterly by reference to the indicated base lending rate and spread and the reset period. These base lending rates are primarily the LIBOR and other short-term rates. Base lending rates may be subject to a floor or minimum rate. The interest rate for senior loans purchased on a when-issued or delayed delivery basis will be determined upon settlement, therefore no interest rate is disclosed. Senior loans often require prepayments from excess cash flows or permit the borrowers to repay at their election. The degree to which borrowers repay, cannot be predicted with accuracy. As a result, remaining maturities of senior loans may be less than the stated maturities. Generally, the Fund is contractually obligated to receive approval from the agent bank and/or borrower prior to the disposition of a senior loan. |
| (k) | Variable rate security. The interest rate shown was the current rate as of April 30, 2021. |
| (l) | The rate shown is the seven-day current annualized yield at April 30, 2021. |
| (m) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the year ended April 30, 2021 are as follows: |
| Affiliated issuers |
Beginning
of period($) |
Purchases($) | Sales($) |
Net change in
unrealized appreciation (depreciation)($) |
End of
period($) |
Realized gain
(loss)($) |
Dividends($) |
End of
period shares |
| Columbia Short-Term Cash Fund, 0.054% | ||||||||
| 104,909,140 | 691,620,616 | (786,017,910) | (46,996) | 10,464,850 | 21,820 | 134,100 | 10,465,896 | |
Abbreviation Legend
| LIBOR | London Interbank Offered Rate |
Currency Legend
| USD | US Dollar |
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.
|
Columbia Corporate Income Fund | Annual Report 2021
|
21 |
Portfolio of Investments (continued)
April 30, 2021
April 30, 2021
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.
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 April 30, 2021:
| Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | |
| Investments in Securities | ||||
| Common Stocks | ||||
| Financials | 61,443 | — | — | 61,443 |
| Total Common Stocks | 61,443 | — | — | 61,443 |
| Convertible Bonds | — | 250,495 | — | 250,495 |
| Corporate Bonds & Notes | — | 1,401,957,027 | 9,525 | 1,401,966,552 |
| Foreign Government Obligations | — | 465,296 | — | 465,296 |
| Senior Loans | — | 996,230 | — | 996,230 |
| U.S. Treasury Obligations | 39,400,528 | — | — | 39,400,528 |
| Money Market Funds | 10,464,850 | — | — | 10,464,850 |
| Total Investments in Securities | 49,926,821 | 1,403,669,048 | 9,525 | 1,453,605,394 |
| Investments in Derivatives | ||||
| Asset | ||||
| Futures Contracts | 3,635,784 | — | — | 3,635,784 |
| Liability | ||||
| Futures Contracts | (1,802,728) | — | — | (1,802,728) |
| Total | 51,759,877 | 1,403,669,048 | 9,525 | 1,455,438,450 |
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.
| 22 | Columbia Corporate Income Fund | Annual Report 2021 |
Statement of Assets and Liabilities
April 30, 2021
April 30, 2021
| Assets | |
| Investments in securities, at value | |
| Unaffiliated issuers (cost $1,420,952,450) | $1,443,140,544 |
| Affiliated issuers (cost $10,464,674) | 10,464,850 |
| Cash | 3,733 |
| Margin deposits on: | |
| Futures contracts | 3,349,396 |
| Receivable for: | |
| Investments sold on a delayed delivery basis | 67,670 |
| Capital shares sold | 3,779,365 |
| Dividends | 2,265 |
| Interest | 10,949,038 |
| Foreign tax reclaims | 76,241 |
| Variation margin for futures contracts | 47,992 |
| Expense reimbursement due from Investment Manager | 2,067 |
| Prepaid expenses | 20,337 |
| Trustees’ deferred compensation plan | 200,507 |
| Total assets | 1,472,104,005 |
| Liabilities | |
| Payable for: | |
| Investments purchased | 1,709,200 |
| Investments purchased on a delayed delivery basis | 6,702,672 |
| Capital shares purchased | 618,359 |
| Distributions to shareholders | 2,774,765 |
| Variation margin for futures contracts | 209,856 |
| Management services fees | 19,622 |
| Distribution and/or service fees | 704 |
| Transfer agent fees | 110,376 |
| Compensation of board members | 4,728 |
| Compensation of chief compliance officer | 29 |
| Other expenses | 37,127 |
| Trustees’ deferred compensation plan | 200,507 |
| Total liabilities | 12,387,945 |
| Net assets applicable to outstanding capital stock | $1,459,716,060 |
| Represented by | |
| Paid in capital | 1,421,708,643 |
| Total distributable earnings (loss) | 38,007,417 |
| Total - representing net assets applicable to outstanding capital stock | $1,459,716,060 |
The accompanying Notes to Financial Statements are
an integral part of this statement.
|
Columbia Corporate Income Fund | Annual Report 2021
|
23 |
Statement of Assets and Liabilities (continued)
April 30, 2021
April 30, 2021
| Class A | |
| Net assets | $88,536,506 |
| Shares outstanding | 8,216,911 |
| Net asset value per share | $10.77 |
| 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) | $11.31 |
| Advisor Class | |
| Net assets | $10,624,479 |
| Shares outstanding | 987,605 |
| Net asset value per share | $10.76 |
| Class C | |
| Net assets | $4,449,552 |
| Shares outstanding | 413,080 |
| Net asset value per share | $10.77 |
| Institutional Class | |
| Net assets | $431,330,655 |
| Shares outstanding | 40,035,249 |
| Net asset value per share | $10.77 |
| Institutional 2 Class | |
| Net assets | $49,251,282 |
| Shares outstanding | 4,577,500 |
| Net asset value per share | $10.76 |
| Institutional 3 Class | |
| Net assets | $875,523,586 |
| Shares outstanding | 81,299,379 |
| Net asset value per share | $10.77 |
The accompanying Notes to Financial Statements are
an integral part of this statement.
| 24 | Columbia Corporate Income Fund | Annual Report 2021 |
Statement of Operations
Year Ended April 30, 2021
Year Ended April 30, 2021
| Net investment income | |
| Income: | |
| Dividends — affiliated issuers | $134,100 |
| Interest | 37,381,764 |
| Total income | 37,515,864 |
| Expenses: | |
| Management services fees | 6,218,370 |
| Distribution and/or service fees | |
| Class A | 210,206 |
| Class C | 60,258 |
| Transfer agent fees | |
| Class A | 137,132 |
| Advisor Class | 26,993 |
| Class C | 9,950 |
| Institutional Class | 771,314 |
| Institutional 2 Class | 5,864 |
| Institutional 3 Class | 44,624 |
| Compensation of board members | 33,026 |
| Custodian fees | 13,772 |
| Printing and postage fees | 42,551 |
| Registration fees | 110,701 |
| Audit fees | 39,500 |
| Legal fees | 27,928 |
| Compensation of chief compliance officer | 379 |
| Other | 47,131 |
| Total expenses | 7,799,699 |
| Fees waived or expenses reimbursed by Investment Manager and its affiliates | (657,957) |
| Fees waived by distributor | |
| Class C | (11,053) |
| Expense reduction | (800) |
| Total net expenses | 7,129,889 |
| Net investment income | 30,385,975 |
| Realized and unrealized gain (loss) — net | |
| Net realized gain (loss) on: | |
| Investments — unaffiliated issuers | 39,591,899 |
| Investments — affiliated issuers | 21,820 |
| Futures contracts | 13,209,753 |
| Net realized gain | 52,823,472 |
| Net change in unrealized appreciation (depreciation) on: | |
| Investments — unaffiliated issuers | (18,836,300) |
| Investments — affiliated issuers | (46,996) |
| Futures contracts | (4,236,403) |
| Net change in unrealized appreciation (depreciation) | (23,119,699) |
| Net realized and unrealized gain | 29,703,773 |
| Net increase in net assets resulting from operations | $60,089,748 |
The accompanying Notes to
Financial Statements are an integral part of this statement.
|
Columbia Corporate Income Fund | Annual Report 2021
|
25 |
Statement of Changes in Net Assets
|
Year Ended
April 30, 2021 |
Year Ended
April 30, 2020 |
|
| Operations | ||
| Net investment income | $30,385,975 | $35,204,777 |
| Net realized gain | 52,823,472 | 37,393,741 |
| Net change in unrealized appreciation (depreciation) | (23,119,699) | 34,633,836 |
| Net increase in net assets resulting from operations | 60,089,748 | 107,232,354 |
| Distributions to shareholders | ||
| Net investment income and net realized gains | ||
| Class A | (5,331,630) | (1,821,280) |
| Advisor Class | (1,101,540) | (283,152) |
| Class C | (368,028) | (122,497) |
| Institutional Class | (31,133,094) | (18,123,656) |
| Institutional 2 Class | (545,291) | (199,531) |
| Institutional 3 Class | (42,137,931) | (14,829,214) |
| Total distributions to shareholders | (80,617,514) | (35,379,330) |
| Increase (decrease) in net assets from capital stock activity | 460,373,330 | (155,285,533) |
| Total increase (decrease) in net assets | 439,845,564 | (83,432,509) |
| Net assets at beginning of year | 1,019,870,496 | 1,103,303,005 |
| Net assets at end of year | $1,459,716,060 | $1,019,870,496 |
The accompanying Notes to
Financial Statements are an integral part of this statement.
| 26 | Columbia Corporate Income Fund | Annual Report 2021 |
Statement of Changes in Net Assets (continued)
| Year Ended | Year Ended | |||
| April 30, 2021 | April 30, 2020 | |||
| Shares | Dollars ($) | Shares | Dollars ($) | |
| Capital stock activity | ||||
| Class A | ||||
| Subscriptions | 2,697,195 | 30,058,077 | 1,382,761 | 14,637,837 |
| Distributions reinvested | 442,851 | 4,930,570 | 153,257 | 1,628,807 |
| Redemptions | (1,261,240) | (14,061,169) | (1,116,106) | (11,788,950) |
| Net increase | 1,878,806 | 20,927,478 | 419,912 | 4,477,694 |
| Advisor Class | ||||
| Subscriptions | 410,874 | 4,590,830 | 1,011,888 | 10,727,343 |
| Distributions reinvested | 85,525 | 953,153 | 21,256 | 225,783 |
| Redemptions | (1,175,449) | (13,101,669) | (184,066) | (1,911,201) |
| Net increase (decrease) | (679,050) | (7,557,686) | 849,078 | 9,041,925 |
| Class C | ||||
| Subscriptions | 233,445 | 2,613,615 | 310,693 | 3,251,037 |
| Distributions reinvested | 31,893 | 355,172 | 10,585 | 112,375 |
| Redemptions | (371,965) | (4,115,281) | (298,630) | (3,130,231) |
| Net increase (decrease) | (106,627) | (1,146,494) | 22,648 | 233,181 |
| Institutional Class | ||||
| Subscriptions | 21,574,553 | 239,072,587 | 18,167,748 | 192,344,053 |
| Distributions reinvested | 2,133,747 | 23,768,542 | 1,094,761 | 11,639,046 |
| Redemptions | (17,252,995) | (191,452,395) | (42,750,686) | (459,792,751) |
| Net increase (decrease) | 6,455,305 | 71,388,734 | (23,488,177) | (255,809,652) |
| Institutional 2 Class | ||||
| Subscriptions | 4,076,722 | 43,998,512 | 107,095 | 1,131,373 |
| Distributions reinvested | 49,219 | 545,225 | 18,794 | 199,197 |
| Redemptions | (125,903) | (1,385,958) | (342,667) | (3,552,276) |
| Net increase (decrease) | 4,000,038 | 43,157,779 | (216,778) | (2,221,706) |
| Institutional 3 Class | ||||
| Subscriptions | 36,922,199 | 409,476,388 | 20,186,363 | 218,042,299 |
| Distributions reinvested | 3,039,549 | 33,789,874 | 1,304,974 | 13,860,746 |
| Redemptions | (9,856,703) | (109,662,743) | (13,901,381) | (142,910,020) |
| Net increase | 30,105,045 | 333,603,519 | 7,589,956 | 88,993,025 |
| Total net increase (decrease) | 41,653,517 | 460,373,330 | (14,823,361) | (155,285,533) |
The accompanying Notes to Financial Statements are
an integral part of this statement.
|
Columbia Corporate Income Fund | Annual Report 2021
|
27 |
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 |
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 4/30/2021 | $10.87 | 0.23 | 0.38 | 0.61 | (0.24) | (0.47) | (0.71) |
| Year Ended 4/30/2020 | $10.15 | 0.29 | 0.72 | 1.01 | (0.29) | — | (0.29) |
| Year Ended 4/30/2019 | $9.88 | 0.30 | 0.27 | 0.57 | (0.30) | — | (0.30) |
| Year Ended 4/30/2018 | $10.11 | 0.26 | (0.23) | 0.03 | (0.26) | — | (0.26) |
| Year Ended 4/30/2017 | $10.00 | 0.26 | 0.11 | 0.37 | (0.26) | — | (0.26) |
| Advisor Class | |||||||
| Year Ended 4/30/2021 | $10.85 | 0.27 | 0.37 | 0.64 | (0.26) | (0.47) | (0.73) |
| Year Ended 4/30/2020 | $10.14 | 0.32 | 0.71 | 1.03 | (0.32) | — | (0.32) |
| Year Ended 4/30/2019 | $9.87 | 0.33 | 0.27 | 0.60 | (0.33) | — | (0.33) |
| Year Ended 4/30/2018 | $10.10 | 0.28 | (0.23) | 0.05 | (0.28) | — | (0.28) |
| Year Ended 4/30/2017 | $9.99 | 0.28 | 0.11 | 0.39 | (0.28) | — | (0.28) |
| Class C | |||||||
| Year Ended 4/30/2021 | $10.86 | 0.17 | 0.38 | 0.55 | (0.17) | (0.47) | (0.64) |
| Year Ended 4/30/2020 | $10.15 | 0.23 | 0.71 | 0.94 | (0.23) | — | (0.23) |
| Year Ended 4/30/2019 | $9.88 | 0.24 | 0.27 | 0.51 | (0.24) | — | (0.24) |
| Year Ended 4/30/2018 | $10.11 | 0.20 | (0.23) | (0.03) | (0.20) | — | (0.20) |
| Year Ended 4/30/2017 | $10.00 | 0.20 | 0.11 | 0.31 | (0.20) | — | (0.20) |
| Institutional Class | |||||||
| Year Ended 4/30/2021 | $10.87 | 0.26 | 0.37 | 0.63 | (0.26) | (0.47) | (0.73) |
| Year Ended 4/30/2020 | $10.15 | 0.32 | 0.72 | 1.04 | (0.32) | — | (0.32) |
| Year Ended 4/30/2019 | $9.88 | 0.33 | 0.27 | 0.60 | (0.33) | — | (0.33) |
| Year Ended 4/30/2018 | $10.11 | 0.28 | (0.23) | 0.05 | (0.28) | — | (0.28) |
| Year Ended 4/30/2017 | $10.00 | 0.28 | 0.11 | 0.39 | (0.28) | — | (0.28) |
| Institutional 2 Class | |||||||
| Year Ended 4/30/2021 | $10.85 | 0.27 | 0.38 | 0.65 | (0.27) | (0.47) | (0.74) |
| Year Ended 4/30/2020 | $10.14 | 0.33 | 0.71 | 1.04 | (0.33) | — | (0.33) |
| Year Ended 4/30/2019 | $9.87 | 0.35 | 0.26 | 0.61 | (0.34) | — | (0.34) |
| Year Ended 4/30/2018 | $10.09 | 0.29 | (0.22) | 0.07 | (0.29) | — | (0.29) |
| Year Ended 4/30/2017 | $9.98 | 0.29 | 0.11 | 0.40 | (0.29) | — | (0.29) |
The accompanying Notes to
Financial Statements are an integral part of this statement.
| 28 | Columbia Corporate Income Fund | Annual Report 2021 |
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 4/30/2021 | $10.77 | 5.47% | 0.93% | 0.88%(c) | 2.10% | 74% | $88,537 |
| Year Ended 4/30/2020 | $10.87 | 10.10% | 0.95% | 0.91%(c) | 2.77% | 91% | $68,880 |
| Year Ended 4/30/2019 | $10.15 | 5.93% | 0.93% | 0.91%(c) | 3.07% | 65% | $60,085 |
| Year Ended 4/30/2018 | $9.88 | 0.22% | 0.95% | 0.92%(c) | 2.52% | 78% | $63,283 |
| Year Ended 4/30/2017 | $10.11 | 3.72% | 0.98%(d) | 0.91%(c),(d) | 2.56% | 76% | $81,802 |
| Advisor Class | |||||||
| Year Ended 4/30/2021 | $10.76 | 5.83% | 0.68% | 0.63%(c) | 2.38% | 74% | $10,624 |
| Year Ended 4/30/2020 | $10.85 | 10.28% | 0.70% | 0.66%(c) | 3.02% | 91% | $18,086 |
| Year Ended 4/30/2019 | $10.14 | 6.20% | 0.68% | 0.66%(c) | 3.32% | 65% | $8,289 |
| Year Ended 4/30/2018 | $9.87 | 0.46% | 0.70% | 0.67%(c) | 2.75% | 78% | $9,009 |
| Year Ended 4/30/2017 | $10.10 | 3.98% | 0.73%(d) | 0.66%(c),(d) | 2.81% | 76% | $12,534 |
| Class C | |||||||
| Year Ended 4/30/2021 | $10.77 | 4.96% | 1.68% | 1.45%(c) | 1.53% | 74% | $4,450 |
| Year Ended 4/30/2020 | $10.86 | 9.35% | 1.70% | 1.51%(c) | 2.17% | 91% | $5,646 |
| Year Ended 4/30/2019 | $10.15 | 5.29% | 1.68% | 1.51%(c) | 2.45% | 65% | $5,045 |
| Year Ended 4/30/2018 | $9.88 | (0.38%) | 1.70% | 1.52%(c) | 1.92% | 78% | $7,856 |
| Year Ended 4/30/2017 | $10.11 | 3.10% | 1.73%(d) | 1.51%(c),(d) | 1.96% | 76% | $10,543 |
| Institutional Class | |||||||
| Year Ended 4/30/2021 | $10.77 | 5.73% | 0.68% | 0.63%(c) | 2.36% | 74% | $431,331 |
| Year Ended 4/30/2020 | $10.87 | 10.37% | 0.70% | 0.66%(c) | 3.02% | 91% | $364,875 |
| Year Ended 4/30/2019 | $10.15 | 6.19% | 0.68% | 0.66%(c) | 3.31% | 65% | $579,312 |
| Year Ended 4/30/2018 | $9.88 | 0.47% | 0.69% | 0.66%(c) | 2.78% | 78% | $760,048 |
| Year Ended 4/30/2017 | $10.11 | 3.98% | 0.73%(d) | 0.66%(c),(d) | 2.81% | 76% | $586,861 |
| Institutional 2 Class | |||||||
| Year Ended 4/30/2021 | $10.76 | 5.94% | 0.58% | 0.53% | 2.45% | 74% | $49,251 |
| Year Ended 4/30/2020 | $10.85 | 10.39% | 0.58% | 0.56% | 3.13% | 91% | $6,267 |
| Year Ended 4/30/2019 | $10.14 | 6.29% | 0.59% | 0.58% | 3.52% | 65% | $8,052 |
| Year Ended 4/30/2018 | $9.87 | 0.67% | 0.59% | 0.57% | 2.86% | 78% | $1,782 |
| Year Ended 4/30/2017 | $10.09 | 4.09% | 0.57%(d) | 0.55%(d) | 2.92% | 76% | $2,076 |
The accompanying Notes to
Financial Statements are an integral part of this statement.
|
Columbia Corporate Income Fund | Annual Report 2021
|
29 |
Financial Highlights (continued)
|
Net asset value,
beginning of period |
Net
investment income |
Net
realized and unrealized gain (loss) |
Total from
investment operations |
Distributions
from net investment income |
Distributions
from net realized gains |
Total
distributions to shareholders |
|
| Institutional 3 Class | |||||||
| Year Ended 4/30/2021 | $10.86 | 0.28 | 0.38 | 0.66 | (0.28) | (0.47) | (0.75) |
| Year Ended 4/30/2020 | $10.15 | 0.33 | 0.72 | 1.05 | (0.34) | — | (0.34) |
| Year Ended 4/30/2019 | $9.88 | 0.34 | 0.27 | 0.61 | (0.34) | — | (0.34) |
| Year Ended 4/30/2018 | $10.11 | 0.30 | (0.23) | 0.07 | (0.30) | — | (0.30) |
| Year Ended 4/30/2017 | $10.00 | 0.29 | 0.12 | 0.41 | (0.30) | — | (0.30) |
| Notes to Financial Highlights | |
| (a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
| (b) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
| (c) | The benefits derived from expense reductions had an impact of less than 0.01%. |
| (d) | Expenses have been reduced due to a reimbursement of expenses overbilled by a third party. If the reimbursement had been excluded, the expense ratios would have been higher by the percentages shown for each class in the table below. All fee waivers and expense reimbursements by the Investment Manager and its affiliates were applied before giving effect to this third party reimbursement. |
| Year Ended | Class A |
Advisor
Class |
Class C |
Institutional
Class |
Institutional 2
Class |
Institutional 3
Class |
| 04/30/2017 | 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.
| 30 | Columbia Corporate Income Fund | Annual Report 2021 |
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 4/30/2021 | $10.77 | 5.99% | 0.52% | 0.47% | 2.49% | 74% | $875,524 |
| Year Ended 4/30/2020 | $10.86 | 10.44% | 0.53% | 0.50% | 3.17% | 91% | $556,117 |
| Year Ended 4/30/2019 | $10.15 | 6.34% | 0.53% | 0.52% | 3.44% | 65% | $442,521 |
| Year Ended 4/30/2018 | $9.88 | 0.62% | 0.53% | 0.51% | 2.93% | 78% | $622,383 |
| Year Ended 4/30/2017 | $10.11 | 4.14% | 0.54%(d) | 0.51%(d) | 2.91% | 76% | $542,814 |
The accompanying Notes to Financial Statements are
an integral part of this statement.
|
Columbia Corporate Income Fund | Annual Report 2021
|
31 |
Notes to Financial Statements
April 30, 2021
April 30, 2021
Note 1. Organization
Columbia Corporate Income Fund
(the Fund), a series of Columbia Funds Series Trust I (the Trust), is a diversified fund. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management
investment company organized as a Massachusetts business trust.
Fund shares
The Trust may issue an unlimited
number of shares (without par value). The Fund offers each of the share classes listed in the Statement of Assets and Liabilities. Although all share classes generally have identical voting, dividend and liquidation
rights, each share class votes separately when required by the Trust’s organizational documents or by law. Each share class has its own expense and sales charge structure. Different share classes may have
different minimum initial investment amounts and pay different net investment income distribution amounts to the extent the expenses of distributing such share classes vary. Distributions to shareholders in a
liquidation will be proportional to the net asset value of each share class.
As described in the Fund’s
prospectus, Class A and Class C shares are offered to the general public for investment. Effective April 1, 2021, Class C shares automatically convert to Class A shares after 8 years. Prior to April 1, 2021, Class C
shares automatically converted to Class A shares after 10 years. Advisor Class, Institutional Class, Institutional 2 Class and Institutional 3 Class shares are available for purchase through authorized investment
professionals to omnibus retirement plans or to institutional investors and to certain other investors as also described in the Fund’s prospectus.
Note 2. Summary of
significant accounting policies
Basis of preparation
The Fund is an investment company
that applies the accounting and reporting guidance in the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946, Financial Services - Investment Companies (ASC 946). The financial statements are prepared in accordance with U.S. generally accepted accounting principles (GAAP), which requires
management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities, the disclosure of contingent assets and liabilities at the date of the financial statements and the
reported amounts of income and expenses during the reporting period. Actual results could differ from those estimates. The Fund received a reimbursement for expenses overbilled by a third party. Such reimbursement is
included as an offset to other expenses on the Statement of Operations. All fee waivers and expense reimbursements by Columbia Management Investment Advisers, LLC and its affiliates were applied before giving effect
to the third party reimbursement.
The following is a summary of
significant accounting policies followed by the Fund in the preparation of its financial statements.
Security valuation
Equity securities listed on an
exchange are valued at the closing price or last trade on their primary exchange at the close of business of the New York Stock Exchange. Securities with a closing price not readily available or not listed on any
exchange are valued at the mean between the closing bid and asked prices. Listed preferred stocks convertible into common stocks are valued using an evaluated price from a pricing service.
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 market value, unless this method results in a valuation that management believes does not approximate fair value.
Senior loan securities for which
reliable market quotations are readily available are generally valued by pricing services at the average of the bids received.
| 32 | Columbia Corporate Income Fund | Annual Report 2021 |
Notes to Financial Statements (continued)
April 30, 2021
April 30, 2021
Investments in open-end investment
companies (other than exchange-traded funds (ETFs)), are valued at the latest net asset value reported by those companies as of the valuation time.
Futures and options on futures
contracts are valued based upon the settlement price at the close of regular trading on their principal exchanges or, in the absence of a settlement price, at the mean of the latest quoted bid and ask prices.
Investments for which market
quotations are not readily available, or that have quotations which management believes are not reflective of market value or reliable, are valued at fair value as determined in good faith under procedures approved by
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, if available.
The determination of fair value
often requires significant judgment. To determine fair value, management may use assumptions including but not limited to future cash flows and estimated risk premiums. Multiple inputs from various sources may be used
to determine fair value.
GAAP requires disclosure regarding
the inputs and valuation techniques used to measure fair value and any changes in valuation inputs or techniques. In addition, investments shall be disclosed by major category. This information is disclosed following
the Fund’s Portfolio of Investments.
Derivative instruments
The Fund invests in certain
derivative instruments, as detailed below, in seeking to meet its investment objectives. Derivatives are instruments whose values depend on, or are derived from, in whole or in part, the value of one or more
securities, currencies, commodities, indices, or other assets or instruments. Derivatives may be used to increase investment flexibility (including to maintain cash reserves while maintaining desired exposure to
certain assets), for risk management (hedging) purposes, to facilitate trading, to reduce transaction costs and to pursue higher investment returns. The Fund may also use derivative instruments to mitigate certain
investment risks, such as foreign currency exchange rate risk, interest rate risk and credit risk. Derivatives may involve various risks, including the potential inability of the counterparty to fulfill its
obligations under the terms of the contract, the potential for an illiquid secondary market (making it difficult for the Fund to sell or terminate, including at favorable prices) and the potential for market movements
which may expose the Fund to gains or losses in excess of the amount shown in the Statement of Assets and Liabilities. The notional amounts of derivative instruments, if applicable, are not recorded in the financial
statements.
A derivative instrument may suffer
a marked-to-market loss if the value of the contract decreases due to an unfavorable change in the market rates or values of the underlying instrument. Losses can also occur if the counterparty does not perform its
obligations under the contract. The Fund’s risk of loss from counterparty credit risk on over-the-counter derivatives is generally limited to the aggregate unrealized gain netted against any collateral held by
the Fund and the amount of any variation margin held by the counterparty, plus any replacement costs or related amounts. With exchange-traded or centrally cleared derivatives, there is reduced counterparty credit risk
to the Fund since the clearinghouse or central counterparty (CCP) provides some protection in the case of clearing member default. The clearinghouse or CCP stands between the buyer and the seller of the contract;
therefore, 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 clearing brokers are required to segregate customer margin from their own assets, in the event that a clearing broker becomes insolvent or goes into bankruptcy
and at that time there is a shortfall in the aggregate amount of margin held by the clearing broker for all its clients, U.S. bankruptcy laws will typically allocate that shortfall on a pro-rata basis across all the
clearing broker’s customers (including the Fund), potentially resulting in losses to the Fund.
In order to better define its
contractual rights and to secure rights that will help the Fund mitigate its counterparty risk, the Fund may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (ISDA Master Agreement)
or similar agreement with its derivatives counterparties. An ISDA Master Agreement is an agreement between the Fund and a counterparty that governs over-the-counter derivatives and foreign exchange forward contracts
and contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. Under an ISDA Master Agreement, the Fund may, under certain circumstances, offset
with the counterparty certain derivative instrument’s payables and/or receivables with collateral held and/or posted and create one single net payment. The provisions of the
|
Columbia Corporate Income Fund | Annual Report 2021
|
33 |
Notes to Financial Statements (continued)
April 30, 2021
April 30, 2021
ISDA Master Agreement typically permit a single
net payment in the event of default (close-out netting), including the bankruptcy or insolvency of the counterparty. Note, however, that bankruptcy or insolvency laws of a particular jurisdiction may impose
restrictions on or prohibitions against the right of offset or netting in bankruptcy, insolvency or other events.
Collateral (margin) requirements
differ by type of derivative. Margin requirements are established by the clearinghouse or CCP for exchange-traded and centrally cleared derivatives. Brokers can ask for margin in excess of the minimum in certain
circumstances. Collateral terms for most over-the-counter derivatives are subject to regulatory requirements to exchange variation margin with trading counterparties and may have contract specific margin terms as
well. For over-the-counter derivatives traded under an ISDA Master Agreement, the collateral requirements are typically calculated by netting the marked-to-market amount for each transaction under such agreement and
comparing that amount to the value of any variation margin currently pledged by the Fund and/or the counterparty. Generally, the amount of collateral due from or to a party has to exceed a minimum transfer amount
threshold (e.g., $250,000) before a transfer has to be made. To the extent amounts due to the Fund from its counterparties are not fully collateralized, contractually or otherwise, the Fund bears the risk of loss from
counterparty nonperformance. The Fund may also pay interest expense on cash collateral received from the broker. 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 manage the duration and yield curve
exposure of the Fund versus the benchmark and to manage exposure to movements in interest rates. These instruments may be used for other purposes in future periods. Upon entering into futures contracts, the Fund bears
risks that it may not achieve the anticipated benefits of the futures contracts and may realize a loss. Additional risks include counterparty credit risk, the possibility of an illiquid market, and that a change in
the value of the contract or option may not correlate with changes in the value of the underlying asset.
Upon entering into a futures
contract, the Fund deposits cash or securities with the broker, known as a futures commission merchant (FCM), in an amount sufficient to meet the initial margin requirement. The initial margin deposit must be
maintained at an established level over the life of the contract. Cash deposited as initial margin is recorded in the Statement of Assets and Liabilities as margin deposits. Securities deposited as initial margin are
designated in the Portfolio of Investments. Subsequent payments (variation margin) are made or received by the Fund each day. The variation margin payments are equal to the daily change in the contract value and are
recorded as variation margin receivable or payable and are offset in unrealized gains or losses. The Fund generally expects to earn interest income on its margin deposits. The Fund recognizes a realized gain or loss
when the contract is closed or expires. Futures contracts involve, to varying degrees, risk of loss in excess of the variation margin disclosed in the Statement of Assets and Liabilities.
Effects of derivative transactions in
the financial statements
The following tables are intended
to provide additional information about the effect of derivatives on the financial statements of the Fund, including: the fair value of derivatives by risk category and the location of those fair values in the
Statement of Assets and Liabilities; and the impact of derivative transactions over the period in the Statement of Operations, including realized and unrealized gains (losses). The derivative instrument schedules
following the Portfolio of Investments present additional information regarding derivative instruments outstanding at the end of the period, if any.
| 34 | Columbia Corporate Income Fund | Annual Report 2021 |
Notes to Financial Statements (continued)
April 30, 2021
April 30, 2021
The following table is a summary of
the fair value of derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) at April 30, 2021:
| 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 | 3,635,784* |
| * | 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 April 30, 2021:
The following table is a summary
of the average outstanding volume by derivative instrument for the year ended April 30, 2021:
| Derivative instrument |
Average notional
amounts ($)* |
| Futures contracts — long | 224,339,483 |
| Futures contracts — short | 172,617,223 |
| * | Based on the ending quarterly outstanding amounts for the year ended April 30, 2021. |
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.
|
Columbia Corporate Income Fund | Annual Report 2021
|
35 |
Notes to Financial Statements (continued)
April 30, 2021
April 30, 2021
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.
Delayed delivery securities
The Fund may trade securities on
other than normal settlement terms, including securities purchased or sold on a “when-issued” or "forward commitment" basis. This may increase risk to the Fund since the other party to the transaction may
fail to deliver, which could cause the Fund to subsequently invest at less advantageous prices. The Fund designates cash or liquid securities in an amount equal to the delayed delivery commitment.
Security transactions
Security transactions are accounted
for on the trade date. Cost is determined and gains (losses) are based upon the specific identification method for both financial statement and federal income tax purposes.
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 collectability of interest is reasonably assured.
Dividend income is recorded on the
ex-dividend date.
Corporate actions and dividend
income are recorded on the ex-dividend date.
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.
| 36 | Columbia Corporate Income Fund | Annual Report 2021 |
Notes to Financial Statements (continued)
April 30, 2021
April 30, 2021
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 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.
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 0.50% to 0.34% as the Fund’s net assets increase. The effective management services fee rate for the year ended April 30, 2021 was 0.49% of the Fund’s
average daily net assets.
Compensation of board members
Members of the Board of Trustees
who are not officers or employees of the Investment Manager or Ameriprise Financial are compensated for their services to the Fund as disclosed in the Statement of Operations. Under a Deferred Compensation Plan (the
Deferred Plan), these members of the Board of Trustees may elect to defer payment of up to 100% of their compensation. Deferred amounts are treated as though equivalent dollar amounts had been invested in shares of
certain funds managed by the Investment Manager. The Fund’s liability for these amounts is adjusted for market value changes and remains in the Fund until distributed in accordance with the Deferred Plan. All
amounts payable under the Deferred Plan constitute a general unsecured obligation of the Fund. The expense for the Deferred Plan, which includes Trustees’ fees deferred during the current period as well as any
gains or losses on the Trustees’ deferred compensation balances as a result of market fluctuations, is included in "Compensation of board members" on the Statement of Operations.
|
Columbia Corporate Income Fund | Annual Report 2021
|
37 |
Notes to Financial Statements (continued)
April 30, 2021
April 30, 2021
Compensation of Chief Compliance
Officer
The Board of Trustees has appointed
a Chief Compliance Officer for the Fund in accordance with federal securities regulations. As disclosed in the Statement of Operations, a portion of the Chief Compliance Officer’s total compensation is allocated
to the Fund, along with other allocations to affiliated registered investment companies managed by the Investment Manager and its affiliates, based on relative net assets.
Transfer agency fees
Under a Transfer and Dividend
Disbursing Agent Agreement, Columbia Management Investment Services Corp. (the Transfer Agent), an affiliate of the Investment Manager and a wholly-owned subsidiary of Ameriprise Financial, is responsible for
providing transfer agency services to the Fund. The Transfer Agent has contracted with 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 April 30, 2021,
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 | 0.17 |
| Class C | 0.16 |
| Institutional Class | 0.16 |
| 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 April 30, 2021, these minimum account balance fees reduced total expenses of
the Fund by $800.
Distribution and service fees
The Fund has entered into an
agreement with Columbia Management Investment Distributors, Inc. (the Distributor), an affiliate of the Investment Manager and a wholly-owned subsidiary of Ameriprise Financial, for distribution and shareholder
services. The Board of Trustees has approved, and the Fund has adopted, distribution and shareholder service plans (the Plans) applicable to certain share classes, which set the distribution and service fees for the
Fund. These fees are calculated daily and are intended to compensate the Distributor and/or eligible selling and/or servicing agents for selling shares of the Fund and providing services to investors.
Under the Plans, the Fund pays a
monthly service fee to the Distributor at the maximum annual rate of 0.25% of the average daily net assets attributable to Class A and Class C shares of the Fund. Also under the Plans, the Fund pays a monthly
distribution fee to the Distributor at the maximum annual rate of 0.75% of the average daily net assets attributable to Class C shares of the Fund.
| 38 | Columbia Corporate Income Fund | Annual Report 2021 |
Notes to Financial Statements (continued)
April 30, 2021
April 30, 2021
Effective September 1, 2020, the
Distributor has contractually agreed to waive a portion of the distribution fee for Class C shares through August 31, 2021 so that the distribution fee does not exceed 0.55% annually of the average daily net assets
attributable to Class C shares. This arrangement may be modified or terminated at the sole discretion of the Board of Trustees. Prior to September 1, 2020, the Distributor voluntarily waived a portion of the
distribution fee for Class C shares so that the distribution fee did not exceed 0.60% annually of the average daily net assets attributable to Class C shares.
Sales charges (unaudited)
Sales charges, including front-end
charges and contingent deferred sales charges (CDSCs), received by the Distributor for distributing Fund shares for the year ended April 30, 2021, if any, are listed below:
| Front End (%) | CDSC (%) | Amount ($) | |
| Class A | 4.75 | 0.50 - 1.00(a) | 132,147 |
| Class C | — | 1.00(b) | 855 |
| (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:
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. This arrangement may be revised or discontinued at any time. Any fees waived and/or expenses reimbursed under the expense reimbursement arrangements described above are not recoverable by the Investment
Manager or its affiliates in future periods. Class C distribution fees waived by the Distributor, as discussed above, are in addition to the waiver/reimbursement commitment under the agreement.
|
Columbia Corporate Income Fund | Annual Report 2021
|
39 |
Notes to Financial Statements (continued)
April 30, 2021
April 30, 2021
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 April 30, 2021, these
differences were primarily due to differing treatment for deferral/reversal of wash sale losses, trustees’ deferred compensation, derivative investments, tax straddles, distributions and principal and/or
interest of fixed income securities. 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 ($) |
Paid in
capital ($) |
| 313,525 | (313,525) | — |
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 April 30, 2021 | Year Ended April 30, 2020 | ||||
|
Ordinary
income ($) |
Long-term
capital gains ($) |
Total ($) |
Ordinary
income ($) |
Long-term
capital gains ($) |
Total ($) |
| 45,213,911 | 35,403,603 | 80,617,514 | 35,379,330 | — | 35,379,330 |
Short-term capital gain
distributions, if any, are considered ordinary income distributions for tax purposes.
At April 30, 2021, the components
of distributable earnings on a tax basis were as follows:
|
Undistributed
ordinary income ($) |
Undistributed
long-term capital gains ($) |
Capital loss
carryforwards ($) |
Net unrealized
appreciation ($) |
| 12,319,159 | 5,959,400 | — | 22,707,554 |
At April 30, 2021, 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) ($) |
Net unrealized
appreciation ($) |
| 1,432,730,896 | 48,807,119 | (26,099,565) | 22,707,554 |
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 $1,371,241,010 and $856,973,077, respectively, for the year ended April 30, 2021, of which $61,109,691 and
$23,437,891, respectively, were U.S. government securities. The amount of purchase and sale activity impacts the portfolio turnover rate reported in the Financial Highlights.
| 40 | Columbia Corporate Income Fund | Annual Report 2021 |
Notes to Financial Statements (continued)
April 30, 2021
April 30, 2021
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 April 30, 2021.
Note 8. Line of credit
The Fund has access to a
revolving credit facility with a syndicate of banks led by Citibank, N.A., Wells Fargo Bank, 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. Pursuant to a December 1, 2020 amendment, 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 $950 million. 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, 1.25%. 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. Prior to the December 1, 2020 amendment, the Fund had 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. which permitted collective borrowings up to $1 billion. Interest was charged to each participating fund based on its borrowings at a rate equal
to the higher of (i) the federal funds effective rate, (ii) the one-month LIBOR rate and (iii) the overnight bank funding rate, plus in each case, 1.00%.
The Fund had no borrowings during
the year ended April 30, 2021.
Note 9. Significant
risks
Credit risk
Credit risk is the risk that the
value of debt instruments in the Fund’s portfolio may decline because the issuer defaults or otherwise becomes unable or unwilling, or is perceived to be unable or unwilling, to honor its financial obligations,
such as making payments to the Fund when due. Credit rating agencies assign credit ratings to certain debt instruments to indicate their credit risk. Lower rated or unrated debt instruments held by the Fund may
present increased credit risk as compared to higher-rated debt instruments.
|
Columbia Corporate Income Fund | Annual Report 2021
|
41 |
Notes to Financial Statements (continued)
April 30, 2021
April 30, 2021
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 or decreases 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. The
Fund is subject to the risk that the income generated by its investments may not keep pace with inflation.
Liquidity risk
Liquidity risk is the risk
associated with a lack of marketability of investments which may make it difficult to sell the investment at a desirable time or price. Changing regulatory, market or other conditions or environments (for example, the
interest rate or credit environments) may adversely affect the liquidity of the Fund’s investments. The Fund may have to accept a lower selling price for the holding, sell other investments, or forego another,
more appealing investment opportunity. Generally, the less liquid the market at the time the Fund sells a portfolio investment, the greater the risk of loss or decline of value to the Fund. A less liquid market can
lead to an increase in Fund redemptions, which may negatively impact Fund performance and net asset value per share, including, for example, if the Fund is forced to sell securities in a down market.
Market and environment risk
The Fund may incur losses due to
declines in the value of one or more securities in which it invests. These declines may be due to factors affecting a particular issuer, or the result of, among other things, political, regulatory, market, economic or
social developments affecting the relevant market(s) more generally. In addition, turbulence in financial markets and reduced liquidity in equity, credit and/or fixed income markets may negatively affect many issuers,
which could adversely affect the Fund, including causing difficulty in assigning prices to hard-to-value assets in thinly traded and closed markets, significant redemptions and operational challenges. Global economies
and financial markets are increasingly interconnected, and conditions and events in one country, region or financial market may adversely impact issuers in a different country, region or financial market. These risks
may be magnified if certain events or developments adversely interrupt the global supply chain; in these and other circumstances, such risks might affect companies worldwide. As a result, local, regional or global
events such as terrorism, war, natural disasters, disease/virus outbreaks and epidemics or other public health issues, recessions, depressions or other events – or the potential for such events – could
have a significant negative impact on global economic and market conditions.
The Fund’s performance may
also be significantly negatively impacted by the economic impact of the coronavirus disease 2019 (COVID-19) pandemic. The COVID-19 public health crisis has become a pandemic that has resulted in, and may continue to
result in, significant global economic and societal disruption and market volatility due to disruptions in market access, resource availability, facilities operations, imposition of tariffs, export controls and supply
chain disruption, among others. Such disruptions may be caused, or exacerbated by, quarantines and travel restrictions, workforce displacement and loss in human and other resources. The uncertainty surrounding the
magnitude, duration, reach, costs and effects of the global pandemic, as well as actions that have been or could be taken by governmental authorities or other third parties, present unknowns that are yet to unfold.
The impacts, as well as the uncertainty over impacts to come, of COVID-19 – and any other infectious illness outbreaks, epidemics and pandemics that may arise in the future – could negatively affect global
economies and markets in ways that cannot necessarily be foreseen. In addition, the impact of infectious illness outbreaks and epidemics in emerging market countries may be greater due to generally less established
healthcare systems, governments and financial markets. Public health crises caused by the COVID-19 outbreak may exacerbate other pre-existing
| 42 | Columbia Corporate Income Fund | Annual Report 2021 |
Notes to Financial Statements (continued)
April 30, 2021
April 30, 2021
political, social and economic risks in certain
countries or globally. The disruptions caused by COVID-19 could prevent the Fund from executing advantageous investment decisions in a timely manner and negatively impact the Fund’s ability to achieve its
investment objectives. Any such event(s) could have a significant adverse impact on the value and risk profile of the Fund.
The Investment Manager and its
affiliates have systematically implemented strategies to address the operating environment spurred by the COVID-19 pandemic. To promote the safety and security of our employees and to assure the continuity of our
business operations, we have implemented a work from home protocol for virtually all of our employee population, restricted business travel, and provided resources for complying with the guidance from the World Health
Organization, the U.S. Centers for Disease Control and governments. Our operations teams seek to operate without significant disruptions in service. Our pandemic strategy takes into consideration that a pandemic could
be widespread and may occur in multiple waves, affecting different communities at different times with varying levels of severity. We cannot, however, predict the impact that natural or man-made disasters, including
the COVID-19 pandemic, may have on the ability of our employees and third-party service providers to continue ordinary business operations and technology functions over near- or longer-term periods.
Shareholder concentration risk
At April 30, 2021, affiliated
shareholders of record owned 71.9% of the outstanding shares of the Fund in one or more accounts. Subscription and redemption activity by concentrated accounts may have a significant effect on the operations of the
Fund. In the case of a large redemption, the Fund may be forced to sell investments at inopportune times, including its liquid positions, which may result in Fund losses and the Fund holding a higher percentage of
less liquid positions. Large redemptions could result in decreased economies of scale and increased operating expenses for non-redeeming Fund shareholders.
Note 10. Subsequent
events
Management has evaluated the
events and transactions that have occurred through the date the financial statements were issued and noted no items requiring adjustment of the financial statements or additional disclosure.
Note 11. Information
regarding pending and settled legal proceedings
Ameriprise Financial and certain
of its affiliates 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 or one or more of its affiliates that provides services to
the Fund.
|
Columbia Corporate Income Fund | Annual Report 2021
|
43 |
Report of Independent Registered Public
Accounting Firm
To the Board of Trustees of Columbia
Funds Series Trust I and Shareholders of Columbia Corporate Income Fund
Opinion on the Financial
Statements
We have audited the accompanying
statement of assets and liabilities, including the portfolio of investments, of Columbia Corporate Income Fund (one of the funds constituting Columbia Funds Series Trust I, referred to hereafter as the "Fund") as of
April 30, 2021, the related statement of operations for the year ended April 30, 2021, the statement of changes in net assets for each of the two years in the period ended April 30, 2021, including the related notes,
and the financial highlights for each of the five years in the period ended April 30, 2021 (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 April 30, 2021, 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 April 30,
2021 and the financial highlights for each of the five years in the period ended April 30, 2021 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 April 30, 2021 by correspondence with the custodian, transfer agent, brokers and agent banks; when
replies were not received from brokers and/or agent banks, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
/s/PricewaterhouseCoopers LLP
Minneapolis, Minnesota
June 22, 2021
We have served as the auditor of
one or more investment companies within the Columbia Funds Complex since 1977.
| 44 | Columbia Corporate Income Fund | Annual Report 2021 |
Federal Income Tax
Information
(Unaudited)
The Fund hereby designates the
following tax attributes for the fiscal year ended April 30, 2021. Shareholders will be notified in early 2022 of the amounts for use in preparing 2021 income tax returns.
|
Capital
gain dividend |
Section
163(j) Interest Dividends |
| $24,167,718 | 71.65% |
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.
Section 163(j) Interest Dividends.
The percentage of ordinary income distributed during the fiscal year that shareholders may treat as interest income for purposes of IRC Section 163(j), subject to holding period requirements and other limitations.
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, each Trustee
generally serves until December 31 of the year such Trustee turns seventy-five (75).
Independent trustees
|
Name,
address, year of birth |
Position held
with the Columbia Funds and length of service |
Principal occupation(s)
during 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 |
|
George S. Batejan
c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1953 |
Trustee since 2017 | Executive Vice President, Global Head of Technology and Operations, Janus Capital Group, Inc., 2010-2016 | 170 | Former Chairman of the Board, NICSA (National Investment Company Services Association) (Executive Committee, Nominating Committee and Governance Committee), 2014-2016; former Director, Intech Investment Management, 2011-2016; former Board Member, Metro Denver Chamber of Commerce, 2015-2016; former Advisory Board Member, University of Colorado Business School, 2015-2018 |
|
Columbia Corporate Income Fund | Annual Report 2021
|
45 |
TRUSTEES AND OFFICERS (continued)
Independent trustees (continued)
Independent trustees (continued)
|
Name,
address, year of birth |
Position held
with the Columbia Funds and length of service |
Principal occupation(s)
during 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 |
|
Kathleen Blatz
c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1954 |
Trustee since 2006 | Attorney; specializing in arbitration and mediation; Chief Justice, Minnesota Supreme Court, 1998-2006; Associate Justice, Minnesota Supreme Court, 1996-1998; Fourth Judicial District Court Judge, Hennepin County, 1994-1996; Attorney in private practice and public service, 1984-1993; State Representative, Minnesota House of Representatives, 1979-1993, which included service on the Tax and Financial Institutions and Insurance Committees; Member and Interim Chair, Minnesota Sports Facilities Authority, January 2017-July 2017; Interim President and Chief Executive Officer, Blue Cross and Blue Shield of Minnesota (health care insurance), February-July 2018 | 170 | Trustee, BlueCross BlueShield of Minnesota since 2009 (Chair of the Business Development Committee - 2014-2017; Chair of the Governance Committee, 2017-2019); former Member and Chair of the Board, Minnesota Sports Facilities Authority, January 2017-July 2017; Director, Robina Foundation, 2009-2020 (Chair, 2014-2020) |
|
Pamela G. Carlton
c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1954 |
Trustee since 2007 | President, Springboard — Partners in Cross Cultural Leadership (consulting company) since 2003; Managing Director of US Equity Research, JP Morgan Chase, 1999-2003; Director of US Equity Research, Chase Asset Management, 1996-1999; Co-Director Latin America Research, 1993-1996, COO Global Research, 1992-1996, Co-Director of US Research, 1991-1992, Investment Banker, 1982-1991, Morgan Stanley; Attorney at Cleary Gottlieb Steen & Hamilton LLP, 1980-1982 | 170 | Trustee, New York Presbyterian Hospital Board (Executive Committee and Chair of People Committee) since 1996; Director, DR Bank (Audit Committee) since 2017; Director, Evercore Inc. (Audit Committee, Nominating and Governance Committee) since 2019 |
|
Janet Langford Carrig
c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1957 |
Trustee since 1996 | Senior Vice President, General Counsel and Corporate Secretary, ConocoPhillips (independent energy company), September 2007-October 2018 | 168 | Director, EQT Corporation (natural gas producer) since 2019; Director, Whiting Petroleum Corporation (independent oil and gas company) since 2020 |
|
J. Kevin Connaughton
c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1964 |
Trustee since 2020(a) | Member, FINRA National Adjudicatory Council since January 2020; Adjunct Professor of Finance, Bentley University since January 2018; Managing Director and General Manager of Mutual Fund Products, Columbia Management Investment Advisers, LLC, May 2010-February 2015; President, Columbia Funds, 2008-2015; and senior officer of Columbia Funds and affiliated funds, 2003-2015 | 168 | Director, The Autism Project since March 2015; former Member of the Investment Committee, St. Michael’s College, November 2015-February 2020; former Trustee, St. Michael’s College, June 2017-September 2019; former Trustee, New Century Portfolios, January 2015-December 2017 |
|
Olive M. Darragh
c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1962 |
Trustee since 2020(a) | Managing Director of Darragh Inc. (strategy and talent management consulting firm) since 2010; Founder and CEO, Zolio, Inc. (investment management talent identification platform) since 2004; Partner, Tudor Investments, 2004-2010; Senior Partner, McKinsey & Company (consulting), 2001-2004 | 168 | Former Director, University of Edinburgh Business School (Member of US Board); former Director, Boston Public Library Foundation |
| 46 | Columbia Corporate Income Fund | Annual Report 2021 |
TRUSTEES AND OFFICERS (continued)
Independent trustees (continued)
Independent trustees (continued)
|
Name,
address, year of birth |
Position held
with the Columbia Funds and length of service |
Principal occupation(s)
during 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 |
|
Patricia M. Flynn
c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1950 |
Trustee since 2004 | Trustee Professor of Economics and Management, Bentley University since 1976 (also teaches and conducts research on corporate governance); Dean, McCallum Graduate School of Business, Bentley University, 1992-2002 | 170 | Trustee, MA Taxpayers Foundation since 1997; Board of Governors, Innovation Institute, MA Technology Collaborative, 2010-2019; Board of Directors, The MA Business Roundtable, 2003-2019 |
|
Brian J. Gallagher
c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1954 |
Trustee since 2017 | Retired; Partner with Deloitte & Touche LLP and its predecessors, 1977-2016 | 170 | Trustee, Catholic Schools Foundation since 2004 |
|
Douglas A. Hacker
c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1955 |
Co-Chair since 2021; Chair of CFST I and CFVIT since 2014; Trustee of CFST I and CFVIT since 1996 and CFST, CFST II, CFVST II, Columbia ETF Trust I and Columbia ETF Trust II since 2021 | 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 | 168 | Director, Spartan Nash Company (food distributor); Director, Aircastle Limited (Chair of Audit Committee) (aircraft leasing); former Director, Nash Finch Company (food distributor), 2005-2013; former Director, SeaCube Container Leasing Ltd. (container leasing), 2010-2013; and former Director, Travelport Worldwide Limited (travel information technology), 2014-2019 |
|
Nancy T. Lukitsh
c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1956 |
Trustee since 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 | 168 | |
|
David M. Moffett
c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1952 |
Trustee since 2011 | Retired; Consultant to Bridgewater and Associates | 168 | Director, CSX Corporation (transportation suppliers); Director, Genworth Financial, Inc. (financial and insurance products and services); Director, PayPal Holdings Inc. (payment and data processing services); Trustee, University of Oklahoma Foundation; former Director, eBay Inc. (online trading community), 2007-2015; and former Director, CIT Bank, CIT Group Inc. (commercial and consumer finance), 2010-2016 |
|
Columbia Corporate Income Fund | Annual Report 2021
|
47 |
TRUSTEES AND OFFICERS (continued)
Independent trustees (continued)
Independent trustees (continued)
|
Name,
address, year of birth |
Position held
with the Columbia Funds and length of service |
Principal occupation(s)
during 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 |
|
Catherine James Paglia
c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1952 |
Co-Chair since 2021; Chair of CFST, CFST II, CFVST II, Columbia ETF Trust I and Columbia ETF Trust II since 2020; Trustee of CFST, CFST II and CFVST II since 2004 and CFST I and CFVIT since 2021 | Director, Enterprise Asset Management, Inc. (private real estate and asset management company) since September 1998; Managing Director and Partner, Interlaken Capital, Inc., 1989-1997; Vice President, 1982-1985, Principal, 1985-1987, Managing Director, 1987-1989, Morgan Stanley; Vice President, Investment Banking, 1980-1982, Associate, Investment Banking, 1976-1980, Dean Witter Reynolds, Inc. | 170 | Director, Valmont Industries, Inc. (irrigation systems manufacturer) since 2012; Trustee, Carleton College (on the Investment Committee); Trustee, Carnegie Endowment for International Peace (on the Investment Committee) |
|
Anthony M. Santomero
c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1946 |
Trustee since 2008 | Richard K. Mellon Professor Emeritus of Finance, The Wharton School, University of Pennsylvania, since 2002; Senior Advisor, McKinsey & Company (consulting), 2006-2008; President, Federal Reserve Bank of Philadelphia, 2000-2006; Professor of Finance, The Wharton School, University of Pennsylvania, 1972-2002 | 170 | Trustee, Penn Mutual Life Insurance Company since March 2008; Director, RenaissanceRe Holdings Ltd. since May 2008; former Director, Citigroup Inc. and Citibank, N.A., 2009-2019; former Trustee, BofA Funds Series Trust (11 funds), 2008-2011 |
|
Minor M. Shaw
c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1947 |
Trustee since 2003 | President, Micco LLC (private investments) since 2011; President, Micco Corp. (family investment business), 1998-2011 | 170 | Director, BlueCross BlueShield of South Carolina (Chair of Compensation Committee) since April 2008; Trustee, Hollingsworth Funds (on the Investment Committee) since 2016 (previously Board Chair from 2016-2019); Former Advisory Board member, Duke Energy Corp., 2016-2020; Chair of the Duke Endowment; Chair of Greenville – Spartanburg Airport Commission; former Trustee, BofA Funds Series Trust (11 funds), 2003-2011; former Director, Piedmont Natural Gas, 2004-2016; former Director, National Association of Corporate Directors, Carolinas Chapter, 2013-2018; Chair, Daniel-Mickel Foundation |
| 48 | Columbia Corporate Income Fund | Annual Report 2021 |
TRUSTEES AND OFFICERS (continued)
Independent trustees (continued)
Independent trustees (continued)
|
Name,
address, year of birth |
Position held
with the Columbia Funds and length of service |
Principal occupation(s)
during 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 |
|
Natalie A. Trunow
c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1967 |
Trustee since 2020(a) | Chief Executive Officer, Millennial Portfolio Solutions LLC (asset management and consulting services) since January 2016; Non-executive Member of the Investment Committee, Sarona Asset Management Inc. (private equity firm) since September 2019; Advisor, Horizon Investments (asset management and consulting services) since August 2018; Advisor, Paradigm Asset Management since November 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 | 168 | Director, Health Services for Children with Special Needs, Inc.; Director, Consumer Credit Counseling Services (formerly Guidewell Financial Solutions); Independent Director, Investment Committee, Sarona Asset Management |
|
Sandra Yeager
c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1964 |
Trustee since 2017 | Retired; President and founder, Hanoverian Capital, LLC (SEC registered investment advisor firm), 2008-2016; Managing Director, DuPont Capital, 2006-2008; Managing Director, Morgan Stanley Investment Management, 2004-2006; Senior Vice President, Alliance Bernstein, 1990-2004 | 170 | Director, NAPE Education Foundation, October 2016-October 2020 |
| * | The term “Columbia Funds Complex” as used herein includes Columbia Seligman Premium Technology Growth Fund, Tri-Continental Corporation and each series of Columbia Fund Series Trust (CFST), Columbia Funds Series Trust I (CFST I), Columbia Funds Series Trust II (CFST II), Columbia ETF Trust I, Columbia ETF Trust II, Columbia Funds Variable Insurance Trust (CFVIT) and Columbia Funds Variable Series Trust II (CFVST II). Messrs. Batejan, Gallagher, Petersen and Santomero and Mses. Blatz, Carlton, Flynn, Paglia, Shaw and Yeager serve as a director of Columbia Seligman Premium Technology Growth Fund and Tri-Continental Corporation. |
| (a) | J. Kevin Connaughton was appointed a consultant to the Independent Trustees of CFST I and CFVIT effective March 1, 2016. Natalie A. Trunow was appointed a consultant to the Independent Trustees of CFST I and CFVIT effective September 1, 2016. Olive M. Darragh was appointed a consultant to the Independent Trustees of CFST I and CFVIT effective June 10, 2019. Shareholders of the Funds elected Mr. Connaughton and Mses. Darragh and Trunow as Trustees of CFST, CFST I, CFST II, Columbia ETF Trust I, Columbia ETF Trust II, and CFVST II, effective January 1, 2021, and of CFVIT, effective July 1, 2020. |
Interested trustee affiliated with
Investment Manager*
|
Name,
address, year of birth |
Position held with the Columbia Funds 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 |
|
Christopher O. Petersen
c/o Columbia Management Investment Advisers, LLC 5228 Ameriprise Financial Center Minneapolis, MN 55474 1970 |
Trustee since 2020(a) | 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 | 170 | None |
| * | 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. |
| (a) | Mr. Petersen serves as the Senior Vice President and Assistant Secretary of the Columbia Funds (since 2021). |
The Statement of Additional
Information has additional information about the Fund’s Board members and is available, without charge, upon request by calling 800.345.6611, visiting columbiathreadneedleus.com/investor/ or contacting your
financial intermediary.
|
Columbia Corporate Income Fund | Annual Report 2021
|
49 |
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. Petersen, who is Senior Vice President and Assistant Secretary, the Fund’s other officers are:
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. Petersen, who is Senior Vice President and Assistant Secretary, 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 |
|
Daniel J. Beckman
225 Franklin Street Boston, MA 02110 1962 |
President and Principal Executive Officer (2021) | Vice President – Head of North America Product, Columbia Management Investment Advisers, LLC (since April 2015); officer of Columbia Funds and affiliated funds since 2020. |
|
Michael G. Clarke
225 Franklin Street Boston, MA 02110 1969 |
Chief Financial Officer and 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. |
|
Joseph Beranek
5890 Ameriprise Financial Center Minneapolis, MN 55474 1965 |
Treasurer and Chief Accounting Officer (Principal Accounting Officer) (2019) and Principal Financial Officer (2020), CFST, CFST I, CFST II, CFVIT and CFVST II; Assistant Treasurer, Columbia ETF Trust I and Columbia ETF Trust II | 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). |
|
Marybeth Pilat
225 Franklin Street Boston, MA 02110 1968 |
Treasurer and Chief Accounting Officer (Principal Accounting Officer) and Principal Financial Officer (2020) for Columbia ETF Trust I and Columbia ETF Trust II; Assistant Treasurer, CFST, CFST I, CFST II, CFVIT and CFVST II | Vice President – Product Pricing and Administration, Columbia Management Investment Advisers, LLC, since May 2017; Director - Fund Administration, Calvert Investments, August 2015 – March 2017; Vice President - Fund Administration, Legg Mason, May 2015 - July 2015; Vice President - Fund Administration, Columbia Management Investment Advisers, LLC, May 2010 - April 2015. |
|
William F. Truscott
225 Franklin Street Boston, MA 02110 1960 |
Senior Vice President (2001) | Formerly, Trustee of Columbia Funds Complex until January 1, 2021; Chief Executive Officer, Global Asset Management, Ameriprise Financial, Inc. since September 2012; Chairman of the Board and President, Columbia Management Investment Advisers, LLC since July 2004 and February 2012, respectively; Chairman of the Board and Chief Executive Officer, Columbia Management Investment Distributors, Inc. since November 2008 and February 2012, respectively; Chairman of the Board and Director, Threadneedle Asset Management Holdings, Sàrl since March 2013 and December 2008, respectively; senior executive of various entities affiliated with Columbia Threadneedle. |
|
Paul B. Goucher
485 Lexington Avenue New York, NY 10017 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 1972 |
Senior Vice President and Chief Compliance Officer (2012) | Vice President – Asset Management Compliance, Ameriprise Financial, Inc., since May 2010; Chief Compliance Officer, Columbia Acorn/Wanger Funds since December 2015; Chief Compliance Officer, Ameriprise Certificate Company September 2010 – September 2020. |
| 50 | Columbia Corporate Income Fund | Annual Report 2021 |
TRUSTEES AND OFFICERS (continued)
Fund 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 |
|
Colin Moore
225 Franklin Street Boston, MA 02110 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 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); Chief Legal Officer, Columbia Acorn/Wanger Funds, since September 2020; officer of Columbia Funds and affiliated funds since 2005. |
|
Michael E. DeFao
225 Franklin Street Boston, MA 02110 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 1960 |
Vice President (2015) | President, Columbia Management Investment Services Corp. since October 2014; Vice President & Resolution Officer, Ameriprise Trust Company since August 2009. |
Liquidity Risk
Management Program
Pursuant to Rule 22e-4 under the
1940 Act, the Fund has adopted a liquidity risk management program (Program). The Program’s principal objectives include assessing, managing and periodically reviewing the Fund’s liquidity risk. Liquidity
risk is defined as the risk that the Fund could not meet redemption requests without significant dilution of remaining investors’ interests in the Fund.
The Board has appointed the
Investment Manager as the program administrator for the Fund’s Program. The Investment Manager has delegated oversight of the Program to its Liquidity Risk Management Committee (the Committee). At a board
meeting during the fiscal period, the Committee provided the Board with a report addressing the operations of the program and assessing its adequacy and effectiveness of implementation for the period January 1, 2020,
through December 31, 2020, including:
| • | the Fund had sufficient liquidity to both meet redemptions and operate effectively on behalf of shareholders; |
| • | there were no material changes to the Program during the period; |
| • | the implementation of the Program was effective to manage the Fund’s liquidity risk; and |
| • | the Program operated adequately during the period. |
There can be no assurance that the
Program will achieve its objectives in the future. Please refer to the Fund’s prospectus for more information regarding the Fund’s exposure to liquidity risk and other principal risks to which an
investment in the Fund may be subject.
|
Columbia Corporate Income Fund | Annual Report 2021
|
51 |
Results of Meeting of
Shareholders
At a Joint Special Meeting of
Shareholders held on December 22, 2020, shareholders of Columbia Funds Series Trust I elected each of the seventeen nominees for the trustees to the Board of Trustees of Columbia Funds Series Trust I, each to hold
office until he or she dies, retires, resigns or is removed or, if sooner, until the election and qualification of his or her successor, as follows:
| 52 | Columbia Corporate Income Fund | Annual Report 2021 |
Columbia Corporate 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.
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.
© 2021 Columbia Management Investment
Advisers, LLC.
columbiathreadneedleus.com/investor/
ANN136_04_L01_(06/21)
Annual Report
April 30, 2021
April 30, 2021
Columbia Total
Return Bond 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 are no longer sent by mail, unless you specifically
requested paper copies of the reports. Instead, the reports are 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
shareholder 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 Federally Insured • No
Financial Institution Guarantee • May Lose Value
Table of Contents
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If you elect to receive the
shareholder report for Columbia Total Return Bond Fund (the Fund) in paper, mailed to you, the Fund mails one shareholder report to each shareholder address, unless such shareholder elects to receive shareholder
reports from the Fund electronically via e-mail or by having a paper notice mailed to you (Postcard Notice) that your Fund’s shareholder report is available at the Columbia funds’ website
(columbiathreadneedleus.com/investor/). If you would like more than one report in paper to be mailed to you, or would like to elect to receive reports via e-mail or access them through Postcard Notice, please call
shareholder services at 800.345.6611 and additional reports will be sent to you.
Proxy voting policies and
procedures
The policy of the Board of Trustees
is to vote the proxies of the companies in which the Fund holds investments consistent with the procedures as stated in the Statement of Additional Information (SAI). You may obtain a copy of the SAI without charge by
calling 800.345.6611; contacting your financial intermediary; visiting columbiathreadneedleus.com/investor/; or searching the website of the Securities and Exchange Commission (SEC) at sec.gov. Information regarding
how the Fund voted proxies relating to portfolio securities is filed with the SEC by August 31st for the most recent 12-month period ending June 30th of that year, and is available without charge by visiting
columbiathreadneedleus.com/investor/, or searching the website of the SEC at sec.gov.
Quarterly schedule of
investments
The Fund files a complete schedule
of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-PORT. The Fund’s Form N-PORT filings are available on the SEC’s website at sec.gov. The Fund’s
complete schedule of portfolio holdings, as filed on Form N-PORT, 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 Total Return Bond
Fund | Annual Report 2021
Fund at a Glance
Investment objective
The Fund
seeks total return, consisting of current income and capital appreciation.
Portfolio management
Jason Callan
Lead Portfolio Manager
Managed Fund since 2016
Gene Tannuzzo, CFA
Portfolio Manager
Managed Fund since 2017
Alexandre (Alex) Christensen, CFA
Portfolio Manager
Managed Fund since March 2021
Returns for Class A shares are shown
with and without the maximum initial sales charge of 3.00%. Returns for Class C shares are shown with and without the 1.00% contingent deferred sales charge for the first year only. The Fund’s other share
classes are not subject to sales charges and have limited eligibility. Please see the Fund’s prospectus for details. Performance for different share classes will vary based on differences in sales charges and
fees associated with each share class. All results shown assume reinvestment of distributions during the period. Returns do not reflect the deduction of taxes that a shareholder may pay on Fund distributions or on the
redemption of Fund shares. Performance results reflect the effect of any fee waivers or reimbursements of Fund expenses by Columbia Management Investment Advisers, LLC and/or any of its affiliates. Absent these fee
waivers or expense reimbursement arrangements, performance results would have been lower.
The performance information shown
represents past performance and is not a guarantee of future results. The investment return and principal value of your investment will fluctuate so that your shares, when redeemed, may be worth more or less than
their original cost. Current performance may be lower or higher than the performance information shown. You may obtain performance information current to the most recent month-end by contacting your financial
intermediary, visiting columbiathreadneedleus.com/investor/ or calling 800.345.6611.
| * | The returns shown for periods prior to the share class inception date (including returns for the Life of the Fund, if shown, which are since Fund inception) include the returns of the Fund’s oldest share class. These returns are adjusted to reflect any higher class-related operating expenses of the newer share classes, as applicable. Please visit columbiathreadneedleus.com/investor/investment-products/mutual-funds/appended-performance for more information. |
The 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.
Fund performance may be significantly
negatively impacted by the economic impact of the COVID-19 pandemic. The COVID-19 pandemic has adversely impacted economies and capital markets around the world in ways that will likely continue and may change in
unforeseen ways for an indeterminate period. The COVID-19 pandemic may exacerbate pre-existing political, social and economic risks in certain countries and globally.
|
Columbia Total Return Bond Fund | Annual Report 2021
|
3 |
Fund at a Glance (continued)
Performance of a hypothetical $10,000 investment (April 30, 2011 — April 30, 2021)
The chart above shows the change in
value of a hypothetical $10,000 investment in Class A shares of Columbia Total Return Bond 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 April 30, 2021) | |
| Asset-Backed Securities — Non-Agency | 12.9 |
| Commercial Mortgage-Backed Securities - Agency | 0.4 |
| Commercial Mortgage-Backed Securities - Non-Agency | 8.3 |
| Common Stocks | 0.0(a) |
| Convertible Bonds | 0.1 |
| Corporate Bonds & Notes | 22.0 |
| Foreign Government Obligations | 3.0 |
| Money Market Funds | 5.5 |
| Options Purchased Puts | 0.8 |
| Residential Mortgage-Backed Securities - Agency | 16.1 |
| Residential Mortgage-Backed Securities - Non-Agency | 30.5 |
| Senior Loans | 0.0(a) |
| U.S. Treasury Obligations | 0.4 |
| Total | 100.0 |
| (a) | Rounds to zero. |
Percentages indicated are based upon
total investments including options purchased and excluding all other investments in derivatives, if any. The Fund’s portfolio composition is subject to change.
| Quality breakdown (%) (at April 30, 2021) | |
| AAA rating | 21.6 |
| AA rating | 5.4 |
| A rating | 7.8 |
| BBB rating | 23.3 |
| BB rating | 16.1 |
| B rating | 8.1 |
| CCC rating | 1.5 |
| Not rated | 16.2 |
| Total | 100.0 |
Percentages indicated are based
upon total fixed income investments.
Bond ratings apply to the underlying
holdings of the Fund and not the Fund itself and are divided into categories ranging from highest to lowest credit quality, determined by using the middle rating of Moody’s, S&P and Fitch, after dropping the
highest and lowest available ratings. When ratings are available from only two rating agencies, the lower rating is used. When a rating is available from only one rating agency, that rating is used. If a security is
not rated but has a rating by Kroll and/or DBRS, the same methodology is applied to those bonds that would otherwise be not rated. When a bond is not rated by any rating agency, it is designated as “Not
rated.” Credit quality ratings assigned by a rating agency are subjective opinions, not statements of fact, and are subject to change, including daily. The ratings assigned by credit rating agencies are but one
of the considerations that the Investment Manager and/or Fund’s subadviser incorporates into its credit analysis process, along with such other issuer-specific factors as cash flows, capital structure and
leverage ratios, ability to de-leverage (repay) through free cash flow, quality of management, market positioning and access to capital, as well as such security-specific factors as the terms of the security (e.g.,
interest rate and time to maturity) and the amount and type of any collateral.
| 4 | Columbia Total Return Bond Fund | Annual Report 2021 |
Fund at a Glance (continued)
| Market exposure through derivatives investments (% of notional exposure) (at April 30, 2021)(a) | |||
| Long | Short | Net | |
| Fixed Income Derivative Contracts | 97.9 | 3.1 | 101.0 |
| Foreign Currency Derivative Contracts | — | (1.0) | (1.0) |
| Total Notional Market Value of Derivative Contracts | 97.9 | 2.1 | 100.0 |
(a) The Fund has market exposure
(long and/or short) to fixed income 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 Portfolio of Investments, and Note 2 of the Notes to
Financial Statements.
|
Columbia Total Return Bond Fund | Annual Report 2021
|
5 |
Manager Discussion of Fund Performance
For the 12-month period that
ended April 30, 2021, the Fund’s Class A shares returned 10.36% excluding sales charges. The Fund significantly outperformed its benchmark, the Bloomberg Barclays U.S. Aggregate Bond Index, which returned -0.27%
for the same period.
Market overview
The period saw risk assets
benefit from the extraordinary monetary and fiscal policy support that was initiated in March of 2020 as the COVID-19 pandemic led to widespread economic shutdowns. The Federal Reserve (Fed) slashed short-term
interest rates to zero and engaged in broad-based bond purchases even as $1.9 trillion in stimulus under the CARES Act rolled out. As a result, credit-sensitive areas of the bond market rebounded over the second
quarter of 2020 despite rising COVID-19 cases in certain regions.
Credit sentiment wavered in
September 2020 as an additional economic relief package stalled in the Senate and there was speculation around the potential for a disputed outcome to the upcoming presidential election. November’s election
results helped reduce uncertainty, while the emergency use authorization of a pair of COVID-19 vaccines in December raised the prospect of a return to economic normalcy in the coming months. Finalization of a $900
billion relief package as 2020 concluded further boosted sentiment.
Treasury yields began to move off
of historic lows in October of 2020 and continued to drift higher through the first quarter of 2021. The 10-year Treasury yield ended April of 2021 at 1.65%, 101 basis points higher than its starting point of 0.64% 12
months earlier.
The Fund’s most notable
contributors
| • | The Fund’s outperformance relative to the benchmark was largely the result of favorable sector allocation, security selection and positioning with respect to interest rate risk. |
| • | From an asset allocation perspective, the Fund’s weighting toward credit-sensitive sectors, which benefited most directly from strong policy support as the pandemic emerged, drove positive contributions. |
| ○ | In this vein, exposure to securitized sectors including non-agency mortgage-backed securities (MBS), commercial mortgage-backed securities (CMBS) and asset-backed securities (ABS) added to relative performance. |
| ○ | In particular, the decision to increase exposure to non-agency MBS, which had been severely impacted by forced selling as the economy shut down, benefited the Fund’s return, as the segment was boosted by a strong housing market and resilient consumer against a highly supportive policy backdrop. |
| ○ | The Fund’s tactical off-benchmark allocations to below-investment-grade high-yield corporate bonds and emerging market bonds also added to performance. |
| • | Favorable security selection was driven by a preference for issuers within CMBS and both investment-grade and high-yield corporate bonds that had been most negatively impacted by COVID-19 pandemic-driven economic shutdowns. |
| • | With Treasury yields hovering at historically low levels, the Fund lowered overall portfolio duration and corresponding interest rate sensitivity over the third quarter of 2020. This stance benefited performance as Treasury yields moved higher beginning in October 2020. |
The Fund’s most notable
detractors
| • | Sector allocation within investment-grade corporate bonds weighed on return, although this was offset by positive issuer selection. |
Derivative usage
We invested in highly-liquid,
widely traded Treasury futures and interest rate swap contracts to help manage portfolio duration. These enabled us to efficiently implement our yield curve opinions and offset unintended yield curve impacts from
other investments in the portfolio. We also used indexed exposure to credit default swaps to manage the Fund’s overall level of credit risk. On a standalone basis, the Fund’s use of derivatives had a
modestly positive impact on performance.
| 6 | Columbia Total Return Bond Fund | Annual Report 2021 |
Manager Discussion of Fund Performance (continued)
Market risk may affect a single issuer, sector of the economy, industry or the market as a whole. Fixed-income securities present issuer default risk. A rise in interest rates may result in a price decline of fixed-income instruments held by the Fund, negatively impacting its performance and NAV. Falling rates may result in the Fund investing in lower yielding
debt instruments, lowering the Fund’s income and yield. These risks may be heightened for longer maturity and duration securities. 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. Non-investment-grade (high-yield or junk) securities present greater price volatility and more risk to principal and income than higher rated securities. 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. 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 who have contributed to this report. 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 Total Return Bond Fund | Annual Report 2021
|
7 |
Understanding Your Fund’s
Expenses
(Unaudited)
(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.
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.
| 8 | Columbia Total Return Bond Fund | Annual Report 2021 |
Portfolio of Investments
April 30, 2021
April 30, 2021
(Percentages represent value of
investments compared to net assets)
Investments in securities
The accompanying Notes to Financial
Statements are an integral part of this statement.
|
Columbia Total Return Bond Fund | Annual Report 2021
|
9 |
Portfolio of Investments (continued)
April 30, 2021
April 30, 2021
The accompanying Notes to Financial
Statements are an integral part of this statement.
| 10 | Columbia Total Return Bond Fund | Annual Report 2021 |
Portfolio of Investments (continued)
April 30, 2021
April 30, 2021
The accompanying Notes to Financial
Statements are an integral part of this statement.
|
Columbia Total Return Bond Fund | Annual Report 2021
|
11 |
Portfolio of Investments (continued)
April 30, 2021
April 30, 2021
| Commercial Mortgage-Backed Securities - Non-Agency (continued) | ||||
| Issuer |
Coupon
Rate |
Principal
Amount ($) |
Value ($) | |
| Subordinated Series 2018-PRME Class D | ||||
|
1-month USD LIBOR + 1.800%
Floor 1.925% 06/15/2035 |
1.915% | 3,100,000 | 2,847,017 | |
| BX Trust(a),(b) | ||||
| Series 2018-GW Class F | ||||
|
1-month USD LIBOR + 2.420%
Floor 2.420% 05/15/2035 |
2.535% | 5,900,000 | 5,877,884 | |
| Series 2018-GW Class G | ||||
|
1-month USD LIBOR + 2.920%
Floor 2.920% 05/15/2035 |
3.035% | 650,000 | 642,716 | |
| Series 2019-ATL Class C | ||||
|
1-month USD LIBOR + 1.587%
Floor 1.587%, Cap 1.587% 10/15/2036 |
1.702% | 4,361,000 | 4,322,961 | |
| Series 2019-ATL Class D | ||||
|
1-month USD LIBOR + 1.887%
Floor 1.887% 10/15/2036 |
2.002% | 3,801,000 | 3,715,746 | |
| BX Trust(a) | ||||
| Series 2019-OC11 Class E | ||||
| 12/09/2041 | 4.076% | 3,300,000 | 3,349,237 | |
| CHT Mortgage Trust(a),(b) | ||||
| Series 2017-CSMO Class B | ||||
|
1-month USD LIBOR + 1.400%
Floor 1.200% 11/15/2036 |
1.515% | 3,000,000 | 3,001,874 | |
| Series 2017-CSMO Class C | ||||
|
1-month USD LIBOR + 1.500%
Floor 1.350% 11/15/2036 |
1.615% | 5,000,000 | 5,003,123 | |
| Series 2017-CSMO Class D | ||||
|
1-month USD LIBOR + 2.250%
Floor 2.100% 11/15/2036 |
2.365% | 2,000,000 | 2,001,875 | |
| Series 2017-CSMO Class E | ||||
|
1-month USD LIBOR + 3.000%
Floor 3.000% 11/15/2036 |
3.115% | 11,500,000 | 11,514,361 | |
| CLNY Trust(a),(b) | ||||
| Series 2019-IKPR Class A | ||||
|
1-month USD LIBOR + 1.129%
Floor 1.129% 11/15/2038 |
1.244% | 5,000,000 | 4,996,891 | |
| Series 2019-IKPR Class E | ||||
|
1-month USD LIBOR + 2.721%
Floor 2.721% 11/15/2038 |
2.836% | 6,700,000 | 6,482,269 | |
The accompanying Notes to Financial
Statements are an integral part of this statement.
| 12 | Columbia Total Return Bond Fund | Annual Report 2021 |
Portfolio of Investments (continued)
April 30, 2021
April 30, 2021
| Commercial Mortgage-Backed Securities - Non-Agency (continued) | ||||
| Issuer |
Coupon
Rate |
Principal
Amount ($) |
Value ($) | |
| Subordinated Series 2019-SFR2 Class F | ||||
| 05/17/2036 | 4.837% | 1,400,000 | 1,392,758 | |
| Subordinated Series 2019-SFR3 Class F | ||||
| 09/17/2036 | 3.867% | 1,225,000 | 1,250,039 | |
| Subordinated Series 2019-SFR4 Class F | ||||
| 10/17/2036 | 3.684% | 765,000 | 777,836 | |
| Subordinated Series 2020-SFR2 Class E | ||||
| 06/17/2037 | 5.115% | 2,800,000 | 2,957,993 | |
| RETL(a),(b) | ||||
| Subordinated Series 2019-RVP Class C | ||||
|
1-month USD LIBOR + 2.100%
Floor 2.100% 03/15/2036 |
2.215% | 5,465,581 | 5,438,271 | |
| SFO Commercial Mortgage Trust(a),(b),(f) | ||||
| Series 2021-555 Class A | ||||
|
1-month USD LIBOR + 1.150%
Floor 1.150% 05/15/2038 |
1.260% | 19,000,000 | 19,125,780 | |
| Subordinated Series 2021-555 Class B | ||||
|
1-month USD LIBOR + 1.500%
Floor 1.500% 05/15/2038 |
1.610% | 7,700,000 | 7,700,000 | |
| Subordinated Series 2021-555 Class C | ||||
|
1-month USD LIBOR + 1.800%
Floor 1.800% 05/15/2038 |
1.910% | 7,500,000 | 7,500,000 | |
| UBS Commercial Mortgage Trust(a),(b) | ||||
| Series 2018-NYCH Class B | ||||
|
1-month USD LIBOR + 1.250%
Floor 1.250% 02/15/2032 |
1.365% | 4,800,000 | 4,779,955 | |
| Series 2018-NYCH Class E | ||||
|
1-month USD LIBOR + 2.900%
Floor 3.200% 02/15/2032 |
3.015% | 5,737,000 | 5,550,414 | |
| Wells Fargo Commercial Mortgage Trust(a),(b) | ||||
| Series 2017-SMP Class A | ||||
|
1-month USD LIBOR + 0.875%
Floor 0.750% 12/15/2034 |
0.990% | 5,155,000 | 5,138,942 | |
| Wells Fargo Commercial Mortgage Trust(a),(b),(f) | ||||
| Series 2021-FCMT Class A | ||||
|
1-month USD LIBOR + 1.200%
Floor 1.200% 05/15/2031 |
1.300% | 6,250,000 | 6,250,000 | |
|
Total Commercial Mortgage-Backed Securities - Non-Agency
(Cost $249,793,681) |
253,249,323 | |||
| Common Stocks 0.0% | ||
| Issuer | Shares | Value ($) |
| Financials 0.0% | ||
| Insurance 0.0% | ||
| Mr. Cooper Group, Inc.(i) | 4,518 | 155,781 |
| WMI Holdings Corp. Escrow(c),(d),(i) | 2,725 | — |
| Total | 155,781 | |
| Total Financials | 155,781 | |
| Industrials 0.0% | ||
| Airlines 0.0% | ||
| United Airlines Holdings, Inc.(i) | 1,493 | 81,219 |
| Total Industrials | 81,219 | |
|
Total Common Stocks
(Cost $1,511,077) |
237,000 | |
The accompanying Notes to Financial
Statements are an integral part of this statement.
|
Columbia Total Return Bond Fund | Annual Report 2021
|
13 |
Portfolio of Investments (continued)
April 30, 2021
April 30, 2021
The accompanying Notes to Financial
Statements are an integral part of this statement.
| 14 | Columbia Total Return Bond Fund | Annual Report 2021 |
Portfolio of Investments (continued)
April 30, 2021
April 30, 2021
The accompanying Notes to Financial
Statements are an integral part of this statement.
|
Columbia Total Return Bond Fund | Annual Report 2021
|
15 |
Portfolio of Investments (continued)
April 30, 2021
April 30, 2021
| Corporate Bonds & Notes (continued) | ||||
| Issuer |
Coupon
Rate |
Principal
Amount ($) |
Value ($) | |
| Uber Technologies, Inc.(a) | ||||
| 05/15/2025 | 7.500% | 688,000 | 743,538 | |
| 01/15/2028 | 6.250% | 200,000 | 217,091 | |
| Total | 3,472,450 | |||
| Consumer Products 0.1% | ||||
| CD&R Smokey Buyer, Inc.(a) | ||||
| 07/15/2025 | 6.750% | 384,000 | 410,270 | |
| Energizer Holdings, Inc.(a) | ||||
| 03/31/2029 | 4.375% | 382,000 | 379,857 | |
| Mattel, Inc.(a) | ||||
| 12/31/2025 | 6.750% | 90,000 | 94,633 | |
| 04/01/2026 | 3.375% | 247,000 | 255,742 | |
| 12/15/2027 | 5.875% | 446,000 | 489,891 | |
| 04/01/2029 | 3.750% | 765,000 | 782,731 | |
| Mattel, Inc. | ||||
| 11/01/2041 | 5.450% | 28,000 | 32,004 | |
| Newell Brands, Inc. | ||||
| 06/01/2025 | 4.875% | 371,000 | 410,975 | |
| Prestige Brands, Inc.(a) | ||||
| 01/15/2028 | 5.125% | 214,000 | 224,313 | |
| 04/01/2031 | 3.750% | 255,000 | 244,600 | |
| Spectrum Brands, Inc. | ||||
| 07/15/2025 | 5.750% | 202,000 | 207,889 | |
| Spectrum Brands, Inc.(a) | ||||
| 03/15/2031 | 3.875% | 247,000 | 242,134 | |
| Total | 3,775,039 | |||
| Diversified Manufacturing 0.4% | ||||
| BWX Technologies, Inc.(a) | ||||
| 07/15/2026 | 5.375% | 1,111,000 | 1,146,915 | |
| 06/30/2028 | 4.125% | 314,000 | 320,205 | |
| Carrier Global Corp. | ||||
| 04/05/2040 | 3.377% | 4,965,000 | 5,009,152 | |
| CFX Escrow Corp.(a) | ||||
| 02/15/2026 | 6.375% | 349,000 | 371,936 | |
| Gates Global LLC/Co.(a) | ||||
| 01/15/2026 | 6.250% | 876,000 | 918,370 | |
| Resideo Funding, Inc.(a) | ||||
| 11/01/2026 | 6.125% | 408,000 | 430,984 | |
| Stevens Holding Co., Inc.(a) | ||||
| 10/01/2026 | 6.125% | 282,000 | 303,861 | |
| Vertical Holdco GmbH(a) | ||||
| 07/15/2028 | 7.625% | 145,000 | 158,019 | |
| Vertical US Newco, Inc.(a) | ||||
| 07/15/2027 | 5.250% | 340,000 | 356,859 | |
| WESCO Distribution, Inc. | ||||
| 06/15/2024 | 5.375% | 160,000 | 163,079 | |
The accompanying Notes to Financial
Statements are an integral part of this statement.
| 16 | Columbia Total Return Bond Fund | Annual Report 2021 |
Portfolio of Investments (continued)
April 30, 2021
April 30, 2021
The accompanying Notes to Financial
Statements are an integral part of this statement.
|
Columbia Total Return Bond Fund | Annual Report 2021
|
17 |
Portfolio of Investments (continued)
April 30, 2021
April 30, 2021
The accompanying Notes to Financial
Statements are an integral part of this statement.
| 18 | Columbia Total Return Bond Fund | Annual Report 2021 |
Portfolio of Investments (continued)
April 30, 2021
April 30, 2021
The accompanying Notes to Financial
Statements are an integral part of this statement.
|
Columbia Total Return Bond Fund | Annual Report 2021
|
19 |
Portfolio of Investments (continued)
April 30, 2021
April 30, 2021
The accompanying Notes to Financial
Statements are an integral part of this statement.
| 20 | Columbia Total Return Bond Fund | Annual Report 2021 |
Portfolio of Investments (continued)
April 30, 2021
April 30, 2021
The accompanying Notes to Financial
Statements are an integral part of this statement.
|
Columbia Total Return Bond Fund | Annual Report 2021
|
21 |
Portfolio of Investments (continued)
April 30, 2021
April 30, 2021
The accompanying Notes to Financial
Statements are an integral part of this statement.
| 22 | Columbia Total Return Bond Fund | Annual Report 2021 |
Portfolio of Investments (continued)
April 30, 2021
April 30, 2021
The accompanying Notes to Financial
Statements are an integral part of this statement.
|
Columbia Total Return Bond Fund | Annual Report 2021
|
23 |
Portfolio of Investments (continued)
April 30, 2021
April 30, 2021
The accompanying Notes to Financial
Statements are an integral part of this statement.
| 24 | Columbia Total Return Bond Fund | Annual Report 2021 |
Portfolio of Investments (continued)
April 30, 2021
April 30, 2021
The accompanying Notes to Financial
Statements are an integral part of this statement.
|
Columbia Total Return Bond Fund | Annual Report 2021
|
25 |
Portfolio of Investments (continued)
April 30, 2021
April 30, 2021
The accompanying Notes to Financial
Statements are an integral part of this statement.
| 26 | Columbia Total Return Bond Fund | Annual Report 2021 |
Portfolio of Investments (continued)
April 30, 2021
April 30, 2021
The accompanying Notes to Financial
Statements are an integral part of this statement.
|
Columbia Total Return Bond Fund | Annual Report 2021
|
27 |
Portfolio of Investments (continued)
April 30, 2021
April 30, 2021
| Residential Mortgage-Backed Securities - Agency (continued) | ||||
| Issuer |
Coupon
Rate |
Principal
Amount ($) |
Value ($) | |
| Federal National Mortgage Association | ||||
| 08/01/2034 | 5.500% | 56,155 | 65,155 | |
|
10/01/2040-
07/01/2041 |
4.500% | 3,039,149 | 3,422,740 | |
|
08/01/2043-
02/01/2048 |
4.000% | 17,239,357 | 18,917,291 | |
| 06/01/2045 | 3.500% | 1,705,427 | 1,838,305 | |
| CMO Series 2017-72 Class B | ||||
| 09/25/2047 | 3.000% | 8,281,629 | 8,839,999 | |
| Federal National Mortgage Association(h) | ||||
| CMO Series 2012-118 Class BI | ||||
| 12/25/2039 | 3.500% | 777,390 | 22,391 | |
| CMO Series 2020-76 Class EI | ||||
| 11/25/2050 | 2.500% | 15,880,455 | 2,399,149 | |
| CMO Series 2021-3 Class TI | ||||
| 02/25/2051 | 2.500% | 40,642,323 | 7,230,818 | |
| Federal National Mortgage Association(b),(h) | ||||
| CMO Series 2013-101 Class CS | ||||
|
-1.0 x 1-month USD LIBOR + 5.900%
Cap 5.900% 10/25/2043 |
5.794% | 3,237,305 | 651,445 | |
| CMO Series 2014-93 Class ES | ||||
|
-1.0 x 1-month USD LIBOR + 6.150%
Cap 6.150% 01/25/2045 |
6.044% | 1,923,674 | 380,872 | |
| CMO Series 2016-31 Class VS | ||||
|
-1.0 x 1-month USD LIBOR + 6.000%
Cap 6.000% 06/25/2046 |
5.894% | 1,444,409 | 323,921 | |
| CMO Series 2016-53 Class KS | ||||
|
-1.0 x 1-month USD LIBOR + 6.000%
Cap 6.000% 08/25/2046 |
5.894% | 5,780,952 | 1,467,249 | |
| CMO Series 2016-57 Class SA | ||||
|
-1.0 x 1-month USD LIBOR + 6.000%
Cap 6.000% 08/25/2046 |
5.894% | 13,707,906 | 3,348,042 | |
| CMO Series 2017-109 Class SA | ||||
|
-1.0 x 1-month USD LIBOR + 6.150%
Cap 6.150% 01/25/2048 |
6.044% | 6,661,251 | 1,442,928 | |
| CMO Series 2017-20 Class SA | ||||
|
-1.0 x 1-month USD LIBOR + 6.100%
Cap 6.100% 04/25/2047 |
5.994% | 5,986,859 | 1,446,114 | |
The accompanying Notes to Financial
Statements are an integral part of this statement.
| 28 | Columbia Total Return Bond Fund | Annual Report 2021 |
Portfolio of Investments (continued)
April 30, 2021
April 30, 2021
| Residential Mortgage-Backed Securities - Agency (continued) | ||||
| Issuer |
Coupon
Rate |
Principal
Amount ($) |
Value ($) | |
| CMO Series 2020-191 Class UG | ||||
| 12/20/2050 | 3.500% | 21,627,050 | 3,495,344 | |
| CMO Series 2021-16 Class KI | ||||
| 01/20/2051 | 2.500% | 25,845,096 | 3,978,666 | |
| CMO Series 2021-9 Class MI | ||||
| 01/20/2051 | 2.500% | 24,772,781 | 3,360,017 | |
| Government National Mortgage Association(b),(h) | ||||
| CMO Series 2017-130 Class GS | ||||
|
-1.0 x 1-month USD LIBOR + 6.200%
Cap 6.200% 08/20/2047 |
6.084% | 11,228,608 | 3,157,740 | |
| CMO Series 2017-130 Class HS | ||||
|
-1.0 x 1-month USD LIBOR + 6.200%
Cap 6.200% 08/20/2047 |
6.084% | 6,673,541 | 1,599,111 | |
| CMO Series 2017-149 Class BS | ||||
|
-1.0 x 1-month USD LIBOR + 6.200%
Cap 6.200% 10/20/2047 |
6.084% | 9,776,462 | 2,097,052 | |
| CMO Series 2017-163 Class SA | ||||
|
-1.0 x 1-month USD LIBOR + 6.200%
Cap 6.200% 11/20/2047 |
6.084% | 4,709,190 | 1,051,089 | |
| CMO Series 2017-37 Class SB | ||||
|
-1.0 x 1-month USD LIBOR + 6.150%
Cap 6.150% 03/20/2047 |
6.034% | 6,179,390 | 1,354,881 | |
| CMO Series 2018-103 Class SA | ||||
|
-1.0 x 1-month USD LIBOR + 6.200%
Cap 6.200% 08/20/2048 |
6.084% | 6,481,364 | 1,162,017 | |
| CMO Series 2018-112 Class LS | ||||
|
-1.0 x 1-month USD LIBOR + 6.200%
Cap 6.200% 08/20/2048 |
6.084% | 7,206,125 | 1,579,050 | |
| CMO Series 2018-125 Class SK | ||||
|
-1.0 x 1-month USD LIBOR + 6.250%
Cap 6.250% 09/20/2048 |
6.134% | 8,202,570 | 1,661,476 | |
| CMO Series 2018-134 Class KS | ||||
|
-1.0 x 1-month USD LIBOR + 6.200%
Cap 6.200% 10/20/2048 |
6.084% | 6,884,463 | 1,368,111 | |
The accompanying Notes to Financial
Statements are an integral part of this statement.
|
Columbia Total Return Bond Fund | Annual Report 2021
|
29 |
Portfolio of Investments (continued)
April 30, 2021
April 30, 2021
The accompanying Notes to Financial
Statements are an integral part of this statement.
| 30 | Columbia Total Return Bond Fund | Annual Report 2021 |
Portfolio of Investments (continued)
April 30, 2021
April 30, 2021
| Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
| Issuer |
Coupon
Rate |
Principal
Amount ($) |
Value ($) | |
| BRAVO Residential Funding Trust(a),(g) | ||||
| CMO Series 2019-NQM2 Class A3 | ||||
| 11/25/2059 | 3.108% | 886,621 | 902,358 | |
| CMO Series 2019-NQM2 Class M1 | ||||
| 11/25/2059 | 3.451% | 1,700,000 | 1,667,159 | |
| BVRT Financing Trust(a),(b),(d) | ||||
| CMO Series 2020-CRT1 Class M3 | ||||
|
1-month USD LIBOR + 4.000%
07/10/2032 |
4.111% | 11,000,000 | 11,055,000 | |
| CMO Series 2021-CRT2 Class M1 | ||||
|
1-month USD LIBOR + 1.750%
Floor 1.750% 11/10/2032 |
1.861% | 5,354,745 | 5,354,745 | |
| CMO Series 2021-CRT3 Class B1 | ||||
|
30-day Average SOFR + 4.300%
Floor 4.300% 01/10/2031 |
4.311% | 10,000,000 | 10,000,000 | |
| CMO Series 2021-CRT3 Class M2 | ||||
|
30-day Average SOFR + 2.050%
Floor 2.050% 01/10/2031 |
2.061% | 2,140,000 | 2,140,000 | |
| CMO Series 2021-CRT3 Class M3 | ||||
|
30-day Average SOFR + 3.150%
Floor 3.150% 01/10/2031 |
3.161% | 3,100,000 | 3,100,000 | |
| BVRT Financing Trust(a),(b) | ||||
| CMO Series 2021-1F Class M1 | ||||
|
30-day Average SOFR + 1.550%
Floor 1.550% 03/15/2038 |
1.610% | 6,918,246 | 6,918,597 | |
| BVRT Financing Trust(a),(b),(c),(d) | ||||
| CMO Series 2021-2F Class M1 | ||||
|
30-day Average SOFR + 1.550%
Floor 1.550% 01/10/2032 |
1.566% | 6,400,000 | 6,400,000 | |
| CMO Series 2021-CRT1 Class M1 | ||||
|
1-month USD LIBOR + 1.750%
Floor 1.750% 01/10/2033 |
1.861% | 10,075,221 | 10,086,837 | |
| CMO Series 2021-CRT1 Class M2 | ||||
|
1-month USD LIBOR + 2.250%
Floor 2.250% 01/10/2033 |
2.361% | 12,700,000 | 12,714,643 | |
| CMO Series 2021-CRT1 Class M3 | ||||
|
1-month USD LIBOR + 2.750%
Floor 3.000% 01/10/2033 |
3.000% | 20,000,000 | 19,860,520 | |
| CHL GMSR Issuer Trust(a),(b) | ||||
| CMO Series 2018-GT1 Class A | ||||
|
1-month USD LIBOR + 1.000%
05/25/2023 |
2.856% | 6,600,000 | 6,582,575 | |
The accompanying Notes to Financial
Statements are an integral part of this statement.
|
Columbia Total Return Bond Fund | Annual Report 2021
|
31 |
Portfolio of Investments (continued)
April 30, 2021
April 30, 2021
The accompanying Notes to Financial
Statements are an integral part of this statement.
| 32 | Columbia Total Return Bond Fund | Annual Report 2021 |
Portfolio of Investments (continued)
April 30, 2021
April 30, 2021
| Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
| Issuer |
Coupon
Rate |
Principal
Amount ($) |
Value ($) | |
| NRZ Excess Spread-Collateralized Notes(a) | ||||
| Series 2020-PLS1 Class A | ||||
| 12/25/2025 | 3.844% | 5,306,566 | 5,363,902 | |
| Oaktown Re II Ltd.(a),(b) | ||||
| CMO Series 2018-1A Class M1 | ||||
|
1-month USD LIBOR + 1.550%
07/25/2028 |
1.656% | 1,032,766 | 1,033,195 | |
| Oaktown Re III Ltd.(a),(b) | ||||
| CMO Series 2019-1A Class M1A | ||||
|
1-month USD LIBOR + 1.400%
Floor 1.400% 07/25/2029 |
1.506% | 116,746 | 116,778 | |
| CMO Series 2019-1A Class M1B | ||||
|
1-month USD LIBOR + 1.950%
Floor 1.950% 07/25/2029 |
2.056% | 5,000,000 | 5,021,401 | |
| Oaktown Re Ltd.(a),(b) | ||||
| Subordinated CMO Series 2017-1A Class M2 | ||||
|
1-month USD LIBOR + 4.000%
04/25/2027 |
4.106% | 530,105 | 531,646 | |
| Oaktown Re V Ltd.(a),(b) | ||||
| CMO Series 2020-2A Class M1B | ||||
|
1-month USD LIBOR + 3.600%
Floor 3.600% 10/25/2030 |
3.706% | 8,600,000 | 8,663,002 | |
| Oaktown Re VI Ltd.(a),(b) | ||||
| CMO Series 2021-1A Class M1B | ||||
|
30-day Average SOFR + 2.050%
Floor 2.050% 10/25/2033 |
2.060% | 4,000,000 | 4,033,572 | |
| OMSR(a) | ||||
| CMO Series 2019-PLS1 Class A | ||||
| 11/25/2024 | 5.069% | 3,801,628 | 3,819,497 | |
| OSAT Trust(a),(g) | ||||
| CMO Series 2020-RPL1 Class A1 | ||||
| 12/26/2059 | 3.072% | 6,576,529 | 6,619,635 | |
| 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 |
2.109% | 4,894,874 | 4,741,090 | |
| Series 2019-2R Class A | ||||
|
1-month USD LIBOR + 2.750%
Floor 2.750% 05/27/2023 |
2.861% | 5,073,839 | 4,936,162 | |
| PNMAC GMSR Issuer Trust(a),(b) | ||||
| CMO Series 2018-GT1 Class A | ||||
|
1-month USD LIBOR + 2.850%
Floor 2.850% 02/25/2023 |
2.956% | 26,000,000 | 25,970,227 | |
The accompanying Notes to Financial
Statements are an integral part of this statement.
|
Columbia Total Return Bond Fund | Annual Report 2021
|
33 |
Portfolio of Investments (continued)
April 30, 2021
April 30, 2021
| Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
| Issuer |
Coupon
Rate |
Principal
Amount ($) |
Value ($) | |
| Vericrest Opportunity Loan Transferee XCVI LLC(a),(g) | ||||
| CMO Series 2021-NPL5 Class A1 | ||||
| 03/27/2051 | 2.116% | 10,741,786 | 10,734,287 | |
| Vericrest Opportunity Loan Trust(a),(g) | ||||
| CMO Series 2020-NPL6 Class A1B | ||||
| 04/25/2050 | 4.949% | 5,800,000 | 5,800,517 | |
| Verus Securitization Trust(a),(g) | ||||
| CMO Series 2020-4 Class M1 | ||||
| 06/25/2065 | 3.291% | 4,000,000 | 4,152,001 | |
| CMO Series 2020-NPL1 Class A1 | ||||
| 08/25/2050 | 3.598% | 8,077,930 | 8,114,843 | |
| CMO Series 2021-R1 Class A1 | ||||
| 10/25/2063 | 0.820% | 6,910,735 | 6,884,991 | |
| Visio Trust(a),(g) | ||||
| CMO Series 2019-2 Class A3 | ||||
| 11/25/2054 | 3.076% | 2,714,020 | 2,773,587 | |
| Visio Trust(a),(p) | ||||
| CMO Series 2021-1R Class A1 | ||||
| 05/25/2056 | 1.280% | 15,000,000 | 14,999,924 | |
| CMO Series 2021-1R Class A2 | ||||
| 05/25/2056 | 1.484% | 4,750,000 | 4,749,933 | |
|
Total Residential Mortgage-Backed Securities - Non-Agency
(Cost $915,688,237) |
931,966,884 | |||
| Senior Loans 0.0% | ||||
| Borrower |
Coupon
Rate |
Principal
Amount ($) |
Value ($) | |
| Consumer Cyclical Services 0.0% | ||||
| 8th Avenue Food & Provisions, Inc.(b),(q) | ||||
| 1st Lien Term Loan | ||||
|
1-month USD LIBOR + 3.500%
10/01/2025 |
3.608% | 119,718 | 119,469 | |
| 2nd Lien Term Loan | ||||
|
1-month USD LIBOR + 7.750%
10/01/2026 |
7.858% | 32,969 | 32,639 | |
| Total | 152,108 | |||
| Food and Beverage 0.0% | ||||
| BellRing Brands LLC(b),(q) | ||||
| Term Loan | ||||
|
1-month USD LIBOR + 4.000%
Floor 0.750% 10/21/2024 |
4.750% | 89,636 | 90,196 | |
| Froneri International Ltd.(b),(q) | ||||
| 2nd Lien Term Loan | ||||
|
1-month USD LIBOR + 5.750%
01/31/2028 |
5.863% | 25,000 | 25,203 | |
| Total | 115,399 | |||
The accompanying Notes to Financial
Statements are an integral part of this statement.
| 34 | Columbia Total Return Bond Fund | Annual Report 2021 |
Portfolio of Investments (continued)
April 30, 2021
April 30, 2021
| Options Purchased Puts 0.9% | ||||
| Value ($) | ||||
| (Cost $5,859,000) | 22,766,786 | |||
| Money Market Funds 6.6% | ||
| Shares | Value ($) | |
| Columbia Short-Term Cash Fund, 0.054%(r),(s) | 167,917,706 | 167,900,915 |
|
Total Money Market Funds
(Cost $167,883,618) |
167,900,915 | |
|
Total Investments in Securities
(Cost: $2,991,579,036) |
3,051,495,309 | |
| Other Assets & Liabilities, Net | (506,888,306) | |
| Net Assets | 2,544,607,003 | |
At April 30, 2021,
securities and/or cash totaling $38,686,080 were pledged as collateral.
Investments in
derivatives
| Forward foreign currency exchange contracts | |||||
|
Currency to
be sold |
Currency to
be purchased |
Counterparty |
Settlement
date |
Unrealized
appreciation ($) |
Unrealized
depreciation ($) |
| 9,790,000 EUR | 11,720,245 USD | UBS | 05/21/2021 | — | (53,832) |
| Long futures contracts | ||||||
| Description |
Number of
contracts |
Expiration
date |
Trading
currency |
Notional
amount |
Value/Unrealized
appreciation ($) |
Value/Unrealized
depreciation ($) |
| U.S. Treasury 10-Year Note | 5,799 | 06/2021 | USD | 765,649,219 | — | (7,217,293) |
| U.S. Treasury 2-Year Note | 501 | 06/2021 | USD | 110,599,664 | — | (96,872) |
| U.S. Treasury 5-Year Note | 844 | 06/2021 | USD | 104,603,250 | — | (878,699) |
| U.S. Ultra Treasury Bond | 301 | 06/2021 | USD | 55,957,781 | — | (1,804,517) |
| Total | — | (9,997,381) | ||||
The accompanying Notes to
Financial Statements are an integral part of this statement.
|
Columbia Total Return Bond Fund | Annual Report 2021
|
35 |
Portfolio of Investments (continued)
April 30, 2021
April 30, 2021
| Put option contracts purchased | ||||||||
| Description | Counterparty |
Trading
currency |
Notional
amount |
Number of
contracts |
Exercise
price/Rate |
Expiration
date |
Cost ($) | Value ($) |
| 10-Year OTC interest rate swap with Citi to receive 3-Month USD LIBOR BBA and pay exercise rate | Citi | USD | 140,000,000 | 140,000,000 | 1.00 | 09/30/2021 | 2,436,000 | 9,831,206 |
| 10-Year OTC interest rate swap with Citi to receive 3-Month USD LIBOR BBA and pay exercise rate | Citi | USD | 150,000,000 | 150,000,000 | 1.25 | 12/03/2021 | 2,325,000 | 8,150,595 |
| 10-Year OTC interest rate swap with Morgan Stanley to receive 3-Month USD LIBOR BBA and pay exercise rate | Morgan Stanley | USD | 90,000,000 | 90,000,000 | 1.25 | 11/18/2021 | 1,098,000 | 4,784,985 |
| Total | 5,859,000 | 22,766,786 | ||||||
| Cleared interest rate swap contracts | |||||||||||
| Fund receives | Fund pays |
Payment
frequency |
Counterparty |
Maturity
date |
Notional
currency |
Notional
amount |
Value
($) |
Upfront
payments ($) |
Upfront
receipts ($) |
Unrealized
appreciation ($) |
Unrealized
depreciation ($) |
| Fixed rate of 2.372% | U.S. CPI Urban Consumers NSA | Receives at Maturity, Pays at Maturity | Morgan Stanley | 02/17/2031 | USD | 103,800,000 | (2,621,903) | — | — | — | (2,621,903) |
| 3-Month USD LIBOR | Fixed rate of 1.635% | Receives Quarterly, Pays SemiAnnually | Morgan Stanley | 03/18/2031 | USD | 67,000,000 | (56,359) | — | — | — | (56,359) |
| Total | (2,678,262) | — | — | — | (2,678,262) | ||||||
| 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 ($) |
| Markit CDX North America High Yield Index, Series 36 | Morgan Stanley | 06/20/2026 | 5.000 | Quarterly | USD | 176,655,000 | (3,172,743) | — | — | — | (3,172,743) |
The accompanying Notes to Financial
Statements are an integral part of this statement.
| 36 | Columbia Total Return Bond Fund | Annual Report 2021 |
Portfolio of Investments (continued)
April 30, 2021
April 30, 2021
| Credit default swap contracts - sell protection | |||||||||||||
|
Reference
entity |
Counterparty |
Maturity
date |
Receive
fixed rate (%) |
Payment
frequency |
Implied
credit spread (%)* |
Notional
currency |
Notional
amount |
Value
($) |
Periodic
payments receivable (payable) ($) |
Upfront
payments ($) |
Upfront
receipts ($) |
Unrealized
appreciation ($) |
Unrealized
depreciation ($) |
| Markit CMBX North America Index, Series 10 BBB- | Citi | 11/17/2059 | 3.000 | Monthly | 5.435 | USD | 4,000,000 | (453,124) | 2,000 | — | (912,182) | 461,058 | — |
| Markit CMBX North America Index, Series 10 BBB- | Citi | 11/17/2059 | 3.000 | Monthly | 5.435 | USD | 3,500,000 | (396,484) | 1,750 | — | (747,804) | 353,070 | — |
| Markit CMBX North America Index, Series 10 BBB- | Citi | 11/17/2059 | 3.000 | Monthly | 5.435 | USD | 7,000,000 | (792,969) | 3,500 | — | (875,846) | 86,377 | — |
| Markit CMBX North America Index, Series 10 BBB- | Citi | 11/17/2059 | 3.000 | Monthly | 5.435 | USD | 5,000,000 | (566,406) | 2,500 | — | (622,585) | 58,679 | — |
| Markit CMBX North America Index, Series 11 BBB- | Citi | 11/18/2054 | 3.000 | Monthly | 3.925 | USD | 4,700,000 | (240,875) | 2,350 | — | (248,865) | 10,340 | — |
| Markit CMBX North America Index, Series 10 BBB- | JPMorgan | 11/17/2059 | 3.000 | Monthly | 5.435 | USD | 9,200,000 | (1,042,187) | 4,600 | — | (1,779,786) | 742,199 | — |
| Markit CMBX North America Index, Series 10 BBB- | JPMorgan | 11/17/2059 | 3.000 | Monthly | 5.435 | USD | 12,000,000 | (1,359,374) | 6,000 | — | (1,956,186) | 602,812 | — |
| Markit CMBX North America Index, Series 10 BBB- | JPMorgan | 11/17/2059 | 3.000 | Monthly | 5.435 | USD | 5,000,000 | (566,406) | 2,500 | — | (1,129,174) | 565,268 | — |
| Markit CMBX North America Index, Series 10 BBB- | JPMorgan | 11/17/2059 | 3.000 | Monthly | 5.435 | USD | 5,000,000 | (566,406) | 2,500 | — | (874,697) | 310,791 | — |
| Markit CMBX North America Index, Series 10 BBB- | JPMorgan | 11/17/2059 | 3.000 | Monthly | 5.435 | USD | 5,000,000 | (566,406) | 2,500 | — | (842,280) | 278,374 | — |
| Markit CMBX North America Index, Series 11 BBB- | JPMorgan | 11/18/2054 | 3.000 | Monthly | 3.925 | USD | 3,000,000 | (153,750) | 1,500 | — | (459,908) | 307,658 | — |
| Markit CMBX North America Index, Series 10 BBB- | Morgan Stanley | 11/17/2059 | 3.000 | Monthly | 5.435 | USD | 7,000,000 | (792,968) | 3,500 | — | (1,576,298) | 786,830 | — |
| Markit CMBX North America Index, Series 10 BBB- | Morgan Stanley | 11/17/2059 | 3.000 | Monthly | 5.435 | USD | 5,000,000 | (566,406) | 2,500 | — | (1,021,937) | 458,031 | — |
| Markit CMBX North America Index, Series 10 BBB- | Morgan Stanley | 11/17/2059 | 3.000 | Monthly | 5.435 | USD | 7,000,000 | (792,969) | 3,500 | — | (1,179,192) | 389,723 | — |
| Markit CMBX North America Index, Series 10 BBB- | Morgan Stanley | 11/17/2059 | 3.000 | Monthly | 5.435 | USD | 3,000,000 | (339,844) | 1,500 | — | (595,033) | 256,689 | — |
| Markit CMBX North America Index, Series 11 BBB- | Morgan Stanley | 11/18/2054 | 3.000 | Monthly | 3.925 | USD | 3,500,000 | (179,375) | 1,750 | — | (529,826) | 352,201 | — |
| Markit CMBX North America Index, Series 12 BBB- | Morgan Stanley | 08/17/2061 | 3.000 | Monthly | 3.927 | USD | 3,500,000 | (199,063) | 1,750 | — | (540,509) | 343,196 | — |
| Total | (9,575,012) | 46,200 | — | (15,892,108) | 6,363,296 | — | |||||||
The accompanying Notes to Financial
Statements are an integral part of this statement.
|
Columbia Total Return Bond Fund | Annual Report 2021
|
37 |
Portfolio of Investments (continued)
April 30, 2021
April 30, 2021
| * | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues as of period end serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
Notes to Portfolio of
Investments
| (a) | Represents privately placed and other securities and instruments exempt from Securities and Exchange Commission registration (collectively, private placements), such as Section 4(a)(2) and Rule 144A eligible securities, which are often sold only to qualified institutional buyers. At April 30, 2021, the total value of these securities amounted to $1,845,753,120, which represents 72.54% of total net assets. |
| (b) | Variable rate security. The interest rate shown was the current rate as of April 30, 2021. |
| (c) | Represents fair value as determined in good faith under procedures approved by the Board of Trustees. At April 30, 2021, the total value of these securities amounted to $83,496,793, which represents 3.28% of total net assets. |
| (d) | Valuation based on significant unobservable inputs. |
| (e) | Zero coupon bond. |
| (f) | Represents a security purchased on a when-issued basis. |
| (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 April 30, 2021. |
| (h) | Represents interest only securities which have the right to receive the monthly interest payments on an underlying pool of mortgage loans. |
| (i) | Non-income producing investment. |
| (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 April 30, 2021. |
| (k) | Payment-in-kind security. Interest can be paid by issuing additional par of the security or in cash. |
| (l) | Represents securities that have defaulted on payment of interest. The Fund has stopped accruing interest on these securities. At April 30, 2021, the total value of these securities amounted to $41,069, which represents less than 0.01% of total net assets. |
| (m) | Principal amounts are denominated in United States Dollars unless otherwise noted. |
| (n) | Principal and interest may not be guaranteed by a governmental entity. |
| (o) | This security or a portion of this security has been pledged as collateral in connection with derivative contracts. |
| (p) | Represents a security purchased on a forward commitment basis. |
| (q) | The stated interest rate represents the weighted average interest rate at April 30, 2021 of contracts within the senior loan facility. Interest rates on contracts are primarily determined either weekly, monthly or quarterly by reference to the indicated base lending rate and spread and the reset period. These base lending rates are primarily the LIBOR and other short-term rates. Base lending rates may be subject to a floor or minimum rate. The interest rate for senior loans purchased on a when-issued or delayed delivery basis will be determined upon settlement, therefore no interest rate is disclosed. Senior loans often require prepayments from excess cash flows or permit the borrowers to repay at their election. The degree to which borrowers repay, cannot be predicted with accuracy. As a result, remaining maturities of senior loans may be less than the stated maturities. Generally, the Fund is contractually obligated to receive approval from the agent bank and/or borrower prior to the disposition of a senior loan. |
| (r) | The rate shown is the seven-day current annualized yield at April 30, 2021. |
| (s) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the year ended April 30, 2021 are as follows: |
| Affiliated issuers |
Beginning
of period($) |
Purchases($) | Sales($) |
Net change in
unrealized appreciation (depreciation)($) |
End of
period($) |
Realized gain
(loss)($) |
Dividends($) |
End of
period shares |
| Columbia Short-Term Cash Fund, 0.054% | ||||||||
| 153,141,394 | 1,200,605,111 | (1,185,800,262) | (45,328) | 167,900,915 | 12,958 | 172,045 | 167,917,706 | |
The accompanying Notes to Financial Statements are
an integral part of this statement.
| 38 | Columbia Total Return Bond Fund | Annual Report 2021 |
Portfolio of Investments (continued)
April 30, 2021
April 30, 2021
Abbreviation Legend
| CMO | Collateralized Mortgage Obligation |
| CMT | Constant Maturity Treasury |
| LIBOR | London Interbank Offered Rate |
| SOFR | Secured Overnight Financing Rate |
| STRIPS | Separate Trading of Registered Interest and Principal Securities |
| TBA | To Be Announced |
Currency Legend
| EUR | Euro |
| USD | US Dollar |
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 April 30, 2021:
| Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | |
| Investments in Securities | ||||
| Asset-Backed Securities — Non-Agency | — | 384,529,769 | 9,110,923 | 393,640,692 |
| Commercial Mortgage-Backed Securities - Agency | — | 11,048,705 | — | 11,048,705 |
| Commercial Mortgage-Backed Securities - Non-Agency | — | 253,249,323 | — | 253,249,323 |
| Common Stocks | ||||
| Financials | 155,781 | — | — | 155,781 |
| Industrials | 81,219 | — | — | 81,219 |
| Total Common Stocks | 237,000 | — | — | 237,000 |
The accompanying Notes to Financial Statements are
an integral part of this statement.
|
Columbia Total Return Bond Fund | Annual Report 2021
|
39 |
Portfolio of Investments (continued)
April 30, 2021
April 30, 2021
Fair value measurements (continued)
| Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | |
| Convertible Bonds | — | 1,918,954 | — | 1,918,954 |
| Corporate Bonds & Notes | — | 672,168,928 | 41,069 | 672,209,997 |
| Foreign Government Obligations | — | 91,075,993 | — | 91,075,993 |
| Residential Mortgage-Backed Securities - Agency | — | 491,948,666 | — | 491,948,666 |
| Residential Mortgage-Backed Securities - Non-Agency | — | 818,433,915 | 113,532,969 | 931,966,884 |
| Senior Loans | — | 936,209 | — | 936,209 |
| U.S. Treasury Obligations | 12,595,185 | — | — | 12,595,185 |
| Options Purchased Puts | — | 22,766,786 | — | 22,766,786 |
| Money Market Funds | 167,900,915 | — | — | 167,900,915 |
| Total Investments in Securities | 180,733,100 | 2,748,077,248 | 122,684,961 | 3,051,495,309 |
| Investments in Derivatives | ||||
| Asset | ||||
| Swap Contracts | — | 7,002,511 | — | 7,002,511 |
| Liability | ||||
| Forward Foreign Currency Exchange Contracts | — | (53,832) | — | (53,832) |
| Futures Contracts | (9,997,381) | — | — | (9,997,381) |
| Options Contracts Written | — | (3,240,810) | — | (3,240,810) |
| Swap Contracts | — | (5,851,005) | — | (5,851,005) |
| Total | 170,735,719 | 2,745,934,112 | 122,684,961 | 3,039,354,792 |
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 following table is a
reconciliation of Level 3 assets for which significant observable and unobservable inputs were used to determine fair value:
(a) Change in unrealized
appreciation (depreciation) relating to securities held at April 30, 2021 was $1,608,195, which is comprised of Asset-Backed Securities — Non-Agency of $1,600,535 and Residential Mortgage-Backed Securities
— Non-Agency of $7,660.
The Fund’s assets assigned to
the Level 3 category are valued utilizing the valuation technique deemed the most appropriate in the circumstances.
Certain corporate bonds and common
stock classified as Level 3 are valued using a market approach. To determine fair value for these securities, management considered various factors which may have included, but were not limited to, trades of similar
securities, estimated earnings of the respective company, market multiples derived from a set of comparable companies, and the position of the security within the respective company’s capital structure.
Significant increases (decreases) to any of these inputs would have resulted in a significantly higher (lower) fair value measurement. Generally, a change in estimated earnings of the respective company might result
in change to the comparable companies and market multiples.
Certain residential mortgage backed
securities and asset backed securities classified as Level 3 securities are valued using the market approach and utilize single market quotations from broker dealers which may have included, but 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 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.
| 40 | Columbia Total Return Bond Fund | Annual Report 2021 |
Statement of Assets and Liabilities
April 30, 2021
April 30, 2021
| Assets | |
| Investments in securities, at value | |
| Unaffiliated issuers (cost $2,817,836,418) | $2,860,827,608 |
| Affiliated issuers (cost $167,883,618) | 167,900,915 |
| Options purchased (cost $5,859,000) | 22,766,786 |
| Cash | 6,196 |
| Foreign currency (cost $456,951) | 456,382 |
| Cash collateral held at broker for: | |
| Swap contracts | 6,018,000 |
| Margin deposits on: | |
| Swap contracts | 18,358,628 |
| Unrealized appreciation on swap contracts | 7,002,511 |
| Upfront payments on swap contracts | 462,090 |
| Receivable for: | |
| Investments sold on a delayed delivery basis | 97,970 |
| Capital shares sold | 17,780,048 |
| Dividends | 6,635 |
| Interest | 11,980,203 |
| Foreign tax reclaims | 65,142 |
| Variation margin for futures contracts | 398,859 |
| Variation margin for swap contracts | 296,971 |
| Expense reimbursement due from Investment Manager | 9,054 |
| Prepaid expenses | 31,585 |
| Trustees’ deferred compensation plan | 372,281 |
| Total assets | 3,114,837,864 |
| Liabilities | |
| Option contracts written, at value (premiums received $3,488,250) | 3,240,810 |
| Unrealized depreciation on forward foreign currency exchange contracts | 53,832 |
| Upfront receipts on swap contracts | 15,892,108 |
| Payable for: | |
| Investments purchased | 67,625,080 |
| Investments purchased on a delayed delivery basis | 472,372,604 |
| Capital shares purchased | 3,070,407 |
| Distributions to shareholders | 7,058,948 |
| Variation margin for swap contracts | 217,732 |
| Management services fees | 33,397 |
| Distribution and/or service fees | 5,994 |
| Transfer agent fees | 195,319 |
| Compensation of board members | 7,758 |
| Compensation of chief compliance officer | 80 |
| Other expenses | 84,511 |
| Trustees’ deferred compensation plan | 372,281 |
| Total liabilities | 570,230,861 |
| Net assets applicable to outstanding capital stock | $2,544,607,003 |
| Represented by | |
| Paid in capital | 2,486,309,992 |
| Total distributable earnings (loss) | 58,297,011 |
| Total - representing net assets applicable to outstanding capital stock | $2,544,607,003 |
The accompanying Notes to Financial Statements are
an integral part of this statement.
|
Columbia Total Return Bond Fund | Annual Report 2021
|
41 |
Statement of Assets and Liabilities (continued)
April 30, 2021
April 30, 2021
| Class A | |
| Net assets | $786,976,436 |
| Shares outstanding | 20,841,582 |
| Net asset value per share | $37.76 |
| Maximum sales charge | 3.00% |
| Maximum offering price per share (calculated by dividing the net asset value per share by 1.0 minus the maximum sales charge for Class A shares) | $38.93 |
| Advisor Class | |
| Net assets | $159,565,191 |
| Shares outstanding | 4,230,864 |
| Net asset value per share | $37.71 |
| Class C | |
| Net assets | $20,492,173 |
| Shares outstanding | 542,581 |
| Net asset value per share | $37.77 |
| Institutional Class | |
| Net assets | $1,062,540,341 |
| Shares outstanding | 28,121,695 |
| Net asset value per share | $37.78 |
| Institutional 2 Class | |
| Net assets | $155,945,065 |
| Shares outstanding | 4,135,454 |
| Net asset value per share | $37.71 |
| Institutional 3 Class | |
| Net assets | $354,336,113 |
| Shares outstanding | 9,376,901 |
| Net asset value per share | $37.79 |
| Class R | |
| Net assets | $4,751,684 |
| Shares outstanding | 125,787 |
| Net asset value per share | $37.78 |
The accompanying Notes to Financial Statements are
an integral part of this statement.
| 42 | Columbia Total Return Bond Fund | Annual Report 2021 |
Statement of Operations
Year Ended April 30, 2021
Year Ended April 30, 2021
| Net investment income | |
| Income: | |
| Dividends — unaffiliated issuers | $104,092 |
| Dividends — affiliated issuers | 172,045 |
| Interest | 86,987,267 |
| Total income | 87,263,404 |
| Expenses: | |
| Management services fees | 11,286,582 |
| Distribution and/or service fees | |
| Class A | 1,902,589 |
| Class C | 224,460 |
| Class R | 16,598 |
| Transfer agent fees | |
| Class A | 896,580 |
| Advisor Class | 142,036 |
| Class C | 26,459 |
| Institutional Class | 1,000,160 |
| Institutional 2 Class | 58,513 |
| Institutional 3 Class | 32,609 |
| Class R | 3,897 |
| Compensation of board members | 51,140 |
| Custodian fees | 49,760 |
| Printing and postage fees | 166,165 |
| Registration fees | 195,709 |
| Audit fees | 49,500 |
| Legal fees | 50,447 |
| Interest on collateral | 10,957 |
| Compensation of chief compliance officer | 750 |
| Other | 96,409 |
| Total expenses | 16,261,320 |
| Fees waived or expenses reimbursed by Investment Manager and its affiliates | (3,190,003) |
| Fees waived by transfer agent | |
| Institutional 2 Class | (4,572) |
| Institutional 3 Class | (18,227) |
| Expense reduction | (1,460) |
| Total net expenses | 13,047,058 |
| Net investment income | 74,216,346 |
The accompanying Notes to Financial Statements are
an integral part of this statement.
|
Columbia Total Return Bond Fund | Annual Report 2021
|
43 |
Statement of Operations (continued)
Year Ended April 30, 2021
Year Ended April 30, 2021
| Realized and unrealized gain (loss) — net | |
| Net realized gain (loss) on: | |
| Investments — unaffiliated issuers | $43,839,407 |
| Investments — affiliated issuers | 12,958 |
| Foreign currency translations | 65,455 |
| Forward foreign currency exchange contracts | (850,524) |
| Futures contracts | 6,436,225 |
| Options purchased | 9,142,975 |
| Options contracts written | (11,499,811) |
| Swap contracts | 19,248,486 |
| Net realized gain | 66,395,171 |
| Net change in unrealized appreciation (depreciation) on: | |
| Investments — unaffiliated issuers | 105,099,255 |
| Investments — affiliated issuers | (45,328) |
| Foreign currency translations | 3,862 |
| Forward foreign currency exchange contracts | (61,819) |
| Futures contracts | (30,393,860) |
| Options purchased | 6,052,747 |
| Options contracts written | 12,171,149 |
| Swap contracts | (5,450,125) |
| Net change in unrealized appreciation (depreciation) | 87,375,881 |
| Net realized and unrealized gain | 153,771,052 |
| Net increase in net assets resulting from operations | $227,987,398 |
The accompanying Notes to
Financial Statements are an integral part of this statement.
| 44 | Columbia Total Return Bond Fund | Annual Report 2021 |
Statement of Changes in Net Assets
|
Year Ended
April 30, 2021 |
Year Ended
April 30, 2020 |
|
| Operations | ||
| Net investment income | $74,216,346 | $66,452,203 |
| Net realized gain | 66,395,171 | 74,814,790 |
| Net change in unrealized appreciation (depreciation) | 87,375,881 | (10,186,369) |
| Net increase in net assets resulting from operations | 227,987,398 | 131,080,624 |
| Distributions to shareholders | ||
| Net investment income and net realized gains | ||
| Class A | (59,111,740) | (28,374,404) |
| Advisor Class | (9,899,845) | (917,325) |
| Class C | (1,663,273) | (640,789) |
| Institutional Class | (69,252,953) | (41,089,999) |
| Institutional 2 Class | (8,342,279) | (3,504,299) |
| Institutional 3 Class | (41,349,583) | (13,042,685) |
| Class R | (239,878) | (104,586) |
| Total distributions to shareholders | (189,859,551) | (87,674,087) |
| Increase in net assets from capital stock activity | 374,921,635 | 82,546,076 |
| Total increase in net assets | 413,049,482 | 125,952,613 |
| Net assets at beginning of year | 2,131,557,521 | 2,005,604,908 |
| Net assets at end of year | $2,544,607,003 | $2,131,557,521 |
The accompanying Notes to
Financial Statements are an integral part of this statement.
|
Columbia Total Return Bond Fund | Annual Report 2021
|
45 |
Statement of Changes in Net Assets (continued)
| Year Ended | Year Ended | |||
| April 30, 2021 | April 30, 2020 | |||
| Shares(a) | Dollars ($) | Shares(a) | Dollars ($) | |
| Capital stock activity | ||||
| Class A | ||||
| Subscriptions | 3,392,143 | 131,241,097 | 2,345,539 | 86,976,261 |
| Distributions reinvested | 1,497,723 | 57,351,626 | 744,497 | 27,620,705 |
| Redemptions | (2,850,040) | (109,899,016) | (3,116,740) | (115,432,974) |
| Net increase (decrease) | 2,039,826 | 78,693,707 | (26,704) | (836,008) |
| Advisor Class | ||||
| Subscriptions | 2,218,443 | 85,382,536 | 2,406,090 | 85,975,933 |
| Distributions reinvested | 258,509 | 9,883,128 | 24,570 | 910,428 |
| Redemptions | (775,459) | (29,812,236) | (323,674) | (11,962,911) |
| Net increase | 1,701,493 | 65,453,428 | 2,106,986 | 74,923,450 |
| Class C | ||||
| Subscriptions | 309,029 | 11,982,924 | 224,758 | 8,337,832 |
| Distributions reinvested | 41,869 | 1,601,588 | 15,935 | 590,791 |
| Redemptions | (368,227) | (14,177,432) | (203,152) | (7,516,746) |
| Net increase (decrease) | (17,329) | (592,920) | 37,541 | 1,411,877 |
| Institutional Class | ||||
| Subscriptions | 13,153,693 | 506,956,850 | 10,344,142 | 383,685,986 |
| Distributions reinvested | 1,704,417 | 65,293,510 | 825,354 | 30,636,564 |
| Redemptions | (5,951,290) | (229,194,998) | (18,175,251) | (673,225,244) |
| Net increase (decrease) | 8,906,820 | 343,055,362 | (7,005,755) | (258,902,694) |
| Institutional 2 Class | ||||
| Subscriptions | 2,429,819 | 93,135,315 | 715,018 | 26,394,160 |
| Distributions reinvested | 217,562 | 8,317,392 | 94,125 | 3,488,347 |
| Redemptions | (795,737) | (30,592,116) | (740,904) | (27,273,521) |
| Net increase | 1,851,644 | 70,860,591 | 68,239 | 2,608,986 |
| Institutional 3 Class | ||||
| Subscriptions | 2,326,346 | 89,641,196 | 8,427,884 | 313,169,178 |
| Distributions reinvested | 602,295 | 23,118,888 | 310,071 | 11,513,793 |
| Redemptions | (7,755,176) | (297,530,308) | (1,664,749) | (61,415,937) |
| Net increase (decrease) | (4,826,535) | (184,770,224) | 7,073,206 | 263,267,034 |
| Class R | ||||
| Subscriptions | 82,698 | 3,167,249 | 29,523 | 1,094,241 |
| Distributions reinvested | 6,158 | 235,661 | 2,796 | 103,775 |
| Redemptions | (30,713) | (1,181,219) | (30,405) | (1,124,585) |
| Net increase | 58,143 | 2,221,691 | 1,914 | 73,431 |
| Total net increase | 9,714,062 | 374,921,635 | 2,255,427 | 82,546,076 |
| (a) | Share activity has been adjusted on a retroactive basis to reflect a 4 to 1 reverse stock split completed after the close of business on September 11, 2020. |
The accompanying Notes to Financial Statements are
an integral part of this statement.
| 46 | Columbia Total Return Bond Fund | Annual Report 2021 |
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 |
Net
realized and unrealized gain (loss) |
Total from
investment operations |
Distributions
from net investment income |
Distributions
from net realized gains |
Tax
return of capital |
Total
distributions to shareholders |
|
| Class A(c) | ||||||||
| Year Ended 4/30/2021 | $36.96 | 1.16 | 2.64 | 3.80 | (1.13) | (1.87) | — | (3.00) |
| Year Ended 4/30/2020 | $36.19 | 1.12 | 1.17 | 2.29 | (1.04) | (0.48) | — | (1.52) |
| Year Ended 4/30/2019 | $35.33 | 1.12 | 0.74 | 1.86 | (1.00) | — | — | (1.00) |
| Year Ended 4/30/2018 | $36.14 | 0.92 | (0.85) | 0.07 | (0.84) | — | (0.04) | (0.88) |
| Year Ended 4/30/2017 | $36.78 | 1.00 | (0.16) | 0.84 | (0.92) | (0.56) | — | (1.48) |
| Advisor Class(c) | ||||||||
| Year Ended 4/30/2021 | $36.91 | 1.26 | 2.64 | 3.90 | (1.23) | (1.87) | — | (3.10) |
| Year Ended 4/30/2020 | $36.16 | 1.20 | 1.15 | 2.35 | (1.12) | (0.48) | — | (1.60) |
| Year Ended 4/30/2019 | $35.29 | 1.24 | 0.75 | 1.99 | (1.12) | — | — | (1.12) |
| Year Ended 4/30/2018 | $36.09 | 1.00 | (0.84) | 0.16 | (0.92) | — | (0.04) | (0.96) |
| Year Ended 4/30/2017 | $36.73 | 1.04 | (0.08) | 0.96 | (1.04) | (0.56) | — | (1.60) |
| Class C(c) | ||||||||
| Year Ended 4/30/2021 | $36.96 | 0.87 | 2.65 | 3.52 | (0.84) | (1.87) | — | (2.71) |
| Year Ended 4/30/2020 | $36.19 | 0.84 | 1.17 | 2.01 | (0.76) | (0.48) | — | (1.24) |
| Year Ended 4/30/2019 | $35.33 | 0.84 | 0.78 | 1.62 | (0.76) | — | — | (0.76) |
| Year Ended 4/30/2018 | $36.15 | 0.64 | (0.86) | (0.22) | (0.56) | — | (0.04) | (0.60) |
| Year Ended 4/30/2017 | $36.78 | 0.72 | (0.15) | 0.57 | (0.64) | (0.56) | — | (1.20) |
| Institutional Class(c) | ||||||||
| Year Ended 4/30/2021 | $36.98 | 1.26 | 2.64 | 3.90 | (1.23) | (1.87) | — | (3.10) |
| Year Ended 4/30/2020 | $36.21 | 1.24 | 1.13 | 2.37 | (1.12) | (0.48) | — | (1.60) |
| Year Ended 4/30/2019 | $35.34 | 1.20 | 0.79 | 1.99 | (1.12) | — | — | (1.12) |
| Year Ended 4/30/2018 | $36.16 | 1.00 | (0.86) | 0.14 | (0.92) | — | (0.04) | (0.96) |
| Year Ended 4/30/2017 | $36.79 | 1.08 | (0.11) | 0.97 | (1.04) | (0.56) | — | (1.60) |
| Institutional 2 Class(c) | ||||||||
| Year Ended 4/30/2021 | $36.91 | 1.28 | 2.64 | 3.92 | (1.25) | (1.87) | — | (3.12) |
| Year Ended 4/30/2020 | $36.15 | 1.24 | 1.16 | 2.40 | (1.16) | (0.48) | — | (1.64) |
| Year Ended 4/30/2019 | $35.29 | 1.28 | 0.70 | 1.98 | (1.12) | — | — | (1.12) |
| Year Ended 4/30/2018 | $36.11 | 1.04 | (0.86) | 0.18 | (0.96) | — | (0.04) | (1.00) |
| Year Ended 4/30/2017 | $36.74 | 1.08 | (0.11) | 0.97 | (1.04) | (0.56) | — | (1.60) |
The accompanying Notes to
Financial Statements are an integral part of this statement.
| 48 | Columbia Total Return Bond Fund | Annual Report 2021 |
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(c) | |||||||
| Year Ended 4/30/2021 | $37.76 | 10.36% | 0.88%(d) | 0.74%(d),(e) | 3.00% | 295% | $786,976 |
| Year Ended 4/30/2020 | $36.96 | 6.34% | 0.90%(d) | 0.74%(d),(e) | 3.05% | 272% | $694,852 |
| Year Ended 4/30/2019 | $36.19 | 5.45% | 0.91%(d) | 0.86%(d),(e) | 3.19% | 262% | $681,416 |
| Year Ended 4/30/2018 | $35.33 | 0.08% | 0.91% | 0.86%(e) | 2.51% | 300% | $711,850 |
| Year Ended 4/30/2017 | $36.14 | 2.37% | 0.89%(f) | 0.84%(e),(f) | 2.70% | 379% | $820,441 |
| Advisor Class(c) | |||||||
| Year Ended 4/30/2021 | $37.71 | 10.62% | 0.63%(d) | 0.49%(d),(e) | 3.27% | 295% | $159,565 |
| Year Ended 4/30/2020 | $36.91 | 6.61% | 0.65%(d) | 0.49%(d),(e) | 3.32% | 272% | $93,369 |
| Year Ended 4/30/2019 | $36.16 | 5.72% | 0.66%(d) | 0.61%(d),(e) | 3.53% | 262% | $15,272 |
| Year Ended 4/30/2018 | $35.29 | 0.44% | 0.66% | 0.61%(e) | 2.72% | 300% | $6,726 |
| Year Ended 4/30/2017 | $36.09 | 2.63% | 0.63%(f) | 0.59%(e),(f) | 2.87% | 379% | $18,057 |
| Class C(c) | |||||||
| Year Ended 4/30/2021 | $37.77 | 9.57% | 1.63%(d) | 1.49%(d),(e) | 2.25% | 295% | $20,492 |
| Year Ended 4/30/2020 | $36.96 | 5.55% | 1.65%(d) | 1.50%(d),(e) | 2.30% | 272% | $20,696 |
| Year Ended 4/30/2019 | $36.19 | 4.66% | 1.66%(d) | 1.61%(d),(e) | 2.37% | 262% | $18,905 |
| Year Ended 4/30/2018 | $35.33 | (0.67%) | 1.66% | 1.61%(e) | 1.75% | 300% | $38,975 |
| Year Ended 4/30/2017 | $36.15 | 1.61% | 1.64%(f) | 1.59%(e),(f) | 1.95% | 379% | $49,380 |
| Institutional Class(c) | |||||||
| Year Ended 4/30/2021 | $37.78 | 10.70% | 0.63%(d) | 0.49%(d),(e) | 3.26% | 295% | $1,062,540 |
| Year Ended 4/30/2020 | $36.98 | 6.61% | 0.65%(d) | 0.49%(d),(e) | 3.30% | 272% | $710,558 |
| Year Ended 4/30/2019 | $36.21 | 5.60% | 0.66%(d) | 0.61%(d),(e) | 3.42% | 262% | $949,377 |
| Year Ended 4/30/2018 | $35.34 | 0.44% | 0.66% | 0.61%(e) | 2.76% | 300% | $1,037,101 |
| Year Ended 4/30/2017 | $36.16 | 2.63% | 0.64%(f) | 0.59%(e),(f) | 2.94% | 379% | $1,083,917 |
| Institutional 2 Class(c) | |||||||
| Year Ended 4/30/2021 | $37.71 | 10.69% | 0.57%(d) | 0.43%(d) | 3.33% | 295% | $155,945 |
| Year Ended 4/30/2020 | $36.91 | 6.69% | 0.57%(d) | 0.42%(d) | 3.38% | 272% | $84,295 |
| Year Ended 4/30/2019 | $36.15 | 5.81% | 0.58%(d) | 0.53%(d) | 3.64% | 262% | $80,083 |
| Year Ended 4/30/2018 | $35.29 | 0.38% | 0.58% | 0.55% | 2.82% | 300% | $31,099 |
| Year Ended 4/30/2017 | $36.11 | 2.79% | 0.54%(f) | 0.54%(f) | 2.99% | 379% | $27,782 |
The accompanying Notes to
Financial Statements are an integral part of this statement.
|
Columbia Total Return Bond Fund | Annual Report 2021
|
49 |
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 |
Tax
return of capital |
Total
distributions to shareholders |
|
| Institutional 3 Class(c) | ||||||||
| Year Ended 4/30/2021 | $36.98 | 1.29 | 2.66 | 3.95 | (1.27) | (1.87) | — | (3.14) |
| Year Ended 4/30/2020 | $36.21 | 1.24 | 1.17 | 2.41 | (1.16) | (0.48) | — | (1.64) |
| Year Ended 4/30/2019 | $35.35 | 1.28 | 0.74 | 2.02 | (1.16) | — | — | (1.16) |
| Year Ended 4/30/2018 | $36.16 | 1.04 | (0.85) | 0.19 | (0.96) | — | (0.04) | (1.00) |
| Year Ended 4/30/2017 | $36.81 | 0.96 | 0.03(g) | 0.99 | (1.08) | (0.56) | — | (1.64) |
| Class R(c) | ||||||||
| Year Ended 4/30/2021 | $36.97 | 1.06 | 2.66 | 3.72 | (1.04) | (1.87) | — | (2.91) |
| Year Ended 4/30/2020 | $36.20 | 1.04 | 1.17 | 2.21 | (0.96) | (0.48) | — | (1.44) |
| Year Ended 4/30/2019 | $35.33 | 1.04 | 0.75 | 1.79 | (0.92) | — | — | (0.92) |
| Year Ended 4/30/2018 | $36.15 | 0.80 | (0.82) | (0.02) | (0.76) | — | (0.04) | (0.80) |
| Year Ended 4/30/2017 | $36.78 | 0.88 | (0.11) | 0.77 | (0.84) | (0.56) | — | (1.40) |
| 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) | Per share amounts have been adjusted on a retroactive basis to reflect a 4 to 1 reverse stock split completed after the close of business on September 11, 2020. |
| (d) | Ratios include interest on collateral expense which is less than 0.01%. |
| (e) | The benefits derived from expense reductions had an impact of less than 0.01%. |
| (f) | 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 |
| 04/30/2017 | 0.02% | 0.02% | 0.02% | 0.02% | 0.02% | 0.01% | 0.02% |
| (g) | 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.
| 50 | Columbia Total Return Bond Fund | Annual Report 2021 |
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(c) | |||||||
| Year Ended 4/30/2021 | $37.79 | 10.73% | 0.52%(d) | 0.38%(d) | 3.32% | 295% | $354,336 |
| Year Ended 4/30/2020 | $36.98 | 6.86% | 0.53%(d) | 0.37%(d) | 3.42% | 272% | $525,287 |
| Year Ended 4/30/2019 | $36.21 | 5.73% | 0.53%(d) | 0.49%(d) | 3.56% | 262% | $258,172 |
| Year Ended 4/30/2018 | $35.35 | 0.55% | 0.52% | 0.50% | 2.85% | 300% | $272,332 |
| Year Ended 4/30/2017 | $36.16 | 2.74% | 0.50%(f) | 0.50%(f) | 2.70% | 379% | $445,184 |
| Class R(c) | |||||||
| Year Ended 4/30/2021 | $37.78 | 10.15% | 1.13%(d) | 0.99%(d),(e) | 2.76% | 295% | $4,752 |
| Year Ended 4/30/2020 | $36.97 | 6.08% | 1.15%(d) | 1.00%(d),(e) | 2.79% | 272% | $2,501 |
| Year Ended 4/30/2019 | $36.20 | 5.19% | 1.16%(d) | 1.11%(d),(e) | 2.97% | 262% | $2,380 |
| Year Ended 4/30/2018 | $35.33 | (0.17%) | 1.16% | 1.11%(e) | 2.24% | 300% | $1,637 |
| Year Ended 4/30/2017 | $36.15 | 2.12% | 1.14%(f) | 1.09%(e),(f) | 2.43% | 379% | $2,284 |
The accompanying Notes to Financial Statements are
an integral part of this statement.
|
Columbia Total Return Bond Fund | Annual Report 2021
|
51 |
Notes to Financial Statements
April 30, 2021
April 30, 2021
Note 1. Organization
Columbia Total Return Bond 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.
The Fund’s Board of Trustees
approved reverse stock splits of the issued and outstanding shares of the Fund (the Reverse Stock Split). The Reverse Stock Split was completed after the close of business on September 11, 2020. The impact of the
Reverse Stock Split was to decrease the number of shares outstanding and increase the net asset value per share for each share class of the Fund by the ratio of 4 to 1, resulting in no effect on the net assets of each
share class or the value of each affected shareholder’s investment. Capital stock share activity reflected in the Statement of Changes in Net Assets and per share data in the Financial Highlights have been
adjusted on a retroactive basis to reflect the impact of the Reverse Stock Split.
Fund shares
The Trust may issue an unlimited
number of shares (without par value). The Fund offers each of the share classes listed in the Statement of Assets and Liabilities. Although all share classes generally have identical voting, dividend and liquidation
rights, each share class votes separately when required by the Trust’s organizational documents or by law. Each share class has its own expense and sales charge structure. Different share classes may have
different minimum initial investment amounts and pay different net investment income distribution amounts to the extent the expenses of distributing such share classes vary. Distributions to shareholders in a
liquidation will be proportional to the net asset value of each share class.
As described in the Fund’s
prospectus, Class A and Class C shares are offered to the general public for investment. Effective April 1, 2021, Class C shares automatically convert to Class A shares after 8 years. Prior to April 1, 2021, Class C
shares automatically converted to Class A shares after 10 years. Advisor Class, Institutional Class, Institutional 2 Class, Institutional 3 Class and Class R shares are available for purchase through authorized
investment professionals to omnibus retirement plans or to institutional investors and to certain other investors as also described in the Fund’s prospectus.
Note 2. Summary of
significant accounting policies
Basis of preparation
The Fund is an investment company
that applies the accounting and reporting guidance in the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946, Financial Services - Investment Companies (ASC 946). The financial statements are prepared in accordance with U.S. generally accepted accounting principles (GAAP), which requires
management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities, the disclosure of contingent assets and liabilities at the date of the financial statements and the
reported amounts of income and expenses during the reporting period. Actual results could differ from those estimates.
The following is a summary of
significant accounting policies followed by the Fund in the preparation of its financial statements.
Security valuation
Equity securities listed on an
exchange are valued at the closing price or last trade on their primary exchange at the close of business of the New York Stock Exchange. Securities with a closing price not readily available or not listed on any
exchange are valued at the mean between the closing bid and asked prices. Listed preferred stocks convertible into common stocks are valued using an evaluated price from a pricing service.
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 market value, unless this method results in a valuation that management believes does not approximate fair value.
| 52 | Columbia Total Return Bond Fund | Annual Report 2021 |
Notes to Financial Statements (continued)
April 30, 2021
April 30, 2021
Asset- and mortgage-backed
securities are generally valued by pricing services, which utilize pricing models that incorporate the securities’ cash flow and loan performance data. These models also take into account available market data,
including trades, market quotations, and benchmark yield curves for identical or similar securities. Factors used to identify similar securities may include, but are not limited to, issuer, collateral type, vintage,
prepayment speeds, collateral performance, credit ratings, credit enhancement and expected life. Asset-backed securities for which quotations are readily available may also be valued based upon an over-the-counter or
exchange bid quote from an approved independent broker-dealer. Debt securities maturing in 60 days or less are valued primarily at amortized market value, unless this method results in a valuation that management
believes does not approximate fair value.
Senior loan securities for which
reliable market quotations are readily available are generally valued by pricing services at the average of the bids received.
Investments in open-end investment
companies (other than exchange-traded funds (ETFs)), are valued at the latest net asset value reported by those companies as of the valuation time.
Forward foreign currency exchange
contracts are marked-to-market based upon foreign currency exchange rates provided by a pricing service.
Futures and options on futures
contracts are valued based upon the settlement price at the close of regular trading on their principal exchanges or, in the absence of a settlement price, at the mean of the latest quoted bid and ask prices.
Option contracts are valued at the
mean of the latest quoted bid and ask prices on their primary exchanges. Option contracts, including over-the-counter option contracts, with no readily available market quotations are valued using mid-market
evaluations from independent third-party vendors.
Swap transactions are valued
through an independent pricing service or broker, or if neither is available, through an internal model based upon observable inputs.
Investments for which market
quotations are not readily available, or that have quotations which management believes are not reflective of market value or reliable, are valued at fair value as determined in good faith under procedures approved by
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, if available.
The determination of fair value
often requires significant judgment. To determine fair value, management may use assumptions including but not limited to future cash flows and estimated risk premiums. Multiple inputs from various sources may be used
to determine fair value.
GAAP requires disclosure regarding
the inputs and valuation techniques used to measure fair value and any changes in valuation inputs or techniques. In addition, investments shall be disclosed by major category. This information is disclosed following
the Fund’s Portfolio of Investments.
Foreign currency transactions and
translations
The values of all assets and
liabilities denominated in foreign currencies are generally translated into U.S. dollars at exchange rates determined at the close of regular trading on the New York Stock Exchange. Net realized and unrealized gains
(losses) on foreign currency transactions and translations include gains (losses) arising from the fluctuation in exchange rates between trade and settlement dates on securities transactions, gains (losses) arising
from the disposition of foreign currency and currency gains (losses) between the accrual and payment dates on dividends, interest income and foreign withholding taxes.
For financial statement purposes,
the Fund does not distinguish that portion of gains (losses) on investments which is due to changes in foreign exchange rates from that which is due to changes in market prices of the investments. Such fluctuations
are included with the net realized and unrealized gains (losses) on investments in the Statement of Operations.
|
Columbia Total Return Bond Fund | Annual Report 2021
|
53 |
Notes to Financial Statements (continued)
April 30, 2021
April 30, 2021
Derivative instruments
The Fund invests in certain
derivative instruments, as detailed below, in seeking to meet its investment objectives. Derivatives are instruments whose values depend on, or are derived from, in whole or in part, the value of one or more
securities, currencies, commodities, indices, or other assets or instruments. Derivatives may be used to increase investment flexibility (including to maintain cash reserves while maintaining desired exposure to
certain assets), for risk management (hedging) purposes, to facilitate trading, to reduce transaction costs and to pursue higher investment returns. The Fund may also use derivative instruments to mitigate certain
investment risks, such as foreign currency exchange rate risk, interest rate risk and credit risk. Derivatives may involve various risks, including the potential inability of the counterparty to fulfill its
obligations under the terms of the contract, the potential for an illiquid secondary market (making it difficult for the Fund to sell or terminate, including at favorable prices) and the potential for market movements
which may expose the Fund to gains or losses in excess of the amount shown in the Statement of Assets and Liabilities. The notional amounts of derivative instruments, if applicable, are not recorded in the financial
statements.
A derivative instrument may suffer
a marked-to-market loss if the value of the contract decreases due to an unfavorable change in the market rates or values of the underlying instrument. Losses can also occur if the counterparty does not perform its
obligations under the contract. The Fund’s risk of loss from counterparty credit risk on over-the-counter derivatives is generally limited to the aggregate unrealized gain netted against any collateral held by
the Fund and the amount of any variation margin held by the counterparty, plus any replacement costs or related amounts. With exchange-traded or centrally cleared derivatives, there is reduced counterparty credit risk
to the Fund since the clearinghouse or central counterparty (CCP) provides some protection in the case of clearing member default. The clearinghouse or CCP stands between the buyer and the seller of the contract;
therefore, 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 clearing brokers are required to segregate customer margin from their own assets, in the event that a clearing broker becomes insolvent or goes into bankruptcy
and at that time there is a shortfall in the aggregate amount of margin held by the clearing broker for all its clients, U.S. bankruptcy laws will typically allocate that shortfall on a pro-rata basis across all the
clearing broker’s customers (including the Fund), potentially resulting in losses to the Fund.
In order to better define its
contractual rights and to secure rights that will help the Fund mitigate its counterparty risk, the Fund may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (ISDA Master Agreement)
or similar agreement with its derivatives counterparties. An ISDA Master Agreement is an agreement between the Fund and a counterparty that governs over-the-counter derivatives and foreign exchange forward contracts
and contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. Under an ISDA Master Agreement, the Fund may, under certain circumstances, offset
with the counterparty certain derivative 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 for most over-the-counter derivatives are subject to regulatory requirements to exchange variation margin with trading counterparties and may have contract specific margin terms as
well. For over-the-counter derivatives traded under an ISDA Master Agreement, the collateral requirements are typically calculated by netting the marked-to-market amount for each transaction under such agreement and
comparing that amount to the value of any variation margin currently pledged by the Fund and/or the counterparty. Generally, the amount of collateral due from or to a party has to exceed a minimum transfer amount
threshold (e.g., $250,000) before a transfer has to be made. To the extent amounts due to the Fund from its counterparties are not fully collateralized, contractually or otherwise, the Fund bears the risk of loss from
counterparty nonperformance. The Fund may also pay interest expense on cash collateral received from the broker. 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.
| 54 | Columbia Total Return Bond Fund | Annual Report 2021 |
Notes to Financial Statements (continued)
April 30, 2021
April 30, 2021
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 shift foreign currency
exposure back to U.S. dollars. These instruments may be used for other purposes in future periods.
The values of forward foreign
currency exchange contracts fluctuate daily with changes in foreign currency exchange rates. Changes in the value of these contracts are recorded as unrealized appreciation or depreciation until the contract is
exercised or has expired. The Fund will realize a gain or loss when the forward foreign currency exchange contract is closed or expires. Non-deliverable forward foreign currency exchange contracts are settled with the
counterparty in U.S. dollars without delivery of foreign currency.
The use of forward foreign currency
exchange contracts does not eliminate fluctuations in the prices of the Fund’s portfolio securities. The risks of forward foreign currency exchange contracts include movement in the values of the foreign
currencies relative to the U.S. dollar (or other foreign currencies) and the possibility that counterparties will not complete their contractual obligations, which may be in excess of the amount reflected, if any, in
the Statement of Assets and Liabilities.
Futures contracts
Futures contracts are
exchange-traded and represent commitments for the future purchase or sale of an asset at a specified price on a specified date. The Fund bought and sold futures contracts to manage the duration and yield curve
exposure of the Fund versus the benchmark. These instruments may be used for other purposes in future periods. Upon entering into futures contracts, the Fund bears risks that it may not achieve the anticipated
benefits of the futures contracts and may realize a loss. Additional risks include counterparty credit risk, the possibility of an illiquid market, and that a change in the value of the contract or option may not
correlate with changes in the value of the underlying asset.
Upon entering into a futures
contract, the Fund deposits cash or securities with the broker, known as a futures commission merchant (FCM), in an amount sufficient to meet the initial margin requirement. The initial margin deposit must be
maintained at an established level over the life of the contract. Cash deposited as initial margin is recorded in the Statement of Assets and Liabilities as margin deposits. Securities deposited as initial margin are
designated in the Portfolio of Investments. Subsequent payments (variation margin) are made or received by the Fund each day. The variation margin payments are equal to the daily change in the contract value and are
recorded as variation margin receivable or payable and are offset in unrealized gains or losses. The Fund generally expects to earn interest income on its margin deposits. The Fund recognizes a realized gain or loss
when the contract is closed or expires. Futures contracts involve, to varying degrees, risk of loss in excess of the variation margin disclosed in the Statement of Assets and Liabilities.
Options contracts
Options are contracts which entitle
the holder to purchase or sell securities or other identified assets at a specified price, or in the case of index option contracts, to receive or pay the difference between the index value and the strike price of the
index option contract. Option contracts can be either exchange-traded or over-the-counter. The Fund purchased and has written option contracts to manage exposure to fluctuations in interest rates and to manage
convexity risk. These instruments may be used for other purposes in future periods. Completion of transactions for option contracts traded in the over-the-counter market depends upon the performance of the other
party. Collateral may be collected or posted by the Fund to secure over-the-counter option contract trades. Collateral held or posted by the Fund for such option contract trades must be returned to the broker or the
Fund upon closure, exercise or expiration of the contract.
|
Columbia Total Return Bond Fund | Annual Report 2021
|
55 |
Notes to Financial Statements (continued)
April 30, 2021
April 30, 2021
Options contracts purchased are
recorded as investments. When the Fund writes an options contract, the premium received is recorded as an asset and an amount equivalent to the premium is recorded as a liability in the Statement of Assets and
Liabilities and is subsequently adjusted to reflect the current fair value of the option written. Changes in the fair value of the written option are recorded as unrealized appreciation or depreciation until the
contract is exercised or has expired. The Fund realizes a gain or loss when the option contract is closed or expires. When option contracts are exercised, the proceeds on sales for a written call or purchased put
option contract, or the purchase cost for a written put or purchased call option contract, is adjusted by the amount of premium received or paid.
For over-the-counter options
purchased, the Fund bears the risk of loss of the amount of the premiums paid plus the positive change in market values net of any collateral held by the Fund should the counterparty fail to perform under the
contracts. Option contracts written by the Fund do not typically give rise to significant counterparty credit risk, as options written generally obligate the Fund and not the counterparty to perform. The risk in
writing a call option contract is that the Fund gives up the opportunity for profit if the market price of the security increases above the strike price and the option contract is exercised. The risk in writing a put
option contract is that the Fund may incur a loss if the market price of the security decreases below the strike price and the option contract is exercised. Exercise of a written option could result in the Fund
purchasing or selling a security or foreign currency when it otherwise would not, or at a price different from the current market value. In purchasing and writing options, the Fund bears the risk of an unfavorable
change in the value of the underlying instrument or the risk that the Fund may not be able to enter into a closing transaction due to an illiquid market.
Interest rate swaption contracts
Interest rate swaption contracts
entered into by the Fund typically represent an option that gives the purchaser the right, but not the obligation, to enter into an interest rate swap contract on a future date. Each interest rate swaption contract
will specify if the buyer is entitled to receive the fixed or floating rate if the interest rate is exercised. Changes in the value of a purchased interest rate swaption contracts are reported as unrealized
appreciation or depreciation on options in the Statement of Assets and Liabilities. Gain or loss is recognized in the Statement of Operations when the interest rate swaption contract is closed or expires.
When the Fund writes an interest
rate swaption contract, the premium received is recorded as an asset and an amount equivalent to the premium is recorded as a liability in the Statement of Assets and Liabilities and is subsequently adjusted to
reflect the current fair value of the interest rate swaption contract written. Premiums received from writing interest rate swaption contracts that expire unexercised are recorded by the Fund on the expiration date as
realized gains from options written in the Statement of Operations. The difference between the premium and the amount paid on effecting a closing purchase transaction, including brokerage commissions, is also recorded
as realized gain, or if the premium is less than the amount paid for the closing purchase, as realized loss. These amounts are reflected as net realized gain (loss) on options written in the Statement of
Operations.
Swap contracts
Swap contracts are negotiated in
the over-the-counter market and 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. For a bilateral swap
contract, the Fund has credit exposure to the broker, but exchanges daily variation margin with the broker based on the mark-to-market value of the swap contract to minimize that exposure. For centrally cleared swap
contracts, the Fund has minimal credit exposure to the FCM because the CCP stands between the Fund and the relevant buyer/seller on the other side of the contract. Swap contracts are marked-to-market daily and changes
in value are recorded as unrealized appreciation (depreciation). The daily change in valuation of centrally cleared swap contracts, if any, is recorded as a receivable or payable for variation margin in the Statement
of Assets and Liabilities.
| 56 | Columbia Total Return Bond Fund | Annual Report 2021 |
Notes to Financial Statements (continued)
April 30, 2021
April 30, 2021
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 transactions in which one party
pays fixed periodic payments to a counterparty in consideration for an agreement from the counterparty to make a specific payment should a specified credit event(s) take place. Although specified credit events are
contract specific, credit events are typically bankruptcy, failure to pay, restructuring, obligation acceleration, obligation default, or repudiation/moratorium.
As the purchaser of a credit
default swap contract, the Fund purchases protection by paying a periodic interest rate on the notional amount to the counterparty. The interest amount is accrued daily as a component of unrealized appreciation
(depreciation) and is recorded as a realized loss upon payment. If a credit event as specified in the contract occurs, the Fund may have the option either to deliver the reference obligation to the seller in exchange
for a cash payment of its par amount, or to receive a net cash settlement equal to the par amount less an agreed-upon value of the reference obligation as of the date of the credit event. The difference between the
value of the obligation or cash delivered and the notional amount received will be recorded as a realized gain (loss).
As the seller of a credit default
swap contract, the Fund sells protection to a buyer and will generally receive a periodic interest rate on a notional amount. The interest amount is accrued daily as a component of unrealized appreciation
(depreciation) and is recorded as a realized gain upon receipt of the payment. If a credit event as specified in the contract with the counterparty occurs, the Fund may either be required to accept the reference
obligation from the buyer in exchange for a cash payment of its notional amount, or to pay the buyer a net cash settlement equal to the notional amount less an agreed-upon value of the reference obligation (recovery
value) as of the date of the credit event. The difference between the value of the obligation or cash received and the notional amount paid will be recorded as a realized gain (loss). The maximum potential amount of
undiscounted future payments the Fund could be required to make as the seller of protection under a credit default swap contract is equal to the notional amount of the reference obligation. These potential amounts may
be partially offset by any recovery values of the respective reference obligations or upfront receipts upon entering into the agreement. The notional amounts and market values of all credit default swap contracts in
which the Fund is the seller of protection, if any, are disclosed in the Credit Default Swap Contracts Outstanding schedule following the Portfolio of Investments.
As a protection seller, the Fund
bears the risk of loss from the credit events specified in the contract with the counterparty. For credit default swap contracts on credit indices, quoted market prices and resulting market values serve as an
indicator of the current status of the payment/performance risk. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the reference entity’s
credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the contract.
Any upfront 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 Total Return Bond Fund | Annual Report 2021
|
57 |
Notes to Financial Statements (continued)
April 30, 2021
April 30, 2021
Interest rate swap contracts
The Fund entered into interest rate
swap transactions which may include inflation rate swap contracts to manage interest rate and market risk exposure to produce incremental earnings and to gain exposure to or protect itself from market rate changes.
These instruments may be used for other purposes in future periods. An interest rate swap 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 April 30, 2021:
| 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 | 7,002,511* |
| Credit risk | Upfront payments on swap contracts | 462,090 |
| Interest rate risk | Investments, at value — Options purchased | 22,766,786 |
| Total | 30,231,387 |
| Liability derivatives | ||
|
Risk exposure
category |
Statement
of assets and liabilities location |
Fair value ($) |
| Credit risk | Component of total distributable earnings (loss) — unrealized depreciation on swap contracts | 3,172,743* |
| Credit risk | Upfront receipts on swap contracts | 15,892,108 |
| Foreign exchange risk | Unrealized depreciation on forward foreign currency exchange contracts | 53,832 |
| Interest rate risk | Component of total distributable earnings (loss) — unrealized depreciation on futures contracts | 9,997,381* |
| Interest rate risk | Options contracts written, at value | 3,240,810 |
| Interest rate risk | Component of total distributable earnings (loss) — unrealized depreciation on swap contracts | 2,678,262* |
| Total | 35,035,136 |
| * | Includes cumulative appreciation (depreciation) as reported in the tables following the Portfolio of Investments. Only the current day’s variation margin is reported in receivables or payables in the Statement of Assets and Liabilities. |
| 58 | Columbia Total Return Bond Fund | Annual Report 2021 |
Notes to Financial Statements (continued)
April 30, 2021
April 30, 2021
The following table indicates the
effect of derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) in the Statement of Operations for the year ended April 30, 2021:
| Amount of realized gain (loss) on derivatives recognized in income | ||||||
| Risk exposure category |
Forward
foreign currency exchange contracts ($) |
Futures
contracts ($) |
Options
contracts written ($) |
Options
contracts purchased ($) |
Swap
contracts ($) |
Total
($) |
| Credit risk | — | — | — | — | 17,506,071 | 17,506,071 |
| Foreign exchange risk | (850,524) | — | — | — | — | (850,524) |
| Interest rate risk | — | 6,436,225 | (11,499,811) | 9,142,975 | 1,742,415 | 5,821,804 |
| Total | (850,524) | 6,436,225 | (11,499,811) | 9,142,975 | 19,248,486 | 22,477,351 |
| Change in unrealized appreciation (depreciation) on derivatives recognized in income | ||||||
| Risk exposure category |
Forward
foreign currency exchange contracts ($) |
Futures
contracts ($) |
Options
contracts written ($) |
Options
contracts purchased ($) |
Swap
contracts ($) |
Total
($) |
| Credit risk | — | — | — | — | (2,026,711) | (2,026,711) |
| Foreign exchange risk | (61,819) | — | — | — | — | (61,819) |
| Interest rate risk | — | (30,393,860) | 12,171,149 | 6,052,747 | (3,423,414) | (15,593,378) |
| Total | (61,819) | (30,393,860) | 12,171,149 | 6,052,747 | (5,450,125) | (17,681,908) |
The following table is a summary
of the average outstanding volume by derivative instrument for the year ended April 30, 2021:
| Derivative instrument |
Average notional
amounts ($)* |
| Futures contracts — long | 618,730,763 |
| Futures contracts — short | 68,534,093 |
| Credit default swap contracts — buy protection | 73,846,500 |
| Credit default swap contracts — sell protection | 127,995,180 |
| Derivative instrument |
Average
value ($) |
| Options contracts — purchased | 9,578,556* |
| Options contracts — written | (1,108,730)** |
| Derivative instrument |
Average unrealized
appreciation ($) |
Average unrealized
depreciation ($) |
| Forward foreign currency exchange contracts | 55,289* | (63,848)* |
| Interest rate swap contracts | 283,121** | (262,290)** |
| * | Based on the ending quarterly outstanding amounts for the year ended April 30, 2021. |
| ** | Based on the ending daily outstanding amounts for the year ended April 30, 2021. |
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
|
Columbia Total Return Bond Fund | Annual Report 2021
|
59 |
Notes to Financial Statements (continued)
April 30, 2021
April 30, 2021
costs and delays in realizing payment or may
suffer a loss of principal and/or interest. The risk of loss is greater for unsecured or subordinated loans. In addition, senior loan assignments are vulnerable to market, economic or other conditions or events that
may reduce the demand for senior loan assignments and certain senior loan assignments which were liquid when purchased, may become illiquid.
The Fund may enter into senior loan
assignments where all or a portion of the loan may be unfunded. The Fund is obligated to fund these commitments at the borrower’s discretion. These commitments, if any, are generally traded and priced in the
same manner as other senior loan securities and are disclosed as unfunded senior loan commitments in the Fund’s Portfolio of Investments with a corresponding payable for investments purchased. The Fund
designates cash or liquid securities to cover these commitments.
Asset- and mortgage-backed
securities
The Fund may invest in asset-backed
and mortgage-backed securities. The maturity dates shown represent the original maturity of the underlying obligation. Actual maturity may vary based upon prepayment activity on these obligations. All, or a portion,
of the obligation may be prepaid at any time because the underlying asset may be prepaid. As a result, decreasing market interest rates could result in an increased level of prepayment. An increased prepayment rate
will have the effect of shortening the maturity of the security. Unless otherwise noted, the coupon rates presented are fixed rates.
Delayed delivery securities
The Fund may trade securities on
other than normal settlement terms, including securities purchased or sold on a “when-issued” or "forward commitment" basis. This may increase risk to the Fund since the other party to the transaction may
fail to deliver, which could cause the Fund to subsequently invest at less advantageous prices. The Fund designates cash or liquid securities in an amount equal to the delayed delivery commitment.
To be announced securities
The Fund may trade securities on a
To Be Announced (TBA) basis. As with other delayed-delivery transactions, a seller agrees to issue a TBA security at a future date. However, the seller does not specify the particular securities to be delivered.
Instead, the Fund agrees to accept any security that meets specified terms.
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 may benefit because it receives
negotiated amounts in the form of reductions of the purchase price for the future purchase plus the interest earned on the cash proceeds of the securities sold until the settlement date of the forward purchase. The
Fund records the incremental difference between the forward purchase and sale of each forward roll as a realized gain or loss. Unless any realized gains exceed the income, capital appreciation, and gain or loss due to
mortgage prepayments that would have been realized on the securities sold as part of the mortgage dollar roll, the use of this technique may diminish the investment performance of the Fund compared to what the
performance would have been without the use of mortgage dollar rolls. 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.
| 60 | Columbia Total Return Bond Fund | Annual Report 2021 |
Notes to Financial Statements (continued)
April 30, 2021
April 30, 2021
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 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 April 30, 2021:
| Citi ($)(a) | Citi ($)(a) | JPMorgan ($) |
Morgan
Stanley ($)(a) |
Morgan
Stanley ($)(a) |
UBS ($) | Total ($) | |
| Assets | |||||||
| Centrally cleared credit default swap contracts (b) | - | - | - | - | 296,971 | - | 296,971 |
| Options purchased puts | 17,981,801 | - | - | 4,784,985 | - | - | 22,766,786 |
| OTC credit default swap contracts (c) | - | 969,524 | 3,795,626 | 2,699,451 | - | - | 7,464,601 |
| Total assets | 17,981,801 | 969,524 | 3,795,626 | 7,484,436 | 296,971 | - | 30,528,358 |
| Liabilities | |||||||
| Centrally cleared interest rate swap contracts (b) | - | - | - | - | 217,732 | - | 217,732 |
| Forward foreign currency exchange contracts | - | - | - | - | - | 53,832 | 53,832 |
| Options contracts written | 1,707,192 | - | - | 1,533,618 | - | - | 3,240,810 |
| OTC credit default swap contracts (c) | - | 3,407,282 | 7,042,031 | 5,442,795 | - | - | 15,892,108 |
| Total liabilities | 1,707,192 | 3,407,282 | 7,042,031 | 6,976,413 | 217,732 | 53,832 | 19,404,482 |
| Total financial and derivative net assets | 16,274,609 | (2,437,758) | (3,246,405) | 508,023 | 79,239 | (53,832) | 11,123,876 |
| Total collateral received (pledged) (d) | 15,978,000 | (2,437,758) | (3,246,405) | 508,023 | - | - | 10,801,860 |
| Net amount (e) | 296,609 | - | - | - | 79,239 | (53,832) | 322,016 |
| (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.
|
Columbia Total Return Bond Fund | Annual Report 2021
|
61 |
Notes to Financial Statements (continued)
April 30, 2021
April 30, 2021
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 collectability of interest is reasonably assured.
Corporate actions and dividend
income are recorded on the ex-dividend date.
The Fund may receive distributions
from holdings in equity securities, business development companies (BDCs), exchange-traded funds (ETFs), limited partnerships (LPs), other regulated investment companies (RICs), and real estate investment trusts
(REITs), which report information as to the tax character of their distributions annually. These distributions are allocated to dividend income, capital gain and return of capital based on actual information reported.
Return of capital is recorded as a reduction of the cost basis of securities held. If the Fund no longer owns the applicable securities, return of capital is recorded as a realized gain. With respect to REITs, to the
extent actual information has not yet been reported, estimates for return of capital are made by Columbia Management Investment Advisers, LLC (the Investment Manager), a wholly-owned subsidiary of Ameriprise
Financial, Inc. (Ameriprise Financial). The Investment Manager’s estimates are subsequently adjusted when the actual character of the distributions is disclosed by the REITs, which could result in a
proportionate change in return of capital to shareholders.
Awards from class action litigation
are recorded as a reduction of cost basis if the Fund still owns the applicable securities on the payment date. If the Fund no longer owns the applicable securities on the payment date, the proceeds are recorded as
realized gains.
The value of additional securities
received as an income payment through a payment in kind, if any, is recorded as interest income and increases the cost basis of such securities.
The Fund may receive other income
from senior loans, including amendment fees, consent fees and commitment fees. These fees are recorded as income when received by the Fund. These amounts are included in Interest Income in the Statement of
Operations.
Expenses
General expenses of the Trust are
allocated to the Fund and other funds of the Trust based upon relative net assets or other expense allocation methodologies determined by the nature of the expense. Expenses directly attributable to the Fund are
charged to the Fund. Expenses directly attributable to a specific class of shares are charged to that share class.
Determination of class net asset
value
All income, expenses (other than
class-specific expenses, which are charged to that share class, as shown in the Statement of Operations) and realized and unrealized gains (losses) are allocated to each class of the Fund on a daily basis, based on
the relative net assets of each class, for purposes of determining the net asset value of each class.
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.
| 62 | Columbia Total Return Bond Fund | Annual Report 2021 |
Notes to Financial Statements (continued)
April 30, 2021
April 30, 2021
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 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 pronouncement
Accounting Standards Update 2020-04
Reference Rate Reform
In March 2020, the Financial
Accounting Standards Board issued Accounting Standards Update (ASU) No. 2020-04 Reference Rate Reform – Facilitation of the Effects of Reference Rate Reform on Financial Statements. This standard provides
exceptions for applying GAAP to contract modifications, hedging relationships and other transactions affected by reference rate reform if certain criteria are met. The standard is elective and effective on March 12,
2020 through December 31, 2022. The Fund expects that the adoption of the guidance will not have a material impact on its financial statements.
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 0.50% to 0.34% as the Fund’s net assets increase. The effective management services fee rate for the year ended April 30, 2021 was 0.48% of the Fund’s
average daily net assets.
Compensation of board members
Members of the Board of Trustees
who are not officers or employees of the Investment Manager or Ameriprise Financial are compensated for their services to the Fund as disclosed in the Statement of Operations. Under a Deferred Compensation Plan (the
Deferred Plan), these members of the Board of Trustees may elect to defer payment of up to 100% of their compensation. Deferred amounts are treated as though equivalent dollar amounts had been invested in shares of
certain funds managed by the Investment Manager. The Fund’s liability for these amounts is adjusted for market value changes and remains in the Fund until distributed in accordance with the Deferred Plan. All
amounts payable under the Deferred Plan constitute a general unsecured obligation of the Fund. The expense for the Deferred Plan, which includes Trustees’ fees deferred during the current period as well as any
gains or losses on the Trustees’ deferred compensation balances as a result of market fluctuations, is included in "Compensation of board members" on the Statement of Operations.
|
Columbia Total Return Bond Fund | Annual Report 2021
|
63 |
Notes to Financial Statements (continued)
April 30, 2021
April 30, 2021
Compensation of Chief Compliance
Officer
The Board of Trustees has appointed
a Chief Compliance Officer for the Fund in accordance with federal securities regulations. As disclosed in the Statement of Operations, a portion of the Chief Compliance Officer’s total compensation is allocated
to the Fund, along with other allocations to affiliated registered investment companies managed by the Investment Manager and its affiliates, based on relative net assets.
Transfer agency fees
Under a Transfer and Dividend
Disbursing Agent Agreement, Columbia Management Investment Services Corp. (the Transfer Agent), an affiliate of the Investment Manager and a wholly-owned subsidiary of Ameriprise Financial, is responsible for
providing transfer agency services to the Fund. The Transfer Agent has contracted with 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. In addition, effective September 1, 2020 through August 31, 2021, Institutional 2
Class shares are subject to a contractual transfer agency fee annual limitation of not more than 0.05% and Institutional 3 Class shares are subject to a contractual transfer agency fee annual limitation of not more
than 0.00% of the average daily net assets attributable to each share class.
For the year ended April 30, 2021,
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 | 0.12 |
| Advisor Class | 0.12 |
| Class C | 0.12 |
| Institutional Class | 0.12 |
| Institutional 2 Class | 0.05 |
| Institutional 3 Class | 0.00 |
| Class R | 0.12 |
An annual minimum account balance
fee of $20 may apply to certain accounts with a value below the applicable share class’s initial minimum investment requirements to reduce the impact of small accounts on transfer agency fees. These minimum
account balance fees are remitted to the Fund and recorded as part of expense reductions in the Statement of Operations. For the year ended April 30, 2021, these minimum account balance fees reduced total expenses of
the Fund by $1,460.
Distribution and service fees
The Fund has entered into an
agreement with Columbia Management Investment Distributors, Inc. (the Distributor), an affiliate of the Investment Manager and a wholly-owned subsidiary of Ameriprise Financial, for distribution and shareholder
services. The Board of Trustees has approved, and the Fund has adopted, distribution and shareholder service plans (the Plans) applicable to certain share classes, which set the distribution and service fees for the
Fund. These fees are calculated daily and are intended to compensate the Distributor and/or eligible selling and/or servicing agents for selling shares of the Fund and providing services to investors.
| 64 | Columbia Total Return Bond Fund | Annual Report 2021 |
Notes to Financial Statements (continued)
April 30, 2021
April 30, 2021
Under the Plans, the Fund pays a
monthly service fee to the Distributor at the maximum annual rate of 0.25% of the average daily net assets attributable to Class A and Class C shares of the Fund. Also under the Plans, the Fund pays a
monthly distribution fee to the Distributor at the maximum annual rates of 0.10%, 0.75% and 0.50% of the average daily net assets attributable to Class A, Class C and Class R shares of the Fund,
respectively.
Although the Fund may pay
distribution and service fees up to a maximum annual rate of 0.35% of the Fund’s average daily net assets attributable to Class A shares (comprised of up to 0.10% for distribution services and up to 0.25% for
shareholder services), the Fund currently limits such fees to an aggregate fee of not more than 0.25% of the Fund’s average daily net assets attributable to Class A shares.
Sales charges (unaudited)
Sales charges, including front-end
charges and contingent deferred sales charges (CDSCs), received by the Distributor for distributing Fund shares for the year ended April 30, 2021, if any, are listed below:
| Front End (%) | CDSC (%) | Amount ($) | |
| Class A | 3.00 | 0.50 - 1.00(a) | 553,971 |
| Class C | — | 1.00(b) | 983 |
| (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:
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. This arrangement may be revised or discontinued at any time. Reflected in the contractual cap commitment, effective September 1, 2020 through August 31, 2021, is the Transfer Agent’s contractual
agreement to limit total transfer
|
Columbia Total Return Bond Fund | Annual Report 2021
|
65 |
Notes to Financial Statements (continued)
April 30, 2021
April 30, 2021
agency fees to an annual rate of not more than
0.05% for Institutional 2 Class and 0.00% for Institutional 3 Class of the average daily net assets attributable to each share class, unless sooner terminated at the sole discretion of the Board of Trustees. Any fees
waived and/or expenses reimbursed under the expense reimbursement arrangements described above are not recoverable by the Investment Manager or its affiliates in future periods.
Note 4. Federal tax
information
The timing and character of
income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP because of temporary or permanent book to tax differences.
At April 30, 2021, these
differences were primarily due to differing treatment for deferral/reversal of wash sale losses, trustees’ deferred compensation, derivative investments, tax straddles, distributions, swap investments, principal
and/or interest of fixed income securities, distribution reclassifications, 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:
|
Excess of distributions
over net investment income ($) |
Accumulated
net realized gain ($) |
Paid in
capital ($) |
| (9,844,186) | 9,844,186 | — |
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 April 30, 2021 | Year Ended April 30, 2020 | ||||
|
Ordinary
income ($) |
Long-term
capital gains ($) |
Total ($) |
Ordinary
income ($) |
Long-term
capital gains ($) |
Total ($) |
| 154,497,770 | 35,361,781 | 189,859,551 | 79,046,412 | 8,627,675 | 87,674,087 |
Short-term capital gain
distributions, if any, are considered ordinary income distributions for tax purposes.
At April 30, 2021, the components
of distributable earnings on a tax basis were as follows:
|
Undistributed
ordinary income ($) |
Undistributed
long-term capital gains ($) |
Capital loss
carryforwards ($) |
Net unrealized
appreciation ($) |
| 7,235,992 | 6,937,567 | — | 51,559,023 |
At April 30, 2021, 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) ($) |
Net unrealized
appreciation ($) |
| 2,987,795,769 | 96,871,816 | (45,312,793) | 51,559,023 |
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.
| 66 | Columbia Total Return Bond Fund | Annual Report 2021 |
Notes to Financial Statements (continued)
April 30, 2021
April 30, 2021
Note 5. Portfolio
information
The cost of purchases and
proceeds from sales of securities, excluding short-term investments and derivatives, if any, aggregated to $8,248,280,459 and $8,042,381,976, respectively, for the year ended April 30, 2021, of which $6,505,662,526
and $6,767,408,356, respectively, were U.S. government securities. The amount of purchase and sale activity impacts the portfolio turnover rate reported in the Financial Highlights.
Note 6. Affiliated money
market fund
The Fund invests in Columbia
Short-Term Cash Fund, an affiliated money market fund established for the exclusive use by the Fund and other affiliated funds (the Affiliated MMF). The income earned by the Fund from such investments is included as
Dividends - affiliated issuers in the Statement of Operations. As an investing fund, the Fund indirectly bears its proportionate share of the expenses of the Affiliated MMF. The Affiliated MMF prices its shares with a
floating net asset value. In addition, the Board of Trustees of the Affiliated MMF may impose a fee on redemptions (sometimes referred to as a liquidity fee) or temporarily suspend redemptions (sometimes referred to
as imposing a redemption gate) in the event its liquidity falls below regulatory limits.
Note 7. Interfund
lending
Pursuant to an exemptive order
granted by the Securities and Exchange Commission, the Fund participates in a program (the Interfund Program) allowing each participating Columbia Fund (each, a Participating Fund) to lend money directly to and,
except for closed-end funds and money market funds, borrow money directly from other Participating Funds for temporary purposes. The amounts eligible for borrowing and lending under the Interfund Program are subject
to certain restrictions.
Interfund loans are subject to the
risk that the borrowing fund could be unable to repay the loan when due, and a delay in repayment to the lending fund could result in lost opportunities and/or additional lending costs. The exemptive order is subject
to conditions intended to mitigate conflicts of interest arising from the Investment Manager’s relationship with each Participating Fund.
The Fund did not borrow or lend
money under the Interfund Program during the year ended April 30, 2021.
Note 8. Line of credit
The Fund has access to a
revolving credit facility with a syndicate of banks led by Citibank, N.A., Wells Fargo Bank, 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. Pursuant to a December 1, 2020 amendment, 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 $950 million. 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, 1.25%. 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. Prior to the December 1, 2020 amendment, the Fund had 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. which permitted collective borrowings up to $1 billion. Interest was charged to each participating fund based on its borrowings at a rate equal
to the higher of (i) the federal funds effective rate, (ii) the one-month LIBOR rate and (iii) the overnight bank funding rate, plus in each case, 1.00%.
The Fund had no borrowings during
the year ended April 30, 2021.
|
Columbia Total Return Bond Fund | Annual Report 2021
|
67 |
Notes to Financial Statements (continued)
April 30, 2021
April 30, 2021
Note 9. Significant
risks
Credit risk
Credit risk is the risk that the
value of debt instruments in the Fund’s portfolio may decline because the issuer defaults or otherwise becomes unable or unwilling, or is perceived to be unable or unwilling, to honor its financial obligations,
such as making payments to the Fund when due. Credit rating agencies assign credit ratings to certain debt instruments to indicate their credit risk. Lower rated or unrated debt instruments held by the Fund may
present increased credit risk as compared to higher-rated debt instruments.
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 or decreases 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. The
Fund is subject to the risk that the income generated by its investments may not keep pace with inflation.
LIBOR replacement risk
The elimination of London
Inter-Bank Offered Rate (LIBOR), among other "inter-bank offered" reference rates, may adversely affect the interest rates on, and value of, certain Fund investments for which the value is tied to LIBOR. Alternatives
to LIBOR have been established or are in development in most major currencies including the Secured Overnight Financing Rate (SOFR) that is intended to replace U.S. dollar LIBOR. The U.K. Financial Conduct Authority
and the ICE Benchmark Administration have announced that most LIBOR settings will no longer be published after December 31, 2021 and a majority of U.S. dollar LIBOR settings will cease publication after June 30, 2023.
It is possible that a subset of LIBOR settings will be published after these dates on a “synthetic” basis, but any such publications would be considered non-representative of the underlying market. Markets
are slowly developing in response to these new reference rates. Uncertainty related to the liquidity impact of the change in rates, and how to appropriately adjust these rates at the time of transition, poses risks
for the Fund. These risks are likely to persist until new reference rates and fallbacks for both legacy and new instruments and contracts are commercially accepted and market practices become settled.
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.
| 68 | Columbia Total Return Bond Fund | Annual Report 2021 |
Notes to Financial Statements (continued)
April 30, 2021
April 30, 2021
Market and environment risk
The Fund may incur losses due to
declines in the value of one or more securities in which it invests. These declines may be due to factors affecting a particular issuer, or the result of, among other things, political, regulatory, market, economic or
social developments affecting the relevant market(s) more generally. In addition, turbulence in financial markets and reduced liquidity in equity, credit and/or fixed income markets may negatively affect many issuers,
which could adversely affect the Fund, including causing difficulty in assigning prices to hard-to-value assets in thinly traded and closed markets, significant redemptions and operational challenges. Global economies
and financial markets are increasingly interconnected, and conditions and events in one country, region or financial market may adversely impact issuers in a different country, region or financial market. These risks
may be magnified if certain events or developments adversely interrupt the global supply chain; in these and other circumstances, such risks might affect companies worldwide. As a result, local, regional or global
events such as terrorism, war, natural disasters, disease/virus outbreaks and epidemics or other public health issues, recessions, depressions or other events – or the potential for such events – could
have a significant negative impact on global economic and market conditions.
The Fund’s performance may
also be significantly negatively impacted by the economic impact of the coronavirus disease 2019 (COVID-19) pandemic. The COVID-19 public health crisis has become a pandemic that has resulted in, and may continue to
result in, significant global economic and societal disruption and market volatility due to disruptions in market access, resource availability, facilities operations, imposition of tariffs, export controls and supply
chain disruption, among others. Such disruptions may be caused, or exacerbated by, quarantines and travel restrictions, workforce displacement and loss in human and other resources. The uncertainty surrounding the
magnitude, duration, reach, costs and effects of the global pandemic, as well as actions that have been or could be taken by governmental authorities or other third parties, present unknowns that are yet to unfold.
The impacts, as well as the uncertainty over impacts to come, of COVID-19 – and any other infectious illness outbreaks, epidemics and pandemics that may arise in the future – could negatively affect global
economies and markets in ways that cannot necessarily be foreseen. In addition, the impact of infectious illness outbreaks and epidemics in emerging market countries may be greater due to generally less established
healthcare systems, governments and financial markets. Public health crises caused by the COVID-19 outbreak may exacerbate other pre-existing political, social and economic risks in certain countries or globally. The
disruptions caused by COVID-19 could prevent the Fund from executing advantageous investment decisions in a timely manner and negatively impact the Fund’s ability to achieve its investment objectives. Any such
event(s) could have a significant adverse impact on the value and risk profile of the Fund.
The Investment Manager and its
affiliates have systematically implemented strategies to address the operating environment spurred by the COVID-19 pandemic. To promote the safety and security of our employees and to assure the continuity of our
business operations, we have implemented a work from home protocol for virtually all of our employee population, restricted business travel, and provided resources for complying with the guidance from the World Health
Organization, the U.S. Centers for Disease Control and governments. Our operations teams seek to operate without significant disruptions in service. Our pandemic strategy takes into consideration that a pandemic could
be widespread and may occur in multiple waves, affecting different communities at different times with varying levels of severity. We cannot, however, predict the impact that natural or man-made disasters, including
the COVID-19 pandemic, may have on the ability of our employees and third-party service providers to continue ordinary business operations and technology functions over near- or longer-term periods.
Mortgage- and other asset-backed
securities risk
The value of any mortgage-backed
and other asset-backed securities including collateralized debt obligations, if any, held by the Fund may be affected by, among other things, changes or perceived changes in: interest rates; factors concerning the
interests in and structure of the issuer or the originator of the mortgages or other assets; the creditworthiness of the entities that provide any supporting letters of credit, surety bonds or other credit enhancements;
or the market’s assessment of the quality of underlying assets. Payment of principal and interest on some mortgage-backed securities (but not the market value of the securities themselves) may be guaranteed by
the full faith and credit of a particular U.S. Government agency, authority, enterprise or instrumentality, and some, but not all, are also insured or guaranteed by the U.S. Government. Mortgage-backed securities
issued by non-governmental issuers (such as commercial banks, savings and loan institutions, private mortgage insurance companies, mortgage bankers and other secondary market issuers) may entail greater risk than
obligations guaranteed by the U.S. Government. Mortgage- and other asset-backed securities are subject to liquidity risk and prepayment risk. A decline or flattening of housing values may cause delinquencies in
mortgages (especially sub-prime or
|
Columbia Total Return Bond Fund | Annual Report 2021
|
69 |
Notes to Financial Statements (continued)
April 30, 2021
April 30, 2021
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 April 30, 2021, two unaffiliated
shareholders of record owned 22.6% 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. Affiliated shareholders of
record owned 53.5% 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 or one or more of its affiliates that provides services to
the Fund.
| 70 | Columbia Total Return Bond Fund | Annual Report 2021 |
Report of Independent Registered Public
Accounting Firm
To the Board of Trustees of Columbia
Funds Series Trust I and Shareholders of Columbia Total Return Bond Fund
Opinion on the Financial
Statements
We have audited the accompanying
statement of assets and liabilities, including the portfolio of investments, of Columbia Total Return Bond Fund (one of the funds constituting Columbia Funds Series Trust I, referred to hereafter as the "Fund") as of
April 30, 2021, the related statement of operations for the year ended April 30, 2021, the statement of changes in net assets for each of the two years in the period ended April 30, 2021, including the related notes,
and the financial highlights for each of the five years in the period ended April 30, 2021 (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 April 30, 2021, 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 April 30,
2021 and the financial highlights for each of the five years in the period ended April 30, 2021 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 April 30, 2021 by correspondence with the custodian, transfer agent, brokers and agent banks; when
replies were not received from brokers and/or agent banks, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
/s/PricewaterhouseCoopers LLP
Minneapolis, Minnesota
June 22, 2021
We have served as the auditor of
one or more investment companies within the Columbia Funds Complex since 1977.
|
Columbia Total Return Bond Fund | Annual Report 2021
|
71 |
Federal Income Tax
Information
(Unaudited)
The Fund hereby designates the
following tax attributes for the fiscal year ended April 30, 2021. Shareholders will be notified in early 2022 of the amounts for use in preparing 2021 income tax returns.
|
Capital
gain dividend |
Section
163(j) Interest Dividends |
| $13,287,276 | 46.06% |
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.
Section 163(j) Interest Dividends.
The percentage of ordinary income distributed during the fiscal year that shareholders may treat as interest income for purposes of IRC Section 163(j), subject to holding period requirements and other limitations.
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, each Trustee
generally serves until December 31 of the year such Trustee turns seventy-five (75).
Independent trustees
|
Name,
address, year of birth |
Position held
with the Columbia Funds and length of service |
Principal occupation(s)
during 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 |
|
George S. Batejan
c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1953 |
Trustee since 2017 | Executive Vice President, Global Head of Technology and Operations, Janus Capital Group, Inc., 2010-2016 | 170 | Former Chairman of the Board, NICSA (National Investment Company Services Association) (Executive Committee, Nominating Committee and Governance Committee), 2014-2016; former Director, Intech Investment Management, 2011-2016; former Board Member, Metro Denver Chamber of Commerce, 2015-2016; former Advisory Board Member, University of Colorado Business School, 2015-2018 |
| 72 | Columbia Total Return Bond Fund | Annual Report 2021 |
TRUSTEES AND OFFICERS (continued)
Independent trustees (continued)
Independent trustees (continued)
|
Name,
address, year of birth |
Position held
with the Columbia Funds and length of service |
Principal occupation(s)
during 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 |
|
Kathleen Blatz
c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1954 |
Trustee since 2006 | Attorney; specializing in arbitration and mediation; Chief Justice, Minnesota Supreme Court, 1998-2006; Associate Justice, Minnesota Supreme Court, 1996-1998; Fourth Judicial District Court Judge, Hennepin County, 1994-1996; Attorney in private practice and public service, 1984-1993; State Representative, Minnesota House of Representatives, 1979-1993, which included service on the Tax and Financial Institutions and Insurance Committees; Member and Interim Chair, Minnesota Sports Facilities Authority, January 2017-July 2017; Interim President and Chief Executive Officer, Blue Cross and Blue Shield of Minnesota (health care insurance), February-July 2018 | 170 | Trustee, BlueCross BlueShield of Minnesota since 2009 (Chair of the Business Development Committee - 2014-2017; Chair of the Governance Committee, 2017-2019); former Member and Chair of the Board, Minnesota Sports Facilities Authority, January 2017-July 2017; Director, Robina Foundation, 2009-2020 (Chair, 2014-2020) |
|
Pamela G. Carlton
c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1954 |
Trustee since 2007 | President, Springboard — Partners in Cross Cultural Leadership (consulting company) since 2003; Managing Director of US Equity Research, JP Morgan Chase, 1999-2003; Director of US Equity Research, Chase Asset Management, 1996-1999; Co-Director Latin America Research, 1993-1996, COO Global Research, 1992-1996, Co-Director of US Research, 1991-1992, Investment Banker, 1982-1991, Morgan Stanley; Attorney at Cleary Gottlieb Steen & Hamilton LLP, 1980-1982 | 170 | Trustee, New York Presbyterian Hospital Board (Executive Committee and Chair of People Committee) since 1996; Director, DR Bank (Audit Committee) since 2017; Director, Evercore Inc. (Audit Committee, Nominating and Governance Committee) since 2019 |
|
Janet Langford Carrig
c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1957 |
Trustee since 1996 | Senior Vice President, General Counsel and Corporate Secretary, ConocoPhillips (independent energy company), September 2007-October 2018 | 168 | Director, EQT Corporation (natural gas producer) since 2019; Director, Whiting Petroleum Corporation (independent oil and gas company) since 2020 |
|
J. Kevin Connaughton
c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1964 |
Trustee since 2020(a) | Member, FINRA National Adjudicatory Council since January 2020; Adjunct Professor of Finance, Bentley University since January 2018; Managing Director and General Manager of Mutual Fund Products, Columbia Management Investment Advisers, LLC, May 2010-February 2015; President, Columbia Funds, 2008-2015; and senior officer of Columbia Funds and affiliated funds, 2003-2015 | 168 | Director, The Autism Project since March 2015; former Member of the Investment Committee, St. Michael’s College, November 2015-February 2020; former Trustee, St. Michael’s College, June 2017-September 2019; former Trustee, New Century Portfolios, January 2015-December 2017 |
|
Olive M. Darragh
c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1962 |
Trustee since 2020(a) | Managing Director of Darragh Inc. (strategy and talent management consulting firm) since 2010; Founder and CEO, Zolio, Inc. (investment management talent identification platform) since 2004; Partner, Tudor Investments, 2004-2010; Senior Partner, McKinsey & Company (consulting), 2001-2004 | 168 | Former Director, University of Edinburgh Business School (Member of US Board); former Director, Boston Public Library Foundation |
|
Columbia Total Return Bond Fund | Annual Report 2021
|
73 |
TRUSTEES AND OFFICERS (continued)
Independent trustees (continued)
Independent trustees (continued)
|
Name,
address, year of birth |
Position held
with the Columbia Funds and length of service |
Principal occupation(s)
during 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 |
|
Patricia M. Flynn
c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1950 |
Trustee since 2004 | Trustee Professor of Economics and Management, Bentley University since 1976 (also teaches and conducts research on corporate governance); Dean, McCallum Graduate School of Business, Bentley University, 1992-2002 | 170 | Trustee, MA Taxpayers Foundation since 1997; Board of Governors, Innovation Institute, MA Technology Collaborative, 2010-2019; Board of Directors, The MA Business Roundtable, 2003-2019 |
|
Brian J. Gallagher
c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1954 |
Trustee since 2017 | Retired; Partner with Deloitte & Touche LLP and its predecessors, 1977-2016 | 170 | Trustee, Catholic Schools Foundation since 2004 |
|
Douglas A. Hacker
c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1955 |
Co-Chair since 2021; Chair of CFST I and CFVIT since 2014; Trustee of CFST I and CFVIT since 1996 and CFST, CFST II, CFVST II, Columbia ETF Trust I and Columbia ETF Trust II since 2021 | 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 | 168 | Director, Spartan Nash Company (food distributor); Director, Aircastle Limited (Chair of Audit Committee) (aircraft leasing); former Director, Nash Finch Company (food distributor), 2005-2013; former Director, SeaCube Container Leasing Ltd. (container leasing), 2010-2013; and former Director, Travelport Worldwide Limited (travel information technology), 2014-2019 |
|
Nancy T. Lukitsh
c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1956 |
Trustee since 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 | 168 | |
|
David M. Moffett
c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1952 |
Trustee since 2011 | Retired; Consultant to Bridgewater and Associates | 168 | Director, CSX Corporation (transportation suppliers); Director, Genworth Financial, Inc. (financial and insurance products and services); Director, 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 |
| 74 | Columbia Total Return Bond Fund | Annual Report 2021 |
TRUSTEES AND OFFICERS (continued)
Independent trustees (continued)
Independent trustees (continued)
|
Name,
address, year of birth |
Position held
with the Columbia Funds and length of service |
Principal occupation(s)
during 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 |
|
Catherine James Paglia
c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1952 |
Co-Chair since 2021; Chair of CFST, CFST II, CFVST II, Columbia ETF Trust I and Columbia ETF Trust II since 2020; Trustee of CFST, CFST II and CFVST II since 2004 and CFST I and CFVIT since 2021 | Director, Enterprise Asset Management, Inc. (private real estate and asset management company) since September 1998; Managing Director and Partner, Interlaken Capital, Inc., 1989-1997; Vice President, 1982-1985, Principal, 1985-1987, Managing Director, 1987-1989, Morgan Stanley; Vice President, Investment Banking, 1980-1982, Associate, Investment Banking, 1976-1980, Dean Witter Reynolds, Inc. | 170 | Director, Valmont Industries, Inc. (irrigation systems manufacturer) since 2012; Trustee, Carleton College (on the Investment Committee); Trustee, Carnegie Endowment for International Peace (on the Investment Committee) |
|
Anthony M. Santomero
c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1946 |
Trustee since 2008 | Richard K. Mellon Professor Emeritus of Finance, The Wharton School, University of Pennsylvania, since 2002; Senior Advisor, McKinsey & Company (consulting), 2006-2008; President, Federal Reserve Bank of Philadelphia, 2000-2006; Professor of Finance, The Wharton School, University of Pennsylvania, 1972-2002 | 170 | Trustee, Penn Mutual Life Insurance Company since March 2008; Director, RenaissanceRe Holdings Ltd. since May 2008; former Director, Citigroup Inc. and Citibank, N.A., 2009-2019; former Trustee, BofA Funds Series Trust (11 funds), 2008-2011 |
|
Minor M. Shaw
c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1947 |
Trustee since 2003 | President, Micco LLC (private investments) since 2011; President, Micco Corp. (family investment business), 1998-2011 | 170 | Director, BlueCross BlueShield of South Carolina (Chair of Compensation Committee) since April 2008; Trustee, Hollingsworth Funds (on the Investment Committee) since 2016 (previously Board Chair from 2016-2019); Former Advisory Board member, Duke Energy Corp., 2016-2020; Chair of the Duke Endowment; Chair of Greenville – Spartanburg Airport Commission; former Trustee, BofA Funds Series Trust (11 funds), 2003-2011; former Director, Piedmont Natural Gas, 2004-2016; former Director, National Association of Corporate Directors, Carolinas Chapter, 2013-2018; Chair, Daniel-Mickel Foundation |
|
Columbia Total Return Bond Fund | Annual Report 2021
|
75 |
TRUSTEES AND OFFICERS (continued)
Independent trustees (continued)
Independent trustees (continued)
|
Name,
address, year of birth |
Position held
with the Columbia Funds and length of service |
Principal occupation(s)
during 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 |
|
Natalie A. Trunow
c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1967 |
Trustee since 2020(a) | Chief Executive Officer, Millennial Portfolio Solutions LLC (asset management and consulting services) since January 2016; Non-executive Member of the Investment Committee, Sarona Asset Management Inc. (private equity firm) since September 2019; Advisor, Horizon Investments (asset management and consulting services) since August 2018; Advisor, Paradigm Asset Management since November 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 | 168 | Director, Health Services for Children with Special Needs, Inc.; Director, Consumer Credit Counseling Services (formerly Guidewell Financial Solutions); Independent Director, Investment Committee, Sarona Asset Management |
|
Sandra Yeager
c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1964 |
Trustee since 2017 | Retired; President and founder, Hanoverian Capital, LLC (SEC registered investment advisor firm), 2008-2016; Managing Director, DuPont Capital, 2006-2008; Managing Director, Morgan Stanley Investment Management, 2004-2006; Senior Vice President, Alliance Bernstein, 1990-2004 | 170 | Director, NAPE Education Foundation, October 2016-October 2020 |
| * | The term “Columbia Funds Complex” as used herein includes Columbia Seligman Premium Technology Growth Fund, Tri-Continental Corporation and each series of Columbia Fund Series Trust (CFST), Columbia Funds Series Trust I (CFST I), Columbia Funds Series Trust II (CFST II), Columbia ETF Trust I, Columbia ETF Trust II, Columbia Funds Variable Insurance Trust (CFVIT) and Columbia Funds Variable Series Trust II (CFVST II). Messrs. Batejan, Gallagher, Petersen and Santomero and Mses. Blatz, Carlton, Flynn, Paglia, Shaw and Yeager serve as a director of Columbia Seligman Premium Technology Growth Fund and Tri-Continental Corporation. |
| (a) | J. Kevin Connaughton was appointed a consultant to the Independent Trustees of CFST I and CFVIT effective March 1, 2016. Natalie A. Trunow was appointed a consultant to the Independent Trustees of CFST I and CFVIT effective September 1, 2016. Olive M. Darragh was appointed a consultant to the Independent Trustees of CFST I and CFVIT effective June 10, 2019. Shareholders of the Funds elected Mr. Connaughton and Mses. Darragh and Trunow as Trustees of CFST, CFST I, CFST II, Columbia ETF Trust I, Columbia ETF Trust II, and CFVST II, effective January 1, 2021, and of CFVIT, effective July 1, 2020. |
Interested trustee affiliated with
Investment Manager*
|
Name,
address, year of birth |
Position held with the Columbia Funds 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 |
|
Christopher O. Petersen
c/o Columbia Management Investment Advisers, LLC 5228 Ameriprise Financial Center Minneapolis, MN 55474 1970 |
Trustee since 2020(a) | 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 | 170 | None |
| * | 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. |
| (a) | Mr. Petersen serves as the Senior Vice President and Assistant Secretary of the Columbia Funds (since 2021). |
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.
| 76 | Columbia Total Return Bond Fund | Annual Report 2021 |
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. Petersen, who is Senior Vice President and Assistant Secretary, the Fund’s other officers are:
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. Petersen, who is Senior Vice President and Assistant Secretary, 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 |
|
Daniel J. Beckman
225 Franklin Street Boston, MA 02110 1962 |
President and Principal Executive Officer (2021) | Vice President – Head of North America Product, Columbia Management Investment Advisers, LLC (since April 2015); officer of Columbia Funds and affiliated funds since 2020. |
|
Michael G. Clarke
225 Franklin Street Boston, MA 02110 1969 |
Chief Financial Officer and 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. |
|
Joseph Beranek
5890 Ameriprise Financial Center Minneapolis, MN 55474 1965 |
Treasurer and Chief Accounting Officer (Principal Accounting Officer) (2019) and Principal Financial Officer (2020), CFST, CFST I, CFST II, CFVIT and CFVST II; Assistant Treasurer, Columbia ETF Trust I and Columbia ETF Trust II | 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). |
|
Marybeth Pilat
225 Franklin Street Boston, MA 02110 1968 |
Treasurer and Chief Accounting Officer (Principal Accounting Officer) and Principal Financial Officer (2020) for Columbia ETF Trust I and Columbia ETF Trust II; Assistant Treasurer, CFST, CFST I, CFST II, CFVIT and CFVST II | Vice President – Product Pricing and Administration, Columbia Management Investment Advisers, LLC, since May 2017; Director - Fund Administration, Calvert Investments, August 2015 – March 2017; Vice President - Fund Administration, Legg Mason, May 2015 - July 2015; Vice President - Fund Administration, Columbia Management Investment Advisers, LLC, May 2010 - April 2015. |
|
William F. Truscott
225 Franklin Street Boston, MA 02110 1960 |
Senior Vice President (2001) | Formerly, Trustee of Columbia Funds Complex until January 1, 2021; Chief Executive Officer, Global Asset Management, Ameriprise Financial, Inc. since September 2012; Chairman of the Board and President, Columbia Management Investment Advisers, LLC since July 2004 and February 2012, respectively; Chairman of the Board and Chief Executive Officer, Columbia Management Investment Distributors, Inc. since November 2008 and February 2012, respectively; Chairman of the Board and Director, Threadneedle Asset Management Holdings, Sàrl since March 2013 and December 2008, respectively; senior executive of various entities affiliated with Columbia Threadneedle. |
|
Paul B. Goucher
485 Lexington Avenue New York, NY 10017 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 1972 |
Senior Vice President and Chief Compliance Officer (2012) | Vice President – Asset Management Compliance, Ameriprise Financial, Inc., since May 2010; Chief Compliance Officer, Columbia Acorn/Wanger Funds since December 2015; Chief Compliance Officer, Ameriprise Certificate Company September 2010 – September 2020. |
|
Columbia Total Return Bond Fund | Annual Report 2021
|
77 |
TRUSTEES AND OFFICERS (continued)
Fund 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 |
|
Colin Moore
225 Franklin Street Boston, MA 02110 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 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); Chief Legal Officer, Columbia Acorn/Wanger Funds, since September 2020; officer of Columbia Funds and affiliated funds since 2005. |
|
Michael E. DeFao
225 Franklin Street Boston, MA 02110 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 1960 |
Vice President (2015) | President, Columbia Management Investment Services Corp. since October 2014; Vice President & Resolution Officer, Ameriprise Trust Company since August 2009. |
Liquidity Risk
Management Program
Pursuant to Rule 22e-4 under the
1940 Act, the Fund has adopted a liquidity risk management program (Program). The Program’s principal objectives include assessing, managing and periodically reviewing the Fund’s liquidity risk. Liquidity
risk is defined as the risk that the Fund could not meet redemption requests without significant dilution of remaining investors’ interests in the Fund.
The Board has appointed the
Investment Manager as the program administrator for the Fund’s Program. The Investment Manager has delegated oversight of the Program to its Liquidity Risk Management Committee (the Committee). At a board
meeting during the fiscal period, the Committee provided the Board with a report addressing the operations of the program and assessing its adequacy and effectiveness of implementation for the period January 1, 2020,
through December 31, 2020, including:
| • | the Fund had sufficient liquidity to both meet redemptions and operate effectively on behalf of shareholders; |
| • | there were no material changes to the Program during the period; |
| • | the implementation of the Program was effective to manage the Fund’s liquidity risk; and |
| • | the Program operated adequately during the period. |
There can be no assurance that the
Program will achieve its objectives in the future. Please refer to the Fund’s prospectus for more information regarding the Fund’s exposure to liquidity risk and other principal risks to which an
investment in the Fund may be subject.
| 78 | Columbia Total Return Bond Fund | Annual Report 2021 |
Results of Meeting of
Shareholders
At a Joint Special Meeting of
Shareholders held on December 22, 2020, shareholders of Columbia Funds Series Trust I elected each of the seventeen nominees for the trustees to the Board of Trustees of Columbia Funds Series Trust I, each to hold
office until he or she dies, retires, resigns or is removed or, if sooner, until the election and qualification of his or her successor, as follows:
|
Columbia Total Return Bond Fund | Annual Report 2021
|
79 |
Columbia Total Return Bond 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.
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.
© 2021 Columbia Management Investment
Advisers, LLC.
columbiathreadneedleus.com/investor/
ANN166_04_L01_(06/21)
Annual Report
April 30, 2021
April 30, 2021
Multi-Manager
Directional 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 are no longer sent by mail, unless you specifically
requested paper copies of the reports. Instead, the reports are 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
shareholder 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 Federally Insured • No
Financial Institution Guarantee • May Lose Value
Table of Contents
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If you elect to receive the
shareholder report for Multi-Manager Directional Alternative Strategies Fund (the Fund) in paper, mailed to you, the Fund mails one shareholder report to each shareholder address, unless such shareholder elects to
receive shareholder reports from the Fund electronically via e-mail or by having a paper notice mailed to you (Postcard Notice) that your Fund’s shareholder report is available at the Columbia funds’
website (columbiathreadneedleus.com/investor/). If you would like more than one report in paper to be mailed to you, or would like to elect to receive reports via e-mail or access them through Postcard Notice, please
call shareholder services at 800.345.6611 and additional reports will be sent to you.
Proxy voting policies and
procedures
The policy of the Board of Trustees
is to vote the proxies of the companies in which the Fund holds investments consistent with the procedures as stated in the Statement of Additional Information (SAI). You may obtain a copy of the SAI without charge by
calling 800.345.6611; contacting your financial intermediary; visiting columbiathreadneedleus.com/investor/; or searching the website of the Securities and Exchange Commission (SEC) at sec.gov. Information regarding
how the Fund voted proxies relating to portfolio securities is filed with the SEC by August 31st for the most recent 12-month period ending June 30th of that year, and is available without charge by visiting
columbiathreadneedleus.com/investor/, or searching the website of the SEC at sec.gov.
Quarterly schedule of
investments
The Fund files a complete schedule
of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-PORT. The Fund’s Form N-PORT is available on the SEC’s website at sec.gov. The Fund’s complete
schedule of portfolio holdings, as filed on 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 Directional Alternative Strategies
Fund | Annual Report 2021
Fund at a Glance
Investment objective
The Fund
seeks capital appreciation.
Portfolio management
Boston Partners Global Investors, Inc.
Joseph Feeney, Jr., CFA
Eric Connerly, CFA
AQR Capital Management, LLC
Michele Aghassi, Ph.D.
Andrea Frazzini, Ph.D.
Ronen Israel
Lars Nielsen
Wells Capital Management Incorporated
Harindra de Silva, CFA
Dennis Bein, CFA
David Krider, CFA
All results shown assume
reinvestment of distributions during the period. Returns do not reflect the deduction of taxes that a shareholder may pay on Fund distributions or on the redemption of Fund shares. Performance results reflect the
effect of any fee waivers or reimbursements of Fund expenses by Columbia Management Investment Advisers, LLC and/or any of its affiliates. Absent these fee waivers or expense reimbursement arrangements, performance
results would have been lower.
The performance information shown
represents past performance and is not a guarantee of future results. The investment return and principal value of your investment will fluctuate so that your shares, when redeemed, may be worth more or less than
their original cost. Current performance may be lower or higher than the performance information shown. You may obtain performance information current to the most recent month-end by contacting your financial
intermediary, visiting columbiathreadneedleus.com/investor/ or calling 800.345.6611.
| * | The returns shown for periods prior to the share class inception date (including returns for the Life of the Fund, if shown, which are since Fund inception) include the returns of the Fund’s oldest share class. Returns shown for periods prior to the inception date of the Fund’s Institutional Class shares include the returns of the Fund’s Class A shares for the period from October 17, 2016 (the inception date of the Fund) through January 2, 2017. Class A shares were offered prior to the Fund’s Institutional Class shares but have since been merged into the Fund’s Institutional Class shares. These returns are adjusted to reflect any higher class-related operating expenses of the newer share classes, as applicable. Please visit columbiathreadneedleus.com/investor/investment-products/mutual-funds/appended-performance for more information. |
The HFRX Equity Hedge Index
strategies maintain positions both long and short in primarily equity and equity derivative securities. Equity Hedge managers would typically maintain at least 50%, and may in some cases be substantially entirely
invested in equities, both long and short. Hedge Fund Research, Inc. (HFR) utilizes a UCITSIII compliant methodology to construct the HFRX Hedge Fund Indices. The methodology is based on defined and predetermined
rules and objective criteria to select and rebalance components to maximize representation of the Hedge Fund Universe. HFRX Indices utilize state-of-the-art quantitative techniques and analysis; multi-level screening,
cluster analysis, Monte-Carlo simulations and optimization techniques ensure that each Index is a pure representation of its corresponding investment focus.
The Wilshire Liquid Alternative
Equity Hedge Index measures the performance of the equity hedge strategy component of the Wilshire Liquid Alternative Index℠. Equity hedge investment strategies predominantly invest in long and short equities.
The Wilshire Liquid Alternative Equity Hedge Index (WLIQAEH) is designed to provide a broad measure of the liquid alternative equity hedge market.
The MSCI World Index (Net) is a free
float-adjusted market capitalization weighted index that is designed to measure the equity market performance of developed markets.
Indices are not available for
investment, are not professionally managed and do not reflect sales charges, fees, brokerage commissions, taxes (except the MSCI World 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.
Fund performance may be significantly
negatively impacted by the economic impact of the COVID-19 pandemic. The COVID-19 pandemic has adversely impacted economies and capital markets around the world in ways that will likely continue and may change in
unforeseen ways for an indeterminate period. The COVID-19 pandemic may exacerbate pre-existing political, social and economic risks in certain countries and globally.
|
Multi-Manager Directional Alternative Strategies Fund | Annual Report 2021
|
3 |
Fund at a Glance (continued)
Performance of a hypothetical $10,000 investment (October 17, 2016 — April 30, 2021)
The chart above shows the change in
value of a hypothetical $10,000 investment in Institutional Class shares of Multi-Manager Directional 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 April 30, 2021) | |
| Common Stocks | 151.2 |
| Preferred Stocks | 0.2 |
| Rights | 0.0(a) |
| Short-Term Investments Segregated in Connection with Open Derivatives Contracts(b) | 14.7 |
| Total | 166.1 |
| (a) | Rounds to zero. |
| (b) | Includes investments in Money Market Funds (amounting to $22.0 million) which have been segregated to cover obligations relating to the Fund’s investment in derivatives which provide exposure to multiple markets. For a description of the Fund’s investments in derivatives, see Investments in derivatives following the Portfolio of Investments and Note 2 to the Notes to Financial Statements. |
Percentages indicated are based upon
total investments net of investments sold short and excluding investments in derivatives, if any. The Fund’s portfolio composition is subject to change.
| Portfolio breakdown — short positions (%) (at April 30, 2021) | |
| Common Stocks | (65.2) |
| Preferred Stocks | (0.9) |
| Rights | (0.0)(a) |
| Total | (66.1) |
| (a) | Rounds to zero. |
Percentages indicated are based upon
total investments net of investments sold short and excluding investments in derivatives, if any. The Fund’s portfolio composition is subject to change.
Percentages indicated are based
upon total long equity investments. The Fund’s portfolio composition is subject to change.
| 4 | Multi-Manager Directional Alternative Strategies Fund | Annual Report 2021 |
Fund at a Glance (continued)
| Equity sector breakdown — short positions (%) (at April 30, 2021) | |
| Communication Services | (3.9) |
| Consumer Discretionary | (10.4) |
| Consumer Staples | (6.7) |
| Energy | (7.7) |
| Financials | (17.9) |
| Health Care | (16.0) |
| Industrials | (13.8) |
| Information Technology | (10.0) |
| Materials | (11.3) |
| Real Estate | (0.9) |
| Utilities | (1.4) |
| Total | (100.0) |
Percentages indicated are based
upon total short equity investments. The Fund’s portfolio composition is subject to change.
| Market exposure through derivatives investments (% of notional exposure) (at April 30, 2021)(a) | |||
| Long | Short | Net | |
| Equity Derivative Contracts | 326.8 | (258.1) | 68.7 |
| Foreign Currency Derivative Contracts | 42.8 | (11.5) | 31.3 |
| Total Notional Market Value of Derivative Contracts | 369.6 | (269.6) | 100.0 |
(a) The Fund has market exposure
(long and/or short) to 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 Portfolio of Investments, and Note 2 of the Notes
to Financial Statements.
|
Multi-Manager Directional Alternative Strategies Fund | Annual Report 2021
|
5 |
Manager Discussion of Fund Performance
During the 12-month period ended
April 30, 2021, the Fund was managed by three independent money management firms and each invested a portion of the portfolio’s assets. As of April 30, 2021, AQR Capital Management, LLC (AQR), Boston Partners
Global Investors, Inc. doing business as Boston Partners (Boston Partners) and Wells Capital Management Incorporated (WellsCap) managed approximately 27.96%, 39.70% and 32.34% of the Fund’s assets,
respectively.
For the 12-month period that ended
April 30, 2021, the Fund’s Institutional Class shares returned 20.50%. During the same time period, the Fund underperformed the HFRX Equity Hedge Index, which returned 22.11%, and the Wilshire Liquid Alternative
Equity Hedge Index, which returned 20.67%. The Fund also underperformed the MSCI World Index (Net), which returned 45.33% during the 12-month period.
The Fund’s subadvisers employ
a variety of alternative investment strategies, involving strategies, techniques and practices designed to seek capital appreciation through participation in the broad equity and other markets while hedging overall
market exposure relative to traditional long-only equity strategies. Generally, the Fund seeks to provide higher risk-adjusted returns with lower volatility compared to equity markets.
Market overview
During 2020, global COVID-19
cases and deaths were increasing rapidly, particularly within Western Europe and the United States. Lockdown measures were in place across much of the global economy and economists were projecting unprecedented
declines in GDP. Later in the year, the broad emergence of second waves of increased COVID-19 cases drove home the message that certain types of economic activity were unlikely to fully recover until the arrival of
effective vaccines and/or treatments, and market performance diverged significantly between the perceived winners and losers of the pandemic economy. Technology shares rose sharply, bringing the Nasdaq and the S&P
500 Index to new record highs. In contrast, fears of persistently depressed travel demand weighed on the energy sector while financial stocks underperformed on concerns over loan losses and low interest rates.
However, developments in November
2020 proved more favorable for equities and other risky assets. Equity markets responded positively to the U.S. election result, benefiting from the reduction in uncertainty over future economic policy, and an even
larger positive jolt to risk sentiment arrived when Pfizer published the results of its stage 3 COVID-19 vaccine trials showing extremely high efficacy. Vaccine enthusiasm remained the key driver for markets over the
remainder of the year, and investors largely looked through the continuation of severe outbreaks in a number of countries.
The first few months of 2021 were
characterized by growing optimism that the eventual end of the pandemic was in sight. Most major equity markets delivered gains for the first quarter of 2021, although there were notable shifts in relative performance
across sectors. In particular, hopes for more rapid normalization in economic activity appeared to drive enthusiasm for cheaper and more cyclical companies, such as energy stocks and financial firms.
Markets were sharply bifurcated
during the period between growth and value. While the rally during the first half of the period was largely driven by outsize gains in faster growing (momentum) market segments such as mega-cap technology stocks, the
second half of the year saw a rotation into more economically-sensitive, value-oriented market segments. This strong reversal in investor sentiment saw stocks that had been largely out-of-favor earlier in the period
perform well with the anticipation of the reopening of the U.S. and other developed market economies.
AQR
Our portion of the Fund’s
portfolio is compared against a custom benchmark composed of 50% MSCI World Index and 50% FTSE Three-Month U.S. Treasury Bill Index. During the 12-month period that ended April 30, 2021, our portion of the
Fund’s portfolio outperformed the custom benchmark.
The models upon which the strategy
invests will not change as market conditions change, although they may generate a portfolio of different exposures. The combination of value and momentum strategies produces a diversified investment process that has,
in the past, produced attractive risk adjusted returns. Generally, we believe the most attractive environment for our strategy is when valuation spreads are wide and there is agreement between value and momentum
measures.
| 6 | Multi-Manager Directional Alternative Strategies Fund | Annual Report 2021 |
Manager Discussion of Fund Performance (continued)
The strategy uses equity derivative
instruments as a substitute for investing in conventional securities and to increase economic exposure to a particular security or index in a cost-effective manner. Typically, the strategy will invest in common stocks
and swaps on individual common stocks (as an alternative to financing). Additionally, the strategy uses both equity index futures and currency forwards to gain passive equity market exposure.
The most notable contributors in
our portion of the portfolio during the period
| • | Outperformance in our portion of the Fund’s portfolio during the period was driven by passive market exposure, which is implemented entirely using derivatives. |
| • | Neutral stock selection also contributed, along with, to a lesser degree, tactical market exposure (also achieved entirely through derivative securities). |
| • | From an investment theme perspective, valuation, momentum and sentiment also drove gains. |
| • | While our portion of the portfolio is managed with a market neutral model, the top contributing sectors were the energy, utilities and financials sectors. |
| • | Top individual contributors during the period were Deckers Outdoors (United States), L Brands Inc. (United States) and Royal Mail (United Kingdom). We sold Deckers Outdoors and L Brands from our portion of the Fund’s portfolio. |
| • | From a country perspective, stock selection within the United States and United Kingdom contributed to performance during the period. |
The most notable detractors in
our portion of the portfolio during the period
| • | From an investment theme perspective, quality offset gains from the valuation, momentum and sentiment themes. |
| • | While our portion of the portfolio is managed with a market neutral model, the largest detracting sectors were the health care and information technology sectors. |
| • | Top individual detractors during the period were Twilio Inc. (United States), SVB Financial Group (United States) and Lyft Inc. (United Kingdom). We sold SVB Financial and Lyft from our portion of the Fund’s portfolio. |
| • | From a country perspective, Germany, France and Switzerland accounted for the largest lags to our portion of the Fund’s performance. |
Boston Partners
During the 12-month period that
ended April 30, 2021, our portion of the Fund’s portfolio outperformed the S&P 500 Index, the benchmark against which our portion of the portfolio is compared.
Our portion of the portfolio is
managed with a value tilt and is composed of a long and a short portfolio. The performance differential between expensive and inexpensive stocks during the 12-month period was a strong headwind for our value-oriented
approach, as S&P 500 stocks entering 2020 in the most expensive P/E quintile were up 40% while those in the cheapest quintile were down 4%, a 44% spread.
The strategy utilized several total
return swaps during the period, which represented a very small portion of the portfolio. Derivatives are used to get short exposure when 1) exchanges forbid cash short sales, 2) taxes or other market features make
cash long purchases or sales expensive and 3) they can provide additional return when implied volatilities are sufficiently high and stocks held long are near target price. All of the derivatives that were used in our
portion of the portfolio during the period functioned as intended.
The most notable contributors in
our portion of the portfolio during the period
| • | During the period, we rotated the long portfolio toward what we viewed to be inexpensive yet very high-quality businesses in cyclical sectors such as industrials, consumer discretionary, energy, and finance. This tilt toward less expensive, more cyclical areas of the market strongly benefitted performance and resulted in our long portfolio outperforming the S&P 500 during the period. |
|
Multi-Manager Directional Alternative Strategies Fund | Annual Report 2021
|
7 |
Manager Discussion of Fund Performance (continued)
| • | Top absolute contributors came from the industrials, financials and information technology sectors in the long portfolio. |
| ○ | Within the industrials sector, electronics distributors, aerospace-related companies and business services all benefited from an improved post-vaccine economic outlook and strong and growing order backlogs. |
| ○ | Within the financials sector, banks rose along with higher interest rates and improved prospects of significant share buybacks due to excess capital likely being released in coming quarters, as banks overprovisioned for what at this point has been a better-than-feared credit environment. |
| ○ | Semiconductor stocks within the information technology sector led gains on strengthening pricing and lessened fears of trade disruption amid a new U.S. administration. |
The most notable detractors in
our portion of the portfolio during the period
| • | The short portfolio rose in price and detracted from performance. In our opinion, 2020 was simply the worst year for shorting expensive companies with weak to negative profitability in our firm’s 25-year history. Detractors were broad-based. |
| • | Top absolute detractors came from the consumer discretionary, information technology, and industrials sectors in the short portfolio. |
| • | Within consumer discretionary, several auto-related and small-to mid-cap e-commerce shorts rose higher in valuation amid the pandemic. |
| • | Within information technology, several small- to mid-cap software-as-a-service shorts soared in valuation to what we viewed as extremely high price-to-sales (P/S) ratios. |
| • | Lastly, within the industrials sector, shorts detracted in the second half of 2020 as many lower quality machinery and aerospace-related shorts moved higher as economic prospects improved. |
WellsCap
Our portion of the Fund’s
portfolio is compared against a custom benchmark composed of 50% MSCI World Index and 50% FTSE Three-Month U.S. Treasury Bill Index. During the 12-month period that ended April 30, 2021, our portion of the
Fund’s portfolio underperformed the custom benchmark.
The bifurcated market that emerged
as some stocks plummeted under lockdown in response to the COVID-19 pandemic while other stocks thrived in the new stay-at-home environment created what we view as a new risk factor in the market. This stay at home vs
return to work risk factor exposed the portfolio to a tremendous amount of volatility. As a result, we identified a way to measure the risk factor and constrain it such that it would be expected to have minimal impact
on our relative performance. This risk mitigation resulted in stocks that we believe are poised to benefit from the reopening trade (which still have higher risk profiles) and are less likely to be included in the
short portfolio as a result of managing this exposure.
The most notable contributors in
our portion of the portfolio during the period
| • | Our portion of the portfolio’s overweight to stocks in the information technology and health care sectors contributed, given their strong performance. |
| • | Our return forecasting model was additive in the long book as high alpha stocks outperformed. Exposure to quality and momentum factors were particularly additive in the long portfolio, especially in the first six months of the period. |
| • | More recently in the period, the dynamic nature of the alpha model has tilted the portfolio toward value factors which have performed well in the first few months of 2021. |
| • | From a country perspective, exposure to Israel, Denmark and Canada was additive to performance. |
| 8 | Multi-Manager Directional Alternative Strategies Fund | Annual Report 2021 |
Manager Discussion of Fund Performance (continued)
The most notable detractors in
our portion of the portfolio during the period
| • | Being short in high beta stocks in our portion of the portfolio was the primary driver of underperformance during the period. High beta stocks outperformed low beta stocks by 63% in the 12-month period that ended April 30, 2021, one of the largest spreads we have experienced in the last 25 years. |
| • | A tilt in our portion of the portfolio towards low beta stocks in the consumer discretionary sector detracted, as those stocks underperformed the market. |
| • | Underweighting higher risk financial stocks, which were among the best performing stocks during the period, also weighed on performance. |
| • | From a country perspective, exposure to Austria, Germany and Italy detracted from performance. |
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. As a non-diversified fund, fewer investments could have a greater effect on performance. Alternative investments cover a broad range of strategies and structures designed to be low or non-correlated to
traditional equity and fixed-income markets with along-term expectation of illiquidity. Alternative investments involve substantial risks and are more volatile than traditional investments, making them more suitable for investors with an above-average tolerance for risk. 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. Short positions (where the underlying asset is not owned) can create unlimited risk. The Fund’s use of leverage allows for investment exposure in excess of net assets, thereby magnifying volatility of returns and risk of loss. 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. 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. 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.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 who have contributed to the report. 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 Directional Alternative Strategies Fund | Annual Report 2021
|
9 |
Understanding Your Fund’s
Expenses
(Unaudited)
(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.
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.
| 10 | Multi-Manager Directional Alternative Strategies Fund | Annual Report 2021 |
Portfolio of Investments
April 30, 2021
April 30, 2021
(Percentages represent value of
investments compared to net assets)
Investments in securities
| Common Stocks 81.3% | ||
| Issuer | Shares | Value ($) |
| Communication Services 7.1% | ||
| Diversified Telecommunication Services 0.3% | ||
| Proximus SADP | 10,280 | 219,015 |
| Telecom Italia SpA | 711,919 | 390,324 |
| Telefonica Deutschland Holding AG | 28,862 | 83,878 |
| Telenor ASA | 626 | 11,152 |
| Total | 704,369 | |
| Entertainment 1.6% | ||
| Electronic Arts, Inc.(a) | 4,679 | 664,792 |
| Embracer Group AB(b) | 9,659 | 295,068 |
| Live Nation Entertainment, Inc.(b) | 4,241 | 347,253 |
| NetEase, Inc., ADR | 2,713 | 304,019 |
| Nintendo Co., Ltd. | 4,000 | 2,294,613 |
| Take-Two Interactive Software, Inc.(a),(b) | 3,029 | 531,226 |
| Total | 4,436,971 | |
| Interactive Media & Services 2.5% | ||
| Alphabet, Inc., Class A(a),(b) | 1,250 | 2,941,875 |
| Alphabet, Inc., Class C(b) | 443 | 1,067,683 |
| Baidu, Inc., ADR(b) | 1,211 | 254,710 |
| Facebook, Inc., Class A(b) | 8,030 | 2,610,393 |
| Yelp, Inc.(b) | 5,508 | 216,464 |
| Total | 7,091,125 | |
| Media 1.7% | ||
| Altice U.S.A., Inc., Class A(b) | 8,461 | 307,219 |
| Charter Communications, Inc., Class A(b) | 645 | 434,375 |
| Cogeco Communications, Inc. | 287 | 27,260 |
| Discovery, Inc., Class C(a),(b) | 354 | 11,438 |
| EW Scripps Co. (The), Class A(a) | 20,414 | 441,351 |
| Fox Corp., Class A(a) | 16,063 | 601,077 |
| Fox Corp., Class B(a) | 12,356 | 449,511 |
| News Corp., Class A(a) | 29,944 | 784,383 |
| Nexstar Media Group, Inc., Class A | 5,712 | 842,006 |
| ProSiebenSat.1 Media AG(b) | 4,901 | 106,443 |
| TEGNA, Inc. | 34,111 | 684,267 |
| Telenet Group Holding NV | 3,512 | 150,179 |
| Total | 4,839,509 | |
| Common Stocks (continued) | ||
| Issuer | Shares | Value ($) |
| Wireless Telecommunication Services 1.0% | ||
| Freenet AG | 1,435 | 34,894 |
| T-Mobile USA, Inc.(b) | 6,828 | 902,184 |
| Vodafone Group PLC | 976,340 | 1,842,549 |
| Total | 2,779,627 | |
| Total Communication Services | 19,851,601 | |
| Consumer Discretionary 11.4% | ||
| Auto Components 0.3% | ||
| Continental AG | 1,904 | 257,306 |
| Gentex Corp. | 6,204 | 218,257 |
| Magna International, Inc. | 99 | 9,349 |
| Nokian Renkaat OYJ | 4,764 | 177,371 |
| Pirelli & C. SpA(b) | 23,226 | 130,499 |
| Total | 792,782 | |
| Automobiles 0.9% | ||
| Bayerische Motoren Werke AG | 2,987 | 299,328 |
| Daimler AG, Registered Shares | 2,377 | 211,550 |
| Harley-Davidson, Inc. | 24,528 | 1,186,419 |
| Stellantis NV | 39,707 | 657,926 |
| Tesla Motors, Inc.(a),(b) | 182 | 129,118 |
| Total | 2,484,341 | |
| Distributors 0.2% | ||
| LKQ Corp.(b) | 13,338 | 623,018 |
| Diversified Consumer Services 0.2% | ||
| Stride, Inc.(b) | 17,727 | 507,524 |
| Hotels, Restaurants & Leisure 2.8% | ||
| Caesars Entertainment, Inc.(b) | 3,974 | 388,816 |
| Domino’s Pizza, Inc.(a) | 1,903 | 803,713 |
| Entain PLC(b) | 33,381 | 780,336 |
| Evolution Gaming Group AB | 620 | 122,393 |
| Flutter Entertainment PLC(b) | 3,840 | 786,898 |
| Genting Singapore Ltd. | 23,900 | 15,500 |
| International Game Technology PLC(b) | 16,836 | 289,916 |
| La Francaise des Jeux SAEM | 13,040 | 668,257 |
| Las Vegas Sands Corp.(b) | 10,006 | 612,968 |
| McDonald’s Holdings Co. Japan Ltd. | 17,700 | 808,148 |
The accompanying Notes to Financial
Statements are an integral part of this statement.
|
Multi-Manager Directional Alternative Strategies Fund | Annual Report 2021
|
11 |
Portfolio of Investments (continued)
April 30, 2021
April 30, 2021
| Common Stocks (continued) | ||
| Issuer | Shares | Value ($) |
| Restaurant Brands International, Inc. | 5,478 | 375,846 |
| Travel + Leisure Co. | 5,388 | 347,688 |
| Vail Resorts, Inc.(a),(b) | 4,197 | 1,364,696 |
| Wyndham Hotels & Resorts, Inc. | 4,218 | 308,378 |
| Total | 7,673,553 | |
| Household Durables 2.0% | ||
| D.R. Horton, Inc.(a) | 13,494 | 1,326,325 |
| Electrolux AB, Class B | 45,390 | 1,273,947 |
| Husqvarna AB, Class B | 9,626 | 134,047 |
| Iida Group Holdings Co., Ltd. | 16,200 | 394,541 |
| Mohawk Industries, Inc.(b) | 2,851 | 585,880 |
| NVR, Inc.(a),(b) | 4 | 20,072 |
| PulteGroup, Inc.(a) | 22,864 | 1,351,720 |
| Tempur Sealy International, Inc. | 7,226 | 275,600 |
| Whirlpool Corp.(a) | 1,226 | 289,888 |
| Total | 5,652,020 | |
| Internet & Direct Marketing Retail 1.2% | ||
| Alibaba Group Holding Ltd., ADR(b) | 3,559 | 821,951 |
| Amazon.com, Inc.(b) | 250 | 866,855 |
| BHG Group AB(b) | 12,673 | 243,491 |
| eBay, Inc.(a) | 15,209 | 848,510 |
| Etsy, Inc.(a),(b) | 357 | 70,968 |
| HelloFresh SE(b) | 6,771 | 561,690 |
| Temple & Webster Group Ltd.(b) | 1,587 | 12,992 |
| Total | 3,426,457 | |
| Leisure Products 1.2% | ||
| BRP, Inc. | 1,934 | 177,674 |
| Callaway Golf Co. | 19,196 | 555,724 |
| Hasbro, Inc. | 3,487 | 346,782 |
| Mattel, Inc.(a),(b) | 24,019 | 515,448 |
| Nautilus, Inc.(a),(b) | 20,232 | 339,088 |
| Smith & Wesson Brands, Inc.(a) | 22,310 | 388,194 |
| Spin Master Corp.(b) | 1,000 | 33,877 |
| Sturm Ruger & Co., Inc.(a) | 7,446 | 483,543 |
| Vista Outdoor, Inc.(a),(b) | 12,692 | 413,886 |
| Total | 3,254,216 | |
| Common Stocks (continued) | ||
| Issuer | Shares | Value ($) |
| Multiline Retail 0.6% | ||
| Canadian Tire Corp., Ltd., Class A | 553 | 88,145 |
| Dollar General Corp. | 1,278 | 274,451 |
| Target Corp.(a) | 5,851 | 1,212,678 |
| Total | 1,575,274 | |
| Specialty Retail 1.3% | ||
| AutoNation, Inc.(b) | 3,530 | 361,754 |
| AutoZone, Inc.(b) | 812 | 1,188,866 |
| Dick’s Sporting Goods, Inc. | 2,562 | 211,570 |
| Foot Locker, Inc. | 6,304 | 371,810 |
| H & M Hennes & Mauritz AB(b) | 695 | 17,102 |
| Rent-A-Center, Inc.(a) | 198 | 11,395 |
| Ross Stores, Inc. | 2,661 | 348,431 |
| Shimamura Co., Ltd. | 5,200 | 514,435 |
| Sleep Number Corp.(a),(b) | 2,216 | 247,948 |
| Ulta Beauty, Inc.(b) | 1,263 | 415,969 |
| Total | 3,689,280 | |
| Textiles, Apparel & Luxury Goods 0.7% | ||
| Carter’s, Inc.(b) | 3,790 | 412,314 |
| Hanesbrands, Inc. | 10,962 | 230,860 |
| Hugo Boss AG | 5,240 | 241,695 |
| Pandora A/S(b) | 5,600 | 634,194 |
| PVH Corp.(b) | 2,886 | 326,638 |
| Swatch Group AG (The) | 747 | 228,960 |
| Total | 2,074,661 | |
| Total Consumer Discretionary | 31,753,126 | |
| Consumer Staples 7.2% | ||
| Beverages 0.5% | ||
| Carlsberg AS, Class B | 452 | 79,299 |
| Coca-Cola European Partners PLC | 22,904 | 1,301,405 |
| Total | 1,380,704 | |
| Food & Staples Retailing 2.6% | ||
| Alimentation Couche-Tard, Inc., Class B | 104 | 3,524 |
| Carrefour SA | 70,948 | 1,374,050 |
| Costco Wholesale Corp.(a) | 3,469 | 1,290,780 |
| Empire Co., Ltd., Class A | 22,400 | 704,539 |
| Etablissements Franz Colruyt NV | 1,621 | 96,137 |
| George Weston Ltd. | 214 | 18,896 |
The accompanying Notes to Financial
Statements are an integral part of this statement.
| 12 | Multi-Manager Directional Alternative Strategies Fund | Annual Report 2021 |
Portfolio of Investments (continued)
April 30, 2021
April 30, 2021
| Common Stocks (continued) | ||
| Issuer | Shares | Value ($) |
| Kesko OYJ, Class B | 12,695 | 386,555 |
| Koninklijke Ahold Delhaize NV | 87,160 | 2,345,643 |
| Kroger Co. (The)(a) | 18,219 | 665,722 |
| Loblaw Companies Ltd. | 624 | 34,648 |
| METRO AG | 8,667 | 94,744 |
| U.S. Foods Holding Corp.(b) | 7,551 | 313,065 |
| Total | 7,328,303 | |
| Food Products 2.4% | ||
| Archer-Daniels-Midland Co.(a) | 28,225 | 1,781,844 |
| Bunge Ltd.(a) | 17,174 | 1,449,829 |
| Campbell Soup Co.(a) | 9,065 | 432,854 |
| Kellogg Co.(a) | 19,207 | 1,198,901 |
| Leroy Seafood Group ASA | 9,996 | 91,638 |
| Mondelez International, Inc., Class A | 9,695 | 589,553 |
| Nomad Foods Ltd.(b) | 31,170 | 908,917 |
| Orkla | 15,672 | 159,747 |
| Total | 6,613,283 | |
| Household Products 0.5% | ||
| Clorox Co. (The)(a) | 4,588 | 837,310 |
| Essity AB, Class B | 3,439 | 112,242 |
| Procter & Gamble Co. (The) | 3,093 | 412,668 |
| Total | 1,362,220 | |
| Personal Products 0.5% | ||
| BellRing Brands, Inc., Class A(a),(b) | 9,927 | 256,017 |
| Blackmores Ltd. | 461 | 25,393 |
| Herbalife Nutrition Ltd.(a),(b) | 13,472 | 616,613 |
| Nu Skin Enterprises, Inc., Class A(a) | 8,366 | 442,227 |
| Total | 1,340,250 | |
| Tobacco 0.7% | ||
| Philip Morris International, Inc. | 14,253 | 1,354,035 |
| Swedish Match AB | 7,877 | 644,847 |
| Total | 1,998,882 | |
| Total Consumer Staples | 20,023,642 | |
| Common Stocks (continued) | ||
| Issuer | Shares | Value ($) |
| Energy 4.6% | ||
| Energy Equipment & Services 1.0% | ||
| ChampionX Corp.(b) | 20,061 | 421,481 |
| Halliburton Co. | 37,555 | 734,576 |
| Helmerich & Payne, Inc. | 23,401 | 599,768 |
| National Energy Services Reunited Corp.(b) | 21,308 | 270,398 |
| Schlumberger NV | 29,513 | 798,327 |
| Subsea 7 SA | 5,250 | 53,083 |
| Total | 2,877,633 | |
| Oil, Gas & Consumable Fuels 3.6% | ||
| BP PLC, ADR | 22,832 | 574,453 |
| Canadian Natural Resources Ltd. | 460 | 13,963 |
| Canadian Natural Resources Ltd. | 13,286 | 403,629 |
| Cenovus Energy, Inc. | 100,751 | 784,434 |
| ConocoPhillips Co. | 12,077 | 617,618 |
| Delek U.S. Holdings, Inc. | 23,793 | 564,608 |
| Devon Energy Corp. | 29,717 | 694,783 |
| Diamondback Energy, Inc. | 8,501 | 694,787 |
| Enerplus Corp. | 95,302 | 512,505 |
| EOG Resources, Inc. | 9,231 | 679,771 |
| Gibson Energy, Inc. | 2,692 | 49,168 |
| HollyFrontier Corp. | 18,016 | 630,560 |
| Imperial Oil Ltd. | 1,221 | 35,265 |
| Keyera | 197 | 4,505 |
| Kosmos Energy Ltd.(b) | 139,461 | 398,858 |
| Marathon Petroleum Corp. | 11,604 | 645,763 |
| Parex Resources, Inc.(b) | 31,781 | 598,568 |
| Parkland Fuel Corp. | 957 | 30,739 |
| PDC Energy, Inc.(b) | 13,277 | 484,743 |
| Pioneer Natural Resources Co. | 4,266 | 656,239 |
| Royal Dutch Shell PLC, ADR, Class A | 15,268 | 580,184 |
| Suncor Energy, Inc. | 1,291 | 27,613 |
| Tourmaline Oil Corp. | 7,996 | 172,521 |
| Total | 9,855,277 | |
| Total Energy | 12,732,910 | |
The accompanying Notes to Financial
Statements are an integral part of this statement.
|
Multi-Manager Directional Alternative Strategies Fund | Annual Report 2021
|
13 |
Portfolio of Investments (continued)
April 30, 2021
April 30, 2021
| Common Stocks (continued) | ||
| Issuer | Shares | Value ($) |
| Financials 9.3% | ||
| Banks 4.3% | ||
| Banco BPM SpA | 106,771 | 303,678 |
| Bank of America Corp.(a) | 28,857 | 1,169,574 |
| BNP Paribas SA(b) | 5,761 | 369,382 |
| Canadian Imperial Bank of Commerce | 4,821 | 501,182 |
| Citigroup, Inc.(a) | 12,810 | 912,584 |
| DBS Group Holdings Ltd. | 10,400 | 233,075 |
| DNB ASA | 8,828 | 189,327 |
| Fifth Third Bancorp | 25,313 | 1,026,189 |
| Hana Financial Group, Inc. | 5,605 | 229,746 |
| Huntington Bancshares, Inc. | 42,190 | 646,351 |
| ING Groep NV | 33,260 | 424,896 |
| JPMorgan Chase & Co.(a) | 6,738 | 1,036,372 |
| KeyCorp | 43,999 | 957,418 |
| Nordea Bank Abp | 33,843 | 350,769 |
| OTP Bank Nyrt(b) | 3,214 | 144,485 |
| Regions Financial Corp. | 35,389 | 771,480 |
| Sumitomo Mitsui Financial Group, Inc. | 6,200 | 217,798 |
| Svenska Handelsbanken AB, Class A | 4,510 | 52,227 |
| Truist Financial Corp. | 16,125 | 956,374 |
| UniCredit SpA | 44,832 | 460,514 |
| United Overseas Bank Ltd. | 13,200 | 263,113 |
| Wells Fargo & Co.(a) | 17,466 | 786,843 |
| Total | 12,003,377 | |
| Capital Markets 1.9% | ||
| 3i Group PLC | 32,966 | 583,887 |
| Artisan Partners Asset Management, Inc., Class A | 6,343 | 322,986 |
| Azimut Holding SpA | 4,631 | 110,799 |
| Banca Generali SpA(b) | 3,900 | 149,117 |
| Bank of New York Mellon Corp. (The) | 11,046 | 550,974 |
| CI Financial Corp. | 9,138 | 146,904 |
| Credit Suisse Group AG, Registered Shares | 22,945 | 240,463 |
| Deutsche Bank AG, Registered Shares(b) | 73,365 | 1,022,067 |
| Goldman Sachs Group, Inc. (The) | 1,747 | 608,742 |
| IGM Financial, Inc. | 600 | 21,420 |
| Moody’s Corp. | 1,574 | 514,242 |
| S&P Global, Inc.(a) | 1,438 | 561,381 |
| Common Stocks (continued) | ||
| Issuer | Shares | Value ($) |
| UBS AG | 15,368 | 234,679 |
| UBS Group AG, Registered Shares | 13,649 | 208,693 |
| Total | 5,276,354 | |
| Consumer Finance 0.8% | ||
| Capital One Financial Corp. | 3,409 | 508,214 |
| Discover Financial Services | 4,777 | 544,578 |
| Navient Corp. | 8,427 | 141,826 |
| SLM Corp. | 32,284 | 634,703 |
| Synchrony Financial | 8,497 | 371,659 |
| Total | 2,200,980 | |
| Diversified Financial Services 0.8% | ||
| Berkshire Hathaway, Inc., Class B(a),(b) | 7,270 | 1,998,886 |
| Onex Capital | 925 | 61,928 |
| Total | 2,060,814 | |
| Insurance 1.5% | ||
| Ageas SA/NV | 4,271 | 258,310 |
| Allstate Corp. (The) | 4,195 | 531,926 |
| American International Group, Inc. | 5,062 | 245,254 |
| ASR Nederland NV | 6,580 | 287,384 |
| Assicurazioni Generali SpA | 3,826 | 76,583 |
| Everest Re Group Ltd. | 1,372 | 379,975 |
| Fairfax Financial Holdings Ltd. | 2,937 | 1,341,871 |
| iA Financial Corp., Inc. | 1,442 | 81,207 |
| Manulife Financial Corp. | 6,122 | 133,681 |
| NN Group NV | 4,118 | 205,400 |
| Poste Italiane SpA | 3,099 | 40,569 |
| RenaissanceRe Holdings Ltd. | 1,286 | 217,090 |
| Swiss Life Holding AG, Registered Shares | 22 | 10,719 |
| Unipol Gruppo SpA(b) | 70,690 | 386,330 |
| Total | 4,196,299 | |
| Total Financials | 25,737,824 | |
| Health Care 7.9% | ||
| Biotechnology 1.3% | ||
| AbbVie, Inc. | 10,850 | 1,209,775 |
| Amgen, Inc. | 2,214 | 530,563 |
| Biogen, Inc.(b) | 203 | 54,268 |
| Genmab A/S(b) | 595 | 218,342 |
| Regeneron Pharmaceuticals, Inc.(a),(b) | 1,331 | 640,610 |
The accompanying Notes to Financial
Statements are an integral part of this statement.
| 14 | Multi-Manager Directional Alternative Strategies Fund | Annual Report 2021 |
Portfolio of Investments (continued)
April 30, 2021
April 30, 2021
| Common Stocks (continued) | ||
| Issuer | Shares | Value ($) |
| Swedish Orphan Biovitrum AB(b) | 12,829 | 218,299 |
| Vertex Pharmaceuticals, Inc.(a),(b) | 3,603 | 786,175 |
| Total | 3,658,032 | |
| Health Care Equipment & Supplies 1.9% | ||
| Abbott Laboratories | 6,790 | 815,343 |
| Boston Scientific Corp.(b) | 8,353 | 364,191 |
| Coloplast A/S, Class B | 41 | 6,791 |
| Demant A/S(b) | 225 | 11,264 |
| DiaSorin SpA | 604 | 102,582 |
| Envista Holdings Corp.(b) | 7,240 | 313,347 |
| Getinge AB, Series CPO | 13,380 | 452,525 |
| Hologic, Inc.(a),(b) | 16,189 | 1,061,189 |
| Koninklijke Philips NV(b) | 693 | 39,184 |
| Medtecs International Corp., Ltd. | 32,900 | 27,341 |
| Medtronic PLC | 3,496 | 457,696 |
| Ortho Clinical Diagnostics Holdings PLC(b) | 16,381 | 322,542 |
| Sonova Holding AG(b) | 705 | 208,751 |
| Stryker Corp. | 2,255 | 592,231 |
| Zimmer Biomet Holdings, Inc. | 2,792 | 494,631 |
| Total | 5,269,608 | |
| Health Care Providers & Services 2.0% | ||
| AmerisourceBergen Corp. | 910 | 109,928 |
| Anthem, Inc.(a) | 1,433 | 543,666 |
| Centene Corp.(b) | 4,020 | 248,195 |
| Cigna Corp.(a) | 2,491 | 620,284 |
| CVS Health Corp. | 6,853 | 523,569 |
| Fresenius Medical Care AG & Co. KGaA | 7,046 | 561,047 |
| Galenica AG | 2,161 | 146,249 |
| HCA Healthcare, Inc. | 2,420 | 486,565 |
| Humana, Inc. | 1,016 | 452,364 |
| Molina Healthcare, Inc.(b) | 204 | 52,040 |
| R1 RCM, Inc.(b) | 6,525 | 178,002 |
| UnitedHealth Group, Inc. | 3,263 | 1,301,284 |
| Universal Health Services, Inc., Class B | 2,089 | 310,029 |
| Total | 5,533,222 | |
| Health Care Technology 0.3% | ||
| Cerner Corp.(a) | 12,162 | 912,758 |
| Common Stocks (continued) | ||
| Issuer | Shares | Value ($) |
| Life Sciences Tools & Services 1.5% | ||
| Avantor, Inc.(b) | 24,355 | 780,334 |
| ICON PLC(b) | 1,019 | 221,072 |
| IQVIA Holdings, Inc.(b) | 667 | 156,538 |
| PerkinElmer, Inc.(a) | 7,014 | 909,225 |
| PPD, Inc.(b) | 8,589 | 396,812 |
| QIAGEN NV(b) | 535 | 26,083 |
| Sotera Health Co.(b) | 14,797 | 381,171 |
| Syneos Health, Inc.(b) | 1,016 | 86,208 |
| Tecan Group AG, Registered Shares | 35 | 17,055 |
| Thermo Fisher Scientific, Inc.(a) | 2,357 | 1,108,332 |
| Total | 4,082,830 | |
| Pharmaceuticals 0.9% | ||
| AstraZeneca PLC | 4,031 | 429,076 |
| Bayer AG, Registered Shares | 3,933 | 254,498 |
| H Lundbeck A/S | 3,277 | 100,908 |
| Jazz Pharmaceuticals PLC(b) | 257 | 42,251 |
| Johnson & Johnson(a) | 4,045 | 658,243 |
| Merck & Co., Inc. | 576 | 42,912 |
| Novartis AG, ADR | 1,416 | 120,700 |
| Novartis AG, Registered Shares | 1,308 | 111,620 |
| Novo Nordisk A/S, Class B | 3,103 | 228,900 |
| Orion Oyj, Class B | 3,396 | 150,371 |
| Sanofi | 1,156 | 121,198 |
| UCB SA | 4,232 | 391,875 |
| Total | 2,652,552 | |
| Total Health Care | 22,109,002 | |
| Industrials 15.4% | ||
| Aerospace & Defense 2.0% | ||
| Boeing Co. (The)(b) | 1,643 | 384,971 |
| BWX Technologies, Inc. | 5,616 | 375,823 |
| General Dynamics Corp. | 2,774 | 527,698 |
| Hexcel Corp.(b) | 10,345 | 583,562 |
| Howmet Aerospace, Inc.(b) | 15,191 | 485,504 |
| Lockheed Martin Corp.(a) | 4,899 | 1,864,364 |
| Maxar Technologies, Inc. | 7,105 | 275,745 |
| Moog, Inc., Class A | 4,154 | 359,529 |
The accompanying Notes to Financial
Statements are an integral part of this statement.
|
Multi-Manager Directional Alternative Strategies Fund | Annual Report 2021
|
15 |
Portfolio of Investments (continued)
April 30, 2021
April 30, 2021
| Common Stocks (continued) | ||
| Issuer | Shares | Value ($) |
| Saab AB, Class B | 5,447 | 161,228 |
| Textron, Inc. | 7,285 | 467,988 |
| Total | 5,486,412 | |
| Air Freight & Logistics 1.7% | ||
| bpost SA(b) | 13,793 | 146,588 |
| Cia de Distribucion Integral Logista Holdings SA | 8,323 | 173,031 |
| Deutsche Post AG | 7,941 | 467,702 |
| Expeditors International of Washington, Inc.(a) | 15,188 | 1,668,554 |
| FedEx Corp.(a) | 5,104 | 1,481,742 |
| Royal Mail PLC(b) | 108,257 | 741,689 |
| Total | 4,679,306 | |
| Airlines 0.2% | ||
| Air Canada(b) | 28,126 | 566,799 |
| Building Products 0.7% | ||
| Allegion PLC | 4,111 | 552,436 |
| Cie de Saint-Gobain(b) | 6,066 | 382,735 |
| dorma+kaba Holding AG, Class B Registered Shares | 216 | 141,941 |
| Geberit AG | 27 | 17,766 |
| Owens Corning(a) | 7,270 | 703,809 |
| Total | 1,798,687 | |
| Commercial Services & Supplies 0.3% | ||
| Loomis AB | 17,989 | 589,094 |
| Securitas AB | 12,573 | 214,023 |
| Total | 803,117 | |
| Construction & Engineering 0.1% | ||
| Hochtief AG(b) | 1,585 | 148,627 |
| Skanska AB, Class B | 4,765 | 129,051 |
| SNC-Lavalin Group, Inc. | 1,809 | 40,459 |
| Total | 318,137 | |
| Electrical Equipment 1.0% | ||
| AMETEK, Inc. | 2,812 | 379,423 |
| Eaton Corp. PLC | 1,960 | 280,143 |
| Fujikura Ltd.(b) | 29,600 | 152,582 |
| Prysmian SpA | 4,791 | 149,894 |
| Sensata Technologies Holding(b) | 10,221 | 590,160 |
| Signify NV(b) | 10,408 | 591,061 |
| Vertiv Holdings Co. | 22,944 | 520,829 |
| Total | 2,664,092 | |
| Common Stocks (continued) | ||
| Issuer | Shares | Value ($) |
| Industrial Conglomerates 0.7% | ||
| CK Hutchison Holdings Ltd. | 184,500 | 1,507,938 |
| DCC PLC | 2,115 | 183,517 |
| Rheinmetall AG | 2,785 | 290,584 |
| Total | 1,982,039 | |
| Machinery 2.7% | ||
| Aalberts NV | 914 | 49,380 |
| Alfa Laval AB | 249 | 8,409 |
| Allison Transmission Holdings, Inc. | 16,987 | 704,451 |
| Altra Industrial Motion Corp. | 9,465 | 558,530 |
| Bucher Industries AG | 141 | 73,999 |
| Caterpillar, Inc.(a) | 2,107 | 480,628 |
| CNH Industrial NV | 14,213 | 210,986 |
| Cummins, Inc.(a) | 6,377 | 1,607,259 |
| Deere & Co. | 892 | 330,798 |
| Dover Corp. | 2,377 | 354,625 |
| Duerr AG | 266 | 11,147 |
| GEA Group AG | 3,828 | 168,105 |
| Georg Fischer AG, Registered Shares | 21 | 29,446 |
| ITT, Inc. | 1,377 | 129,865 |
| Knorr-Bremse AG | 943 | 115,589 |
| KONE OYJ, Class B | 1,945 | 152,765 |
| Metso Outotec OYJ | 1,308 | 14,694 |
| Middleby Corp. (The)(b) | 1,407 | 255,117 |
| OC Oerlikon Corp AG | 6,134 | 71,736 |
| Oshkosh Corp. | 3,548 | 441,478 |
| Parker-Hannifin Corp. | 1,024 | 321,341 |
| SKF AB, Class B | 5,584 | 144,267 |
| Sulzer AG, Registered Shares | 461 | 52,520 |
| Trelleborg AB, Class B | 8,915 | 231,931 |
| Valmet OYJ | 5,569 | 232,602 |
| Volvo AB, B Shares | 12,754 | 311,460 |
| Wartsila OYJ | 11,221 | 144,806 |
| Yangzijiang Shipbuilding Holdings Ltd. | 226,800 | 243,394 |
| Total | 7,451,328 | |
| Marine 0.2% | ||
| AP Moller - Maersk A/S, Class B | 214 | 532,353 |
The accompanying Notes to Financial
Statements are an integral part of this statement.
| 16 | Multi-Manager Directional Alternative Strategies Fund | Annual Report 2021 |
Portfolio of Investments (continued)
April 30, 2021
April 30, 2021
| Common Stocks (continued) | ||
| Issuer | Shares | Value ($) |
| Professional Services 3.1% | ||
| Adecco Group AG, Registered Shares | 17,934 | 1,215,559 |
| ASGN, Inc.(b) | 10,294 | 1,082,723 |
| Booz Allen Hamilton Holdings Corp.(a) | 7,495 | 621,710 |
| DKSH Holding AG | 2,126 | 171,088 |
| FTI Consulting, Inc.(b) | 2,382 | 330,741 |
| Huron Consulting Group, Inc.(b) | 10,312 | 580,153 |
| Leidos Holdings, Inc. | 5,673 | 574,562 |
| Randstad NV | 9,459 | 682,488 |
| Robert Half International, Inc.(a) | 24,611 | 2,156,170 |
| Science Applications International Corp. | 8,727 | 780,368 |
| Stantec, Inc. | 1,760 | 82,405 |
| Teleperformance SA | 1,122 | 433,254 |
| Total | 8,711,221 | |
| Road & Rail 2.2% | ||
| AMERCO(a) | 2,003 | 1,195,050 |
| Aurizon Holdings Ltd. | 309,644 | 890,836 |
| ComfortDelGro Corp., Ltd. | 101,100 | 130,448 |
| Knight-Swift Transportation Holdings, Inc.(a) | 16,813 | 792,228 |
| Nippon Express Co., Ltd. | 18,300 | 1,400,569 |
| Schneider National, Inc., Class B(a) | 12,203 | 295,679 |
| Senko Group Holdings Co., Ltd. | 15,500 | 142,717 |
| TFI International, Inc. | 7,740 | 678,191 |
| Union Pacific Corp. | 3,229 | 717,128 |
| Total | 6,242,846 | |
| Trading Companies & Distributors 0.5% | ||
| Brenntag SE | 3,730 | 334,860 |
| Finning International, Inc. | 4,760 | 123,884 |
| Marubeni Corp. | 65,500 | 545,565 |
| WESCO International, Inc.(b) | 5,341 | 489,877 |
| Total | 1,494,186 | |
| Transportation Infrastructure 0.0% | ||
| Atlantia SpA(b) | 3,589 | 69,968 |
| Total Industrials | 42,800,491 | |
| Common Stocks (continued) | ||
| Issuer | Shares | Value ($) |
| Information Technology 11.2% | ||
| Communications Equipment 0.5% | ||
| Cisco Systems, Inc. | 17,372 | 884,409 |
| InterDigital, Inc. | 3,777 | 262,199 |
| Telefonaktiebolaget LM Ericsson, Class B | 12,142 | 166,760 |
| Total | 1,313,368 | |
| Electronic Equipment, Instruments & Components 1.2% | ||
| Arrow Electronics, Inc.(a),(b) | 16,015 | 1,826,831 |
| Dexerials Corp. | 6,100 | 112,418 |
| Flex Ltd.(a),(b) | 24,571 | 427,535 |
| Jabil, Inc. | 14,540 | 762,187 |
| Macnica Fuji Electronics Holdings, Inc. | 12,700 | 255,888 |
| Total | 3,384,859 | |
| IT Services 2.0% | ||
| Amdocs Ltd. | 6,038 | 463,356 |
| AtoS(b) | 17,203 | 1,171,519 |
| Bechtle AG | 3,137 | 638,779 |
| Capgemini SE | 3,299 | 604,532 |
| CGI, Inc.(b) | 672 | 59,456 |
| Concentrix Corp.(b) | 4,472 | 694,859 |
| Fidelity National Information Services, Inc. | 1,757 | 268,645 |
| Western Union Co. (The)(a) | 65,133 | 1,677,826 |
| Total | 5,578,972 | |
| Semiconductors & Semiconductor Equipment 2.1% | ||
| ams AG(b) | 5,229 | 90,662 |
| Applied Materials, Inc. | 7,534 | 999,837 |
| ASM International NV | 1,016 | 308,231 |
| ASML Holding NV | 52 | 33,755 |
| Broadcom, Inc. | 1,215 | 554,283 |
| KLA Corp. | 1,426 | 449,689 |
| Micron Technology, Inc.(b) | 22,577 | 1,943,203 |
| NXP Semiconductors NV | 2,672 | 514,387 |
| ON Semiconductor Corp.(b) | 7,952 | 310,128 |
| Qorvo, Inc.(b) | 3,359 | 632,063 |
| Total | 5,836,238 | |
The accompanying Notes to Financial
Statements are an integral part of this statement.
|
Multi-Manager Directional Alternative Strategies Fund | Annual Report 2021
|
17 |
Portfolio of Investments (continued)
April 30, 2021
April 30, 2021
| Common Stocks (continued) | ||
| Issuer | Shares | Value ($) |
| Software 2.8% | ||
| Check Point Software Technologies Ltd.(a),(b) | 13,858 | 1,618,753 |
| Constellation Software, Inc. | 1,100 | 1,614,386 |
| Microsoft Corp.(a) | 8,058 | 2,032,067 |
| NortonLifeLock, Inc.(a) | 36,169 | 781,612 |
| Open Text Corp. | 973 | 45,818 |
| Oracle Corp.(a) | 7,132 | 540,534 |
| Software AG | 3,546 | 153,595 |
| SS&C Technologies Holdings, Inc. | 9,780 | 725,872 |
| Zoom Video Communications, Inc., Class A(a),(b) | 845 | 270,037 |
| Total | 7,782,674 | |
| Technology Hardware, Storage & Peripherals 2.6% | ||
| Apple, Inc.(a) | 10,284 | 1,351,935 |
| HP, Inc.(a) | 56,633 | 1,931,752 |
| Logitech International SA | 18,917 | 2,105,545 |
| NetApp, Inc. | 8,057 | 601,777 |
| Seiko Epson Corp. | 50,200 | 856,492 |
| Western Digital Corp.(b) | 7,651 | 540,390 |
| Total | 7,387,891 | |
| Total Information Technology | 31,284,002 | |
| Materials 6.4% | ||
| Chemicals 3.1% | ||
| Celanese Corp., Class A(a) | 9,893 | 1,549,739 |
| Corteva, Inc. | 6,564 | 320,061 |
| Covestro AG | 22,741 | 1,487,249 |
| DuPont de Nemours, Inc. | 12,799 | 986,931 |
| Evonik Industries AG | 1,533 | 53,669 |
| FMC Corp. | 6,081 | 719,017 |
| Hexpol AB | 1,986 | 24,349 |
| Ingevity Corp.(b) | 3,392 | 264,847 |
| LANXESS AG | 2,711 | 199,509 |
| Linde PLC | 1,034 | 295,559 |
| Methanex Corp. | 373 | 13,619 |
| Mosaic Co. (The) | 16,499 | 580,435 |
| PPG Industries, Inc. | 2,028 | 347,275 |
| Solvay SA | 1,637 | 208,165 |
| Tronox Holdings PLC, Class A | 15,352 | 325,462 |
| Valvoline, Inc. | 15,405 | 483,717 |
| Common Stocks (continued) | ||
| Issuer | Shares | Value ($) |
| Wacker Chemie AG | 1,192 | 179,777 |
| Yara International ASA | 8,358 | 435,971 |
| Total | 8,475,351 | |
| Construction Materials 0.3% | ||
| Buzzi Unicem SpA | 17,485 | 466,533 |
| HeidelbergCement AG | 1,366 | 125,171 |
| LafargeHolcim Ltd., Registered Shares(b) | 5,595 | 345,255 |
| Total | 936,959 | |
| Containers & Packaging 1.0% | ||
| Avery Dennison Corp. | 1,643 | 351,881 |
| Crown Holdings, Inc. | 2,568 | 281,966 |
| Huhtamaki OYJ | 3,561 | 168,938 |
| International Paper Co.(a) | 31,481 | 1,825,898 |
| WestRock Co. | 4,793 | 267,210 |
| Total | 2,895,893 | |
| Metals & Mining 1.3% | ||
| Agnico Eagle Mines Ltd. | 1,054 | 65,873 |
| Alamos Gold, Inc., Class A | 9,690 | 77,653 |
| Aperam SA | 1,269 | 65,680 |
| ArcelorMittal SA(b) | 143 | 4,157 |
| Aurubis AG | 3,486 | 299,669 |
| Barrick Gold Corp. | 5,930 | 126,353 |
| Boliden AB | 3,025 | 117,665 |
| Centerra Gold, Inc. | 25,041 | 231,026 |
| Endeavour Mining Corp. | 4,215 | 87,753 |
| Kinross Gold Corp. | 37,930 | 266,928 |
| Lundin Mining Corp. | 1,522 | 18,388 |
| Norsk Hydro ASA | 29,170 | 185,748 |
| Rio Tinto Ltd. | 18,663 | 1,734,631 |
| SSAB AB, Class A(b) | 14,907 | 80,689 |
| SSR Mining, Inc. | 2,065 | 32,777 |
| Teck Resources Ltd., Class B | 2,321 | 49,115 |
| ThyssenKrupp AG(b) | 1,519 | 20,307 |
| Yamana Gold, Inc. | 40,892 | 187,302 |
| Total | 3,651,714 | |
The accompanying Notes to Financial
Statements are an integral part of this statement.
| 18 | Multi-Manager Directional Alternative Strategies Fund | Annual Report 2021 |
Portfolio of Investments (continued)
April 30, 2021
April 30, 2021
| Common Stocks (continued) | ||
| Issuer | Shares | Value ($) |
| Paper & Forest Products 0.7% | ||
| Interfor Corp.(b) | 6,700 | 178,082 |
| Stora Enso OYJ, Class R | 2,676 | 51,198 |
| UPM-Kymmene OYJ | 4,176 | 163,311 |
| West Fraser Timber Co., Ltd. | 19,097 | 1,474,438 |
| Total | 1,867,029 | |
| Total Materials | 17,826,946 | |
| Real Estate 0.2% | ||
| Equity Real Estate Investment Trusts (REITS) 0.2% | ||
| Host Hotels & Resorts, Inc.(b) | 19,514 | 354,374 |
| Klepierre | 8,221 | 218,195 |
| Total | 572,569 | |
| Total Real Estate | 572,569 | |
| Utilities 0.6% | ||
| Electric Utilities 0.1% | ||
| BKW AG | 896 | 100,346 |
| Fortum OYJ | 5,232 | 137,491 |
| Hydro One Ltd. | 840 | 20,140 |
| Total | 257,977 | |
| Gas Utilities 0.1% | ||
| Italgas SpA | 25,494 | 166,268 |
| Independent Power and Renewable Electricity Producers 0.1% | ||
| Uniper SE | 5,652 | 206,231 |
| Multi-Utilities 0.3% | ||
| A2A SpA | 116,842 | 228,540 |
| Atco Ltd., Class I | 3,079 | 105,685 |
| CenterPoint Energy, Inc. | 8,909 | 218,181 |
| Hera | 53,468 | 215,158 |
| RWE AG | 2,990 | 113,536 |
| Total | 881,100 | |
| Total Utilities | 1,511,576 | |
|
Total Common Stocks
(Cost $175,409,361) |
226,203,689 | |
| Preferred Stocks 0.1% | |||
| Issuer | Shares | Value ($) | |
| Consumer Discretionary 0.1% | |||
| Automobiles 0.1% | |||
| Volkswagen AG | 1,027 | 267,389 | |
| Total Consumer Discretionary | 267,389 | ||
| Consumer Staples 0.0% | |||
| Household Products 0.0% | |||
| Henkel AG & Co. KGaA | 569 | 65,361 | |
| Total Consumer Staples | 65,361 | ||
|
Total Preferred Stocks
(Cost $244,445) |
332,750 | ||
| Rights 0.0% | ||
| Issuer | Shares | Value ($) |
| Financials 0.0% | ||
| Capital Markets 0.0% | ||
| Credit Suisse Group AG(b) | 37,136 | 1,596 |
| Total Financials | 1,596 | |
|
Total Rights
(Cost $—) |
1,596 | |
| Money Market Funds 7.9% | ||
| Shares | Value ($) | |
| Columbia Short-Term Cash Fund, 0.054%(c),(d) | 22,003,167 | 22,000,966 |
|
Total Money Market Funds
(Cost $21,997,456) |
22,000,966 | |
|
Total Investments
(Cost $197,651,262) |
248,539,001 | |
| Investments in Securities Sold Short | ||
| Common Stocks (35.1)% | ||
| Issuer | Shares | Value ($) |
| Communication Services (1.4)% | ||
| Diversified Telecommunication Services (0.5)% | ||
| Deutsche Telekom AG, Registered Shares | (4,105) | (79,001) |
| Elisa OYJ | (3,049) | (172,840) |
| Infrastrutture Wireless Italiane SpA | (28,013) | (326,841) |
| Koninklijke KPN NV | (114,212) | (393,988) |
| Telia Co. AB | (90,905) | (376,695) |
| United Internet AG, Registered Shares | (2,941) | (123,692) |
| Total | (1,473,057) | |
The accompanying Notes to Financial
Statements are an integral part of this statement.
|
Multi-Manager Directional Alternative Strategies Fund | Annual Report 2021
|
19 |
Portfolio of Investments (continued)
April 30, 2021
April 30, 2021
| Common Stocks (continued) | ||
| Issuer | Shares | Value ($) |
| Entertainment (0.2)% | ||
| CTS Eventim AG & Co. KGaA(b) | (2,341) | (161,576) |
| Lions Gate Entertainment Corp.(b) | (13,058) | (188,950) |
| Spotify Technology SA(b) | (1,059) | (266,995) |
| Total | (617,521) | |
| Interactive Media & Services (0.2)% | ||
| Adevinta ASA(b) | (7,374) | (134,949) |
| Twitter, Inc.(b) | (5,224) | (288,469) |
| Total | (423,418) | |
| Media (0.5)% | ||
| Dentsu, Inc. | (7,600) | (234,564) |
| JCDecaux SA(b) | (13,811) | (351,607) |
| Pearson PLC | (23,195) | (266,094) |
| Schibsted ASA, Class A(b) | (2,760) | (138,701) |
| Stroeer SE & Co. KGaA | (955) | (81,388) |
| ViacomCBS, Inc., Class B | (5,242) | (215,027) |
| Total | (1,287,381) | |
| Wireless Telecommunication Services (0.0)% | ||
| Millicom International Cellular SA, SDR(b) | (1,673) | (66,115) |
| Total Communication Services | (3,867,492) | |
| Consumer Discretionary (3.4)% | ||
| Auto Components (0.0)% | ||
| Freni Brembo SpA(b) | (5,288) | (65,811) |
| Automobiles (0.3)% | ||
| Ferrari NV | (2,273) | (486,915) |
| Tesla, Inc.(b) | (476) | (337,694) |
| Total | (824,609) | |
| Diversified Consumer Services (0.1)% | ||
| WW International, Inc.(b) | (4,594) | (127,437) |
| Hotels, Restaurants & Leisure (0.8)% | ||
| Choice Hotels International, Inc.(b) | (4,207) | (478,757) |
| Domino’s Pizza Group PLC | (36,758) | (193,937) |
| Papa John’s International, Inc. | (2,378) | (230,000) |
| Restaurant Brands International, Inc. | (5,712) | (392,263) |
| Royal Caribbean Cruises Ltd.(b) | (2,370) | (206,071) |
| Shake Shack, Inc., Class A(b) | (586) | (63,728) |
| Common Stocks (continued) | ||
| Issuer | Shares | Value ($) |
| Vail Resorts, Inc.(b) | (959) | (311,828) |
| Whitbread PLC(b) | (7,691) | (344,813) |
| Total | (2,221,397) | |
| Household Durables (0.4)% | ||
| LGI Homes, Inc.(b) | (4,564) | (756,620) |
| Purple Innovation, Inc.(b) | (12,743) | (434,281) |
| Total | (1,190,901) | |
| Internet & Direct Marketing Retail (0.3)% | ||
| Delivery Hero SE(b) | (2,786) | (441,974) |
| Just Eat Takeaway.com NV(b) | (1,971) | (203,650) |
| Prosus NV(b) | (948) | (102,888) |
| Stitch Fix, Inc., Class A(b) | (2,949) | (127,751) |
| Zalando SE(b) | (570) | (59,279) |
| Total | (935,542) | |
| Multiline Retail (0.1)% | ||
| Dollarama, Inc. | (2,048) | (95,439) |
| Ollie’s Bargain Outlet Holdings, Inc.(b) | (700) | (64,589) |
| Total | (160,028) | |
| Specialty Retail (1.1)% | ||
| CarMax, Inc.(b) | (2,316) | (308,584) |
| Carvana Co.(b) | (5,156) | (1,470,800) |
| Dufry AG, Registered Shares(b) | (9,226) | (607,151) |
| Floor & Decor Holdings, Inc., Class A(b) | (1,950) | (216,294) |
| RH(b) | (386) | (265,576) |
| Shift Technologies, Inc.(b) | (34,811) | (293,457) |
| Total | (3,161,862) | |
| Textiles, Apparel & Luxury Goods (0.3)% | ||
| Adidas AG(b) | (628) | (193,965) |
| Canada Goose Holdings, Inc.(b) | (2,810) | (118,742) |
| Gildan Activewear, Inc.(b) | (1,091) | (37,865) |
| Moncler SpA(b) | (2,318) | (142,071) |
| Puma SE(b) | (1,178) | (124,188) |
| Salvatore Ferragamo SpA(b) | (4,330) | (92,706) |
| Total | (709,537) | |
| Total Consumer Discretionary | (9,397,124) | |
The accompanying Notes to Financial
Statements are an integral part of this statement.
| 20 | Multi-Manager Directional Alternative Strategies Fund | Annual Report 2021 |
Portfolio of Investments (continued)
April 30, 2021
April 30, 2021
| Common Stocks (continued) | ||
| Issuer | Shares | Value ($) |
| Consumer Staples (2.4)% | ||
| Beverages (0.6)% | ||
| Anheuser-Busch InBev SA/NV | (3,134) | (221,989) |
| Davide Campari-Milano NV | (20,670) | (243,914) |
| Fevertree Drinks PLC | (11,216) | (388,486) |
| Heineken NV | (5,963) | (691,705) |
| Total | (1,546,094) | |
| Food & Staples Retailing (0.1)% | ||
| Axfood AB | (571) | (14,289) |
| Grocery Outlet Holding, Corp.(b) | (5,269) | (212,815) |
| Kesko OYJ, Class B | (1,009) | (30,724) |
| Total | (257,828) | |
| Food Products (1.1)% | ||
| AAK AB | (818) | (18,733) |
| Bakkafrost P/F | (2,086) | (165,265) |
| Barry Callebaut AG, Registered Shares | (11) | (24,287) |
| Beyond Meat, Inc.(b) | (2,552) | (336,047) |
| Cal-Maine Foods, Inc. | (8,339) | (311,545) |
| Campbell Soup Co. | (6,434) | (307,224) |
| Chocoladefabriken Lindt & Spruengli AG(b) | (26) | (241,139) |
| Hormel Foods Corp. | (6,722) | (310,556) |
| Kellogg Co. | (7,067) | (441,122) |
| Maple Leaf Foods, Inc. | (765) | (17,657) |
| Mowi ASA | (11,754) | (289,973) |
| Nestlé SA, Registered Shares | (2,597) | (309,902) |
| Premium Brands Holdings Corp. | (932) | (90,664) |
| Salmar ASA | (774) | (53,563) |
| Saputo, Inc. | (2,209) | (70,198) |
| Wilmar International Ltd. | (5,600) | (21,916) |
| Total | (3,009,791) | |
| Household Products (0.2)% | ||
| Essity AB, Class B | (8,348) | (272,462) |
| Kimberly-Clark Corp. | (3,178) | (423,691) |
| Total | (696,153) | |
| Personal Products (0.3)% | ||
| Beiersdorf AG | (4,084) | (460,963) |
| Kose Corp. | (2,000) | (301,071) |
| Total | (762,034) | |
| Common Stocks (continued) | ||
| Issuer | Shares | Value ($) |
| Tobacco (0.1)% | ||
| Japan Tobacco, Inc. | (8,600) | (161,324) |
| Swedish Match AB | (2,129) | (174,290) |
| Total | (335,614) | |
| Total Consumer Staples | (6,607,514) | |
| Energy (2.7)% | ||
| Energy Equipment & Services (0.2)% | ||
| Saipem SpA | (110,568) | (254,938) |
| SBM Offshore NV | (4,862) | (84,398) |
| Tenaris SA | (14,167) | (151,912) |
| Total | (491,248) | |
| Oil, Gas & Consumable Fuels (2.5)% | ||
| Cameco Corp. | (58,970) | (991,189) |
| Enbridge, Inc. | (1,989) | (76,718) |
| Eni SpA | (11,440) | (136,261) |
| Hess Corp. | (5,209) | (388,123) |
| Inter Pipeline Ltd. | (4,817) | (70,228) |
| Keyera Corp. | (42,400) | (969,665) |
| Koninklijke Vopak NV | (495) | (22,665) |
| Neste OYJ | (16,015) | (968,439) |
| Occidental Petroleum Corp. | (9,546) | (242,087) |
| ONEOK, Inc. | (15,411) | (806,612) |
| Pembina Pipeline Corp. | (29,115) | (898,689) |
| Statoil ASA | (1,594) | (32,187) |
| TC Energy Corp. | (1,046) | (51,749) |
| Williams Companies, Inc. (The) | (58,636) | (1,428,373) |
| Total | (7,082,985) | |
| Total Energy | (7,574,233) | |
| Financials (6.4)% | ||
| Banks (2.8)% | ||
| Bank of Hawaii Corp. | (5,614) | (510,256) |
| Commerce Bancshares, Inc. | (7,106) | (552,918) |
| Commonwealth Bank of Australia | (6,605) | (452,156) |
| Community Bank System, Inc. | (6,583) | (511,038) |
| Cullen/Frost Bankers, Inc. | (4,642) | (557,318) |
| CVB Financial Corp. | (20,707) | (439,195) |
| FinecoBank Banca Fineco SpA(b) | (29,602) | (509,149) |
| First Financial Bankshares, Inc. | (11,252) | (552,248) |
The accompanying Notes to Financial
Statements are an integral part of this statement.
|
Multi-Manager Directional Alternative Strategies Fund | Annual Report 2021
|
21 |
Portfolio of Investments (continued)
April 30, 2021
April 30, 2021
| Common Stocks (continued) | ||
| Issuer | Shares | Value ($) |
| Glacier Bancorp, Inc. | (6,806) | (401,214) |
| Hang Seng Bank Ltd. | (25,300) | (495,300) |
| HSBC Holdings PLC | (57,833) | (361,093) |
| Independent Bank Corp. | (3,163) | (259,050) |
| Intesa Sanpaolo SpA(b) | (38,728) | (107,970) |
| Mediobanca Banca di Credito Finanziario SpA(b) | (26,117) | (294,979) |
| National Bank of Canada | (790) | (57,433) |
| Royal Bank of Canada | (750) | (71,580) |
| Skandinaviska Enskilda Banken AB, Class A | (29,731) | (380,948) |
| Swedbank AB, Class A | (9,320) | (163,614) |
| Trustmark Corp. | (7,370) | (238,862) |
| United Bankshares, Inc. | (11,368) | (446,421) |
| Westamerica Bancorporation | (7,824) | (496,042) |
| Total | (7,858,784) | |
| Capital Markets (1.1)% | ||
| Brookfield Asset Management, Inc., Class A | (5,683) | (259,056) |
| Credit Suisse Group AG, Registered Shares | (45,652) | (478,432) |
| Deutsche Bank AG(b) | (32,780) | (456,667) |
| EQT AB | (14,301) | (481,979) |
| Franklin Resources, Inc. | (4,833) | (144,990) |
| Hamilton Lane, Inc., Class A | (3,681) | (332,946) |
| Partners Group Holding AG | (180) | (256,404) |
| TMX Group Ltd. | (1,422) | (156,702) |
| WisdomTree Investments, Inc. | (78,282) | (531,143) |
| Total | (3,098,319) | |
| Consumer Finance (0.4)% | ||
| Credit Acceptance Corp.(b) | (1,272) | (502,173) |
| Credit Corp. Group Ltd. | (6,168) | (137,249) |
| Zip Co., Ltd.(b) | (74,314) | (456,676) |
| Total | (1,096,098) | |
| Diversified Financial Services (0.1)% | ||
| Element Fleet Management Corp. | (11,192) | (137,037) |
| Insurance (2.0)% | ||
| Aegon NV | (27,999) | (129,757) |
| Allianz SE | (175) | (45,433) |
| eHealth, Inc.(b) | (1,120) | (79,229) |
| Gjensidige Forsikring ASA | (7,146) | (162,279) |
| GoHealth, Inc., Class A(b) | (10,769) | (128,474) |
| Common Stocks (continued) | ||
| Issuer | Shares | Value ($) |
| Hannover Rueck SE | (935) | (172,658) |
| Intact Financial Corp. | (901) | (119,762) |
| Japan Post Holdings Co., Ltd.(b) | (203,700) | (1,711,783) |
| Muenchener Rueckversicherungs-Gesellschaft AG, Registered Shares | (732) | (211,500) |
| Oscar Health, Inc., Class A(b) | (3,723) | (84,624) |
| Prudential PLC | (53,300) | (1,128,589) |
| RLI Corp. | (3,002) | (334,603) |
| Sampo OYJ | (10,304) | (488,767) |
| Swiss Re AG | (1,625) | (150,867) |
| Tryg A/S | (18,803) | (429,966) |
| Zurich Insurance Group AG | (422) | (173,129) |
| Total | (5,551,420) | |
| Total Financials | (17,741,658) | |
| Health Care (5.6)% | ||
| Biotechnology (2.6)% | ||
| Adverum Biotechnologies, Inc.(b) | (29,943) | (116,778) |
| Agenus, Inc.(b) | (94,660) | (292,499) |
| Allogene Therapeutics, Inc.(b) | (4,476) | (138,398) |
| Alnylam Pharmaceuticals, Inc.(b) | (3,166) | (445,266) |
| Applied Therapeutics, Inc.(b) | (16,023) | (296,746) |
| Argenx SE(b) | (1,331) | (382,472) |
| Avacta Group PLC(b) | (99,718) | (366,323) |
| Avidity Biosciences, Inc.(b) | (9,382) | (219,914) |
| BioNTech SE, ADR(b) | (438) | (82,467) |
| Bioxcel Therapeutics, Inc.(b) | (5,711) | (194,003) |
| Cortexyme, Inc.(b) | (672) | (26,322) |
| Epizyme, Inc.(b) | (15,212) | (118,806) |
| Exact Sciences Corp.(b) | (6,692) | (882,139) |
| Galapagos NV(b) | (3,478) | (270,780) |
| Galapagos NV, ADR(b) | (9,679) | (752,736) |
| Global Blood Therapeutics, Inc.(b) | (2,044) | (83,354) |
| Homology Medicines, Inc.(b) | (23,078) | (156,238) |
| Idorsia Ltd.(b) | (15,352) | (398,082) |
| IGM Biosciences, Inc.(b) | (3,862) | (273,121) |
| Karuna Therapeutics, Inc.(b) | (2,968) | (329,478) |
| Mersana Therapeutics, Inc.(b) | (21,961) | (349,839) |
| Moderna, Inc.(b) | (388) | (69,382) |
| MorphoSys AG(b) | (231) | (21,810) |
The accompanying Notes to Financial
Statements are an integral part of this statement.
| 22 | Multi-Manager Directional Alternative Strategies Fund | Annual Report 2021 |
Portfolio of Investments (continued)
April 30, 2021
April 30, 2021
| Common Stocks (continued) | ||
| Issuer | Shares | Value ($) |
| RAPT Therapeutics, Inc.(b) | (8,224) | (180,434) |
| Rubius Therapeutics, Inc.(b) | (4,055) | (101,456) |
| Sage Therapeutics, Inc.(b) | (2,304) | (181,463) |
| Seres Therapeutics, Inc.(b) | (14,148) | (294,420) |
| Viking Therapeutics, Inc.(b) | (44,440) | (283,972) |
| Total | (7,308,698) | |
| Health Care Equipment & Supplies (0.9)% | ||
| Alcon, Inc. | (2,992) | (224,731) |
| Ambu A/S | (10,416) | (582,991) |
| Carl Zeiss Meditec AG | (1,919) | (338,073) |
| Elekta AB, Class B | (5,654) | (75,610) |
| Glaukos Corp.(b) | (2,191) | (206,305) |
| Quidel Corp.(b) | (1,228) | (128,682) |
| Siemens Healthineers AG | (6,438) | (367,909) |
| SmileDirectClub, Inc.(b) | (11,802) | (125,514) |
| Straumann Holding AG, Registered Shares | (341) | (487,348) |
| Total | (2,537,163) | |
| Health Care Providers & Services (0.4)% | ||
| Alignment Healthcare, Inc.(b) | (6,126) | (162,584) |
| Amplifon SpA(b) | (6,143) | (259,267) |
| Clover Health Investments Corp.(b) | (12,248) | (120,643) |
| Guardant Health, Inc.(b) | (3,412) | (542,440) |
| Total | (1,084,934) | |
| Health Care Technology (0.4)% | ||
| American Well Corp., Class A(b) | (4,791) | (73,733) |
| CompuGroup Medical SE & Co KgaA | (1,057) | (96,737) |
| GoodRx Holdings, Inc., Class A(b) | (3,410) | (136,434) |
| Inovalon Holdings, Inc.(b) | (12,655) | (382,308) |
| Teladoc Health, Inc.(b) | (1,497) | (258,008) |
| Total | (947,220) | |
| Life Sciences Tools & Services (0.5)% | ||
| 10X Genomics, Inc., Class A(b) | (3,370) | (666,586) |
| Bachem Holding AG, Registered B Shares | (106) | (53,814) |
| Compugen Ltd.(b) | (43,703) | (377,157) |
| Evotec SE(b) | (6,574) | (273,456) |
| Lonza Group AG, Registered Shares | (205) | (130,321) |
| Total | (1,501,334) | |
| Common Stocks (continued) | ||
| Issuer | Shares | Value ($) |
| Pharmaceuticals (0.8)% | ||
| Aphria, Inc.(b) | (2,098) | (32,226) |
| Bausch Health Companies, Inc.(b) | (11,290) | (363,459) |
| Canopy Growth Corp.(b) | (5,814) | (156,803) |
| Cronos Group, Inc.(b) | (16,500) | (134,642) |
| Cymabay Therapeutics, Inc.(b) | (57,299) | (248,105) |
| Hisamitsu Pharmaceutical Co., Inc. | (3,900) | (227,507) |
| Merck KGaA | (439) | (77,125) |
| Nippon Shinyaku Co., Ltd. | (2,400) | (161,888) |
| Provention Bio, Inc.(b) | (22,743) | (163,522) |
| Recordati Industria Chimica e Farmaceutica SpA | (1,772) | (97,635) |
| Relmada Therapeutics, Inc.(b) | (2,602) | (100,333) |
| Revance Therapeutics, Inc.(b) | (3,233) | (94,145) |
| Royalty Pharma PLC, Class A | (3,679) | (161,876) |
| Vifor Pharma AG | (599) | (86,330) |
| Total | (2,105,596) | |
| Total Health Care | (15,484,945) | |
| Industrials (4.9)% | ||
| Aerospace & Defense (0.5)% | ||
| Airbus Group SE(b) | (4,141) | (497,996) |
| Boeing Co. (The)(b) | (1,037) | (242,980) |
| CAE, Inc.(b) | (1,938) | (60,703) |
| Elbit Systems Ltd. | (1,881) | (257,962) |
| Leonardo SpA | (18,239) | (148,842) |
| MTU Aero Engines AG | (1,064) | (268,508) |
| Total | (1,476,991) | |
| Air Freight & Logistics (0.2)% | ||
| Cargojet, Inc. | (3,078) | (453,230) |
| DSV PANALPINA A/S | (575) | (128,104) |
| Total | (581,334) | |
| Airlines (0.6)% | ||
| Air Canada(b) | (15,793) | (318,263) |
| American Airlines Group, Inc.(b) | (16,878) | (366,590) |
| Deutsche Lufthansa AG, Registered Shares(b) | (36,307) | (469,028) |
| Singapore Airlines Ltd.(b) | (8,900) | (33,730) |
| Spirit Airlines, Inc.(b) | (9,828) | (352,039) |
| Total | (1,539,650) | |
The accompanying Notes to Financial
Statements are an integral part of this statement.
|
Multi-Manager Directional Alternative Strategies Fund | Annual Report 2021
|
23 |
Portfolio of Investments (continued)
April 30, 2021
April 30, 2021
| Common Stocks (continued) | ||
| Issuer | Shares | Value ($) |
| Building Products (0.7)% | ||
| AO Smith Corp. | (2,428) | (164,497) |
| ASSA ABLOY AB, Class B | (559) | (15,937) |
| Belimo Holding AG, Registered Shares | (466) | (185,969) |
| Lennox International, Inc. | (1,381) | (463,104) |
| Nibe Industrier AB, B Shares | (12,431) | (453,993) |
| ROCKWOOL International A/S, Class B | (338) | (151,187) |
| Trex Co., Inc.(b) | (5,025) | (542,650) |
| Total | (1,977,337) | |
| Commercial Services & Supplies (0.2)% | ||
| Boyd Group Services, Inc. | (113) | (20,988) |
| GFL Environmental, Inc. | (474) | (15,618) |
| Healthcare Services Group, Inc. | (5,845) | (175,058) |
| ISS A/S(b) | (5,399) | (102,375) |
| Ritchie Bros. Auctioneers, Inc. | (609) | (38,740) |
| Tomra Systems ASA | (3,351) | (167,407) |
| Total | (520,186) | |
| Construction & Engineering (0.1)% | ||
| Sweco AB, Class B | (5,052) | (89,830) |
| WSP Global, Inc. | (237) | (24,609) |
| Total | (114,439) | |
| Electrical Equipment (0.9)% | ||
| ABB Ltd., Registered Shares | (4,243) | (137,822) |
| Ballard Power Systems, Inc.(b) | (41,005) | (895,395) |
| Plug Power, Inc.(b) | (11,012) | (313,952) |
| Siemens Energy AG(b) | (179) | (5,987) |
| Sunrun, Inc.(b) | (17,107) | (838,243) |
| Varta AG(b) | (1,641) | (238,667) |
| Vestas Wind Systems A/S | (2,700) | (112,707) |
| Total | (2,542,773) | |
| Industrial Conglomerates (0.1)% | ||
| Keppel Corp., Ltd. | (21,700) | (88,161) |
| Lifco AB | (845) | (90,493) |
| Siemens AG, Registered Shares | (1,184) | (197,533) |
| Total | (376,187) | |
| Common Stocks (continued) | ||
| Issuer | Shares | Value ($) |
| Machinery (1.1)% | ||
| Atlas Copco AB, Class A | (5,681) | (344,496) |
| Chart Industries, Inc.(b) | (1,395) | (224,079) |
| Enerpac Tool Group Corp. | (13,882) | (369,261) |
| Epiroc AB, Class A | (5,098) | (110,308) |
| Kennametal, Inc. | (5,169) | (207,587) |
| KION Group AG | (112) | (11,161) |
| Metso OYJ | (29,121) | (423,706) |
| Miura Co., Ltd. | (4,200) | (220,330) |
| Proto Labs, Inc.(b) | (2,496) | (279,702) |
| Rational AG | (371) | (308,619) |
| Schindler Holding AG | (184) | (52,360) |
| Stadler Rail AG | (4,175) | (209,013) |
| VAT Group AG | (717) | (204,750) |
| Total | (2,965,372) | |
| Marine (0.0)% | ||
| Kuehne + Nagel International AG, Registered Shares | (88) | (26,312) |
| Professional Services (0.1)% | ||
| Dun & Bradstreet Holdings, Inc.(b) | (12,072) | (286,831) |
| Thomson Reuters Corp. | (469) | (43,495) |
| Wolters Kluwer NV | (482) | (43,597) |
| Total | (373,923) | |
| Road & Rail (0.1)% | ||
| Canadian Pacific Railway Ltd. | (37) | (13,808) |
| Central Japan Railway Co. | (1,400) | (205,117) |
| Keio Corp. | (2,100) | (136,705) |
| Total | (355,630) | |
| Trading Companies & Distributors (0.1)% | ||
| IMCD NV | (1,035) | (150,333) |
| Indutrade AB | (5,052) | (131,936) |
| Toromont Industries Ltd. | (11) | (877) |
| Total | (283,146) | |
The accompanying Notes to Financial
Statements are an integral part of this statement.
| 24 | Multi-Manager Directional Alternative Strategies Fund | Annual Report 2021 |
Portfolio of Investments (continued)
April 30, 2021
April 30, 2021
| Common Stocks (continued) | ||
| Issuer | Shares | Value ($) |
| Transportation Infrastructure (0.2)% | ||
| Aeroports de Paris(b) | (1,380) | (176,892) |
| Flughafen Zurich AG(b) | (122) | (21,946) |
| Fraport AG Frankfurt Airport Services Worldwide(b) | (3,548) | (235,325) |
| SATS Ltd(b) | (12,400) | (37,725) |
| Total | (471,888) | |
| Total Industrials | (13,605,168) | |
| Information Technology (3.5)% | ||
| Communications Equipment (0.1)% | ||
| Calix, Inc.(b) | (5,763) | (243,717) |
| Nokia OYJ(b) | (29,082) | (137,760) |
| Total | (381,477) | |
| Electronic Equipment, Instruments & Components (0.5)% | ||
| Adyen NV(b) | (50) | (123,055) |
| Cognex Corp. | (2,328) | (200,487) |
| Hexagon AB, Class B | (675) | (64,475) |
| Hirose Electric Co., Ltd. | (1,700) | (270,992) |
| Landis+Gyr Group AG(b) | (2,124) | (147,233) |
| Novanta, Inc.(b) | (2,861) | (376,822) |
| Velodyne Lidar, Inc.(b) | (20,971) | (288,771) |
| Total | (1,471,835) | |
| IT Services (1.4)% | ||
| Afterpay Touch Group Ltd.(b) | (11,542) | (1,039,535) |
| Bechtle AG | (59) | (12,014) |
| Jack Henry & Associates, Inc. | (1,608) | (261,831) |
| Nexi SpA(b) | (33,918) | (649,712) |
| Shopify, Inc., Class A(b) | (195) | (230,589) |
| Shopify, Inc., Class A(b) | (94) | (110,959) |
| Twilio, Inc.(b) | (1,214) | (446,509) |
| Wix.com Ltd.(b) | (3,353) | (1,065,852) |
| Total | (3,817,001) | |
| Semiconductors & Semiconductor Equipment (0.1)% | ||
| Cree, Inc.(b) | (3,584) | (356,321) |
| Infineon Technologies AG | (1,228) | (49,244) |
| Total | (405,565) | |
| Common Stocks (continued) | ||
| Issuer | Shares | Value ($) |
| Software (1.3)% | ||
| Appian Corp.(b) | (1,927) | (233,514) |
| Blackline, Inc.(b) | (3,516) | (408,067) |
| Blue Prism Group PLC(b) | (12,405) | (209,019) |
| Ceridian HCM Holding, Inc.(b) | (2,895) | (273,520) |
| Constellation Software, Inc. | (17) | (24,950) |
| Coupa Software, Inc.(b) | (1,216) | (327,153) |
| Descartes Systems Group, Inc. (The)(b) | (221) | (14,138) |
| Guidewire Software, Inc.(b) | (3,886) | (410,012) |
| Kinaxis, Inc.(b) | (348) | (44,886) |
| Lightspeed POS, Inc.(b) | (758) | (52,930) |
| Nemetschek SE | (2,515) | (187,477) |
| Palantir Technologies, Inc., Class A(b) | (8,148) | (187,730) |
| Q2 Holdings, Inc.(b) | (3,814) | (396,732) |
| SAP SE | (1,442) | (201,910) |
| SimCorp A/S | (292) | (38,608) |
| Sinch AB(b) | (438) | (68,401) |
| TeamViewer AG(b) | (2,315) | (110,038) |
| Temenos AG, Registered Shares | (2,321) | (341,233) |
| Total | (3,530,318) | |
| Technology Hardware, Storage & Peripherals (0.1)% | ||
| Canon, Inc. | (12,300) | (292,496) |
| Total Information Technology | (9,898,692) | |
| Materials (4.0)% | ||
| Chemicals (2.1)% | ||
| Akzo Nobel NV | (94) | (11,286) |
| Albemarle Corp. | (1,263) | (212,399) |
| BASF SE | (1,241) | (100,014) |
| Christian Hansen Holding A/S(b) | (3,221) | (295,712) |
| Ecolab, Inc. | (1,368) | (306,596) |
| EMS-Chemie Holding AG, Registered Shares | (198) | (184,875) |
| Ferro Corp.(b) | (23,124) | (385,246) |
| Givaudan SA, Registered Shares | (43) | (180,177) |
| Johnson Matthey PLC | (5,319) | (238,687) |
| Koninklijke DSM NV | (1,842) | (330,271) |
| Mitsubishi Chemical Holdings Corp. | (59,600) | (443,691) |
| Novozymes A/S, Class B | (3,904) | (276,882) |
| OCI NV(b) | (4,603) | (107,279) |
The accompanying Notes to Financial
Statements are an integral part of this statement.
|
Multi-Manager Directional Alternative Strategies Fund | Annual Report 2021
|
25 |
Portfolio of Investments (continued)
April 30, 2021
April 30, 2021
| Common Stocks (continued) | ||
| Issuer | Shares | Value ($) |
| Quaker Chemical Corp. | (864) | (209,390) |
| Sika AG | (1,161) | (346,747) |
| Stepan Co. | (2,383) | (311,363) |
| Symrise AG | (1,588) | (205,066) |
| Tokai Carbon Co., Ltd. | (29,500) | (480,057) |
| Umicore SA | (13,683) | (831,415) |
| Wacker Chemie AG | (1,741) | (262,577) |
| Total | (5,719,730) | |
| Containers & Packaging (0.4)% | ||
| BillerudKorsnas AB | (20,884) | (426,509) |
| CCL Industries, Inc., Class B | (520) | (29,517) |
| Greif, Inc., Class A | (5,827) | (352,592) |
| International Paper Co. | (4,074) | (236,292) |
| SIG Combibloc Group AG(b) | (6,639) | (162,729) |
| Total | (1,207,639) | |
| Metals & Mining (1.2)% | ||
| Antofagasta PLC | (14,539) | (374,527) |
| Bellevue Gold Ltd.(b) | (107,295) | (76,969) |
| Chalice Mining Ltd.(b) | (70,353) | (370,481) |
| Cleveland-Cliffs, Inc.(b) | (17,232) | (307,764) |
| Compass Minerals International, Inc. | (7,732) | (525,157) |
| First Quantum Minerals Ltd. | (168) | (3,872) |
| Franco-Nevada Corp. | (3,166) | (440,834) |
| Franco-Nevada Corp. | (1,474) | (205,340) |
| Fresnillo PLC | (17,189) | (195,458) |
| Pan American Silver Corp. | (630) | (20,030) |
| United States Steel Corp. | (13,008) | (299,314) |
| Wheaton Precious Metals Corp. | (6,317) | (261,018) |
| Wheaton Precious Metals Corp. | (3,333) | (138,266) |
| Total | (3,219,030) | |
| Paper & Forest Products (0.3)% | ||
| Holmen AB, B Shares | (2,640) | (124,561) |
| Nippon Paper Industries Co., Ltd. | (38,600) | (474,863) |
| Svenska Cellulosa AB SCA, Class B | (19,650) | (344,099) |
| Total | (943,523) | |
| Total Materials | (11,089,922) | |
| Common Stocks (continued) | ||
| Issuer | Shares | Value ($) |
| Real Estate (0.3)% | ||
| Equity Real Estate Investment Trusts (REITS) (0.2)% | ||
| Alexandria Real Estate Equities, Inc. | (1,413) | (255,894) |
| EastGroup Properties, Inc. | (1,321) | (209,590) |
| Iron Mountain, Inc. | (6,500) | (260,780) |
| Total | (726,264) | |
| Real Estate Management & Development (0.1)% | ||
| CapitaLand Ltd. | (12,200) | (34,010) |
| City Developments Ltd. | (6,400) | (37,859) |
| KE Holdings, Inc., ADR(b) | (2,586) | (134,601) |
| Total | (206,470) | |
| Total Real Estate | (932,734) | |
| Utilities (0.5)% | ||
| Electric Utilities (0.3)% | ||
| Elia Group SA/NV | (1,966) | (212,817) |
| Emera, Inc. | (2,667) | (121,226) |
| Enel SpA | (23,933) | (237,639) |
| Ørsted AS | (1,246) | (181,125) |
| Terna Rete Elettrica Nazionale SpA | (4,862) | (35,840) |
| Total | (788,647) | |
| Gas Utilities (0.0)% | ||
| AltaGas, Ltd. | (503) | (9,400) |
| Snam SpA | (12,130) | (68,256) |
| Total | (77,656) | |
| Independent Power and Renewable Electricity Producers (0.1)% | ||
| Boralex, Inc., Class A | (3,319) | (106,389) |
| Innergex Renewable Energy, Inc. | (8,623) | (147,324) |
| Northland Power, Inc. | (1,393) | (47,984) |
| TransAlta Renewables, Inc. | (1,529) | (24,220) |
| Total | (325,917) | |
| Multi-Utilities (0.1)% | ||
| Algonquin Power & Utilities Corp. | (4,740) | (76,471) |
| E.ON SE | (10,777) | (129,948) |
| Total | (206,419) | |
| Total Utilities | (1,398,639) | |
|
Total Common Stocks
(Proceeds $89,785,376) |
(97,598,121) | |
The accompanying Notes to Financial
Statements are an integral part of this statement.
| 26 | Multi-Manager Directional Alternative Strategies Fund | Annual Report 2021 |
Portfolio of Investments (continued)
April 30, 2021
April 30, 2021
| Preferred Stocks (0.4)% | |||
| Issuer | Shares | Value ($) | |
| Consumer Discretionary (0.3)% | |||
| Automobiles (0.3)% | |||
| Porsche Automobil Holding SE | (8,288) | (873,693) | |
| Total Consumer Discretionary | (873,693) | ||
| Health Care (0.1)% | |||
| Health Care Equipment & Supplies (0.1)% | |||
| Sartorius AG | (544) | (306,936) | |
| Total Health Care | (306,936) | ||
| Materials (0.0)% | |||
| Chemicals (0.0)% | |||
| Fuchs Petrolub SE | (1,745) | (92,920) | |
| Total Materials | (92,920) | ||
|
Total Preferred Stocks
(Proceeds $934,630) |
(1,273,549) | ||
| Rights (0.0)% | ||
| Issuer | Shares | Value ($) |
| Financials (0.0)% | ||
| Capital Markets (0.0)% | ||
| Credit Suisse Group AG(b) | (45,652) | (1,961) |
| Total Financials | (1,961) | |
|
Total Rights
(Proceeds $—) |
(1,961) | |
|
Total Investments in Securities Sold Short
(Proceeds $90,720,006) |
(98,873,631) | |
| Total Investments in Securities, Net of Securities Sold Short | 149,665,370 | |
| Other Assets & Liabilities, Net | 128,684,853 | |
| Net Assets | 278,350,223 | |
At April 30, 2021,
securities and/or cash totaling $186,159,003 were pledged as collateral.
Investments in
derivatives
The accompanying Notes to Financial Statements are
an integral part of this statement.
|
Multi-Manager Directional Alternative Strategies Fund | Annual Report 2021
|
27 |
Portfolio of Investments (continued)
April 30, 2021
April 30, 2021
| Forward foreign currency exchange contracts (continued) | |||||
|
Currency to
be sold |
Currency to
be purchased |
Counterparty |
Settlement
date |
Unrealized
appreciation ($) |
Unrealized
depreciation ($) |
| 13,646 USD | 106,000 HKD | Citi | 06/16/2021 | 2 | — |
| 183,546 USD | 1,423,000 HKD | Citi | 06/16/2021 | — | (329) |
| 34,894 USD | 114,502 ILS | Citi | 06/16/2021 | 372 | — |
| 1,512,927 USD | 160,588,500 JPY | Citi | 06/16/2021 | — | (43,024) |
| 203,105 USD | 1,724,503 NOK | Citi | 06/16/2021 | 4,081 | — |
| 42,493 USD | 353,500 NOK | Citi | 06/16/2021 | — | (22) |
| 1,045 USD | 1,500 NZD | Citi | 06/16/2021 | 29 | — |
| 15,606 USD | 21,500 NZD | Citi | 06/16/2021 | — | (223) |
| 306,152 USD | 2,639,500 SEK | Citi | 06/16/2021 | 5,769 | — |
| 340,312 USD | 2,846,000 SEK | Citi | 06/16/2021 | — | (3,988) |
| 83,821 USD | 112,002 SGD | Citi | 06/16/2021 | 330 | — |
| 55,766 USD | 74,002 SGD | Citi | 06/16/2021 | — | (165) |
| 11,500 AUD | 8,804 USD | JPMorgan | 06/16/2021 | — | (57) |
| 366,500 CAD | 293,061 USD | JPMorgan | 06/16/2021 | — | (5,141) |
| 1,000 CHF | 1,119 USD | JPMorgan | 06/16/2021 | 22 | — |
| 169,000 CHF | 184,078 USD | JPMorgan | 06/16/2021 | — | (1,194) |
| 6,500 DKK | 1,064 USD | JPMorgan | 06/16/2021 | 12 | — |
| 118,000 DKK | 18,972 USD | JPMorgan | 06/16/2021 | — | (119) |
| 1,223,501 EUR | 1,486,841 USD | JPMorgan | 06/16/2021 | 14,554 | — |
| 270,000 EUR | 320,321 USD | JPMorgan | 06/16/2021 | — | (4,581) |
| 8,000 GBP | 11,081 USD | JPMorgan | 06/16/2021 | 32 | — |
| 1,332,000 JPY | 12,085 USD | JPMorgan | 06/16/2021 | — | (107) |
| 374,000 NOK | 44,398 USD | JPMorgan | 06/16/2021 | — | (536) |
| 1,500 NZD | 1,088 USD | JPMorgan | 06/16/2021 | 15 | — |
| 2,336,500 SEK | 278,582 USD | JPMorgan | 06/16/2021 | 2,467 | — |
| 473,000 SEK | 55,013 USD | JPMorgan | 06/16/2021 | — | (884) |
| 2,500 SGD | 1,888 USD | JPMorgan | 06/16/2021 | 9 | — |
| 222,999 SGD | 166,683 USD | JPMorgan | 06/16/2021 | — | (865) |
| 33,035 USD | 43,500 AUD | JPMorgan | 06/16/2021 | 483 | — |
| 390,451 USD | 497,995 AUD | JPMorgan | 06/16/2021 | — | (6,742) |
| 1,378,176 USD | 1,734,995 CAD | JPMorgan | 06/16/2021 | 33,500 | — |
| 880,091 USD | 814,000 CHF | JPMorgan | 06/16/2021 | 12,283 | — |
| 469,414 USD | 420,500 CHF | JPMorgan | 06/16/2021 | — | (8,427) |
| 259,710 USD | 1,622,500 DKK | JPMorgan | 06/16/2021 | 2,800 | — |
| 289,598 USD | 1,767,500 DKK | JPMorgan | 06/16/2021 | — | (3,628) |
| 949,738 USD | 797,500 EUR | JPMorgan | 06/16/2021 | 9,925 | — |
| 2,404,448 USD | 1,978,497 EUR | JPMorgan | 06/16/2021 | — | (23,644) |
| 72,303 USD | 52,500 GBP | JPMorgan | 06/16/2021 | 211 | — |
| 810,526 USD | 578,996 GBP | JPMorgan | 06/16/2021 | — | (10,811) |
| 13,646 USD | 106,000 HKD | JPMorgan | 06/16/2021 | 2 | — |
| 183,546 USD | 1,423,000 HKD | JPMorgan | 06/16/2021 | — | (330) |
| 34,893 USD | 114,498 ILS | JPMorgan | 06/16/2021 | 372 | — |
| 1,512,929 USD | 160,588,500 JPY | JPMorgan | 06/16/2021 | — | (43,027) |
| 203,104 USD | 1,724,497 NOK | JPMorgan | 06/16/2021 | 4,081 | — |
| 42,493 USD | 353,500 NOK | JPMorgan | 06/16/2021 | — | (23) |
| 1,045 USD | 1,500 NZD | JPMorgan | 06/16/2021 | 29 | — |
| 15,606 USD | 21,500 NZD | JPMorgan | 06/16/2021 | — | (223) |
| 306,153 USD | 2,639,500 SEK | JPMorgan | 06/16/2021 | 5,769 | — |
| 340,313 USD | 2,846,000 SEK | JPMorgan | 06/16/2021 | — | (3,988) |
| 83,819 USD | 111,999 SGD | JPMorgan | 06/16/2021 | 330 | — |
| 55,762 USD | 73,997 SGD | JPMorgan | 06/16/2021 | — | (165) |
| Total | 173,797 | (228,972) | |||
The accompanying Notes to Financial
Statements are an integral part of this statement.
| 28 | Multi-Manager Directional Alternative Strategies Fund | Annual Report 2021 |
Portfolio of Investments (continued)
April 30, 2021
April 30, 2021
| Long futures contracts | ||||||
| Description |
Number of
contracts |
Expiration
date |
Trading
currency |
Notional
amount |
Value/Unrealized
appreciation ($) |
Value/Unrealized
depreciation ($) |
| Amsterdam Index | 5 | 05/2021 | EUR | 704,110 | 239 | — |
| CAC40 Index | 15 | 05/2021 | EUR | 932,400 | 16,919 | — |
| DAX Index | 2 | 06/2021 | EUR | 758,400 | 35,421 | — |
| FTSE 100 Index | 13 | 06/2021 | GBP | 901,875 | 38,710 | — |
| FTSE/MIB Index | 2 | 06/2021 | EUR | 239,110 | — | (1,160) |
| Hang Seng Index | 1 | 05/2021 | HKD | 1,426,500 | — | (1,802) |
| IBEX 35 Index | 4 | 05/2021 | EUR | 352,300 | 15,385 | — |
| MSCI Singapore Index | 3 | 05/2021 | SGD | 108,525 | 168 | — |
| OMXS30 Index | 18 | 05/2021 | SEK | 3,994,200 | — | (379) |
| S&P 500 Index E-mini | 136 | 06/2021 | USD | 28,385,920 | 1,636,769 | — |
| S&P/TSX 60 Index | 7 | 06/2021 | CAD | 1,589,560 | 24,800 | — |
| SPI 200 Index | 7 | 06/2021 | AUD | 1,225,350 | 31,846 | — |
| TOPIX Index | 14 | 06/2021 | JPY | 266,210,000 | 17,659 | — |
| Total | 1,817,916 | (3,341) | ||||
The accompanying Notes to Financial Statements are
an integral part of this statement.
|
Multi-Manager Directional Alternative Strategies Fund | Annual Report 2021
|
29 |
Portfolio of Investments (continued)
April 30, 2021
April 30, 2021
| Total return swap contracts (continued) | ||||||||||||
| Fund receives | Fund pays |
Payment
frequency |
Counterparty |
Maturity
date |
Notional
currency |
Notional
amount |
Value
($) |
Periodic
payments receivable (payable) ($) |
Upfront
payments ($) |
Upfront
receipts ($) |
Unrealized
appreciation ($) |
Unrealized
depreciation ($) |
| Total return on Samsung Electronics Co., Ltd. | 1-Month USD LIBOR plus 0.800% | Monthly | Macquarie | 12/21/2021 | USD | 611,327 | (20,590) | 1,661 | — | — | — | (18,929) |
| Total return on a portfolio of long and short positions† | 1-Day Overnight Fed Funds Effective Rate, EONIA or SONIA based on the local currencies of the positions within the swap | Monthly | Morgan Stanley International | 10/29/2021 | USD | 185,142,928 | (894,338) | — | — | — | — | (894,338) |
| Total | (995,351) | 753 | — | — | 7,992 | (1,002,590) | ||||||
| † | By investing in the total return swap contract, the Fund gains exposure to the underlying investments that make up the custom basket/index without having to own the underlying investments directly. The components of the custom basket/index are available on Multi-Manager Directional Alternative Strategies Fund’s page of columbiathreadneedleus.com website. |
| †† | Represents fair value as determined in good faith under procedures approved by the Board of Trustees. At April 30, 2021, the total value of these swap contracts amounted to $0, which represents 0.00% of total net assets. |
| ††† | Valuation based on significant unobservable inputs. |
| * | If the notional amount of the swap contract is long and the swap contract’s value is positive (negative), the Fund will receive (pay) the total return. If the notional amount of the swap contract is short and the swap contract’s value is positive (negative), the Fund will pay (receive) the total return. Receipts and payments occur upon termination of the contract. |
Notes to Portfolio of
Investments
| (a) | This security or a portion of this security has been pledged as collateral in connection with investments sold short. |
| (b) | Non-income producing investment. |
| (c) | The rate shown is the seven-day current annualized yield at April 30, 2021. |
The accompanying Notes to Financial Statements are
an integral part of this statement.
| 30 | Multi-Manager Directional Alternative Strategies Fund | Annual Report 2021 |
Portfolio of Investments (continued)
April 30, 2021
April 30, 2021
Notes to Portfolio of Investments (continued)
| (d) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the year ended April 30, 2021 are as follows: |
| Affiliated issuers |
Beginning
of period($) |
Purchases($) | Sales($) |
Net change in
unrealized appreciation (depreciation)($) |
End of
period($) |
Realized gain
(loss)($) |
Dividends($) |
End of
period shares |
| Columbia Short-Term Cash Fund, 0.054% | ||||||||
| 26,997,662 | 197,012,929 | (202,001,763) | (7,862) | 22,000,966 | 40 | 39,377 | 22,003,167 | |
Abbreviation Legend
| ADR | American Depositary Receipt |
| SDR | Swedish Depositary Receipt |
Currency Legend
| AUD | Australian Dollar |
| CAD | Canada Dollar |
| CHF | Swiss Franc |
| DKK | Danish Krone |
| EUR | Euro |
| GBP | British Pound |
| HKD | Hong Kong Dollar |
| ILS | Israeli Shekel |
| JPY | Japanese Yen |
| NOK | Norwegian Krone |
| NZD | New Zealand Dollar |
| SEK | Swedish Krona |
| SGD | Singapore Dollar |
| USD | US Dollar |
Fair value measurements
The Fund categorizes its fair
value measurements according to a three-level hierarchy that maximizes the use of observable inputs and minimizes the use of unobservable inputs by prioritizing that the most observable input be used when available.
Observable inputs are those that market participants would use in pricing an investment based on market data obtained from sources independent of the reporting entity. Unobservable inputs are those that reflect the
Fund’s assumptions about the information market participants would use in pricing an investment. An investment’s level within the fair value hierarchy is based on the lowest level of any input that is
deemed significant to the asset’s or liability’s fair value measurement. The input levels are not necessarily an indication of the risk or liquidity associated with investments at that level. For example,
certain U.S. government securities are generally high quality and liquid, however, they are reflected as Level 2 because the inputs used to determine fair value may not always be quoted prices in an active market.
Fair value inputs are summarized in
the three broad levels listed below:
| ■ | Level 1 — Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments. |
| ■ | Level 2 — Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
| ■ | Level 3 — Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
Inputs that are used in determining
fair value of an investment may include price information, credit data, volatility statistics, and other factors. These inputs can be either observable or unobservable. The availability of observable inputs can vary
between investments, and is affected by various factors such as the type of investment, and the volume and level of activity for that investment or similar investments in the marketplace. The inputs will be considered
by the Investment Manager, along with any other relevant factors in the calculation of an investment’s fair value. The Fund uses prices and inputs that are current as of the measurement date, which may include
periods of market dislocations. During these periods, the availability of prices and inputs may be reduced for many investments. This condition could cause an investment to be reclassified between the various levels
within the hierarchy.
Foreign equity securities actively
traded in markets where there is a significant delay in the local close relative to the New York Stock Exchange are classified as Level 2. The values of these securities may include an adjustment to reflect the impact
of market movements following the close of local trading, as described in Note 2 to the financial statements – Security valuation.
The accompanying Notes to Financial Statements are
an integral part of this statement.
|
Multi-Manager Directional Alternative Strategies Fund | Annual Report 2021
|
31 |
Portfolio of Investments (continued)
April 30, 2021
April 30, 2021
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.
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 April 30, 2021:
| Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | |
| Investments in Securities | ||||
| Common Stocks | ||||
| Communication Services | 14,423,486 | 5,428,115 | — | 19,851,601 |
| Consumer Discretionary | 22,580,520 | 9,172,606 | — | 31,753,126 |
| Consumer Staples | 14,613,347 | 5,410,295 | — | 20,023,642 |
| Energy | 12,679,827 | 53,083 | — | 12,732,910 |
| Financials | 18,892,507 | 6,845,317 | — | 25,737,824 |
| Health Care | 18,285,043 | 3,823,959 | — | 22,109,002 |
| Industrials | 27,794,499 | 15,005,992 | — | 42,800,491 |
| Information Technology | 24,785,826 | 6,498,176 | — | 31,284,002 |
| Materials | 11,409,305 | 6,417,641 | — | 17,826,946 |
| Real Estate | 354,374 | 218,195 | — | 572,569 |
| Utilities | 344,006 | 1,167,570 | — | 1,511,576 |
| Total Common Stocks | 166,162,740 | 60,040,949 | — | 226,203,689 |
| Preferred Stocks | ||||
| Consumer Discretionary | — | 267,389 | — | 267,389 |
| Consumer Staples | — | 65,361 | — | 65,361 |
| Total Preferred Stocks | — | 332,750 | — | 332,750 |
| Rights | ||||
| Financials | — | 1,596 | — | 1,596 |
| Total Rights | — | 1,596 | — | 1,596 |
| Money Market Funds | 22,000,966 | — | — | 22,000,966 |
| Total Investments in Securities | 188,163,706 | 60,375,295 | — | 248,539,001 |
| Investments in Securities Sold Short | ||||
| Common Stocks | ||||
| Communication Services | (959,441) | (2,908,051) | — | (3,867,492) |
| Consumer Discretionary | (6,337,776) | (3,059,348) | — | (9,397,124) |
| Consumer Staples | (2,521,519) | (4,085,995) | — | (6,607,514) |
| Energy | (5,923,433) | (1,650,800) | — | (7,574,233) |
| Financials | (7,904,314) | (9,837,344) | — | (17,741,658) |
| Health Care | (10,504,736) | (4,980,209) | — | (15,484,945) |
| Industrials | (6,712,299) | (6,892,869) | — | (13,605,168) |
| Information Technology | (5,955,490) | (3,943,202) | — | (9,898,692) |
| Materials | (4,244,990) | (6,844,932) | — | (11,089,922) |
| Real Estate | (860,865) | (71,869) | — | (932,734) |
| Utilities | (533,014) | (865,625) | — | (1,398,639) |
| Total Common Stocks | (52,457,877) | (45,140,244) | — | (97,598,121) |
The accompanying Notes to Financial Statements are
an integral part of this statement.
| 32 | Multi-Manager Directional Alternative Strategies Fund | Annual Report 2021 |
Portfolio of Investments (continued)
April 30, 2021
April 30, 2021
Fair value measurements (continued)
| Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | |
| Preferred Stocks | ||||
| Consumer Discretionary | — | (873,693) | — | (873,693) |
| Health Care | — | (306,936) | — | (306,936) |
| Materials | — | (92,920) | — | (92,920) |
| Total Preferred Stocks | — | (1,273,549) | — | (1,273,549) |
| Rights | ||||
| Financials | — | (1,961) | — | (1,961) |
| Total Rights | — | (1,961) | — | (1,961) |
| Total Investments in Securities Sold Short | (52,457,877) | (46,415,754) | — | (98,873,631) |
| Total Investments in Securities, Net of Securities Sold Short | 135,705,829 | 13,959,541 | — | 149,665,370 |
| Investments in Derivatives | ||||
| Asset | ||||
| Forward Foreign Currency Exchange Contracts | — | 173,797 | — | 173,797 |
| Futures Contracts | 1,817,916 | — | — | 1,817,916 |
| Swap Contracts | — | 14,195 | — | 14,195 |
| Liability | ||||
| Forward Foreign Currency Exchange Contracts | — | (228,972) | — | (228,972) |
| Futures Contracts | (3,341) | — | — | (3,341) |
| Swap Contracts | — | (1,018,883) | (98) | (1,018,981) |
| Total | 137,520,404 | 12,899,678 | (98) | 150,419,984 |
See the Portfolio of Investments for
all investment classifications not indicated in the table.
The Fund’s assets assigned to
the Level 2 input category are generally valued using the market approach, in which a security’s value is determined through reference to prices and information from market transactions for similar or identical
assets. These assets include certain foreign securities for which a third party statistical pricing service may be employed for purposes of fair market valuation. The model utilized by such third party statistical
pricing service takes into account a security’s correlation to available market data including, but not limited to, intraday index, ADR, and exchange-traded fund movements.
Derivative instruments are valued at
unrealized appreciation (depreciation).
The Fund does not hold any
significant investments (greater than one percent of net assets) categorized as Level 3.
The accompanying Notes to Financial Statements are
an integral part of this statement.
|
Multi-Manager Directional Alternative Strategies Fund | Annual Report 2021
|
33 |
Statement of Assets and Liabilities
April 30, 2021
April 30, 2021
| Assets | |
| Investments in securities, at value | |
| Unaffiliated issuers (cost $175,653,806) | $226,538,035 |
| Affiliated issuers (cost $21,997,456) | 22,000,966 |
| Cash | 54,708 |
| Foreign currency (cost $1,899,016) | 1,882,581 |
| Cash collateral held at broker for: | |
| Forward foreign currency exchange contracts | 250,000 |
| Swap contracts | 12,897,135 |
| Securities sold short | 107,524,653 |
| Other(a) | 4,550,000 |
| Margin deposits on: | |
| Futures contracts | 2,441,735 |
| Unrealized appreciation on forward foreign currency exchange contracts | 173,797 |
| Unrealized appreciation on swap contracts | 14,195 |
| Receivable for: | |
| Investments sold | 2,345,696 |
| Capital shares sold | 352,465 |
| Dividends | 165,805 |
| Foreign tax reclaims | 299,575 |
| Variation margin for futures contracts | 2,836 |
| Expense reimbursement due from Investment Manager | 2,039 |
| Prepaid expenses | 6,697 |
| Trustees’ deferred compensation plan | 36,187 |
| Total assets | 381,539,105 |
| Liabilities | |
| Securities sold short, at value (proceeds $90,720,006) | 98,873,631 |
| Unrealized depreciation on forward foreign currency exchange contracts | 228,972 |
| Unrealized depreciation on swap contracts | 1,018,981 |
| Cash collateral due to broker for: | |
| Foreign forward currency exchange contracts | 20,000 |
| Payable for: | |
| Investments purchased | 2,034,807 |
| Capital shares purchased | 269,704 |
| Dividends and interest on securities sold short | 300,887 |
| Variation margin for futures contracts | 244,398 |
| Management services fees | 12,275 |
| Transfer agent fees | 40,457 |
| Compensation of board members | 2,504 |
| Compensation of chief compliance officer | 7 |
| Other expenses | 106,072 |
| Trustees’ deferred compensation plan | 36,187 |
| Total liabilities | 103,188,882 |
| Net assets applicable to outstanding capital stock | $278,350,223 |
| Represented by | |
| Paid in capital | 240,544,189 |
| Total distributable earnings (loss) | 37,806,034 |
| Total - representing net assets applicable to outstanding capital stock | $278,350,223 |
| Institutional Class | |
| Net assets | $278,350,223 |
| Shares outstanding | 38,500,136 |
| Net asset value per share | $7.23 |
| (a) | Includes collateral related to forward foreign currency exchange contracts and swap contracts. |
The accompanying Notes to Financial Statements are
an integral part of this statement.
| 34 | Multi-Manager Directional Alternative Strategies Fund | Annual Report 2021 |
Statement of Operations
Year Ended April 30, 2021
Year Ended April 30, 2021
| Net investment income | |
| Income: | |
| Dividends — unaffiliated issuers | $3,599,245 |
| Dividends — affiliated issuers | 39,377 |
| Foreign taxes withheld | (212,137) |
| Total income | 3,426,485 |
| Expenses: | |
| Management services fees | 3,897,950 |
| Transfer agent fees | |
| Institutional Class | 502,264 |
| Compensation of board members | 17,799 |
| Custodian fees | 367,998 |
| Printing and postage fees | 52,321 |
| Registration fees | 36,473 |
| Audit fees | 53,501 |
| Legal fees | 7,814 |
| Interest on collateral | 385 |
| Dividends and interest on securities sold short | 2,118,944 |
| Interest on interfund lending | 47 |
| Compensation of chief compliance officer | 75 |
| Other | 33,270 |
| Total expenses | 7,088,841 |
| Fees waived or expenses reimbursed by Investment Manager and its affiliates | (467,358) |
| Total net expenses | 6,621,483 |
| Net investment loss | (3,194,998) |
| Realized and unrealized gain (loss) — net | |
| Net realized gain (loss) on: | |
| Investments — unaffiliated issuers | 41,452,310 |
| Investments — affiliated issuers | 40 |
| Foreign currency translations | 347,572 |
| Forward foreign currency exchange contracts | 727,503 |
| Futures contracts | 12,585,523 |
| Securities sold short | (42,942,361) |
| Swap contracts | 3,476,474 |
| Net realized gain | 15,647,061 |
| Net change in unrealized appreciation (depreciation) on: | |
| Investments — unaffiliated issuers | 47,762,469 |
| Investments — affiliated issuers | (7,862) |
| Foreign currency translations | 97,119 |
| Forward foreign currency exchange contracts | (25,246) |
| Futures contracts | (948,448) |
| Securities sold short | (11,040,875) |
| Swap contracts | (949,874) |
| Net change in unrealized appreciation (depreciation) | 34,887,283 |
| Net realized and unrealized gain | 50,534,344 |
| Net increase in net assets resulting from operations | $47,339,346 |
The accompanying Notes to
Financial Statements are an integral part of this statement.
|
Multi-Manager Directional Alternative Strategies Fund | Annual Report 2021
|
35 |
Statement of Changes in Net Assets
|
Year Ended
April 30, 2021 |
Year Ended
April 30, 2020 |
|
| Operations | ||
| Net investment loss | $(3,194,998) | $(334,973) |
| Net realized gain (loss) | 15,647,061 | (17,415,393) |
| Net change in unrealized appreciation (depreciation) | 34,887,283 | (9,948,318) |
| Net increase (decrease) in net assets resulting from operations | 47,339,346 | (27,698,684) |
| Distributions to shareholders | ||
| Net investment income and net realized gains | ||
| Class A | — | (3,881) |
| Institutional Class | — | (1,969,137) |
| Total distributions to shareholders | — | (1,973,018) |
| Increase (decrease) in net assets from capital stock activity | 9,851,969 | (1,696,451) |
| Total increase (decrease) in net assets | 57,191,315 | (31,368,153) |
| Net assets at beginning of year | 221,158,908 | 252,527,061 |
| Net assets at end of year | $278,350,223 | $221,158,908 |
| Year Ended | Year Ended | |||
| April 30, 2021 | April 30, 2020 | |||
| Shares | Dollars ($) | Shares | Dollars ($) | |
| Capital stock activity | ||||
| Class A | ||||
| Distributions reinvested | — | — | 550 | 3,815 |
| Redemptions | — | — | (81,210) | (562,971) |
| Net decrease | — | — | (80,660) | (559,156) |
| Institutional Class | ||||
| Subscriptions | 8,789,623 | 55,388,433 | 7,489,953 | 49,620,671 |
| Distributions reinvested | — | — | 286,212 | 1,969,137 |
| Redemptions | (7,151,858) | (45,536,464) | (8,100,665) | (52,727,103) |
| Net increase (decrease) | 1,637,765 | 9,851,969 | (324,500) | (1,137,295) |
| Total net increase (decrease) | 1,637,765 | 9,851,969 | (405,160) | (1,696,451) |
The accompanying Notes to Financial Statements are
an integral part of this statement.
| 36 | Multi-Manager Directional Alternative Strategies Fund | Annual Report 2021 |
Financial Highlights
The following table is intended to
help you understand the Fund’s financial performance. Certain information reflects financial results for a single share of a class held for the periods shown. Per share net investment income (loss) amounts are
calculated based on average shares outstanding during the period. Total return assumes reinvestment of all dividends and distributions, if any. Total return does not reflect payment of sales charges, if any. Total
return and portfolio turnover are not annualized for periods of less than one year. The portfolio turnover rate is calculated without regard to purchase and sales transactions of short-term instruments and certain
derivatives, if any. If such transactions were included, the Fund’s portfolio turnover rate may be higher.
| Institutional Class | Year Ended April 30, | ||||
| 2021 | 2020 | 2019 | 2018 | 2017 (a) | |
| Per share data | |||||
| Net asset value, beginning of period | $6.00 | $6.78 | $10.82 | $10.60 | $10.25 |
| Income (loss) from investment operations: | |||||
| Net investment loss | (0.08) | (0.01) | (0.01) | (0.09) | (0.01) |
| Net realized and unrealized gain (loss) | 1.31 | (0.72) | (0.80) | 0.92 | 0.36 |
| Total from investment operations | 1.23 | (0.73) | (0.81) | 0.83 | 0.35 |
| Distributions to shareholders | |||||
| Distributions from net investment income | — | — | (0.06) | (0.18) | — |
| Distributions from net realized gains | — | (0.05) | (3.17) | (0.43) | — |
| Total distributions to shareholders | — | (0.05) | (3.23) | (0.61) | — |
| Net asset value, end of period | $7.23 | $6.00 | $6.78 | $10.82 | $10.60 |
| Total return | 20.50% | (10.81%) | (5.65%) | 7.67% | 3.41% |
| Ratios to average net assets | |||||
| Total gross expenses(b) | 2.90%(c),(d),(e) | 2.31%(c),(d) | 2.16%(c),(d),(e) | 2.36%(c) | 2.49%(c),(f) |
| Total net expenses(b),(g) | 2.71%(c),(d),(e) | 2.19%(c),(d) | 2.12%(c),(d),(e) | 2.36%(c) | 2.29%(c),(f) |
| Net investment loss | (1.31%) | (0.14%) | (0.11%) | (0.83%) | (0.05%)(f) |
| Supplemental data | |||||
| Net assets, end of period (in thousands) | $278,350 | $221,159 | $251,976 | $290,666 | $1,049,952 |
| Portfolio turnover | 254% | 197% | 146%(h) | 158% | 100% |
| Notes to Financial Highlights | |
| (a) | Institutional Class shares commenced operations on January 3, 2017. 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 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 | 4/30/2021 | 4/30/2020 | 4/30/2019 | 4/30/2018 | 4/30/2017 |
| Institutional Class | 0.87% | 0.32% | 0.19% | 0.40% | 0.46% |
| (d) | Ratios include interest on collateral expense which is less than 0.01%. |
| (e) | Ratios include interfund lending expense which is less than 0.01%. |
| (f) | Annualized. |
| (g) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
| (h) | The rate for the year ended April 30, 2019, as disclosed in the April 30, 2020 and 2019 financial statements was calculated and presented incorrectly and has been corrected. |
The accompanying Notes to Financial Statements are
an integral part of this statement.
|
Multi-Manager Directional Alternative Strategies Fund | Annual Report 2021
|
37 |
Notes to Financial Statements
April 30, 2021
April 30, 2021
Note 1. Organization
Multi-Manager Directional
Alternative Strategies Fund (the Fund), a series of Columbia Funds Series Trust I (the Trust), is a diversified fund. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an
open-end management investment company organized as a Massachusetts business trust.
Fund shares
The Trust may issue an unlimited
number of shares (without par value). The Fund is offered only through certain wrap fee programs sponsored and/or managed by Ameriprise Financial, Inc. (Ameriprise Financial) or its affiliates. The Fund offers each of
the share classes listed in the Statement of Assets and Liabilities which are not subject to any front-end sales charge or contingent deferred sales charge.
Note 2. Summary of
significant accounting policies
Basis of preparation
The Fund is an investment company
that applies the accounting and reporting guidance in the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946, Financial Services - Investment Companies (ASC 946). The financial statements are prepared in accordance with U.S. generally accepted accounting principles (GAAP), which requires
management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities, the disclosure of contingent assets and liabilities at the date of the financial statements and the
reported amounts of income and expenses during the reporting period. Actual results could differ from those estimates.
The following is a summary of
significant accounting policies followed by the Fund in the preparation of its financial statements.
Security valuation
Equity securities listed on an
exchange are valued at the closing price or last trade on their primary exchange at the close of business of the New York Stock Exchange. Securities with a closing price not readily available or not listed on any
exchange are valued at the mean between the closing bid and asked prices. Listed preferred stocks convertible into common stocks are valued using an evaluated price from a pricing service.
Foreign equity securities are
valued based on the closing price or last trade on their primary exchange at the close of business of the New York Stock Exchange. If any foreign equity security closing prices are not readily available, the
securities are valued at the mean of the latest quoted bid and ask prices on such exchanges or markets. Foreign currency exchange rates are determined at the scheduled closing time of the New York Stock Exchange. Many
securities markets and exchanges outside the U.S. close prior to the close of the New York Stock Exchange; therefore, the closing prices for securities in such markets or on such exchanges may not fully reflect events
that occur after such close but before the close of the New York Stock Exchange. In those situations, foreign securities will be fair valued pursuant to a policy 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 (other than exchange-traded funds (ETFs)), are valued at the latest net asset value reported by those companies as of the valuation time.
Forward foreign currency exchange
contracts are marked-to-market based upon foreign currency exchange rates provided by a pricing service.
Futures and options on futures
contracts are valued based upon the settlement price at the close of regular trading on their principal exchanges or, in the absence of a settlement price, at the mean of the latest quoted bid and ask prices.
| 38 | Multi-Manager Directional Alternative Strategies Fund | Annual Report 2021 |
Notes to Financial Statements (continued)
April 30, 2021
April 30, 2021
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, if available.
The determination of fair value
often requires significant judgment. To determine fair value, management may use assumptions including but not limited to future cash flows and estimated risk premiums. Multiple inputs from various sources may be used
to determine fair value.
GAAP requires disclosure regarding
the inputs and valuation techniques used to measure fair value and any changes in valuation inputs or techniques. In addition, investments shall be disclosed by major category. This information is disclosed following
the Fund’s Portfolio of Investments.
Foreign currency transactions and
translations
The values of all assets and
liabilities denominated in foreign currencies are generally translated into U.S. dollars at exchange rates determined at the close of regular trading on the New York Stock Exchange. Net realized and unrealized gains
(losses) on foreign currency transactions and translations include gains (losses) arising from the fluctuation in exchange rates between trade and settlement dates on securities transactions, gains (losses) arising
from the disposition of foreign currency and currency gains (losses) between the accrual and payment dates on dividends, interest income and foreign withholding taxes.
For financial statement purposes,
the Fund does not distinguish that portion of gains (losses) on investments which is due to changes in foreign exchange rates from that which is due to changes in market prices of the investments. Such fluctuations
are included with the net realized and unrealized gains (losses) on investments in the Statement of Operations.
Derivative instruments
The Fund invests in certain
derivative instruments, as detailed below, in seeking to meet its investment objectives. Derivatives are instruments whose values depend on, or are derived from, in whole or in part, the value of one or more
securities, currencies, commodities, indices, or other assets or instruments. Derivatives may be used to increase investment flexibility (including to maintain cash reserves while maintaining desired exposure to
certain assets), for risk management (hedging) purposes, to facilitate trading, to reduce transaction costs and to pursue higher investment returns. The Fund may 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 clearing brokers are required to segregate customer margin from their own assets, in
|
Multi-Manager Directional Alternative Strategies Fund | Annual Report 2021
|
39 |
Notes to Financial Statements (continued)
April 30, 2021
April 30, 2021
the event that a clearing broker becomes insolvent
or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the clearing broker for all its clients, U.S. bankruptcy laws will typically allocate that shortfall on a
pro-rata basis across all the clearing broker’s customers (including the Fund), potentially resulting in losses to the Fund.
In order to better define its
contractual rights and to secure rights that will help the Fund mitigate its counterparty risk, the Fund may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (ISDA Master Agreement)
or similar agreement with its derivatives counterparties. An ISDA Master Agreement is an agreement between the Fund and a counterparty that governs over-the-counter derivatives and foreign exchange forward contracts
and contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. Under an ISDA Master Agreement, the Fund may, under certain circumstances, offset
with the counterparty certain derivative 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 for most over-the-counter derivatives are subject to regulatory requirements to exchange variation margin with trading counterparties and may have contract specific margin terms as
well. For over-the-counter derivatives traded under an ISDA Master Agreement, the collateral requirements are typically calculated by netting the marked-to-market amount for each transaction under such agreement and
comparing that amount to the value of any variation margin currently pledged by the Fund and/or the counterparty. Generally, the amount of collateral due from or to a party has to exceed a minimum transfer amount
threshold (e.g., $250,000) before a transfer has to be made. To the extent amounts due to the Fund from its counterparties are not fully collateralized, contractually or otherwise, the Fund bears the risk of loss from
counterparty nonperformance. The Fund may also pay interest expense on cash collateral received from the broker. Any interest expense paid by the Fund is shown on the Statement of Operations. The Fund attempts to
mitigate counterparty risk by only entering into agreements with counterparties that it believes have the financial resources to honor their obligations and by monitoring the financial stability of those
counterparties.
Certain ISDA Master Agreements
allow counterparties of over-the-counter derivatives transactions to terminate derivatives contracts prior to maturity in the event the Fund’s net asset value declines by a stated percentage over a specified
time period or if the Fund fails to meet certain terms of the ISDA Master Agreement, which would cause the Fund to accelerate payment of any net liability owed to the counterparty. The Fund also has termination rights
if the counterparty fails to meet certain terms of the ISDA Master Agreement. In determining whether to exercise such termination rights, the Fund would consider, in addition to counterparty credit risk, whether
termination would result in a net liability owed from the counterparty.
For financial reporting purposes,
the Fund does not offset derivative assets and derivative liabilities that are subject to netting arrangements in the Statement of Assets and Liabilities.
Forward foreign currency exchange
contracts
Forward foreign currency exchange
contracts are over-the-counter agreements between two parties to buy and sell a currency at a set price on a future date. The Fund utilized forward foreign currency exchange contracts to hedge the currency exposure
associated with some or all of the Fund’s securities, to shift U.S. dollar exposure to achieve a representative weighted mix of major currencies in its benchmark and to recover an underweight country exposure in
its portfolio. 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.
| 40 | Multi-Manager Directional Alternative Strategies Fund | Annual Report 2021 |
Notes to Financial Statements (continued)
April 30, 2021
April 30, 2021
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 exposure to the securities market.
These instruments may be used for other purposes in future periods. Upon entering into futures contracts, the Fund bears risks that it may not achieve the anticipated benefits of the futures contracts and may realize
a loss. Additional risks include counterparty credit risk, the possibility of an illiquid market, and that a change in the value of the contract or option may not correlate with changes in the value of the underlying
asset.
Upon entering into a futures
contract, the Fund deposits cash or securities with the broker, known as a futures commission merchant (FCM), in an amount sufficient to meet the initial margin requirement. The initial margin deposit must be
maintained at an established level over the life of the contract. Cash deposited as initial margin is recorded in the Statement of Assets and Liabilities as margin deposits. Securities deposited as initial margin are
designated in the Portfolio of Investments. Subsequent payments (variation margin) are made or received by the Fund each day. The variation margin payments are equal to the daily change in the contract value and are
recorded as variation margin receivable or payable and are offset in unrealized gains or losses. The Fund generally expects to earn interest income on its margin deposits. The Fund recognizes a realized gain or loss
when the contract is closed or expires. Futures contracts involve, to varying degrees, risk of loss in excess of the variation margin disclosed in the Statement of Assets and Liabilities.
Swap contracts
Swap contracts are negotiated in
the over-the-counter market and 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. For a bilateral swap
contract, the Fund has credit exposure to the broker, but exchanges daily variation margin with the broker based on the mark-to-market value of the swap contract to minimize that exposure. For centrally cleared swap
contracts, the Fund has minimal credit exposure to the FCM because the CCP stands between the Fund and the relevant buyer/seller on the other side of the contract. Swap contracts are marked-to-market daily and changes
in value are recorded as unrealized appreciation (depreciation). The daily change in valuation of centrally cleared swap contracts, if any, is recorded as a receivable or payable for variation margin in the Statement
of Assets and Liabilities.
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.
Total return basket swap contracts
The Fund entered into total return
basket swap transactions. These instruments allow the Fund to manage exposure to a custom basket of securities and foreign markets (both long and short exposures) without owning or taking physical custody of such
securities. Under the terms of the contract, payments made by the Fund or the counterparty are based on the total return of the reference assets within the basket in return for a specified interest rate. The contract
allows the Investment Manager of the Fund to alter the composition of the custom basket by trading in and out of the notional reference security positions at its discretion.
|
Multi-Manager Directional Alternative Strategies Fund | Annual Report 2021
|
41 |
Notes to Financial Statements (continued)
April 30, 2021
April 30, 2021
The total return basket swap is
valued daily, and the change in value is recorded as unrealized appreciation (depreciation). The swap resets monthly at which time the Fund settles in cash with the counterparty. Payments received (or made) by the
Fund are recorded as realized gains (losses). Total return basket swaps are subject to the risk associated with the investment in the reference securities within the basket. The risk in the case of short swaps
transactions is unlimited based on the potential for unlimited increases in the market value of the reference securities in the basket. The risk may be offset if the Fund holds any of the reference securities. The
risk in the case of long swap transactions is limited to the current notional amount of the swap.
Total return swap contracts
The Fund entered into total return
swap contracts to manage long or short exposure to the total return on a specified reference security in return for periodic payments based on a fixed or variable interest rate. These instruments may be used for other
purposes in future periods. Total return swap contracts may be used to obtain exposure to an underlying reference security, instrument, or other asset or index or market without owning, taking physical custody of, or
short selling any such security, instrument or asset in a market.
Total return swap contracts are
valued daily, and the change in value is recorded as unrealized appreciation (depreciation) until the termination of the swap, at which time the Fund will realize a gain (loss). Periodic payments received (or made) by
the Fund over the term of the contract are recorded as realized gains (losses). Total return swap contracts are subject to the risk associated with the investment in the underlying reference security, instrument or
asset. 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
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 April 30, 2021:
| Asset derivatives | ||
|
Risk exposure
category |
Statement
of assets and liabilities location |
Fair value ($) |
| Equity risk | Component of total distributable earnings (loss) — unrealized appreciation on futures contracts | 1,817,916* |
| Equity risk | Component of total distributable earnings (loss) — unrealized appreciation on swap contracts | 14,195* |
| Foreign exchange risk | Unrealized appreciation on forward foreign currency exchange contracts | 173,797 |
| Total | 2,005,908 |
| Liability derivatives | ||
|
Risk exposure
category |
Statement
of assets and liabilities location |
Fair value ($) |
| Equity risk | Component of total distributable earnings (loss) — unrealized depreciation on futures contracts | 3,341* |
| Equity risk | Component of total distributable earnings (loss) — unrealized depreciation on swap contracts | 1,018,981* |
| Foreign exchange risk | Unrealized depreciation on forward foreign currency exchange contracts | 228,972 |
| Total | 1,251,294 |
| * | Includes cumulative appreciation (depreciation) as reported in the tables following the Portfolio of Investments. Only the current day’s variation margin is reported in receivables or payables in the Statement of Assets and Liabilities. |
| 42 | Multi-Manager Directional Alternative Strategies Fund | Annual Report 2021 |
Notes to Financial Statements (continued)
April 30, 2021
April 30, 2021
The following table indicates the
effect of derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) in the Statement of Operations for the year ended April 30, 2021:
| Amount of realized gain (loss) on derivatives recognized in income | ||||
| Risk exposure category |
Forward
foreign currency exchange contracts ($) |
Futures
contracts ($) |
Swap
contracts ($) |
Total
($) |
| Equity risk | — | 12,585,523 | 3,476,474 | 16,061,997 |
| Foreign exchange risk | 727,503 | — | — | 727,503 |
| Total | 727,503 | 12,585,523 | 3,476,474 | 16,789,500 |
| Change in unrealized appreciation (depreciation) on derivatives recognized in income | ||||
| Risk exposure category |
Forward
foreign currency exchange contracts ($) |
Futures
contracts ($) |
Swap
contracts ($) |
Total
($) |
| Equity risk | — | (948,448) | (949,874) | (1,898,322) |
| Foreign exchange risk | (25,246) | — | — | (25,246) |
| Total | (25,246) | (948,448) | (949,874) | (1,923,568) |
The following table is a summary
of the average outstanding volume by derivative instrument for the year ended April 30, 2021:
| Derivative instrument |
Average notional
amounts ($)* |
| Futures contracts — long | 32,771,156 |
| Derivative instrument |
Average unrealized
appreciation ($)* |
Average unrealized
depreciation ($)* |
| Forward foreign currency exchange contracts | 254,583 | (172,040) |
| Total return swap contracts | 132,256 | (723,272) |
| * | Based on the ending quarterly outstanding amounts for the year ended April 30, 2021. |
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
Portfolio of Investments. In addition, cash collateral is recorded as cash collateral held at broker in the 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 Statement of Operations. A short position is reported as a
liability at fair value in the 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 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.
|
Multi-Manager Directional Alternative Strategies Fund | Annual Report 2021
|
43 |
Notes to Financial Statements (continued)
April 30, 2021
April 30, 2021
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 April 30, 2021:
| Citi ($) | JPMorgan ($) (a) | JPMorgan ($)(a) | Macquarie ($) |
Morgan
Stanley ($) |
Morgan
Stanley International ($) |
Total ($) | |
| Assets | |||||||
| Forward foreign currency exchange contracts | 86,901 | - | 86,896 | - | - | - | 173,797 |
| OTC total return swap contracts (b) | - | - | - | 7,992 | - | - | 7,992 |
| OTC total return swap contracts on futures (b) | 6,203 | - | - | - | - | - | 6,203 |
| Total assets | 93,104 | - | 86,896 | 7,992 | - | - | 187,992 |
| Liabilities | |||||||
| Forward foreign currency exchange contracts | 114,480 | - | 114,492 | - | - | - | 228,972 |
| OTC total return swap contracts (b) | - | - | 86,955 | 21,297 | - | 894,338 | 1,002,590 |
| OTC total return swap contracts on futures (b) | - | - | 1,675 | - | - | 14,716 | 16,391 |
| Securities borrowed | - | 43,159,580 | - | - | 55,714,051 | - | 98,873,631 |
| Total liabilities | 114,480 | 43,159,580 | 203,122 | 21,297 | 55,714,051 | 909,054 | 100,121,584 |
| Total financial and derivative net assets | (21,376) | (43,159,580) | (116,226) | (13,305) | (55,714,051) | (909,054) | (99,933,592) |
| Total collateral received (pledged) (c) | (21,376) | (43,159,580) | (116,226) | (13,305) | (55,714,051) | (909,054) | (99,933,592) |
| Net amount (d) | - | - | - | - | - | - | - |
| (a) | Exposure can only be netted across transactions governed under the same master agreement with the same legal entity. |
| (b) | Over-the-Counter (OTC) swap contracts are presented at market value plus periodic payments receivable (payable), which is comprised of unrealized appreciation, unrealized depreciation, upfront payments and upfront receipts. |
| (c) | In some instances, the actual collateral received and/or pledged may be more than the amount shown due to overcollateralization. |
| (d) | Represents the net amount due from/(to) counterparties in the event of default. |
Security transactions
Security transactions are accounted
for on the trade date. Cost is determined and gains (losses) are based upon the specific identification method for both financial statement and federal income tax purposes.
Income recognition
Corporate actions and dividend
income are generally recorded net of any non-reclaimable tax withholdings, on the ex-dividend date or upon receipt of an ex-dividend notification in the case of certain foreign securities.
The Fund may receive distributions
from holdings in equity securities, business development companies (BDCs), exchange-traded funds (ETFs), limited partnerships (LPs), other regulated investment companies (RICs), and real estate investment trusts
(REITs), which report information as to the tax character of their distributions annually. These distributions are allocated to dividend income, capital gain and return of capital based on actual information reported.
Return of capital is recorded as a reduction of the cost basis of securities held. If the Fund no longer owns the applicable securities, return of capital is recorded as a realized gain. With respect to REITs, to the
extent actual information has not yet been reported, estimates for return of capital are made by Columbia Management Investment Advisers, LLC (the Investment Manager), a wholly-owned subsidiary of Ameriprise
Financial, Inc. (Ameriprise Financial). The Investment Manager’s estimates are subsequently adjusted when the actual character of the distributions is disclosed by the REITs, which could result in a
proportionate change in return of capital to shareholders.
Awards from class action litigation
are recorded as a reduction of cost basis if the Fund still owns the applicable securities on the payment date. If the Fund no longer owns the applicable securities on the payment date, the proceeds are recorded as
realized gains.
| 44 | Multi-Manager Directional Alternative Strategies Fund | Annual Report 2021 |
Notes to Financial Statements (continued)
April 30, 2021
April 30, 2021
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.
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 the Fund. The management services fee is equal to 1.60% of the
Fund’s daily net assets.
|
Multi-Manager Directional Alternative Strategies Fund | Annual Report 2021
|
45 |
Notes to Financial Statements (continued)
April 30, 2021
April 30, 2021
Subadvisory agreements
The Investment Manager has entered
into Subadvisory Agreements with AQR Capital Management, LLC, Boston Partners Global Investors, Inc. and Wells Capital Management Incorporated, each of which subadvises a portion of the assets of the Fund. New
investments in the Fund, net of any redemptions, are allocated in accordance with the Investment Manager’s determination, 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. Under a Deferred Compensation Plan (the
Deferred Plan), these members of the Board of Trustees may elect to defer payment of up to 100% of their compensation. Deferred amounts are treated as though equivalent dollar amounts had been invested in shares of
certain funds managed by the Investment Manager. The Fund’s liability for these amounts is adjusted for market value changes and remains in the Fund until distributed in accordance with the Deferred Plan. All
amounts payable under the Deferred Plan constitute a general unsecured obligation of the Fund. The expense for the Deferred Plan, which includes Trustees’ fees deferred during the current period as well as any
gains or losses on the Trustees’ deferred compensation balances as a result of market fluctuations, is included in "Compensation of board members" on the Statement of Operations.
Compensation of Chief Compliance
Officer
The Board of Trustees has appointed
a Chief Compliance Officer for the Fund in accordance with federal securities regulations. As disclosed in the Statement of Operations, a portion of the Chief Compliance Officer’s total compensation is allocated
to the Fund, along with other allocations to affiliated registered investment companies managed by the Investment Manager and its affiliates, based on relative net assets.
Transfer agency fees
Under a Transfer and Dividend
Disbursing Agent Agreement, Columbia Management Investment Services Corp. (the Transfer Agent), an affiliate of the Investment Manager and a wholly-owned subsidiary of Ameriprise Financial, is responsible for
providing transfer agency services to the Fund. The Transfer Agent has contracted with 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 April 30, 2021,
the Fund’s effective transfer agency fee rate as a percentage of average daily net assets was as follows:
| Effective rate (%) | |
| Institutional Class | 0.21 |
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.
| 46 | Multi-Manager Directional Alternative Strategies Fund | Annual Report 2021 |
Notes to Financial Statements (continued)
April 30, 2021
April 30, 2021
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 August 31, 2021 |
|
| Institutional Class | 1.84% |
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 April 30, 2021, these
differences were primarily due to differing treatment for deferral/reversal of wash sale losses, trustees’ deferred compensation, tax straddles, non-deductible expenses, constructive sales of appreciated
financial positions, derivative investments, re-characterization of distributions for investments, swap investments, foreign currency transactions, passive foreign investment company (PFIC) holdings and net operating
loss. 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) ($) |
Paid in
capital ($) |
| 9,415,628 | (5,237,140) | (4,178,488) |
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 April 30, 2021 | Year Ended April 30, 2020 | ||||
|
Ordinary
income ($) |
Long-term
capital gains ($) |
Total ($) |
Ordinary
income ($) |
Long-term
capital gains ($) |
Total ($) |
| — | — | — | — | 1,973,018 | 1,973,018 |
Short-term capital gain
distributions, if any, are considered ordinary income distributions for tax purposes.
|
Multi-Manager Directional Alternative Strategies Fund | Annual Report 2021
|
47 |
Notes to Financial Statements (continued)
April 30, 2021
April 30, 2021
At April 30, 2021, the components
of distributable earnings on a tax basis were as follows:
|
Undistributed
ordinary income ($) |
Undistributed
long-term capital gains ($) |
Capital loss
carryforwards ($) |
Net unrealized
appreciation ($) |
| — | 6,453,970 | — | 31,790,945 |
At April 30, 2021, 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) ($) |
Net unrealized
appreciation ($) |
| 118,629,039 | 45,623,418 | (13,832,473) | 31,790,945 |
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 $729,900,593 and $730,878,971, respectively, for the year ended April 30, 2021. 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 April 30, 2021 was as follows:
| Borrower or lender |
Average loan
balance ($) |
Weighted average
interest rate (%) |
Number of days
with outstanding loans |
| Borrower | 337,500 | 0.65 | 8 |
| 48 | Multi-Manager Directional Alternative Strategies Fund | Annual Report 2021 |
Notes to Financial Statements (continued)
April 30, 2021
April 30, 2021
Interest expense incurred by the
Fund is recorded as Interfund lending in the Statement of Operations. The Fund had no outstanding interfund loans at April 30, 2021.
Note 8. Line of credit
The Fund has access to a
revolving credit facility with a syndicate of banks led by Citibank, N.A., Wells Fargo Bank, 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. Pursuant to a December 1, 2020 amendment, 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 $950 million. 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, 1.25%. 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. Prior to the December 1, 2020 amendment, the Fund had 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. which permitted collective borrowings up to $1 billion. Interest was charged to each participating fund based on its borrowings at a rate equal
to the higher of (i) the federal funds effective rate, (ii) the one-month LIBOR rate and (iii) the overnight bank funding rate, plus in each case, 1.00%.
The Fund had no borrowings during
the year ended April 30, 2021.
Note 9. Significant
risks
Alternative strategies investment
risk
An investment in alternative
investment strategies (Alternative Strategies) involves risks, which may be significant. Alternative Strategies may include strategies, instruments or other assets, such as derivatives, that seek investment returns
uncorrelated with the broad equity and fixed income/debt markets, as well as those providing exposure to other markets (such as commodity markets), including but not limited to absolute (positive) return strategies.
Alternative Strategies may fail to achieve their desired performance, market or other exposure, or their returns (or lack thereof) may be more correlated with the broad equity and/or fixed income/debt markets than was
anticipated, and the Fund may lose money.
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.
Market and environment risk
The Fund may incur losses due to
declines in the value of one or more securities in which it invests. These declines may be due to factors affecting a particular issuer, or the result of, among other things, political, regulatory, market, economic or
social developments affecting the relevant market(s) more generally. In addition, turbulence in financial markets and reduced liquidity in equity, credit and/or fixed income markets may negatively affect many issuers,
which could adversely affect the Fund, including causing difficulty in assigning prices to hard-to-value assets in thinly traded and closed markets, significant redemptions and operational challenges. Global economies
and financial markets are increasingly interconnected, and conditions and events in one country, region or financial market may adversely impact issuers in a different country, region or financial market. These risks
may be magnified if certain events or developments adversely interrupt the global supply chain; in these and other circumstances, such risks might affect companies worldwide. As a result, local, regional or global
events such as terrorism, war, natural disasters, disease/virus outbreaks and epidemics or other public health issues, recessions, depressions or other events – or the potential for such events – could
have a significant negative impact on global economic and market conditions.
|
Multi-Manager Directional Alternative Strategies Fund | Annual Report 2021
|
49 |
Notes to Financial Statements (continued)
April 30, 2021
April 30, 2021
The Fund’s performance may
also be significantly negatively impacted by the economic impact of the coronavirus disease 2019 (COVID-19) pandemic. The COVID-19 public health crisis has become a pandemic that has resulted in, and may continue to
result in, significant global economic and societal disruption and market volatility due to disruptions in market access, resource availability, facilities operations, imposition of tariffs, export controls and supply
chain disruption, among others. Such disruptions may be caused, or exacerbated by, quarantines and travel restrictions, workforce displacement and loss in human and other resources. The uncertainty surrounding the
magnitude, duration, reach, costs and effects of the global pandemic, as well as actions that have been or could be taken by governmental authorities or other third parties, present unknowns that are yet to unfold.
The impacts, as well as the uncertainty over impacts to come, of COVID-19 – and any other infectious illness outbreaks, epidemics and pandemics that may arise in the future – could negatively affect global
economies and markets in ways that cannot necessarily be foreseen. In addition, the impact of infectious illness outbreaks and epidemics in emerging market countries may be greater due to generally less established
healthcare systems, governments and financial markets. Public health crises caused by the COVID-19 outbreak may exacerbate other pre-existing political, social and economic risks in certain countries or globally. The
disruptions caused by COVID-19 could prevent the Fund from executing advantageous investment decisions in a timely manner and negatively impact the Fund’s ability to achieve its investment objectives. Any such
event(s) could have a significant adverse impact on the value and risk profile of the Fund.
The Investment Manager and its
affiliates have systematically implemented strategies to address the operating environment spurred by the COVID-19 pandemic. To promote the safety and security of our employees and to assure the continuity of our
business operations, we have implemented a work from home protocol for virtually all of our employee population, restricted business travel, and provided resources for complying with the guidance from the World Health
Organization, the U.S. Centers for Disease Control and governments. Our operations teams seek to operate without significant disruptions in service. Our pandemic strategy takes into consideration that a pandemic could
be widespread and may occur in multiple waves, affecting different communities at different times with varying levels of severity. We cannot, however, predict the impact that natural or man-made disasters, including
the COVID-19 pandemic, may have on the ability of our employees and third-party service providers to continue ordinary business operations and technology functions over near- or longer-term periods.
Shareholder concentration risk
At April 30, 2021, affiliated
shareholders of record owned 100.0% of the outstanding shares of the Fund in one or more accounts. Subscription and redemption activity by concentrated accounts may have a significant effect on the operations of the
Fund. In the case of a large redemption, the Fund may be forced to sell investments at inopportune times, including its liquid positions, which may result in Fund losses and the Fund holding a higher percentage of
less liquid positions. Large redemptions could result in decreased economies of scale and increased operating expenses for non-redeeming Fund shareholders.
Short selling risk
Leverage occurs when the Fund
increases its assets available for investment using borrowings, short sales, derivatives, or similar instruments or techniques. Because short sales involve borrowing securities and then selling them, the Fund’s
short sales effectively leverage the Fund’s assets. The Fund’s assets that are used as collateral to secure the Fund’s obligations to return the securities sold short may decrease in value while the
short positions are outstanding, which may force the Fund to use its other assets to increase the collateral. Leverage can create an interest expense that may lower the Fund’s overall returns. Leverage presents
the opportunity for increased net income and capital gains, but may also exaggerate the Fund’s volatility and risk of loss. There can be no guarantee that a leveraging strategy will be successful.
Note 10. Subsequent
events
Management has evaluated the
events and transactions that have occurred through the date the financial statements were issued and noted no items requiring adjustment of the financial statements or additional disclosure.
Note 11. Information
regarding pending and settled legal proceedings
Ameriprise Financial and certain
of its affiliates 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
| 50 | Multi-Manager Directional Alternative Strategies Fund | Annual Report 2021 |
Notes to Financial Statements (continued)
April 30, 2021
April 30, 2021
that neither Ameriprise Financial nor any of its
affiliates are the subject of, any pending legal, arbitration or regulatory proceedings that are likely to have a material adverse effect on the Fund or the ability of Ameriprise Financial or its affiliates to perform
under their contracts with the Fund. Ameriprise Financial is required to make quarterly (10-Q), annual (10-K) and, as necessary, 8-K filings with the Securities and Exchange Commission (SEC) on legal and regulatory
matters that relate to Ameriprise Financial and its affiliates. Copies of these filings may be obtained by accessing the SEC website at www.sec.gov.
There can be no assurance that
these matters, or the adverse publicity associated with them, will not result in increased Fund redemptions, reduced sale of Fund shares or other adverse consequences to the Fund. Further, although we believe
proceedings are not likely to have a material adverse effect on the Fund or the ability of Ameriprise Financial or its affiliates to perform under their contracts with the Fund, these proceedings are subject to
uncertainties and, as such, we are unable to estimate the possible loss or range of loss that may result. An adverse outcome in one or more of these proceedings could result in adverse judgments, settlements, fines,
penalties or other relief that could have a material adverse effect on the consolidated financial condition or results of operations of Ameriprise Financial or one or more of its affiliates that provides services to
the Fund.
|
Multi-Manager Directional Alternative Strategies Fund | Annual Report 2021
|
51 |
Report of Independent Registered Public
Accounting Firm
To the Board of Trustees of Columbia
Funds Series Trust I and Shareholders of Multi-Manager Directional Alternative 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 Directional Alternative Strategies Fund (one of the funds constituting Columbia Funds Series Trust I, referred to hereafter
as the "Fund") as of April 30, 2021, the related statement of operations for the year ended April 30, 2021, the statement of changes in net assets for each of the two years in the period ended April 30, 2021,
including the related notes, and the financial highlights for each of the four years in the period ended April 30, 2021 and for the period January 3, 2017 (commencement of operations for Institutional Class) through
April 30, 2017 (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 April
30, 2021, 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 April 30, 2021 and the financial highlights for each of the four years in
the period ended April 30, 2021 and for the period January 3, 2017 (commencement of operations for Institutional Class) through April 30, 2017 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 April 30, 2021 by correspondence with the custodian, transfer agent and brokers; when replies were
not received from brokers and/or agent banks, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
/s/PricewaterhouseCoopers LLP
Minneapolis, Minnesota
June 22, 2021
We have served as the auditor of
one or more investment companies within the Columbia Funds Complex since 1977.
| 52 | Multi-Manager Directional Alternative Strategies Fund | Annual Report 2021 |
Federal Income Tax
Information
(Unaudited)
The Fund hereby designates the
following tax attributes for the fiscal year ended April 30, 2021. Shareholders will be notified in early 2022 of the amounts for use in preparing 2021 income tax returns.
|
Capital
gain dividend |
|
| $6,776,669 |
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, each Trustee
generally serves until December 31 of the year such Trustee turns seventy-five (75).
Independent trustees
|
Name,
address, year of birth |
Position held
with the Columbia Funds and length of service |
Principal occupation(s)
during 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 |
|
George S. Batejan
c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1953 |
Trustee since 2017 | Executive Vice President, Global Head of Technology and Operations, Janus Capital Group, Inc., 2010-2016 | 170 | Former Chairman of the Board, NICSA (National Investment Company Services Association) (Executive Committee, Nominating Committee and Governance Committee), 2014-2016; former Director, Intech Investment Management, 2011-2016; former Board Member, Metro Denver Chamber of Commerce, 2015-2016; former Advisory Board Member, University of Colorado Business School, 2015-2018 |
|
Multi-Manager Directional Alternative Strategies Fund | Annual Report 2021
|
53 |
TRUSTEES AND OFFICERS (continued)
Independent trustees (continued)
Independent trustees (continued)
|
Name,
address, year of birth |
Position held
with the Columbia Funds and length of service |
Principal occupation(s)
during 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 |
|
Kathleen Blatz
c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1954 |
Trustee since 2006 | Attorney; specializing in arbitration and mediation; Chief Justice, Minnesota Supreme Court, 1998-2006; Associate Justice, Minnesota Supreme Court, 1996-1998; Fourth Judicial District Court Judge, Hennepin County, 1994-1996; Attorney in private practice and public service, 1984-1993; State Representative, Minnesota House of Representatives, 1979-1993, which included service on the Tax and Financial Institutions and Insurance Committees; Member and Interim Chair, Minnesota Sports Facilities Authority, January 2017-July 2017; Interim President and Chief Executive Officer, Blue Cross and Blue Shield of Minnesota (health care insurance), February-July 2018 | 170 | Trustee, BlueCross BlueShield of Minnesota since 2009 (Chair of the Business Development Committee - 2014-2017; Chair of the Governance Committee, 2017-2019); former Member and Chair of the Board, Minnesota Sports Facilities Authority, January 2017-July 2017; Director, Robina Foundation, 2009-2020 (Chair, 2014-2020) |
|
Pamela G. Carlton
c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1954 |
Trustee since 2007 | President, Springboard — Partners in Cross Cultural Leadership (consulting company) since 2003; Managing Director of US Equity Research, JP Morgan Chase, 1999-2003; Director of US Equity Research, Chase Asset Management, 1996-1999; Co-Director Latin America Research, 1993-1996, COO Global Research, 1992-1996, Co-Director of US Research, 1991-1992, Investment Banker, 1982-1991, Morgan Stanley; Attorney at Cleary Gottlieb Steen & Hamilton LLP, 1980-1982 | 170 | Trustee, New York Presbyterian Hospital Board (Executive Committee and Chair of People Committee) since 1996; Director, DR Bank (Audit Committee) since 2017; Director, Evercore Inc. (Audit Committee, Nominating and Governance Committee) since 2019 |
|
Janet Langford Carrig
c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1957 |
Trustee since 1996 | Senior Vice President, General Counsel and Corporate Secretary, ConocoPhillips (independent energy company), September 2007-October 2018 | 168 | Director, EQT Corporation (natural gas producer) since 2019; Director, Whiting Petroleum Corporation (independent oil and gas company) since 2020 |
|
J. Kevin Connaughton
c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1964 |
Trustee since 2020(a) | Member, FINRA National Adjudicatory Council since January 2020; Adjunct Professor of Finance, Bentley University since January 2018; Managing Director and General Manager of Mutual Fund Products, Columbia Management Investment Advisers, LLC, May 2010-February 2015; President, Columbia Funds, 2008-2015; and senior officer of Columbia Funds and affiliated funds, 2003-2015 | 168 | Director, The Autism Project since March 2015; former Member of the Investment Committee, St. Michael’s College, November 2015-February 2020; former Trustee, St. Michael’s College, June 2017-September 2019; former Trustee, New Century Portfolios, January 2015-December 2017 |
|
Olive M. Darragh
c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1962 |
Trustee since 2020(a) | Managing Director of Darragh Inc. (strategy and talent management consulting firm) since 2010; Founder and CEO, Zolio, Inc. (investment management talent identification platform) since 2004; Partner, Tudor Investments, 2004-2010; Senior Partner, McKinsey & Company (consulting), 2001-2004 | 168 | Former Director, University of Edinburgh Business School (Member of US Board); former Director, Boston Public Library Foundation |
| 54 | Multi-Manager Directional Alternative Strategies Fund | Annual Report 2021 |
TRUSTEES AND OFFICERS (continued)
Independent trustees (continued)
Independent trustees (continued)
|
Name,
address, year of birth |
Position held
with the Columbia Funds and length of service |
Principal occupation(s)
during 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 |
|
Patricia M. Flynn
c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1950 |
Trustee since 2004 | Trustee Professor of Economics and Management, Bentley University since 1976 (also teaches and conducts research on corporate governance); Dean, McCallum Graduate School of Business, Bentley University, 1992-2002 | 170 | Trustee, MA Taxpayers Foundation since 1997; Board of Governors, Innovation Institute, MA Technology Collaborative, 2010-2019; Board of Directors, The MA Business Roundtable, 2003-2019 |
|
Brian J. Gallagher
c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1954 |
Trustee since 2017 | Retired; Partner with Deloitte & Touche LLP and its predecessors, 1977-2016 | 170 | Trustee, Catholic Schools Foundation since 2004 |
|
Douglas A. Hacker
c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1955 |
Co-Chair since 2021; Chair of CFST I and CFVIT since 2014; Trustee of CFST I and CFVIT since 1996 and CFST, CFST II, CFVST II, Columbia ETF Trust I and Columbia ETF Trust II since 2021 | 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 | 168 | Director, Spartan Nash Company (food distributor); Director, Aircastle Limited (Chair of Audit Committee) (aircraft leasing); former Director, Nash Finch Company (food distributor), 2005-2013; former Director, SeaCube Container Leasing Ltd. (container leasing), 2010-2013; and former Director, Travelport Worldwide Limited (travel information technology), 2014-2019 |
|
Nancy T. Lukitsh
c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1956 |
Trustee since 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 | 168 | |
|
David M. Moffett
c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1952 |
Trustee since 2011 | Retired; Consultant to Bridgewater and Associates | 168 | Director, CSX Corporation (transportation suppliers); Director, Genworth Financial, Inc. (financial and insurance products and services); Director, 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 |
|
Multi-Manager Directional Alternative Strategies Fund | Annual Report 2021
|
55 |
TRUSTEES AND OFFICERS (continued)
Independent trustees (continued)
Independent trustees (continued)
|
Name,
address, year of birth |
Position held
with the Columbia Funds and length of service |
Principal occupation(s)
during 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 |
|
Catherine James Paglia
c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1952 |
Co-Chair since 2021; Chair of CFST, CFST II, CFVST II, Columbia ETF Trust I and Columbia ETF Trust II since 2020; Trustee of CFST, CFST II and CFVST II since 2004 and CFST I and CFVIT since 2021 | Director, Enterprise Asset Management, Inc. (private real estate and asset management company) since September 1998; Managing Director and Partner, Interlaken Capital, Inc., 1989-1997; Vice President, 1982-1985, Principal, 1985-1987, Managing Director, 1987-1989, Morgan Stanley; Vice President, Investment Banking, 1980-1982, Associate, Investment Banking, 1976-1980, Dean Witter Reynolds, Inc. | 170 | Director, Valmont Industries, Inc. (irrigation systems manufacturer) since 2012; Trustee, Carleton College (on the Investment Committee); Trustee, Carnegie Endowment for International Peace (on the Investment Committee) |
|
Anthony M. Santomero
c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1946 |
Trustee since 2008 | Richard K. Mellon Professor Emeritus of Finance, The Wharton School, University of Pennsylvania, since 2002; Senior Advisor, McKinsey & Company (consulting), 2006-2008; President, Federal Reserve Bank of Philadelphia, 2000-2006; Professor of Finance, The Wharton School, University of Pennsylvania, 1972-2002 | 170 | Trustee, Penn Mutual Life Insurance Company since March 2008; Director, RenaissanceRe Holdings Ltd. since May 2008; former Director, Citigroup Inc. and Citibank, N.A., 2009-2019; former Trustee, BofA Funds Series Trust (11 funds), 2008-2011 |
|
Minor M. Shaw
c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1947 |
Trustee since 2003 | President, Micco LLC (private investments) since 2011; President, Micco Corp. (family investment business), 1998-2011 | 170 | Director, BlueCross BlueShield of South Carolina (Chair of Compensation Committee) since April 2008; Trustee, Hollingsworth Funds (on the Investment Committee) since 2016 (previously Board Chair from 2016-2019); Former Advisory Board member, Duke Energy Corp., 2016-2020; Chair of the Duke Endowment; Chair of Greenville – Spartanburg Airport Commission; former Trustee, BofA Funds Series Trust (11 funds), 2003-2011; former Director, Piedmont Natural Gas, 2004-2016; former Director, National Association of Corporate Directors, Carolinas Chapter, 2013-2018; Chair, Daniel-Mickel Foundation |
| 56 | Multi-Manager Directional Alternative Strategies Fund | Annual Report 2021 |
TRUSTEES AND OFFICERS (continued)
Independent trustees (continued)
Independent trustees (continued)
|
Name,
address, year of birth |
Position held
with the Columbia Funds and length of service |
Principal occupation(s)
during 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 |
|
Natalie A. Trunow
c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1967 |
Trustee since 2020(a) | Chief Executive Officer, Millennial Portfolio Solutions LLC (asset management and consulting services) since January 2016; Non-executive Member of the Investment Committee, Sarona Asset Management Inc. (private equity firm) since September 2019; Advisor, Horizon Investments (asset management and consulting services) since August 2018; Advisor, Paradigm Asset Management since November 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 | 168 | Director, Health Services for Children with Special Needs, Inc.; Director, Consumer Credit Counseling Services (formerly Guidewell Financial Solutions); Independent Director, Investment Committee, Sarona Asset Management |
|
Sandra Yeager
c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1964 |
Trustee since 2017 | Retired; President and founder, Hanoverian Capital, LLC (SEC registered investment advisor firm), 2008-2016; Managing Director, DuPont Capital, 2006-2008; Managing Director, Morgan Stanley Investment Management, 2004-2006; Senior Vice President, Alliance Bernstein, 1990-2004 | 170 | Director, NAPE Education Foundation, October 2016-October 2020 |
| * | The term “Columbia Funds Complex” as used herein includes Columbia Seligman Premium Technology Growth Fund, Tri-Continental Corporation and each series of Columbia Fund Series Trust (CFST), Columbia Funds Series Trust I (CFST I), Columbia Funds Series Trust II (CFST II), Columbia ETF Trust I, Columbia ETF Trust II, Columbia Funds Variable Insurance Trust (CFVIT) and Columbia Funds Variable Series Trust II (CFVST II). Messrs. Batejan, Gallagher, Petersen and Santomero and Mses. Blatz, Carlton, Flynn, Paglia, Shaw and Yeager serve as a director of Columbia Seligman Premium Technology Growth Fund and Tri-Continental Corporation. |
| (a) | J. Kevin Connaughton was appointed a consultant to the Independent Trustees of CFST I and CFVIT effective March 1, 2016. Natalie A. Trunow was appointed a consultant to the Independent Trustees of CFST I and CFVIT effective September 1, 2016. Olive M. Darragh was appointed a consultant to the Independent Trustees of CFST I and CFVIT effective June 10, 2019. Shareholders of the Funds elected Mr. Connaughton and Mses. Darragh and Trunow as Trustees of CFST, CFST I, CFST II, Columbia ETF Trust I, Columbia ETF Trust II, and CFVST II, effective January 1, 2021, and of CFVIT, effective July 1, 2020. |
Interested trustee affiliated with
Investment Manager*
|
Name,
address, year of birth |
Position held with the Columbia Funds 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 |
|
Christopher O. Petersen
c/o Columbia Management Investment Advisers, LLC 5228 Ameriprise Financial Center Minneapolis, MN 55474 1970 |
Trustee since 2020(a) | 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 | 170 | None |
| * | 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. |
| (a) | Mr. Petersen serves as the Senior Vice President and Assistant Secretary of the Columbia Funds (since 2021). |
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 Directional Alternative Strategies Fund | Annual Report 2021
|
57 |
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. Petersen, who is Senior Vice President and Assistant Secretary, the Fund’s other officers are:
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. Petersen, who is Senior Vice President and Assistant Secretary, 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 |
|
Daniel J. Beckman
225 Franklin Street Boston, MA 02110 1962 |
President and Principal Executive Officer (2021) | Vice President – Head of North America Product, Columbia Management Investment Advisers, LLC (since April 2015); officer of Columbia Funds and affiliated funds since 2020. |
|
Michael G. Clarke
225 Franklin Street Boston, MA 02110 1969 |
Chief Financial Officer and 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. |
|
Joseph Beranek
5890 Ameriprise Financial Center Minneapolis, MN 55474 1965 |
Treasurer and Chief Accounting Officer (Principal Accounting Officer) (2019) and Principal Financial Officer (2020), CFST, CFST I, CFST II, CFVIT and CFVST II; Assistant Treasurer, Columbia ETF Trust I and Columbia ETF Trust II | 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). |
|
Marybeth Pilat
225 Franklin Street Boston, MA 02110 1968 |
Treasurer and Chief Accounting Officer (Principal Accounting Officer) and Principal Financial Officer (2020) for Columbia ETF Trust I and Columbia ETF Trust II; Assistant Treasurer, CFST, CFST I, CFST II, CFVIT and CFVST II | Vice President – Product Pricing and Administration, Columbia Management Investment Advisers, LLC, since May 2017; Director - Fund Administration, Calvert Investments, August 2015 – March 2017; Vice President - Fund Administration, Legg Mason, May 2015 - July 2015; Vice President - Fund Administration, Columbia Management Investment Advisers, LLC, May 2010 - April 2015. |
|
William F. Truscott
225 Franklin Street Boston, MA 02110 1960 |
Senior Vice President (2001) | Formerly, Trustee of Columbia Funds Complex until January 1, 2021; Chief Executive Officer, Global Asset Management, Ameriprise Financial, Inc. since September 2012; Chairman of the Board and President, Columbia Management Investment Advisers, LLC since July 2004 and February 2012, respectively; Chairman of the Board and Chief Executive Officer, Columbia Management Investment Distributors, Inc. since November 2008 and February 2012, respectively; Chairman of the Board and Director, Threadneedle Asset Management Holdings, Sàrl since March 2013 and December 2008, respectively; senior executive of various entities affiliated with Columbia Threadneedle. |
|
Paul B. Goucher
485 Lexington Avenue New York, NY 10017 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 1972 |
Senior Vice President and Chief Compliance Officer (2012) | Vice President – Asset Management Compliance, Ameriprise Financial, Inc., since May 2010; Chief Compliance Officer, Columbia Acorn/Wanger Funds since December 2015; Chief Compliance Officer, Ameriprise Certificate Company September 2010 – September 2020. |
| 58 | Multi-Manager Directional Alternative Strategies Fund | Annual Report 2021 |
TRUSTEES AND OFFICERS (continued)
Fund 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 |
|
Colin Moore
225 Franklin Street Boston, MA 02110 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 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); Chief Legal Officer, Columbia Acorn/Wanger Funds, since September 2020; officer of Columbia Funds and affiliated funds since 2005. |
|
Michael E. DeFao
225 Franklin Street Boston, MA 02110 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 1960 |
Vice President (2015) | President, Columbia Management Investment Services Corp. since October 2014; Vice President & Resolution Officer, Ameriprise Trust Company since August 2009. |
Liquidity Risk
Management Program
Pursuant to Rule 22e-4 under the
1940 Act, the Fund has adopted a liquidity risk management program (Program). The Program’s principal objectives include assessing, managing and periodically reviewing the Fund’s liquidity risk. Liquidity
risk is defined as the risk that the Fund could not meet redemption requests without significant dilution of remaining investors’ interests in the Fund.
The Board has appointed the
Investment Manager as the program administrator for the Fund’s Program. The Investment Manager has delegated oversight of the Program to its Liquidity Risk Management Committee (the Committee). At a board
meeting during the fiscal period, the Committee provided the Board with a report addressing the operations of the program and assessing its adequacy and effectiveness of implementation for the period January 1, 2020,
through December 31, 2020, including:
| • | the Fund had sufficient liquidity to both meet redemptions and operate effectively on behalf of shareholders; |
| • | there were no material changes to the Program during the period; |
| • | the implementation of the Program was effective to manage the Fund’s liquidity risk; and |
| • | the Program operated adequately during the period. |
There can be no assurance that the
Program will achieve its objectives in the future. Please refer to the Fund’s prospectus for more information regarding the Fund’s exposure to liquidity risk and other principal risks to which an
investment in the Fund may be subject.
|
Multi-Manager Directional Alternative Strategies Fund | Annual Report 2021
|
59 |
Results of Meeting of
Shareholders
At a Joint Special Meeting of
Shareholders held on December 22, 2020, shareholders of Columbia Funds Series Trust I elected each of the seventeen nominees for the trustees to the Board of Trustees of Columbia Funds Series Trust I, each to hold
office until he or she dies, retires, resigns or is removed or, if sooner, until the election and qualification of his or her successor, as follows:
| 60 | Multi-Manager Directional Alternative Strategies Fund | Annual Report 2021 |
Multi-Manager Directional 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.
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.
© 2021 Columbia Management Investment
Advisers, LLC.
columbiathreadneedleus.com/investor/
ANN284_04_L01_(06/21)
Item 2. Code of Ethics.
(a)The registrant has adopted a code of ethics that applies to the registrant's 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 registrant's 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 registrant's 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 registrant's Board of Trustees has determined that David M. Moffett, Brian J. Gallagher, J. Kevin Connaughton, and Sandra L. Yeager, each of whom are members of the registrant's Board of Trustees and Audit Committee, each qualify as an audit committee financial expert. Mr. Moffett, Mr. Gallagher, Mr. Connaughton, and Ms. Yeager are each independent trustees, as defined in paragraph (a)(2) of this item's instructions.
Item 4. Principal Accountant Fees and Services.
Fee information below is disclosed for the six series of the registrant whose reports to stockholders are included in this annual filing. Fiscal years 2020 and 2021 also includes fees from a fund that liquidated during the period.
(a)Audit Fees. Aggregate Audit Fees billed by the principal accountant for professional services rendered during the fiscal years ended April 30, 2021 and April 30, 2020 are approximately as follows:
20212020
$279,900 $275,000
Audit Fees include amounts related to the audit of the registrant's 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 April 30, 2021 and April 30, 2020 are approximately as follows:
20212020
$5,200 $9,500
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 registrant's financial statements and are not reported in Audit Fees above.
During the fiscal years ended April 30, 2021 and April 30, 2020, there were no Audit- Related Fees billed by the registrant's principal accountant to the registrant's 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 April 30, 2021 and April 30,
2020 are approximately as follows:
|
2021 |
2020 |
|
$0 |
$0 |
Tax Fees, if any, 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.
During the fiscal years ended April 30, 2021 and April 30, 2020, there were no Tax Fees billed by the registrant's principal accountant to the registrant's 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 April 30, 2021 and April 30, 2020 are approximately as follows:
|
2021 |
2020 |
|
$0 |
$0 |
All Other Fees, if any, 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 registrant's principal accountant to the registrant's 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 April 30,
2021 and April 30, 2020 are approximately as follows:
20212020
$525,200 $547,000
In fiscal years 2021 and 2020, All Other Fees primarily consists of fees billed for internal control examinations of the registrant's transfer agent and investment adviser.
(e)(1) Audit Committee Pre-Approval Policies and Procedures
The registrant's Audit Committee is required to pre-approve the engagement of the
registrant's 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 registrant's 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 registrant's 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 registrant's Adviser and its Control Affiliates. A service will require specific pre-approval by the Audit Committee if it is to be provided by the Fund's independent auditor; provided, however, that pre-approval of non-audit services to the Fund, the Adviser or Control Affiliates may be waived if certain de minimis requirements set forth in the SEC's rules are met.
Under the Policy, the Audit Committee may delegate pre-approval authority to any pre- designated member or members who are independent board members. The member(s) to whom such authority is delegated must report, for informational purposes only, any pre- approval decisions to the Audit Committee at its next regular meeting. The Audit Committee's responsibilities with respect to the pre-approval of services performed by the independent auditor may not be delegated to management.
On an annual basis, at a regularly scheduled Audit Committee meeting, the Fund's Treasurer or other Fund officer shall submit to the Audit Committee a schedule of the types of Fund Services and Fund-related Adviser Services that are subject to specific pre- approval. This schedule will provide a description of each type of service that is subject to specific pre-approval, along with total projected fees for each service. The pre- approval will generally cover a one-year period. The Audit Committee will review and approve the types of services and the projected fees for the next one-year period and may add to, or subtract from, the list of pre-approved services from time to time, based on subsequent determinations. This specific approval acknowledges that the Audit Committee is in agreement with the specific types of services that the independent auditor will be permitted to perform and the projected fees for each service.
The Fund's 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) None, or 0%, of the Audit-Related Fees, Tax Fees and All Other Fees paid by the Fund or affiliated entities relating directly to the operations and financial reporting of the Registrant disclosed above were approved by the audit committee pursuant to paragraphs (c)(7)(i)(C) of Rule 2-01 of Regulation S-X (which permits audit committee approval after the start of the engagement with respect to services other than audit, review or attest services, if certain conditions are satisfied).
(f)Not applicable.
(g)The aggregate non-audit fees billed by the registrant's accountant for services rendered to the registrant, and rendered to the registrant's 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 the fiscal years ended April 30, 2021 and April 30,
2020 are approximately as follows:
20212020
$520,000 $537,500
(h)The registrant's Audit Committee of the Board of Directors has considered whether the provision of non-audit services that were rendered to the registrant's 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 accountant's independence.
Item 5. Audit Committee of Listed Registrants.
Not applicable.
Item 6. Investments
(a)The registrant's "Schedule I – Investments in securities of unaffiliated issuers" (as set forth in 17 CFR 210.12-12) is included in Item 1 of this Form N-CSR.
(b)Not applicable.
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders.
There were no material changes to the procedures by which shareholders may recommend nominees to the registrant's board of directors.
Item 11. Controls and Procedures.
(a)The registrant's principal executive officer and principal financial officer, based on their evaluation of the registrant's disclosure controls and procedures as of a date within 90 days of the filing of this report, have concluded that such controls and procedures are adequately designed to ensure that information required to be disclosed by the registrant in Form N-CSR is accumulated and communicated to the registrant's management, including the principal executive officer and principal financial officer, or persons performing similar functions, as appropriate to allow timely decisions regarding required disclosure.
(b)There was no change in the registrant's internal control over financial reporting that occurred during the period covered by this report that has materially affected,
or is reasonably likely to materially affect, the registrant's internal control over financial reporting.
Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies
Not applicable.
Item 13. Exhibits.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly
|
authorized. |
|
||
|
(registrant) |
|
Columbia Funds Series Trust I |
|
|
By (Signature and Title) |
/s/ Daniel J. Beckman |
||
|
|
|
|
Daniel J. Beckman, President and Principal Executive Officer |
|
Date |
|
June 22, 2021 |
|
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
|
By (Signature and Title) |
/s/ Daniel J. Beckman |
|
|
|
|
|
Daniel J. Beckman, President and Principal Executive Officer |
|
|
Date |
|
June 22, 2021 |
|
|
By (Signature and Title) |
/s/ Michael G. Clarke |
||
|
|
|
Michael G. Clarke, Chief Financial Officer, Principal Financial Officer |
|
|
|
|
and Senior Vice President |
|
|
Date |
|
June 22, 2021 |
|
|
By (Signature and Title) |
/s/ Joseph Beranek |
||
|
|
|
Joseph Beranek, Treasurer, Chief Accounting Officer and Principal |
|
|
|
|
Financial Officer |
|
|
Date |
|
June 22, 2021 |
|
