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)
290 Congress Street
Boston, MA 02210
(Address of principal executive offices) (Zip code)
Daniel J. Beckman
c/o Columbia Management Investment Advisers, LLC
290 Congress Street
Boston, MA 02210
Ryan C. Larrenaga, Esq.
c/o Columbia Management Investment Advisers, LLC
290 Congress Street
Boston, MA 02210
(Name and address of agent for service)
Registrant's telephone number, including area code: (800) 345-6611
Date of fiscal year end: April 30
Date of reporting period: April 30, 2022
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.
Columbia Bond
Fund
Not FDIC or NCUA 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)
290 Congress Street
Boston, MA 02210
Fund distributor
Columbia Management Investment Distributors,
Inc.
290 Congress Street
Boston, MA 02210
Fund transfer agent
Columbia Management Investment Services Corp.
P.O. Box 219104
Kansas City, MO 64121-9104
Columbia Bond Fund | Annual Report
2022
Fund at a Glance
(Unaudited)
(Unaudited)
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
Alex Christensen, CFA
Portfolio Manager
Managed Fund since March 2021
| Columbia Bond Fund | Annual Report 2022 | 3 |
Fund at a Glance (continued)
(Unaudited)
(Unaudited)
Performance of a hypothetical $10,000 investment (April 30, 2012 — April 30, 2022)
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.
| 4 | Columbia Bond Fund | Annual Report 2022 |
Manager Discussion of Fund Performance
(Unaudited)
(Unaudited)
At April 30, 2022, approximately
49.68% 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, 2022, Class A shares of Columbia Bond Fund returned -10.02% excluding sales charges. The Fund underperformed its benchmark, the Bloomberg U.S. Aggregate Bond Index, which returned -8.51% for the same
period.
Market overview
Entering the period, risk
sentiment continued to be supported by the dovish posture of the U.S. Federal Reserve (Fed). The central bank’s messaging indicated that it viewed increases in inflation above the traditional 2% target as
“transitory” and largely driven by pandemic-related supply chain issues. As such, the Fed felt justified in maintaining accommodative policies, including keeping the fed funds target rate, the benchmark
overnight lending rate, near zero and engaging in bond purchases to keep longer term borrowing costs low as well. Against this backdrop, credit-oriented areas of the bond markets outperformed as investors sought yield
in a low-rate environment.
November of 2021 witnessed a shift
in the Fed’s messaging to acknowledge that inflation had become more entrenched than previously believed. The Fed began to taper its bond purchases and signaled that it would begin to raise short-term rates in
2022.
Inflation readouts remained
historically high entering the new year. These concerns were compounded as Russia’s late-February invasion of Ukraine exacerbated global supply chain issues and led to a spike in already high prices for oil and
other commodities. As a result, expectations for the pace of Fed tightening for the remainder of the year increased, leading market interest rates higher and weakening credit sentiment.
As signaled, in mid-March 2022, the
Fed implemented a quarter-point hike in short-term rates, the first such increase since December 2018. The Fed also formally ended its quantitative easing program and signaled it would soon begin reducing its holdings
of Treasuries and agency mortgage-backed securities by reinvesting a lower proportion of the proceeds from maturing securities. March saw China launch a new round of COVID-related lockdowns, leading to a further
deterioration in the global outlook for both growth and inflation.
For the 12-month period, yields
rose along the length of the U.S. Treasury curve and the curve flattened as increases were most significant for shorter maturities. To illustrate, the two-year Treasury yield rose 254 basis points from 0.16% to 2.70%,
the 10-year yield rose 124 basis points from 1.65% to 2.89%, and the 30-year yield rose 66 basis points from 2.30% to 2.96%. (A basis point is 1/100 of a percent.)
The Fund’s notable
detractors during the period
| • | In broad terms, the Fund’s approach to balancing risk exposures across credit-oriented sectors and between credit risk and interest rate risk was less effective than we have seen historically as interest rates moved sharply higher and credit sentiment weakened in early 2022. |
| • | The Fund’s underperformance relative to the benchmark was largely the result of positioning with respect to interest rates. Specifically, the Fund had an above-benchmark stance with respect to duration and corresponding interest rate sensitivity as Treasury yields spiked in the first quarter of 2022. In addition, the Fund was overweight the front end of the curve which was most impacted by rising yields. |
| • | From an asset allocation perspective, the Fund’s underweight to Treasuries weighed on relative performance as investor risk aversion increased entering 2022. |
| • | Security selection within investment-grade corporates detracted as a tilt toward longer maturities had a negative impact as credit spreads widened in early 2022. |
| Columbia Bond Fund | Annual Report 2022 | 5 |
Manager Discussion of Fund Performance (continued)
(Unaudited)
(Unaudited)
The Fund’s notable
contributors during the period
| • | Overall sector allocation had a positive impact on performance relative to the benchmark. Most notably, the Fund’s exposure to non-agency mortgage-backed securities benefited return as the segment continued to be supported by a strong housing market and resilient consumer demand. |
| • | While security selection had an essentially neutral impact on performance overall, selection was positive within asset-backed securities where a focus on high quality collateralized loan obligations proved beneficial. |
Derivative usage
The Fund invested in
highly-liquid, widely traded Treasury futures and interest rate swap contracts to help manage portfolio duration. We believe that these enable 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 net negative impact on performance.
Market risk may affect a single issuer, sector of the economy, industry or the market as a whole. Mortgage- and asset-backed securities are affected by interest rates, financial health of issuers/originators, creditworthiness of entities providing credit enhancements and the value of underlying assets.
Fixed-income securities present issuer default risk. 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 2022 |
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 Bond Fund | Annual Report 2022 | 7 |
Portfolio of Investments
April 30, 2022
April 30, 2022
(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 2022 |
Portfolio of Investments (continued)
April 30, 2022
April 30, 2022
The accompanying Notes to Financial
Statements are an integral part of this statement.
| Columbia Bond Fund | Annual Report 2022 | 9 |
Portfolio of Investments (continued)
April 30, 2022
April 30, 2022
The accompanying Notes to Financial
Statements are an integral part of this statement.
| 10 | Columbia Bond Fund | Annual Report 2022 |
Portfolio of Investments (continued)
April 30, 2022
April 30, 2022
The accompanying Notes to Financial
Statements are an integral part of this statement.
| Columbia Bond Fund | Annual Report 2022 | 11 |
The accompanying Notes to Financial
Statements are an integral part of this statement.
| 12 | Columbia Bond Fund | Annual Report 2022 |
Portfolio of Investments (continued)
April 30, 2022
April 30, 2022
The accompanying Notes to Financial
Statements are an integral part of this statement.
| Columbia Bond Fund | Annual Report 2022 | 13 |
Portfolio of Investments (continued)
April 30, 2022
April 30, 2022
The accompanying Notes to Financial
Statements are an integral part of this statement.
| 14 | Columbia Bond Fund | Annual Report 2022 |
Portfolio of Investments (continued)
April 30, 2022
April 30, 2022
The accompanying Notes to Financial
Statements are an integral part of this statement.
| Columbia Bond Fund | Annual Report 2022 | 15 |
Portfolio of Investments (continued)
April 30, 2022
April 30, 2022
The accompanying Notes to Financial
Statements are an integral part of this statement.
| 16 | Columbia Bond Fund | Annual Report 2022 |
Portfolio of Investments (continued)
April 30, 2022
April 30, 2022
The accompanying Notes to Financial
Statements are an integral part of this statement.
| Columbia Bond Fund | Annual Report 2022 | 17 |
Portfolio of Investments (continued)
April 30, 2022
April 30, 2022
The accompanying Notes to Financial
Statements are an integral part of this statement.
| 18 | Columbia Bond Fund | Annual Report 2022 |
Portfolio of Investments (continued)
April 30, 2022
April 30, 2022
The accompanying Notes to Financial
Statements are an integral part of this statement.
| Columbia Bond Fund | Annual Report 2022 | 19 |
Portfolio of Investments (continued)
April 30, 2022
April 30, 2022
At April 30, 2022,
securities and/or cash totaling $12,978,960 were pledged as collateral.
Investments in
derivatives
| Long futures contracts | ||||||
| Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
| U.S. Treasury 10-Year Note | 3,134 | 06/2022 | USD | 373,435,688 | — | (17,732,395) |
| U.S. Ultra Treasury Bond | 280 | 06/2022 | USD | 44,922,500 | — | (5,377,158) |
| Total | — | (23,109,553) | ||||
| Short futures contracts | ||||||
| Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
| U.S. Treasury 5-Year Note | (1,120) | 06/2022 | USD | (126,192,500) | 2,365,519 | — |
The accompanying Notes to Financial
Statements are an integral part of this statement.
| 20 | Columbia Bond Fund | Annual Report 2022 |
Portfolio of Investments (continued)
April 30, 2022
April 30, 2022
| Put option contracts purchased | ||||||||
| Description | Counterparty | Trading currency | Notional amount | Number of contracts | Exercise price/Rate | Expiration date | Cost ($) | Value ($) |
| 10-Year OTC interest rate swap with Morgan Stanley to receive 3-Month USD LIBOR BBA and pay exercise rate | Morgan Stanley | USD | 72,200,000 | 72,200,000 | 1.75 | 11/09/2022 | 1,689,480 | 8,195,530 |
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, 2022, the total value of these securities amounted to $746,306,738, which represents 73.09% of total net assets. |
| (b) | Variable rate security. The interest rate shown was the current rate as of April 30, 2022. |
| (c) | Valuation based on significant unobservable inputs. |
| (d) | 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, 2022. |
| (e) | Represents interest only securities which have the right to receive the monthly interest payments on an underlying pool of mortgage loans. |
| (f) | Represents a security purchased on a when-issued basis. |
| (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, 2022. |
| (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, 2022, the total value of these securities amounted to $7,535,124, which represents 0.74% of total net assets. |
| (k) | Zero coupon bond. |
| (l) | The rate shown is the seven-day current annualized yield at April 30, 2022. |
| (m) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the year ended April 30, 2022 are as follows: |
| Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Realized gain (loss)($) | Dividends($) | End of period shares |
| Columbia Short-Term Cash Fund, 0.462% | ||||||||
| 54,158,560 | 529,071,322 | (534,774,699) | 3,149 | 48,458,332 | (9,210) | 61,471 | 48,472,874 | |
Abbreviation Legend
| CMO | Collateralized Mortgage Obligation |
| CMT | Constant Maturity Treasury |
| LIBOR | London Interbank Offered Rate |
The accompanying Notes to Financial Statements are
an integral part of this statement.
| Columbia Bond Fund | Annual Report 2022 | 21 |
Portfolio of Investments (continued)
April 30, 2022
April 30, 2022
Abbreviation Legend (continued)
| 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, 2022:
| Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | |
| Investments in Securities | ||||
| Asset-Backed Securities — Non-Agency | — | 177,961,557 | 6,544,011 | 184,505,568 |
| Commercial Mortgage-Backed Securities - Agency | — | 5,703,010 | — | 5,703,010 |
| Commercial Mortgage-Backed Securities - Non-Agency | — | 186,257,395 | 5,960,625 | 192,218,020 |
| Common Stocks | ||||
| Consumer Staples | — | 24 | — | 24 |
| Financials | 1,199 | — | — | 1,199 |
| Total Common Stocks | 1,199 | 24 | — | 1,223 |
| Corporate Bonds & Notes | — | 193,715,774 | — | 193,715,774 |
| Residential Mortgage-Backed Securities - Agency | — | 240,748,129 | — | 240,748,129 |
| Residential Mortgage-Backed Securities - Non-Agency | — | 332,460,477 | 18,622,673 | 351,083,150 |
| U.S. Treasury Obligations | 521,056 | 1,971,824 | — | 2,492,880 |
The accompanying Notes to Financial Statements are
an integral part of this statement.
| 22 | Columbia Bond Fund | Annual Report 2022 |
Portfolio of Investments (continued)
April 30, 2022
April 30, 2022
Fair value measurements (continued)
| Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | |
| Options Purchased Calls | — | 48 | — | 48 |
| Options Purchased Puts | — | 8,195,530 | — | 8,195,530 |
| Money Market Funds | 48,458,332 | — | — | 48,458,332 |
| Total Investments in Securities | 48,980,587 | 1,147,013,768 | 31,127,309 | 1,227,121,664 |
| Investments in Derivatives | ||||
| Asset | ||||
| Futures Contracts | 2,365,519 | — | — | 2,365,519 |
| Liability | ||||
| Futures Contracts | (23,109,553) | — | — | (23,109,553) |
| Options Contracts Written | — | (9,290,616) | — | (9,290,616) |
| Total | 28,236,553 | 1,137,723,152 | 31,127,309 | 1,197,087,014 |
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 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 04/30/2021 ($) | Increase (decrease) in accrued discounts/ premiums ($) | Realized gain (loss) ($) | Change in unrealized appreciation (depreciation)(a) ($) | Purchases ($) | Sales ($) | Transfers into Level 3 ($) | Transfers out of Level 3 ($) | Balance as of 04/30/2022 ($) | |
| Asset-Backed Securities — Non-Agency | 2,137,798 | — | — | (115,458) | 6,000,000 | (1,478,329) | — | — | 6,544,011 |
| Commercial Mortgage-Backed Securities — Non-Agency | — | — | — | (38,683) | 5,999,308 | — | — | — | 5,960,625 |
| Residential Mortgage-Backed Securities — Non-Agency | 58,913,795 | 13 | 22,500 | (65,218) | 20,650,000 | (52,398,461) | — | (8,499,956) | 18,622,673 |
| Total | 61,051,593 | 13 | 22,500 | (219,359) | 32,649,308 | (53,876,790) | — | (8,499,956) | 31,127,309 |
(a) Change in unrealized
appreciation (depreciation) relating to securities held at April 30, 2022 was $(161,056), which is comprised of Asset-Backed Securities — Non-Agency of $(115,458), Commercial Mortgage-Backed Securities -
Non-Agency of $(38,683) and Residential Mortgage-Backed Securities — Non-Agency of $(6,915).
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, asset backed securities and commercial mortgage
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.
| Columbia Bond Fund | Annual Report 2022 | 23 |
Statement of Assets and Liabilities
April 30, 2022
April 30, 2022
| Assets | |
| Investments in securities, at value | |
| Unaffiliated issuers (cost $1,232,513,908) | $1,170,467,754 |
| Affiliated issuers (cost $48,453,144) | 48,458,332 |
| Options purchased (cost $1,816,980) | 8,195,578 |
| Cash | 7,042 |
| Cash collateral held at broker for: | |
| Options contracts written | 3,452,000 |
| TBA | 1,594,000 |
| Receivable for: | |
| Investments sold | 562,291 |
| Investments sold on a delayed delivery basis | 50,071,281 |
| Capital shares sold | 1,691,355 |
| Dividends | 18,897 |
| Interest | 3,521,354 |
| Foreign tax reclaims | 11,080 |
| Variation margin for futures contracts | 192,500 |
| Expense reimbursement due from Investment Manager | 3,557 |
| Prepaid expenses | 9,115 |
| Trustees’ deferred compensation plan | 233,964 |
| Total assets | 1,288,490,100 |
| Liabilities | |
| Option contracts written, at value (premiums received $1,163,905) | 9,290,616 |
| Payable for: | |
| Investments purchased | 570,661 |
| Investments purchased on a delayed delivery basis | 253,963,683 |
| Capital shares purchased | 664,796 |
| Distributions to shareholders | 1,615,927 |
| Variation margin for futures contracts | 864,094 |
| Management services fees | 13,959 |
| Distribution and/or service fees | 725 |
| Transfer agent fees | 19,395 |
| Compensation of board members | 75,766 |
| Other expenses | 37,824 |
| Trustees’ deferred compensation plan | 233,964 |
| Total liabilities | 267,351,410 |
| Net assets applicable to outstanding capital stock | $1,021,138,690 |
| Represented by | |
| Paid in capital | 1,147,932,083 |
| Total distributable earnings (loss) | (126,793,393) |
| Total - representing net assets applicable to outstanding capital stock | $1,021,138,690 |
The accompanying Notes to Financial Statements are
an integral part of this statement.
| 24 | Columbia Bond Fund | Annual Report 2022 |
Statement of Assets and Liabilities (continued)
April 30, 2022
April 30, 2022
| Class A | |
| Net assets | $81,291,464 |
| Shares outstanding | 2,590,103 |
| Net asset value per share | $31.39 |
| 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) | $32.96 |
| Advisor Class | |
| Net assets | $3,475,478 |
| Shares outstanding | 110,889 |
| Net asset value per share | $31.34 |
| Class C | |
| Net assets | $4,924,973 |
| Shares outstanding | 157,150 |
| Net asset value per share | $31.34 |
| Institutional Class | |
| Net assets | $76,310,725 |
| Shares outstanding | 2,431,699 |
| Net asset value per share | $31.38 |
| Institutional 2 Class | |
| Net assets | $12,074,538 |
| Shares outstanding | 385,815 |
| Net asset value per share | $31.30 |
| Institutional 3 Class | |
| Net assets | $836,473,583 |
| Shares outstanding | 26,596,804 |
| Net asset value per share | $31.45 |
| Class R | |
| Net assets | $342,337 |
| Shares outstanding | 10,909 |
| Net asset value per share | $31.38 |
| Class V | |
| Net assets | $6,245,592 |
| Shares outstanding | 199,369 |
| Net asset value per share | $31.33 |
| 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) | $32.89 |
The accompanying Notes to Financial Statements are
an integral part of this statement.
| Columbia Bond Fund | Annual Report 2022 | 25 |
Statement of Operations
Year Ended April 30, 2022
Year Ended April 30, 2022
| Net investment income | |
| Income: | |
| Dividends — unaffiliated issuers | $39 |
| Dividends — affiliated issuers | 61,471 |
| Interest | 25,280,648 |
| Total income | 25,342,158 |
| Expenses: | |
| Management services fees | 5,680,830 |
| Distribution and/or service fees | |
| Class A | 240,062 |
| Class C | 66,494 |
| Class R | 4,188 |
| Class V | 10,713 |
| Transfer agent fees | |
| Class A | 117,512 |
| Advisor Class | 3,799 |
| Class C | 8,123 |
| Institutional Class | 102,275 |
| Institutional 2 Class | 7,817 |
| Institutional 3 Class | 49,444 |
| Class R | 1,019 |
| Class V | 8,741 |
| Compensation of board members | 32,847 |
| Custodian fees | 31,586 |
| Printing and postage fees | 30,840 |
| Registration fees | 133,704 |
| Audit fees | 39,500 |
| Legal fees | 22,233 |
| Interest on collateral | 8,094 |
| Compensation of chief compliance officer | 376 |
| Other | 26,048 |
| Total expenses | 6,626,245 |
| Fees waived or expenses reimbursed by Investment Manager and its affiliates | (1,452,619) |
| Fees waived by transfer agent | |
| Institutional 2 Class | (588) |
| Institutional 3 Class | (32,050) |
| Expense reduction | (700) |
| Total net expenses | 5,140,288 |
| Net investment income | 20,201,870 |
The accompanying Notes to Financial Statements are
an integral part of this statement.
| 26 | Columbia Bond Fund | Annual Report 2022 |
Statement of Operations (continued)
Year Ended April 30, 2022
Year Ended April 30, 2022
| Realized and unrealized gain (loss) — net | |
| Net realized gain (loss) on: | |
| Investments — unaffiliated issuers | $(10,909,959) |
| Investments — affiliated issuers | (9,210) |
| Foreign currency translations | (279) |
| Futures contracts | (30,837,521) |
| Options purchased | 6,184,085 |
| Options contracts written | 713,460 |
| Swap contracts | (658,929) |
| Net realized loss | (35,518,353) |
| Net change in unrealized appreciation (depreciation) on: | |
| Investments — unaffiliated issuers | (75,132,172) |
| Investments — affiliated issuers | 3,149 |
| Futures contracts | (13,479,761) |
| Options purchased | (448,024) |
| Options contracts written | (8,221,773) |
| Swap contracts | 13,478 |
| Net change in unrealized appreciation (depreciation) | (97,265,103) |
| Net realized and unrealized loss | (132,783,456) |
| Net decrease in net assets resulting from operations | $(112,581,586) |
The accompanying Notes to
Financial Statements are an integral part of this statement.
| Columbia Bond Fund | Annual Report 2022 | 27 |
Statement of Changes in Net Assets
| Year Ended April 30, 2022 | Year Ended April 30, 2021 | |
| Operations | ||
| Net investment income | $20,201,870 | $17,427,582 |
| Net realized gain (loss) | (35,518,353) | 4,193,195 |
| Net change in unrealized appreciation (depreciation) | (97,265,103) | 7,949,566 |
| Net increase (decrease) in net assets resulting from operations | (112,581,586) | 29,570,343 |
| Distributions to shareholders | ||
| Net investment income and net realized gains | ||
| Class A | (1,343,503) | (4,095,337) |
| Advisor Class | (51,463) | (95,400) |
| Class C | (42,853) | (341,919) |
| Institutional Class | (1,380,038) | (3,622,047) |
| Institutional 2 Class | (239,345) | (413,556) |
| Institutional 3 Class | (16,563,854) | (26,231,751) |
| Class R | (9,374) | (49,383) |
| Class V | (107,146) | (350,296) |
| Total distributions to shareholders | (19,737,576) | (35,199,689) |
| Increase in net assets from capital stock activity | 19,410,835 | 704,393,822 |
| Total increase (decrease) in net assets | (112,908,327) | 698,764,476 |
| Net assets at beginning of year | 1,134,047,017 | 435,282,541 |
| Net assets at end of year | $1,021,138,690 | $1,134,047,017 |
The accompanying Notes to
Financial Statements are an integral part of this statement.
| 28 | Columbia Bond Fund | Annual Report 2022 |
Statement of Changes in Net Assets (continued)
| Year Ended | Year Ended | |||
| April 30, 2022 | April 30, 2021 | |||
| Shares | Dollars ($) | Shares(a) | Dollars ($) | |
| Capital stock activity | ||||
| Class A | ||||
| Subscriptions | 514,592 | 18,041,620 | 1,052,886 | 37,794,128 |
| Distributions reinvested | 33,550 | 1,162,376 | 97,887 | 3,515,038 |
| Redemptions | (775,565) | (26,774,023) | (494,210) | (17,570,141) |
| Net increase (decrease) | (227,423) | (7,570,027) | 656,563 | 23,739,025 |
| Advisor Class | ||||
| Subscriptions | 99,979 | 3,516,270 | 87,868 | 3,333,177 |
| Distributions reinvested | 1,494 | 51,300 | 2,644 | 94,921 |
| Redemptions | (50,685) | (1,764,363) | (78,522) | (2,998,903) |
| Net increase | 50,788 | 1,803,207 | 11,990 | 429,195 |
| Class C | ||||
| Subscriptions | 40,771 | 1,428,310 | 115,398 | 4,142,956 |
| Distributions reinvested | 1,149 | 39,800 | 9,177 | 329,004 |
| Redemptions | (102,150) | (3,537,125) | (151,780) | (5,440,805) |
| Net decrease | (60,230) | (2,069,015) | (27,205) | (968,845) |
| Institutional Class | ||||
| Subscriptions | 874,794 | 30,582,605 | 998,279 | 35,937,092 |
| Distributions reinvested | 35,702 | 1,234,732 | 89,987 | 3,231,666 |
| Redemptions | (755,624) | (26,037,919) | (779,462) | (27,865,249) |
| Net increase | 154,872 | 5,779,418 | 308,804 | 11,303,509 |
| Institutional 2 Class | ||||
| Subscriptions | 255,038 | 8,966,455 | 140,010 | 5,049,877 |
| Distributions reinvested | 6,934 | 239,285 | 11,552 | 413,556 |
| Redemptions | (161,269) | (5,513,463) | (40,049) | (1,433,710) |
| Net increase | 100,703 | 3,692,277 | 111,513 | 4,029,723 |
| Institutional 3 Class | ||||
| Subscriptions | 3,064,643 | 107,828,340 | 19,970,295 | 719,666,240 |
| Distributions reinvested | 295,435 | 10,247,690 | 320,691 | 11,517,196 |
| Redemptions | (2,860,357) | (98,964,763) | (1,796,093) | (64,570,215) |
| Net increase | 499,721 | 19,111,267 | 18,494,893 | 666,613,221 |
| Class R | ||||
| Subscriptions | 4,102 | 144,331 | 1,413 | 50,793 |
| Distributions reinvested | 260 | 9,131 | 1,373 | 49,298 |
| Redemptions | (25,317) | (889,864) | (6,040) | (219,028) |
| Net decrease | (20,955) | (736,402) | (3,254) | (118,937) |
| Class V | ||||
| Subscriptions | 585 | 20,248 | 4,820 | 169,851 |
| Distributions reinvested | 2,229 | 77,103 | 7,219 | 258,820 |
| Redemptions | (19,809) | (697,241) | (29,619) | (1,061,740) |
| Net decrease | (16,995) | (599,890) | (17,580) | (633,069) |
| Total net increase | 480,481 | 19,410,835 | 19,535,724 | 704,393,822 |
| (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 2022 | 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 4/30/2022 | $35.38 | 0.50 | (4.00) | (3.50) | (0.49) | — | (0.49) |
| 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) |
| Advisor Class(c) | |||||||
| Year Ended 4/30/2022 | $35.33 | 0.58 | (4.00) | (3.42) | (0.57) | — | (0.57) |
| 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(f) | (0.72) | (0.04) | (0.76) |
| Class C(c) | |||||||
| Year Ended 4/30/2022 | $35.33 | 0.24 | (4.01) | (3.77) | (0.22) | — | (0.22) |
| 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) |
| Institutional Class(c) | |||||||
| Year Ended 4/30/2022 | $35.37 | 0.59 | (4.01) | (3.42) | (0.57) | — | (0.57) |
| 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) |
| Institutional 2 Class(c) | |||||||
| Year Ended 4/30/2022 | $35.28 | 0.61 | (3.99) | (3.38) | (0.60) | — | (0.60) |
| 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(f) | (0.72) | (0.04) | (0.76) |
| Institutional 3 Class(c) | |||||||
| Year Ended 4/30/2022 | $35.45 | 0.63 | (4.01) | (3.38) | (0.62) | — | (0.62) |
| 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) |
The accompanying Notes to Financial
Statements are an integral part of this statement.
| 30 | Columbia Bond Fund | Annual Report 2022 |
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 4/30/2022 | $31.39 | (10.02%) | 0.90%(d) | 0.77%(d),(e) | 1.44% | 224% | $81,291 |
| 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 |
| Advisor Class(c) | |||||||
| Year Ended 4/30/2022 | $31.34 | (9.81%) | 0.65%(d) | 0.52%(d),(e) | 1.70% | 224% | $3,475 |
| 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 |
| Class C(c) | |||||||
| Year Ended 4/30/2022 | $31.34 | (10.71%) | 1.65%(d) | 1.52%(d),(e) | 0.69% | 224% | $4,925 |
| 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 |
| Institutional Class(c) | |||||||
| Year Ended 4/30/2022 | $31.38 | (9.80%) | 0.65%(d) | 0.52%(d),(e) | 1.69% | 224% | $76,311 |
| 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 |
| Institutional 2 Class(c) | |||||||
| Year Ended 4/30/2022 | $31.30 | (9.74%) | 0.58%(d) | 0.45%(d) | 1.76% | 224% | $12,075 |
| 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 |
| Institutional 3 Class(c) | |||||||
| Year Ended 4/30/2022 | $31.45 | (9.70%) | 0.53%(d) | 0.40%(d) | 1.81% | 224% | $836,474 |
| 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 |
The accompanying Notes to Financial
Statements are an integral part of this statement.
| Columbia Bond Fund | Annual Report 2022 | 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 4/30/2022 | $35.38 | 0.41 | (4.01) | (3.60) | (0.40) | — | (0.40) |
| 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) |
| Class V(c) | |||||||
| Year Ended 4/30/2022 | $35.31 | 0.53 | (3.99) | (3.46) | (0.52) | — | (0.52) |
| 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) |
| 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) | Rounds to zero. |
The accompanying Notes to
Financial Statements are an integral part of this statement.
| 32 | Columbia Bond Fund | Annual Report 2022 |
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 4/30/2022 | $31.38 | (10.28%) | 1.14%(d) | 1.02%(d),(e) | 1.18% | 224% | $342 |
| 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 |
| Class V(c) | |||||||
| Year Ended 4/30/2022 | $31.33 | (9.93%) | 0.80%(d) | 0.67%(d),(e) | 1.54% | 224% | $6,246 |
| 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 |
The accompanying Notes to Financial Statements are
an integral part of this statement.
| Columbia Bond Fund | Annual Report 2022 | 33 |
Notes to Financial Statements
April 30, 2022
April 30, 2022
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. Class C shares automatically convert to Class A shares after 8 years. Advisor Class, Institutional Class, Institutional 2 Class,
Institutional 3 Class and Class R shares are available for purchase through authorized investment professionals to omnibus retirement plans or to institutional investors and to certain other investors as also
described in the Fund’s prospectus. Class V shares are available only to investors who received (and who continuously held) Class V shares in connection with previous fund reorganizations.
Note 2. Summary of
significant accounting policies
Basis of preparation
The Fund is an investment company
that applies the accounting and reporting guidance in the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946, Financial Services - Investment Companies (ASC 946). The financial statements are prepared in accordance with U.S. generally accepted accounting principles (GAAP), which requires
management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities, the disclosure of contingent assets and liabilities at the date of the financial statements and the
reported amounts of income and expenses during the reporting period. Actual results could differ from those estimates.
The following is a summary of
significant accounting policies followed by the Fund in the preparation of its financial statements.
Security valuation
Equity securities listed on an
exchange are valued at the closing price or last trade price on their primary exchange at the close of business of the New York Stock Exchange. Securities with a closing price not readily available or not listed on
any exchange are valued at the mean between the closing bid and ask prices. Listed preferred stocks convertible into common stocks are valued using an evaluated price from a pricing service.
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 2022 |
Notes to Financial Statements (continued)
April 30, 2022
April 30, 2022
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.
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
| Columbia Bond Fund | Annual Report 2022 | 35 |
Notes to Financial Statements (continued)
April 30, 2022
April 30, 2022
also use derivative instruments to mitigate
certain investment risks, such as foreign currency exchange rate risk, interest rate risk and credit risk. Derivatives may involve various risks, including the potential inability of the counterparty to fulfill its
obligations under the terms of the contract, the potential for an illiquid secondary market (making it difficult for the Fund to sell or terminate, including at favorable prices) and the potential for market movements
which may expose the Fund to gains or losses in excess of the amount shown in the Statement of Assets and Liabilities. The notional amounts of derivative instruments, if applicable, are not recorded in the financial
statements.
A derivative instrument may suffer
a marked-to-market loss if the value of the contract decreases due to an unfavorable change in the market rates or values of the underlying instrument. Losses can also occur if the counterparty does not perform its
obligations under the contract. The Fund’s risk of loss from counterparty credit risk on over-the-counter derivatives is generally limited to the aggregate unrealized gain netted against any collateral held by
the Fund and the amount of any variation margin held by the counterparty, plus any replacement costs or related amounts. With exchange-traded or centrally cleared derivatives, there is reduced counterparty credit risk
to the Fund since the clearinghouse or central counterparty (CCP) provides some protection in the case of clearing member default. The clearinghouse or CCP stands between the buyer and the seller of the contract;
therefore, failure of the clearinghouse or CCP may pose additional counterparty credit risk. However, credit risk still exists in exchange-traded or centrally cleared derivatives with respect to initial and variation
margin that is held in a broker’s customer account. While clearing brokers are required to segregate customer margin from their own assets, in the event that a clearing broker becomes insolvent or goes into
bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the clearing broker for all its clients and such shortfall is remedied by the CCP or otherwise, U.S. bankruptcy laws will
typically allocate that shortfall on a pro-rata basis across all the clearing broker’s customers (including the Fund), potentially resulting in losses to the Fund.
In order to better define its
contractual rights and to secure rights that will help the Fund mitigate its counterparty risk, the Fund may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (ISDA Master Agreement)
or similar agreement with its derivatives counterparties. An ISDA Master Agreement is an agreement between the Fund and a counterparty that governs over-the-counter derivatives and foreign exchange forward contracts
and contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. Under an ISDA Master Agreement, the Fund may, under certain circumstances, offset
with the counterparty certain derivative instruments’ payables and/or receivables with collateral held and/or posted and create one single net payment. The provisions of the ISDA Master Agreement typically
permit a single net payment in the event of default (close-out netting), including the bankruptcy or insolvency of the counterparty. Note, however, that bankruptcy or insolvency laws of a particular jurisdiction may
impose restrictions on or prohibitions against the right of offset or netting in bankruptcy, insolvency or other events.
Collateral (margin) requirements
differ by type of derivative. Margin requirements are established by the clearinghouse or CCP for exchange-traded and centrally cleared derivatives. Brokers can ask for margin in excess of the minimum in certain
circumstances. Collateral terms for most over-the-counter derivatives are subject to regulatory requirements to exchange variation margin with trading counterparties and may have contract specific margin terms as
well. For over-the-counter derivatives traded under an ISDA Master Agreement, the collateral requirements are typically calculated by netting the marked-to-market amount for each transaction under such agreement and
comparing that amount to the value of any variation margin currently pledged by the Fund and/or the counterparty. Generally, the amount of collateral due from or to a party has to exceed a minimum transfer amount
threshold (e.g., $250,000) before a transfer has to be made. To the extent amounts due to the Fund from its counterparties are not fully collateralized, contractually or otherwise, the Fund bears the risk of loss from
counterparty nonperformance. The Fund may also pay interest expense on cash collateral received from the broker. Any interest expense paid by the Fund is shown in 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.
| 36 | Columbia Bond Fund | Annual Report 2022 |
Notes to Financial Statements (continued)
April 30, 2022
April 30, 2022
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.
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.
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.
| Columbia Bond Fund | Annual Report 2022 | 37 |
Notes to Financial Statements (continued)
April 30, 2022
April 30, 2022
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.
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 and inflation rate swap
contracts
The Fund entered into interest rate
swap transactions and/or inflation rate swap contracts to manage interest rate and market risk exposure to produce incremental earnings. These instruments may be used for other purposes in future periods. An
interest rate swap or inflation rate swap, as applicable, is an agreement between two parties where there are two flows and payments are made between the two counterparties and the payments are dependent upon changes
in an interest rate, inflation rate or inflation index calculated on a nominal amount. Interest rate swaps are agreements between two parties that involve the exchange of one type of interest rate for another type of
interest rate cash flow on specified dates in the future, based on a predetermined, specified notional amount. Certain interest rate swaps are considered forward-starting, whereby the accrual for the exchange of cash
flows does not begin until a specified date in the future. The net cash flow for a standard interest rate swap transaction is generally the difference between a floating market interest rate versus a fixed interest
rate.
| 38 | Columbia Bond Fund | Annual Report 2022 |
Notes to Financial Statements (continued)
April 30, 2022
April 30, 2022
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, 2022:
| 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 | 2,365,519* |
| Interest rate risk | Investments, at value — Options purchased | 8,195,578 |
| Total | 10,561,097 |
| Liability derivatives | ||
| Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
| Interest rate risk | Component of total distributable earnings (loss) — unrealized depreciation on futures contracts | 23,109,553* |
| Interest rate risk | Options contracts written, at value | 9,290,616 |
| Total | 32,400,169 |
| * | Includes cumulative appreciation (depreciation) as reported in the tables following the Portfolio of Investments. Only the current day’s variation margin is reported in receivables or payables in the Statement of Assets and Liabilities. |
The following table indicates the
effect of derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) in the Statement of Operations for the year ended April 30, 2022:
| Columbia Bond Fund | Annual Report 2022 | 39 |
Notes to Financial Statements (continued)
April 30, 2022
April 30, 2022
The following table is a summary
of the average outstanding volume by derivative instrument for the year ended April 30, 2022:
| Derivative instrument | Average notional amounts ($) |
| Futures contracts — long | 593,146,975* |
| Futures contracts — short | 12,408,866** |
| Derivative instrument | Average value ($)* |
| Options contracts — purchased | 6,121,493 |
| Options contracts — written | (3,312,735) |
| Derivative instrument | Average unrealized appreciation ($)** | Average unrealized depreciation ($)** |
| Interest rate swap contracts | 76 | (80,584) |
| * | Based on the ending quarterly outstanding amounts for the year ended April 30, 2022. |
| ** | Based on the ending daily outstanding amounts for the year ended April 30, 2022. |
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
| 40 | Columbia Bond Fund | Annual Report 2022 |
Notes to Financial Statements (continued)
April 30, 2022
April 30, 2022
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 in the Statement of Operations. Because no principal will be received at the maturity of
an IO, adjustments are made to the cost of the security on a monthly basis until maturity. These adjustments are included in interest income in the Statement of Operations. POs are stripped securities entitled to
receive the principal from the underlying obligation, but not the interest. POs are particularly sensitive to changes in interest rates and therefore are subject to fluctuations in price. POs are also subject to
credit risk because the Fund may not receive all or part of its principal if the issuer, obligor, guarantor or counterparty defaults on its obligation. The Fund may also invest in IO or PO stripped mortgage-backed
securities. Payments received for POs are treated as reductions to the cost and par value of the securities.
Offsetting of assets and
liabilities
The following table presents the
Fund’s gross and net amount of assets and liabilities available for offset under netting arrangements as well as any related collateral received or pledged by the Fund as of April 30, 2022:
| (a) | In some instances, the actual collateral received and/or pledged may be more than the amount shown due to overcollateralization. |
| (b) | 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.
| Columbia Bond Fund | Annual Report 2022 | 41 |
Notes to Financial Statements (continued)
April 30, 2022
April 30, 2022
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.
Expenses
General expenses of the Trust are
allocated to the Fund and other funds of the Trust based upon relative net assets or other expense allocation methodologies determined by the nature of the expense. Expenses directly attributable to the Fund are
charged to the Fund. Expenses directly attributable to a specific class of shares are charged to that share class.
Determination of class net asset
value
All income, expenses (other than
class-specific expenses, which are charged to that share class, as shown in the Statement of Operations) and realized and unrealized gains (losses) are allocated to each class of the Fund on a daily basis, based on
the relative net assets of each class, for purposes of determining the net asset value of each class.
Federal income tax status
The Fund intends to qualify each
year as a regulated investment company under Subchapter M of the Internal Revenue Code, as amended, and will distribute substantially all of its investment company taxable income and net capital gain, if any, for its
tax year, and as such will not be subject to federal income taxes. In addition, the Fund intends to distribute in each calendar year substantially all of its ordinary income, capital gain net income and certain other
amounts, if any, such that the Fund should not be subject to federal excise tax. Therefore, no federal income or excise tax provision is recorded.
Foreign taxes
The Fund may be subject to foreign
taxes on income, gains on investments or currency repatriation, a portion of which may be recoverable. The Fund will accrue such taxes and recoveries, as applicable, based upon its current interpretation of tax rules
and regulations that exist in the markets in which it invests.
Realized gains in certain countries
may be subject to foreign taxes at the Fund level, based on statutory rates. The Fund accrues for such foreign taxes on realized and unrealized gains at the appropriate rate for each jurisdiction, as applicable. The
amount, if any, is disclosed as a liability in the Statement of Assets and Liabilities.
Distributions to shareholders
Distributions from net investment
income, if any, are declared daily and paid monthly. Net realized capital gains, if any, are distributed at least annually. Income distributions and capital gain distributions are determined in accordance with federal
income tax regulations, which may differ from GAAP.
| 42 | Columbia Bond Fund | Annual Report 2022 |
Notes to Financial Statements (continued)
April 30, 2022
April 30, 2022
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, 2022 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" in the Statement of Operations.
Compensation of Chief Compliance
Officer
The Board of Trustees has appointed
a Chief Compliance Officer for the Fund in accordance with federal securities regulations. As disclosed in the Statement of Operations, a portion of the Chief Compliance Officer’s total compensation is allocated
to the Fund, along with other allocations to affiliated registered investment companies managed by the Investment Manager and its affiliates, based on relative net assets.
Transfer agency fees
Under a Transfer and Dividend
Disbursing Agent Agreement, Columbia Management Investment Services Corp. (the Transfer Agent), an affiliate of the Investment Manager and a wholly-owned subsidiary of Ameriprise Financial, is responsible for
providing transfer agency services to the Fund. The Transfer Agent has contracted with 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
| Columbia Bond Fund | Annual Report 2022 | 43 |
Notes to Financial Statements (continued)
April 30, 2022
April 30, 2022
share class. In addition, effective September 1,
2021 through August 31, 2022, 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,
2022, 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 |
| 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, 2022, these minimum account balance fees reduced total expenses of
the Fund by $700.
Distribution and service fees
The Fund has entered into an
agreement with Columbia Management Investment Distributors, Inc. (the Distributor), an affiliate of the Investment Manager and a wholly-owned subsidiary of Ameriprise Financial, for distribution and shareholder
services. The Board of Trustees has approved, and the Fund has adopted, distribution and shareholder service plans (the Plans) applicable to certain share classes, which set the distribution and service fees for the
Fund. These fees are calculated daily and are intended to compensate the Distributor and/or eligible selling and/or servicing agents for selling shares of the Fund and providing services to investors.
Under the Plans, the Fund pays a
monthly service fee to the Distributor at the maximum annual rate of 0.25% of the average daily net assets attributable to Class A and Class C shares of the Fund. Also under the Plans, the Fund pays a
monthly distribution fee to the Distributor at the maximum annual rates of 0.75% and 0.50% of the average daily net assets attributable to Class C and Class R shares of the Fund, respectively.
Shareholder services fees
The Fund has adopted a shareholder
services plan that permits it to pay for certain services provided to Class V shareholders by their selling and/or servicing agents. The Fund may pay shareholder servicing fees up to an aggregate annual rate of 0.40%
of the Fund’s average daily net assets attributable to Class V shares (comprised of up to 0.20% for shareholder services and up to 0.20% for administrative support services). These fees are currently limited to
an aggregate annual rate of not more than 0.15% of the Fund’s average daily net assets attributable to Class V shares.
Sales charges (unaudited)
Sales charges, including front-end
charges and contingent deferred sales charges (CDSCs), received by the Distributor for distributing Fund shares for the year ended April 30, 2022, if any, are listed below:
| Front End (%) | CDSC (%) | Amount ($) | |
| Class A | 4.75 | 0.50 - 1.00(a) | 121,362 |
| Class C | — | 1.00(b) | 1,721 |
| Class V | 4.75 | 0.50 - 1.00(a) | 41 |
| 44 | Columbia Bond Fund | Annual Report 2022 |
Notes to Financial Statements (continued)
April 30, 2022
April 30, 2022
| (a) | This charge is imposed on certain investments of between $1 million and $50 million redeemed within 18 months after purchase, as follows: 1.00% if redeemed within 12 months after purchase, and 0.50% if redeemed more than 12, but less than 18, months after purchase, with certain limited exceptions. |
| (b) | This charge applies to redemptions within 12 months after purchase, with certain limited exceptions. |
The Fund’s other share
classes are not subject to sales charges.
Expenses waived/reimbursed by the
Investment Manager and its affiliates
The Investment Manager and certain
of its affiliates have contractually agreed to waive fees and/or reimburse expenses (excluding certain fees and expenses described below) for the period(s) disclosed below, unless sooner terminated at the sole
discretion of the Board of Trustees, so that the Fund’s net operating expenses, after giving effect to fees waived/expenses reimbursed and any balance credits and/or overdraft charges from the Fund’s
custodian, do not exceed the following annual rate(s) as a percentage of the classes’ average daily net assets:
Under the agreement governing
these fee waivers and/or expense reimbursement arrangements, the following fees and expenses are excluded from the waiver/reimbursement commitment, and therefore will be paid by the Fund, if applicable: taxes
(including foreign transaction taxes), expenses associated with investments in affiliated and non-affiliated pooled investment vehicles (including mutual funds and exchange-traded funds), transaction costs and
brokerage commissions, costs related to any securities lending program, dividend expenses associated with securities sold short, inverse floater program fees and expenses, transaction charges and interest on borrowed
money, interest, costs associated with shareholder meetings, infrequent and/or unusual expenses and any other expenses the exclusion of which is specifically approved by the Board of Trustees. This agreement may be
modified or amended only with approval from the Investment Manager, certain of its affiliates and the Fund. 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, 2021 through August 31,
2022, is the Transfer Agent’s contractual agreement to limit total transfer agency fees to an annual rate of not more than 0.05% for Institutional 2 Class and 0.00% for Institutional 3 Class of the average daily
net assets attributable to each share 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, 2022, these
differences were primarily due to differing treatment for deferral/reversal of wash sale losses, trustees’ deferred compensation, derivative investments, tax straddles, distributions, capital loss carryforward,
swap investments, principal and/or interest of fixed income securities and foreign currency transactions. To the extent these differences were permanent, reclassifications were made among the components of the
Fund’s net assets. Temporary differences do not require reclassifications.
| Columbia Bond Fund | Annual Report 2022 | 45 |
Notes to Financial Statements (continued)
April 30, 2022
April 30, 2022
The following reclassifications
were made:
| Excess of distributions over net investment income ($) | Accumulated net realized (loss) ($) | Paid in capital ($) |
| 139,796 | (139,796) | — |
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, 2022 | Year Ended April 30, 2021 | ||||
| Ordinary income ($) | Long-term capital gains ($) | Total ($) | Ordinary income ($) | Long-term capital gains ($) | Total ($) |
| 19,737,576 | — | 19,737,576 | 28,415,979 | 6,783,710 | 35,199,689 |
Short-term capital gain
distributions, if any, are considered ordinary income distributions for tax purposes.
At April 30, 2022, the components
of distributable earnings on a tax basis were as follows:
| Undistributed ordinary income ($) | Undistributed long-term capital gains ($) | Capital loss carryforwards ($) | Net unrealized (depreciation) ($) |
| 1,810,845 | — | (64,857,044) | (61,822,640) |
At April 30, 2022, the cost of all
investments for federal income tax purposes along with the aggregate gross unrealized appreciation and depreciation based on that cost was:
| Federal tax cost ($) | Gross unrealized appreciation ($) | Gross unrealized (depreciation) ($) | Net unrealized (depreciation) ($) |
| 1,258,909,654 | 7,766,154 | (69,588,794) | (61,822,640) |
Tax cost of investments and
unrealized appreciation/(depreciation) may also include timing differences that do not constitute adjustments to tax basis.
The following capital loss
carryforwards, determined at April 30, 2022, 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,
2022, capital loss carryforwards utilized, if any, were as follows:
| No expiration short-term ($) | No expiration long-term ($) | Total ($) | Utilized ($) |
| (33,282,749) | (31,574,295) | (64,857,044) | — |
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 $2,844,606,250 and $2,877,229,487, respectively, for the year ended April 30, 2022, of which $2,311,680,474
and $2,283,661,245, respectively, were U.S. government securities. The amount of purchase and sale activity impacts the portfolio turnover rate reported in the Financial Highlights.
| 46 | Columbia Bond Fund | Annual Report 2022 |
Notes to Financial Statements (continued)
April 30, 2022
April 30, 2022
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, 2022.
Note 8. Line of credit
The Fund has access to a
revolving credit facility with a syndicate of banks led by JPMorgan Chase Bank, N.A., Citibank, N.A. and Wells Fargo Bank, N.A. whereby the Fund may borrow for the temporary funding of shareholder redemptions or for
other temporary or emergency purposes. Pursuant to an October 28, 2021 amendment and restatement, the credit facility, which is an agreement between the Fund and certain other funds managed by the Investment Manager
or an affiliated investment manager, severally and not jointly, permits aggregate borrowings up to $950 million. Interest is currently charged to each participating fund based on its borrowings at a rate equal to the
higher of (i) the federal funds effective rate, (ii) the secured overnight financing rate plus 0.11448% and (iii) the overnight bank funding rate, plus in each case, 1.00%. Each borrowing under the credit facility
matures no later than 60 days after the date of borrowing. The Fund also pays a commitment fee equal to its pro rata share of the unused amount of the credit facility at a rate of 0.15% per annum. The commitment fee
is included in other expenses in the Statement of Operations. This agreement expires annually in October unless extended or renewed. Prior to the October 28, 2021 amendment and restatement, the Fund had access to a
revolving credit facility with a syndicate of banks led by JPMorgan Chase Bank, N.A., Citibank, N.A. and Wells Fargo Bank, N.A. which permitted collective borrowings up to $950 million. Interest was charged to each
participating fund based on its borrowings at a rate equal to the higher of (i) the federal funds effective rate, (ii) the one-month London Interbank Offered Rate (LIBOR) rate and (iii) the overnight bank funding
rate, plus in each case, 1.25%.
The Fund had no borrowings during
the year ended April 30, 2022.
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 Bond Fund | Annual Report 2022 | 47 |
Notes to Financial Statements (continued)
April 30, 2022
April 30, 2022
Derivatives risk
Losses involving derivative
instruments may be substantial, because a relatively small movement in the underlying reference (which is generally the price, rate or other economic indicator associated with a security(ies), commodity, currency,
index or other instrument or asset) may result in a substantial loss for the Fund. In addition to the potential for increased losses, the use of derivative instruments may lead to increased volatility within the Fund.
Derivatives will typically increase the Fund’s exposure to principal risks to which it is otherwise exposed, and may expose the Fund to additional risks, including correlation risk, counterparty risk, hedging
risk, leverage risk, liquidity risk and pricing risk.
High-yield investments risk
Securities and other debt
instruments held by the Fund that are rated below investment grade (commonly called "high-yield" or "junk" bonds) and unrated debt instruments of comparable quality expose the Fund to a greater risk of loss of
principal and income than a fund that invests solely or primarily in investment grade debt instruments. In addition, these investments have greater price fluctuations, are less liquid and are more likely to experience
a default than higher-rated debt instruments. High-yield debt instruments are considered to be predominantly speculative with respect to the issuer’s capacity to pay interest and repay principal.
Interest rate risk
Interest rate risk is the risk of
losses attributable to changes in interest rates. In general, if prevailing interest rates rise, the values of debt instruments tend to fall, and if interest rates fall, the values of debt instruments tend to rise.
Actions by governments and central banking authorities can result in increases or decreases in interest rates. Higher periods of inflation could lead such authorities to raise interest rates. Increasing interest rates
may negatively affect the value of debt securities held by the Fund, resulting in a negative impact on the Fund’s performance and net asset value per share. In general, the longer the maturity or duration of a
debt security, the greater its sensitivity to changes in interest rates. The Fund is subject to the risk that the income generated by its investments may not keep pace with inflation.
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. The U.K.
Financial Conduct Authority and the ICE Benchmark Administration have announced that a majority of U.S. dollar LIBOR settings will cease publication after June 30, 2023. A subset of non-U.S. dollar LIBOR settings are
continuing to be published on a “synthetic” basis and it is possible that a subset of U.S. dollar LIBOR settings will also be published after June 30, 2023 on a “synthetic” basis. Any such
publications are, or would be considered, non-representative of the underlying market. Markets are slowly developing in response to the elimination of LIBOR. 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 more settled. Alternatives to LIBOR have been established or are in development in most major currencies, including the Secured Overnight Financing
Rate (SOFR), which the U.S. Federal Reserve is promoting as the alternative reference rate to U.S. dollar LIBOR.
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.
| 48 | Columbia Bond Fund | Annual Report 2022 |
Notes to Financial Statements (continued)
April 30, 2022
April 30, 2022
Market risk
The Fund may incur losses due to
declines in the value of one or more securities in which it invests. These declines may be due to factors affecting a particular issuer, or the result of, among other things, political, regulatory, market, economic or
social developments affecting the relevant market(s) more generally. In addition, turbulence in financial markets and reduced liquidity in equity, credit and/or fixed income markets may negatively affect many issuers,
which could adversely affect the Fund’s ability to price or value hard-to-value assets in thinly traded and closed markets and could cause significant redemptions and operational challenges. Global economies and
financial markets are increasingly interconnected, and conditions and events in one country, region or financial market may adversely impact issuers in a different country, region or financial market. These risks may
be magnified if certain events or developments adversely interrupt the global supply chain; in these and other circumstances, such risks might affect companies worldwide. As a result, local, regional or global events
such as terrorism, war, natural disasters, disease/virus outbreaks and epidemics or other public health issues, recessions, depressions or other events – or the potential for such events – could have a
significant negative impact on global economic and market conditions.
The large-scale invasion of Ukraine
by Russia in February 2022 has resulted in sanctions and market disruptions, including declines in regional and global stock and commodity markets and significant devaluations of Russian currency. The extent and
duration of the military action are impossible to predict but could be significant. Market disruption caused by the Russian military action, and any counter measures or responses thereto (including international
sanctions, a downgrade in the country’s credit rating, purchasing and financing restrictions, boycotts, tariffs, changes in consumer or purchaser preferences, cyberattacks and espionage) could have severe
adverse impacts on regional and/or global securities and commodities markets, including markets for oil and natural gas. These impacts may include reduced market liquidity, distress in credit markets, further
disruption of global supply chains, increased risk of inflation, and limited access to investments in certain international markets and/or issuers. These developments and other related events could negatively impact
Fund performance.
The pandemic caused by coronavirus
disease 2019 and its variants (COVID-19) 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 objective. Any such events could have a significant adverse impact on the value and risk profile of the Fund.
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 Bond Fund | Annual Report 2022 | 49 |
Notes to Financial Statements (continued)
April 30, 2022
April 30, 2022
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, 2022, one unaffiliated
shareholder of record owned 32.3% of the outstanding shares of the Fund in one or more accounts. The Fund has no knowledge about whether any portion of those shares was owned beneficially. Affiliated shareholders of
record owned 55.1% 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.
Note 11. Information
regarding pending and settled legal proceedings
Ameriprise Financial and certain
of its affiliates are involved in the normal course of business in legal proceedings which include regulatory inquiries, arbitration and litigation, including class actions concerning matters arising in connection
with the conduct of its activities as a diversified financial services firm. Ameriprise Financial believes that the Fund is not currently the subject of, and that neither Ameriprise Financial nor any of its affiliates
are the subject of, any pending legal, arbitration or regulatory proceedings that are likely to have a material adverse effect on the Fund or the ability of Ameriprise Financial or its affiliates to perform under
their contracts with the Fund. Ameriprise Financial is required to make quarterly (10-Q), annual (10-K) and, as necessary, 8-K filings with the Securities and Exchange Commission (SEC) on legal and regulatory matters
that relate to Ameriprise Financial and its affiliates. Copies of these filings may be obtained by accessing the SEC website at www.sec.gov.
There can be no assurance that
these matters, or the adverse publicity associated with them, will not result in increased Fund redemptions, reduced sale of Fund shares or other adverse consequences to the Fund. Further, although we believe
proceedings are not likely to have a material adverse effect on the Fund or the ability of Ameriprise Financial or its affiliates to perform under their contracts with the Fund, these proceedings are subject to
uncertainties and, as such, we are unable to estimate the possible loss or range of loss that may result. An adverse outcome in one or more of these proceedings could result in adverse judgments, settlements, fines,
penalties or other relief that could have a material adverse effect on the consolidated financial condition or results of operations of Ameriprise Financial or one or more of its affiliates that provides services to
the Fund.
| 50 | Columbia Bond Fund | Annual Report 2022 |
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,
2022, the related statement of operations for the year ended April 30, 2022, the statement of changes in net assets for each of the two years in the period ended April 30, 2022, including the related notes, and the
financial highlights for each of the five years in the period ended April 30, 2022 (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, 2022, 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, 2022 and
the financial highlights for each of the five years in the period ended April 30, 2022 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, 2022 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 23, 2022
We have served as the auditor of
one or more investment companies within the Columbia Funds Complex since 1977.
| Columbia Bond Fund | Annual Report 2022 | 51 |
Federal Income Tax
Information
(Unaudited)
The Fund hereby designates the
following tax attributes for the fiscal year ended April 30, 2022. Shareholders will be notified in early 2023 of the amounts for use in preparing 2022 income tax returns.
| Section 163(j) Interest Dividends | |
| 100.00% |
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
(Unaudited)
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 290 Congress Street Boston, MA 02210 1953 | Trustee since 2017 | Executive Vice President, Global Head of Technology and Operations, Janus Capital Group, Inc., 2010-2016 | 176 | 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 2022 |
TRUSTEES AND OFFICERS (continued)
(Unaudited)
Independent trustees (continued)
(Unaudited)
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 290 Congress Street Boston, MA 02210 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, April-October 2021 | 176 | Former Trustee, Blue Cross and Blue Shield of Minnesota, 2009-2021 (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; former Director, Robina Foundation, 2009-2020 (Chair, 2014-2020); Director, Schulze Family Foundation, since 2021 |
| Pamela G. Carlton c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 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, Cleary Gottlieb Steen & Hamilton LLP, 1980-1982 | 176 | 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) since 2019; Director, Apollo Commercial Real Estate Finance, Inc. since 2021; the Governing Council of the Independent Directors Council (IDC), since 2021 |
| Janet Langford Carrig c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1957 | Trustee since 1996 | Senior Vice President, General Counsel and Corporate Secretary, ConocoPhillips (independent energy company), September 2007-October 2018 | 174 | 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 290 Congress Street Boston, MA 02210 1964 | Trustee since 2020 | Member, FINRA National Adjudicatory Council since January 2020; Adjunct Professor of Finance, Bentley University since January 2018; Consultant to Independent Trustees of CFVIT and CFST I from March 2016 to June 2020 with respect to CFVIT and to December 2020 with respect to CFST I; 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 | 174 | Former Director, The Autism Project, March 2015-December 2021; 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 |
| Columbia Bond Fund | Annual Report 2022 | 53 |
TRUSTEES AND OFFICERS (continued)
(Unaudited)
Independent trustees (continued)
(Unaudited)
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 |
| Olive M. Darragh c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1962 | Trustee since 2020 | 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; Consultant to Independent Trustees of CFVIT and CFST I from June 2019 to June 2020 with respect to CFVIT and to December 2020 with respect to CFST I; Partner, Tudor Investments, 2004-2010; Senior Partner, McKinsey & Company (consulting), 1990-2004; Touche Ross CPA, 1985-1988 | 174 | Former Director, University of Edinburgh Business School (Member of US Board); former Director, Boston Public Library Foundation |
| Patricia M. Flynn c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 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 | 176 | Trustee, MA Taxpayers Foundation since 1997; Board of Governors, Innovation Institute, MA Technology Collaborative, 2010-2020; former Board of Directors, The MA Business Roundtable, 2003-2019 |
| Brian J. Gallagher c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1954 | Trustee since 2017 | Retired; Partner with Deloitte & Touche LLP and its predecessors, 1977-2016 | 176 | Trustee, Catholic Schools Foundation since 2004 |
| Douglas A. Hacker c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 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, CET I and CET 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 | 176 | 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 290 Congress Street Boston, MA 02210 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 | 174 | None |
| 54 | Columbia Bond Fund | Annual Report 2022 |
TRUSTEES AND OFFICERS (continued)
(Unaudited)
Independent trustees (continued)
(Unaudited)
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 |
| David M. Moffett c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1952 | Trustee since 2011 | Retired; Consultant to Bridgewater and Associates | 174 | 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 |
| Catherine James Paglia c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1952 | Co-Chair since 2021; Chair of CFST, CFST II, CFVST II, CET I and CET 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. | 176 | 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) |
| Minor M. Shaw c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1947 | Trustee since 2003 | President, Micco LLC (private investments) since 2011; President, Micco Corp. (family investment business), 1998-2011 | 176 | Director, Blue Cross Blue Shield 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 since 1998 |
| Columbia Bond Fund | Annual Report 2022 | 55 |
TRUSTEES AND OFFICERS (continued)
(Unaudited)
Independent trustees (continued)
(Unaudited)
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 290 Congress Street Boston, MA 02210 1967 | Trustee since 2020 | Chief Executive Officer, Millennial Portfolio Solutions LLC (asset management and consulting services), January 2016-January 2021; Non-executive Member of the Investment Committee and Valuation Committee, Sarona Asset Management Inc. (private equity firm) since September 2019; Advisor, Horizon Investments (asset management and consulting services), August 2018-January 2021; Advisor, Paradigm Asset Management, November 2016-December 2021; Consultant to Independent Trustees of CFVIT and CFST I from September 2016 to June 2020 with respect to CFVIT and to December 2020 with respect to CFST I; Director of Investments/Consultant, Casey Family Programs, April 2016-November 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 | 174 | Former Director, Investment Committee, Health Services for Children with Special Needs, Inc., 2012-2019; Director, Chair of Audit Committee, Consumer Credit Counseling Services (formerly Guidewell Financial Solutions), since 2019; Independent Director, Investment Committee and Valuation Committee, Sarona Asset Management, since 2019 |
| Sandra L. Yeager c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 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 | 176 | Former 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 (CET I), Columbia ETF Trust II (CET II), Columbia Funds Variable Insurance Trust (CFVIT) and Columbia Funds Variable Series Trust II (CFVST II). Messrs. Batejan, Beckman, Gallagher and Hacker and Mses. Blatz, Carlton, Flynn, Paglia, Shaw and Yeager serve as Directors of Columbia Seligman Premium Technology Growth Fund and Tri-Continental Corporation. |
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 |
| Daniel J. Beckman c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1962 | Trustee since November 2021 and President since June 2021 | Vice President – Head of North America Product, Columbia Management Investment Advisers, LLC since April 2015; President and Principal Executive Officer of the Columbia Funds since June 2021; officer of Columbia Funds and affiliated funds, 2020-2021 | 176 | Director, Ameriprise Trust Company, since October 2016; Director, Columbia Management Investment Distributors, Inc. since November 2018; Board of Governors, Columbia Wanger Asset Management, LLC since January 2022 |
| * | Interested person (as defined under the 1940 Act) by reason of being an officer, director, security holder and/or employee of the Investment Manager or Ameriprise Financial. |
The Statement of Additional
Information has additional information about the Fund’s Board members and is available, without charge, upon request by calling 800.345.6611, visiting columbiathreadneedleus.com/investor/ or contacting your
financial intermediary.
| 56 | Columbia Bond Fund | Annual Report 2022 |
TRUSTEES AND OFFICERS (continued)
(Unaudited)
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. Beckman, who is President and Principal Executive Officer, the Fund’s other officers are:
(Unaudited)
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. Beckman, who is President and Principal Executive Officer, the Fund’s other officers are:
Fund officers
| Columbia Bond Fund | Annual Report 2022 | 57 |
TRUSTEES AND OFFICERS (continued)
(Unaudited)
Fund officers (continued)
(Unaudited)
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 |
| Michael E. DeFao 290 Congress Street Boston, MA 02210 1968 | Vice President (2011) and Assistant Secretary (2010) | Vice President and Chief Counsel, Ameriprise Financial, Inc. since May 2010; Vice President, Chief Legal Officer and Assistant Secretary, Columbia Management Investment Advisers, LLC since October 2021 (previously Vice President and Assistant Secretary, May 2010 – September 2021). |
| 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
(Unaudited)
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, 2021,
through December 31, 2021, 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 2022 |
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.
© 2022 Columbia Management Investment
Advisers, LLC.
columbiathreadneedleus.com/investor/
ANN121_04_M01_(06/22)
Columbia Small Cap
Value Fund I
Not FDIC or NCUA Insured •
No Financial Institution Guarantee • May Lose Value
Table of Contents
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| 8 | |
| 14 | |
| 16 | |
| 17 | |
| 20 | |
| 24 | |
| 34 | |
| 35 | |
| 35 | |
| 41 |
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)
290 Congress Street
Boston, MA 02210
Fund distributor
Columbia Management Investment Distributors,
Inc.
290 Congress Street
Boston, MA 02210
Fund transfer agent
Columbia Management Investment Services Corp.
P.O. Box 219104
Kansas City, MO 64121-9104
Columbia Small Cap Value Fund
I | Annual Report 2022
Fund at a Glance
(Unaudited)
(Unaudited)
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.
© 2022 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.
| Columbia Small Cap Value Fund I | Annual Report 2022 | 3 |
Fund at a Glance (continued)
(Unaudited)
(Unaudited)
Performance of a hypothetical $10,000 investment (April 30, 2012 — April 30, 2022)
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.
| 4 | Columbia Small Cap Value Fund I | Annual Report 2022 |
Manager Discussion of Fund Performance
(Unaudited)
(Unaudited)
For the 12-month period that ended
April 30, 2022, Class A shares of Columbia Small Cap Value Fund I returned -5.94% excluding sales charges. The Fund outperformed its benchmark, the Russell 2000 Value Index, which returned -6.59% for the same time
period.
Market overview
Despite a strong rally in 2021,
U.S. equities were flat to negative for the 12-month period that ended April 30, 2022. As pandemic-related restrictions were eased, robust economic growth and corporate earnings drove gains for stocks. Both U.S.
monetary and fiscal policy were highly supportive, as Congress approved massive spending packages that included direct payments to citizens and the U.S. Federal Reserve (Fed) maintained its benchmark overnight lending
rate near zero while engaging in bond market purchases to keep longer term borrowing costs low. The fourth quarter of 2021 saw the Fed adopt a more hawkish tone in response to persistently high inflation, driven in
large part by supply chain constraints and rising commodity prices, which led to increased market volatility. High-growth companies came under intense selling pressure and many investors crowded back to more defensive
and established growth stocks, rotating away from longer duration growth stories.
The first four months of 2022
erased the gains won in 2021, with most major indices returning in negative territory as markets grappled with individual stock volatility, the number and timing of interest rate hikes by the Fed, inflation and
geopolitical tensions. The invasion of Ukraine by Russia on February 24, 2022, roiled global markets and drove significant sell-offs. The conflict pressured the outlook for global growth and raised fresh concerns
about supply chains, weighing heavily on investor sentiment. In addition, the resulting sanctions from the United States and other nations contributed to a spike in commodity prices by restricting the supply of oil
and other raw materials. This development further weighed on the markets by fueling expectations that inflation, which was already accelerating, would rise to an even greater extent. As a result, investors began to
factor in the possibility of very aggressive interest rate hikes by the Fed over the remainder of 2022.
The Fund’s notable
contributors during the period
| • | The Fund’s outperformance of its benchmark was driven primarily by relatively strong stock selection, particularly within the industrials, health care, financials and materials sectors. |
| • | Sector allocations, particularly an underweight to the poor performing health care sector and an overweight versus the benchmark to the stronger performing (though still negative for the period) materials sector. |
| • | Top individual contributors during the period included Range Resources Corp., iRhythm Technologies, Inc., American National Group, Inc., Chesapeake Energy Corp. and Andersons, Inc. |
| ○ | Within the financials sector, insurance provider American National Group, a long-term holding in the Fund, announced an acquisition offer from Brookfield Asset Management. |
| ○ | Within health care, medical device company iRhythm technologies, Inc., which makes wearable heart monitors, was added to the portfolio in the third quarter of 2021. Shares of iRhythm Technologies increased with the appointment of a new company President and CEO, as well as better-than-expected quarterly results. The Fund’s position was sold on strength. |
| ○ | Within energy, U.S. natural gas producers Range Resources and Chesapeake Energy were strong performers for the Fund. Both companies benefited from the strong rally in commodity prices and a pivot to U.S. produced gas exports in order to decrease dependence on Russian-produced gas. |
| ○ | Agricultural company Andersons reported strong results during the period, surpassing consensus expectations. |
The Fund’s notable
detractors during the period
| • | Stock selection within and allocations to the information technology, energy, real estate and consumer discretionary sectors detracted from Fund performance versus the benchmark. |
| • | Fund holdings that detracted most from performance versus the benchmark during the period included Cognyte Software Ltd., Inogen, Inc. and eHealth, Inc. |
| Columbia Small Cap Value Fund I | Annual Report 2022 | 5 |
Manager Discussion of Fund Performance (continued)
(Unaudited)
(Unaudited)
| ○ | Cognyte Software, a leader in investigative analytics software, saw its share price drop considerably during the period. Shares were challenged as the company lowered and then suspended forward guidance as a result of continued pandemic related headwinds and continued supply chain challenges along with uncertainty owing to the war in Ukraine. |
| ○ | Within health care, medical technology company Inogen, Inc. disappointed as rising expenses pressured the company’s margins during the period. |
| ○ | Health insurance marketplace eHealth disappointed as the company missed earnings expectations during the period and its stock declined. The Fund’s position was sold. |
| • | Not owning oil and gas producers Ovintiv and Antero Resources Corporation weighed on the Fund’s results versus the benchmark. Both were larger names in the benchmark that benefitted from the rise in energy prices 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 2022 |
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.
| Columbia Small Cap Value Fund I | Annual Report 2022 | 7 |
Portfolio of Investments
April 30, 2022
April 30, 2022
(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 Small Cap Value Fund I | Annual Report 2022 |
Portfolio of Investments (continued)
April 30, 2022
April 30, 2022
The accompanying Notes to Financial
Statements are an integral part of this statement.
| Columbia Small Cap Value Fund I | Annual Report 2022 | 9 |
Portfolio of Investments (continued)
April 30, 2022
April 30, 2022
The accompanying Notes to Financial
Statements are an integral part of this statement.
| 10 | Columbia Small Cap Value Fund I | Annual Report 2022 |
The accompanying Notes to Financial
Statements are an integral part of this statement.
| Columbia Small Cap Value Fund I | Annual Report 2022 | 11 |
Notes to Portfolio of
Investments
| (a) | Non-income producing investment. |
| (b) | The rate shown is the seven-day current annualized yield at April 30, 2022. |
| (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, 2022 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, 0.462% | ||||||||
| 12,379,847 | 383,359,921 | (391,243,465) | 3 | 4,496,306 | (63) | 7,817 | 4,497,655 | |
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.
The accompanying Notes to Financial Statements are
an integral part of this statement.
| 12 | Columbia Small Cap Value Fund I | Annual Report 2022 |
Portfolio of Investments (continued)
April 30, 2022
April 30, 2022
Fair value measurements (continued)
Fair value inputs are summarized in the three broad levels listed below:
Fair value inputs are summarized in the three broad levels listed below:
| ■ | Level 1 — Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments. |
| ■ | Level 2 — Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
| ■ | Level 3 — Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
Inputs that are used in determining
fair value of an investment may include price information, credit data, volatility statistics, and other factors. These inputs can be either observable or unobservable. The availability of observable inputs can vary
between investments, and is affected by various factors such as the type of investment, and the volume and level of activity for that investment or similar investments in the marketplace. The inputs will be considered
by the Investment Manager, along with any other relevant factors in the calculation of an investment’s fair value. The Fund uses prices and inputs that are current as of the measurement date, which may include
periods of market dislocations. During these periods, the availability of prices and inputs may be reduced for many investments. This condition could cause an investment to be reclassified between the various levels
within the hierarchy.
Foreign equity securities actively
traded in markets where there is a significant delay in the local close relative to the New York Stock Exchange are classified as Level 2. The values of these securities may include an adjustment to reflect the impact
of market movements following the close of local trading, as described in Note 2 to the financial statements – Security valuation.
Investments falling into the Level 3
category are primarily supported by quoted prices from brokers and dealers participating in the market for those investments. However, these may be classified as Level 3 investments due to lack of market transparency
and corroboration to support these quoted prices. Additionally, valuation models may be used as the pricing source for any remaining investments classified as Level 3. These models may rely on one or more significant
unobservable inputs and/or significant assumptions by the Investment Manager. Inputs used in valuations may include, but are not limited to, financial statement analysis, capital account balances, discount rates and
estimated cash flows, and comparable company data.
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, 2022:
See the Portfolio of Investments for
all investment classifications not indicated in the table.
The Fund’s assets assigned to
the Level 2 input category are generally valued using the market approach, in which a security’s value is determined through reference to prices and information from market transactions for similar or identical
assets. These assets include certain foreign securities for which a third party statistical pricing service may be employed for purposes of fair market valuation. The model utilized by such third party statistical
pricing service takes into account a security’s correlation to available market data including, but not limited to, intraday index, ADR, and exchange-traded fund movements.
The accompanying Notes to Financial Statements are
an integral part of this statement.
| Columbia Small Cap Value Fund I | Annual Report 2022 | 13 |
Statement of Assets and Liabilities
April 30, 2022
April 30, 2022
| Assets | |
| Investments in securities, at value | |
| Unaffiliated issuers (cost $921,909,888) | $1,139,317,369 |
| Affiliated issuers (cost $4,496,303) | 4,496,306 |
| Receivable for: | |
| Investments sold | 4,124,545 |
| Capital shares sold | 1,646,561 |
| Dividends | 448,574 |
| Prepaid expenses | 7,614 |
| Trustees’ deferred compensation plan | 389,485 |
| Total assets | 1,150,430,454 |
| Liabilities | |
| Due to custodian | 486 |
| Payable for: | |
| Investments purchased | 2,490,010 |
| Capital shares purchased | 1,137,018 |
| Management services fees | 26,198 |
| Distribution and/or service fees | 1,994 |
| Transfer agent fees | 154,690 |
| Compensation of board members | 14,593 |
| Other expenses | 55,534 |
| Trustees’ deferred compensation plan | 389,485 |
| Total liabilities | 4,270,008 |
| Net assets applicable to outstanding capital stock | $1,146,160,446 |
| Represented by | |
| Paid in capital | 895,252,771 |
| Total distributable earnings (loss) | 250,907,675 |
| Total - representing net assets applicable to outstanding capital stock | $1,146,160,446 |
The accompanying Notes to Financial Statements are
an integral part of this statement.
| 14 | Columbia Small Cap Value Fund I | Annual Report 2022 |
Statement of Assets and Liabilities (continued)
April 30, 2022
April 30, 2022
| Class A | |
| Net assets | $250,665,470 |
| Shares outstanding | 6,126,655 |
| Net asset value per share | $40.91 |
| 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) | $43.41 |
| Advisor Class | |
| Net assets | $58,695,976 |
| Shares outstanding | 1,207,635 |
| Net asset value per share | $48.60 |
| Class C | |
| Net assets | $7,269,365 |
| Shares outstanding | 306,699 |
| Net asset value per share | $23.70 |
| Institutional Class | |
| Net assets | $537,446,834 |
| Shares outstanding | 11,466,092 |
| Net asset value per share | $46.87 |
| Institutional 2 Class | |
| Net assets | $105,228,899 |
| Shares outstanding | 2,161,778 |
| Net asset value per share | $48.68 |
| Institutional 3 Class | |
| Net assets | $184,850,490 |
| Shares outstanding | 3,913,856 |
| Net asset value per share | $47.23 |
| Class R | |
| Net assets | $2,003,412 |
| Shares outstanding | 49,273 |
| Net asset value per share | $40.66 |
The accompanying Notes to Financial Statements are
an integral part of this statement.
| Columbia Small Cap Value Fund I | Annual Report 2022 | 15 |
Statement of Operations
Year Ended April 30, 2022
Year Ended April 30, 2022
| Net investment income | |
| Income: | |
| Dividends — unaffiliated issuers | $14,962,547 |
| Dividends — affiliated issuers | 7,817 |
| Foreign taxes withheld | (128,004) |
| Total income | 14,842,360 |
| Expenses: | |
| Management services fees | 9,303,647 |
| Distribution and/or service fees | |
| Class A | 698,947 |
| Class C | 87,269 |
| Class R | 12,488 |
| Transfer agent fees | |
| Class A | 430,867 |
| Advisor Class | 99,022 |
| Class C | 13,453 |
| Institutional Class | 743,626 |
| Institutional 2 Class | 64,227 |
| Institutional 3 Class | 11,560 |
| Class R | 3,859 |
| Compensation of board members | 27,621 |
| Custodian fees | 30,934 |
| Printing and postage fees | 109,604 |
| Registration fees | 164,245 |
| Audit fees | 35,000 |
| Legal fees | 23,042 |
| Interest on interfund lending | 1,179 |
| Compensation of chief compliance officer | 378 |
| Other | 49,374 |
| Total expenses | 11,910,342 |
| Expense reduction | (2,544) |
| Total net expenses | 11,907,798 |
| Net investment income | 2,934,562 |
| Realized and unrealized gain (loss) — net | |
| Net realized gain (loss) on: | |
| Investments — unaffiliated issuers | 140,454,620 |
| Investments — affiliated issuers | (63) |
| Foreign currency translations | 8,644 |
| Net realized gain | 140,463,201 |
| Net change in unrealized appreciation (depreciation) on: | |
| Investments — unaffiliated issuers | (212,547,030) |
| Investments — affiliated issuers | 3 |
| Net change in unrealized appreciation (depreciation) | (212,547,027) |
| Net realized and unrealized loss | (72,083,826) |
| Net decrease in net assets resulting from operations | $(69,149,264) |
The accompanying Notes to
Financial Statements are an integral part of this statement.
| 16 | Columbia Small Cap Value Fund I | Annual Report 2022 |
Statement of Changes in Net Assets
| Year Ended April 30, 2022 | Year Ended April 30, 2021 | |
| Operations | ||
| Net investment income | $2,934,562 | $5,365,721 |
| Net realized gain | 140,463,201 | 63,577,580 |
| Net change in unrealized appreciation (depreciation) | (212,547,027) | 399,238,662 |
| Net increase (decrease) in net assets resulting from operations | (69,149,264) | 468,181,963 |
| Distributions to shareholders | ||
| Net investment income and net realized gains | ||
| Class A | (34,661,347) | (1,160,307) |
| Advisor Class | (6,688,259) | (177,582) |
| Class C | (1,744,634) | (5,544) |
| Institutional Class | (51,903,589) | (1,812,485) |
| Institutional 2 Class | (12,568,941) | (577,275) |
| Institutional 3 Class | (20,943,537) | (1,074,845) |
| Class R | (329,937) | (7,085) |
| Total distributions to shareholders | (128,840,244) | (4,815,123) |
| Increase in net assets from capital stock activity | 257,119,317 | 192,029,700 |
| Total increase in net assets | 59,129,809 | 655,396,540 |
| Net assets at beginning of year | 1,087,030,637 | 431,634,097 |
| Net assets at end of year | $1,146,160,446 | $1,087,030,637 |
The accompanying Notes to
Financial Statements are an integral part of this statement.
| Columbia Small Cap Value Fund I | Annual Report 2022 | 17 |
Statement of Changes in Net Assets (continued)
| Year Ended | Year Ended | |||
| April 30, 2022 | April 30, 2021 | |||
| Shares | Dollars ($) | Shares | Dollars ($) | |
| Capital stock activity | ||||
| Class A | ||||
| Subscriptions | 628,215 | 29,444,739 | 792,138 | 30,745,196 |
| Fund reorganization | — | — | 749,058 | 20,756,334 |
| Distributions reinvested | 693,929 | 31,789,734 | 29,979 | 1,066,400 |
| Redemptions | (1,004,933) | (46,390,939) | (1,411,683) | (51,005,190) |
| Net increase | 317,211 | 14,843,534 | 159,492 | 1,562,740 |
| Advisor Class | ||||
| Subscriptions | 1,155,300 | 63,891,992 | 652,486 | 33,613,095 |
| Fund reorganization | — | — | 23,850 | 769,407 |
| Distributions reinvested | 108,730 | 5,887,738 | 3,386 | 139,315 |
| Redemptions | (1,006,847) | (56,195,509) | (338,346) | (14,828,695) |
| Net increase | 257,183 | 13,584,221 | 341,376 | 19,693,122 |
| Class C | ||||
| Subscriptions | 90,981 | 2,646,075 | 124,991 | 3,463,386 |
| Fund reorganization | — | — | 97,768 | 1,714,870 |
| Distributions reinvested | 62,233 | 1,683,680 | 288 | 5,178 |
| Redemptions | (119,948) | (3,311,185) | (135,914) | (3,249,186) |
| Net increase | 33,266 | 1,018,570 | 87,133 | 1,934,248 |
| Institutional Class | ||||
| Subscriptions | 5,939,467 | 306,524,158 | 5,760,693 | 230,900,160 |
| Fund reorganization | — | — | 1,392,865 | 43,499,400 |
| Distributions reinvested | 779,290 | 40,687,924 | 30,595 | 1,282,323 |
| Redemptions | (3,163,933) | (165,504,371) | (2,774,077) | (123,743,095) |
| Net increase | 3,554,824 | 181,707,711 | 4,410,076 | 151,938,788 |
| Institutional 2 Class | ||||
| Subscriptions | 645,557 | 35,674,714 | 813,796 | 37,795,832 |
| Fund reorganization | — | — | 14,915 | 481,614 |
| Distributions reinvested | 231,712 | 12,568,941 | 14,044 | 577,275 |
| Redemptions | (735,537) | (39,935,484) | (507,180) | (22,924,661) |
| Net increase | 141,732 | 8,308,171 | 335,575 | 15,930,060 |
| Institutional 3 Class | ||||
| Subscriptions | 1,330,426 | 70,352,538 | 804,192 | 37,736,473 |
| Fund reorganization | — | — | 6,037 | 189,748 |
| Distributions reinvested | 299,125 | 15,740,695 | 23,589 | 937,683 |
| Redemptions | (903,984) | (48,368,264) | (818,757) | (37,742,017) |
| Net increase | 725,567 | 37,724,969 | 15,061 | 1,121,887 |
| Class R | ||||
| Subscriptions | 18,879 | 895,719 | 19,947 | 726,715 |
| Distributions reinvested | 7,230 | 329,493 | 201 | 7,065 |
| Redemptions | (28,200) | (1,293,071) | (24,292) | (884,925) |
| Net decrease | (2,091) | (67,859) | (4,144) | (151,145) |
| Total net increase | 5,027,692 | 257,119,317 | 5,344,569 | 192,029,700 |
The accompanying Notes to Financial Statements are
an integral part of this statement.
| 18 | Columbia Small Cap Value Fund I | Annual Report 2022 |
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 4/30/2022 | $49.30 | 0.02 | (2.46) | (2.44) | (0.07) | (5.88) | (5.95) |
| 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) |
| Advisor Class | |||||||
| Year Ended 4/30/2022 | $57.47 | 0.15 | (2.94) | (2.79) | (0.20) | (5.88) | (6.08) |
| 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) |
| Class C | |||||||
| Year Ended 4/30/2022 | $31.15 | (0.20) | (1.37) | (1.57) | — | (5.88) | (5.88) |
| 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) |
| Institutional Class | |||||||
| Year Ended 4/30/2022 | $55.63 | 0.15 | (2.82) | (2.67) | (0.21) | (5.88) | (6.09) |
| 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) |
| Institutional 2 Class | |||||||
| Year Ended 4/30/2022 | $57.55 | 0.21 | (2.94) | (2.73) | (0.26) | (5.88) | (6.14) |
| 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) |
The accompanying Notes to
Financial Statements are an integral part of this statement.
| 20 | Columbia Small Cap Value Fund I | Annual Report 2022 |
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 4/30/2022 | $40.91 | (5.94%) | 1.26%(c) | 1.26%(c),(d) | 0.04% | 58% | $250,665 |
| 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 |
| Advisor Class | |||||||
| Year Ended 4/30/2022 | $48.60 | (5.71%) | 1.01%(c) | 1.01%(c),(d) | 0.28% | 58% | $58,696 |
| 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 |
| Class C | |||||||
| Year Ended 4/30/2022 | $23.70 | (6.66%) | 2.01%(c) | 2.01%(c),(d) | (0.71%) | 58% | $7,269 |
| 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 |
| Institutional Class | |||||||
| Year Ended 4/30/2022 | $46.87 | (5.70%) | 1.01%(c) | 1.01%(c),(d) | 0.30% | 58% | $537,447 |
| 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 |
| Institutional 2 Class | |||||||
| Year Ended 4/30/2022 | $48.68 | (5.60%) | 0.91%(c) | 0.91%(c) | 0.39% | 58% | $105,229 |
| 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 |
The accompanying Notes to
Financial Statements are an integral part of this statement.
| Columbia Small Cap Value Fund I | Annual Report 2022 | 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 4/30/2022 | $56.01 | 0.23 | (2.84) | (2.61) | (0.29) | (5.88) | (6.17) |
| 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) |
| Class R | |||||||
| Year Ended 4/30/2022 | $49.08 | (0.09) | (2.45) | (2.54) | — | (5.88) | (5.88) |
| 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) |
| 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 2022 |
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 4/30/2022 | $47.23 | (5.55%) | 0.86%(c) | 0.86%(c) | 0.44% | 58% | $184,850 |
| 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 |
| Class R | |||||||
| Year Ended 4/30/2022 | $40.66 | (6.17%) | 1.51%(c) | 1.51%(c),(d) | (0.20%) | 58% | $2,003 |
| 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 |
The accompanying Notes to Financial Statements are
an integral part of this statement.
| Columbia Small Cap Value Fund I | Annual Report 2022 | 23 |
Notes to Financial Statements
April 30, 2022
April 30, 2022
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. Class C shares automatically convert to Class A shares after 8 years. Advisor Class, Institutional Class, Institutional 2 Class,
Institutional 3 Class and Class R shares are available for purchase through authorized investment professionals to omnibus retirement plans or to institutional investors and to certain other investors as also
described in the Fund’s prospectus.
Note 2. Summary of
significant accounting policies
Basis of preparation
The Fund is an investment company
that applies the accounting and reporting guidance in the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946, Financial Services - Investment Companies (ASC 946). The financial statements are prepared in accordance with U.S. generally accepted accounting principles (GAAP), which requires
management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities, the disclosure of contingent assets and liabilities at the date of the financial statements and the
reported amounts of income and expenses during the reporting period. Actual results could differ from those estimates.
The following is a summary of
significant accounting policies followed by the Fund in the preparation of its financial statements.
Security valuation
Equity securities listed on an
exchange are valued at the closing price or last trade price on their primary exchange at the close of business of the New York Stock Exchange. Securities with a closing price not readily available or not listed on
any exchange are valued at the mean between the closing bid and ask prices. Listed preferred stocks convertible into common stocks are valued using an evaluated price from a pricing service.
Foreign equity securities are
valued based on the closing price or last trade price on their primary exchange at the close of business of the New York Stock Exchange. If any foreign equity security closing prices are not readily available,
the securities are valued at the mean of the latest quoted bid and ask prices on such exchanges or markets. Foreign currency exchange rates are determined at the scheduled closing time of the New York Stock Exchange.
Many securities markets and exchanges outside the U.S. close prior to the close of the New York Stock Exchange; therefore, the closing prices for securities in such markets or on such exchanges may not fully reflect
events that occur after such close but before the close of the New York Stock Exchange. In those situations, foreign securities will be fair valued pursuant to a policy 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.
| 24 | Columbia Small Cap Value Fund I | Annual Report 2022 |
Notes to Financial Statements (continued)
April 30, 2022
April 30, 2022
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.
The Fund may receive distributions
from holdings in equity securities, business development companies (BDCs), exchange-traded funds (ETFs), limited partnerships (LPs), other regulated investment companies (RICs), and real estate investment trusts
(REITs), which report information as to the tax character of their distributions annually. These distributions are allocated to dividend income, capital gain and return of capital based on actual information reported.
Return of capital is recorded as a reduction of the cost basis of securities held. If the Fund no longer owns the applicable securities, return of capital is recorded as a realized gain. With respect to REITs, to the
extent actual information has not yet been reported, estimates for return of capital are made by Columbia Management Investment Advisers, LLC (the Investment Manager), a wholly-owned subsidiary of Ameriprise
Financial, Inc. (Ameriprise Financial). The Investment Manager’s estimates are subsequently adjusted when the actual character of the distributions is disclosed by the REITs, which could result in a
proportionate change in return of capital to shareholders.
Awards from class action litigation
are recorded as a reduction of cost basis if the Fund still owns the applicable securities on the payment date. If the Fund no longer owns the applicable securities on the payment date, the proceeds are recorded as
realized gains.
Expenses
General expenses of the Trust are
allocated to the Fund and other funds of the Trust based upon relative net assets or other expense allocation methodologies determined by the nature of the expense. Expenses directly attributable to the Fund are
charged to the Fund. Expenses directly attributable to a specific class of shares are charged to that share class.
| Columbia Small Cap Value Fund I | Annual Report 2022 | 25 |
Notes to Financial Statements (continued)
April 30, 2022
April 30, 2022
Determination of class net asset
value
All income, expenses (other than
class-specific expenses, which are charged to that share class, as shown in the Statement of Operations) and realized and unrealized gains (losses) are allocated to each class of the Fund on a daily basis, based on
the relative net assets of each class, for purposes of determining the net asset value of each class.
Federal income tax status
The Fund intends to qualify each
year as a regulated investment company under Subchapter M of the Internal Revenue Code, as amended, and will distribute substantially all of its investment company taxable income and net capital gain, if any, for its
tax year, and as such will not be subject to federal income taxes. In addition, the Fund intends to distribute in each calendar year substantially all of its ordinary income, capital gain net income and certain other
amounts, if any, such that the Fund should not be subject to federal excise tax. Therefore, no federal income or excise tax provision is recorded.
Foreign taxes
The Fund may be subject to foreign
taxes on income, gains on investments or currency repatriation, a portion of which may be recoverable. The Fund will accrue such taxes and recoveries, as applicable, based upon its current interpretation of tax rules
and regulations that exist in the markets in which it invests.
Realized gains in certain countries
may be subject to foreign taxes at the Fund level, based on statutory rates. The Fund accrues for such foreign taxes on realized and unrealized gains at the appropriate rate for each jurisdiction, as applicable. The
amount, if any, is disclosed as a liability in the Statement of Assets and Liabilities.
Distributions to shareholders
Distributions from net investment
income, if any, are declared and paid 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. The management services fee is an annual fee that is equal to a percentage of the
Fund’s daily net assets that declines from 0.85% to 0.73% as the Fund’s net assets increase. The effective management services fee rate for the year ended April 30, 2022 was 0.82% of the Fund’s
average daily net assets.
Compensation of board members
Members of the Board of Trustees
who are not officers or employees of the Investment Manager or Ameriprise Financial are compensated for their services to the Fund as disclosed in the Statement of Operations. Under a Deferred Compensation Plan (the
Deferred Plan), these members of the Board of Trustees may elect to defer payment of up to 100% of their compensation. Deferred amounts are treated as though equivalent dollar amounts had been invested in shares of
certain funds managed by the Investment Manager. The Fund’s liability for these amounts is adjusted for market value changes and remains in the Fund until distributed in accordance with the Deferred Plan. All
amounts payable under the Deferred Plan
| 26 | Columbia Small Cap Value Fund I | Annual Report 2022 |
Notes to Financial Statements (continued)
April 30, 2022
April 30, 2022
constitute a general unsecured obligation of the
Fund. The expense for the Deferred Plan, which includes Trustees’ fees deferred during the current period as well as any gains or losses on the Trustees’ deferred compensation balances as a result of
market fluctuations, is included in "Compensation of board members" in the Statement of Operations.
Compensation of Chief Compliance
Officer
The Board of Trustees has appointed
a Chief Compliance Officer for the Fund in accordance with federal securities regulations. As disclosed in the Statement of Operations, a portion of the Chief Compliance Officer’s total compensation is allocated
to the Fund, along with other allocations to affiliated registered investment companies managed by the Investment Manager and its affiliates, based on relative net assets.
Transactions with affiliates
The Fund is permitted to engage in
purchase and/or sale transactions with affiliates and/or accounts that have a common investment manager (or affiliated investment managers), common directors/trustees, and/or common officers under specified conditions
outlined in a policy adopted by the Board, pursuant to Rule 17a-7 under the 1940 Act (cross-trades). The Board relies on quarterly written representation from the Fund’s Chief Compliance Officer that
cross-trades complied with approved policy.
For the year ended April 30, 2022,
the Fund engaged in cross-trades as follows:
| Purchases ($) | Sales ($) | Net realized gain (loss) ($) |
| 6,560,341 | — | — |
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, 2022,
the Fund’s effective transfer agency fee rates as a percentage of average daily net assets of each class were as follows:
| Columbia Small Cap Value Fund I | Annual Report 2022 | 27 |
Notes to Financial Statements (continued)
April 30, 2022
April 30, 2022
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, 2022, these minimum account balance fees reduced total expenses of
the Fund by $2,544.
Distribution and service fees
The Fund has entered into an
agreement with Columbia Management Investment Distributors, Inc. (the Distributor), an affiliate of the Investment Manager and a wholly-owned subsidiary of Ameriprise Financial, for distribution and shareholder
services. The Board of Trustees has approved, and the Fund has adopted, distribution and shareholder service plans (the Plans) applicable to certain share classes, which set the distribution and service fees for the
Fund. These fees are calculated daily and are intended to compensate the Distributor and/or eligible selling and/or servicing agents for selling shares of the Fund and providing services to investors.
Under the Plans, the Fund pays a
monthly service fee to the Distributor at the maximum annual rate of 0.25% of the average daily net assets attributable to Class A and Class C shares of the Fund. Also under the Plans, the Fund pays a
monthly distribution fee to the Distributor at the maximum annual rates of 0.75% and 0.50% of the average daily net assets attributable to Class C and Class R shares of the Fund, respectively.
Sales charges (unaudited)
Sales charges, including front-end
charges and contingent deferred sales charges (CDSCs), received by the Distributor for distributing Fund shares for the year ended April 30, 2022, if any, are listed below:
| Front End (%) | CDSC (%) | Amount ($) | |
| Class A | 5.75 | 0.50 - 1.00(a) | 175,013 |
| Class C | — | 1.00(b) | 1,504 |
| (a) | This charge is imposed on certain investments of between $1 million and $50 million redeemed within 18 months after purchase, as follows: 1.00% if redeemed within 12 months after purchase, and 0.50% if redeemed more than 12, but less than 18, months after purchase, with certain limited exceptions. |
| (b) | This charge applies to redemptions within 12 months after purchase, with certain limited exceptions. |
The Fund’s other share
classes are not subject to sales charges.
Expenses waived/reimbursed by the
Investment Manager and its affiliates
The Investment Manager and certain
of its affiliates have contractually agreed to waive fees and/or reimburse expenses (excluding certain fees and expenses described below) for the period(s) disclosed below, unless sooner terminated at the sole
discretion of the Board of Trustees, so that the Fund’s net operating expenses, after giving effect to fees waived/expenses reimbursed and any balance credits and/or overdraft charges from the Fund’s
custodian, do not exceed the following annual rate(s) as a percentage of the classes’ average daily net assets:
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
| 28 | Columbia Small Cap Value Fund I | Annual Report 2022 |
Notes to Financial Statements (continued)
April 30, 2022
April 30, 2022
commissions, costs related to any securities
lending program, dividend expenses associated with securities sold short, inverse floater program fees and expenses, transaction charges and interest on borrowed money, interest, costs associated with shareholder
meetings, infrequent and/or unusual expenses and any other expenses the exclusion of which is specifically approved by the Board of Trustees. This agreement may be modified or amended only with approval from the
Investment Manager, certain of its affiliates and the Fund. Any fees waived and/or expenses reimbursed under the expense reimbursement arrangements described above are not recoverable by the Investment Manager or its
affiliates in future periods.
Note 4. Federal tax
information
The timing and character of
income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP because of temporary or permanent book to tax differences.
At April 30, 2022, these
differences were primarily due to differing treatment for deferral/reversal of wash sale losses, trustees’ deferred compensation, post-October capital losses, capital loss carryforward, 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:
| Excess of distributions over net investment income ($) | Accumulated net realized gain ($) | Paid in capital ($) |
| (183,137) | (9,591,482) | 9,774,619 |
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, 2022 | Year Ended April 30, 2021 | ||||
| Ordinary income ($) | Long-term capital gains ($) | Total ($) | Ordinary income ($) | Long-term capital gains ($) | Total ($) |
| 28,353,615 | 100,486,629 | 128,840,244 | 4,371,513 | 443,610 | 4,815,123 |
Short-term capital gain
distributions, if any, are considered ordinary income distributions for tax purposes.
At April 30, 2022, the components
of distributable earnings on a tax basis were as follows:
| Undistributed ordinary income ($) | Undistributed long-term capital gains ($) | Capital loss carryforwards ($) | Net unrealized appreciation ($) |
| — | 53,765,313 | (7,021,227) | 213,185,773 |
At April 30, 2022, 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) ($) | Net unrealized appreciation ($) |
| 930,627,902 | 282,092,657 | (68,906,884) | 213,185,773 |
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 2022 | 29 |
Notes to Financial Statements (continued)
April 30, 2022
April 30, 2022
The following capital loss
carryforwards, determined at April 30, 2022, 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,
2022, capital loss carryforwards utilized, if any, were as follows:
| No expiration short-term ($) | No expiration long-term ($) | Total ($) | Utilized ($) |
| (7,021,227) | — | (7,021,227) | 599,961 |
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, 2022, the Fund will elect to treat the following late-year ordinary losses and post-October capital losses as arising on May 1, 2022.
| Late year ordinary losses ($) | Post-October capital losses ($) |
| — | 8,619,206 |
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 $789,283,657 and $651,033,228, respectively, for the year ended April 30, 2022. 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, 2022 was as follows:
| Borrower or lender | Average loan balance ($) | Weighted average interest rate (%) | Number of days with outstanding loans |
| Borrower | 3,261,905 | 0.65 | 21 |
| 30 | Columbia Small Cap Value Fund I | Annual Report 2022 |
Notes to Financial Statements (continued)
April 30, 2022
April 30, 2022
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, 2022.
Note 8. Line of credit
The Fund has access to a
revolving credit facility with a syndicate of banks led by JPMorgan Chase Bank, N.A., Citibank, N.A. and Wells Fargo Bank, N.A. whereby the Fund may borrow for the temporary funding of shareholder redemptions or for
other temporary or emergency purposes. Pursuant to an October 28, 2021 amendment and restatement, the credit facility, which is an agreement between the Fund and certain other funds managed by the Investment Manager
or an affiliated investment manager, severally and not jointly, permits aggregate borrowings up to $950 million. Interest is currently charged to each participating fund based on its borrowings at a rate equal to the
higher of (i) the federal funds effective rate, (ii) the secured overnight financing rate plus 0.11448% and (iii) the overnight bank funding rate, plus in each case, 1.00%. Each borrowing under the credit facility
matures no later than 60 days after the date of borrowing. The Fund also pays a commitment fee equal to its pro rata share of the unused amount of the credit facility at a rate of 0.15% per annum. The commitment fee
is included in other expenses in the Statement of Operations. This agreement expires annually in October unless extended or renewed. Prior to the October 28, 2021 amendment and restatement, the Fund had access to a
revolving credit facility with a syndicate of banks led by JPMorgan Chase Bank, N.A., Citibank, N.A. and Wells Fargo Bank, N.A. which permitted collective borrowings up to $950 million. Interest was charged to each
participating fund based on its borrowings at a rate equal to the higher of (i) the federal funds effective rate, (ii) the one-month London Interbank Offered Rate (LIBOR) rate and (iii) the overnight bank funding
rate, plus in each case, 1.25%.
The Fund had no borrowings during
the year ended April 30, 2022.
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 $(3,143,694) of unrealized appreciation/(depreciation)).
In exchange for the Acquired
Fund’s shares, the Fund issued the following number of shares:
| Shares | |
| Class A | 749,058 |
| Advisor Class | 23,850 |
| Class C | 97,768 |
| Institutional Class | 1,392,865(a) |
| Institutional 2 Class | 14,915 |
| Institutional 3 Class | 6,037 |
| (a) | 1,101,599 shares of Institutional Class were issued in exchange of Class V shares of the Acquired Fund. |
For financial reporting purposes,
net assets received and shares issued by the Fund were recorded at fair value; however, the Acquired Fund’s cost of investments was carried forward.
The Fund’s financial
statements reflect both the operations of the Fund for the period prior to the reorganization and the combined Fund for the period subsequent to the reorganization. Because the combined investment portfolios have been
managed as a single integrated portfolio since the reorganization was completed, it is not practicable to separate the amounts of revenue and earnings of the Acquired Fund that have been included in the combined
Fund’s Statement of Operations since the reorganization was completed.
| Columbia Small Cap Value Fund I | Annual Report 2022 | 31 |
Notes to Financial Statements (continued)
April 30, 2022
April 30, 2022
Assuming the reorganization had
been completed on May 1, 2020, the Fund’s pro-forma results of operations for the year ended April 30, 2021 would have been approximately:
| ($) | |
| Net investment income | 5,436,000 |
| Net realized gain | 63,659,000 |
| Net change in unrealized appreciation/(depreciation) | 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 one or more
industries or sectors, which makes them vulnerable to economic conditions that affect such industries or sectors. Performance of such companies may be affected by competitive pressures and exposure to investments,
agreements and counterparties, including credit products that, under certain circumstances, may lead to losses (e.g., subprime loans). Companies in the financial services sector are subject to extensive governmental
regulation that may limit the amount and types of loans and other financial commitments they can make, and interest rates and fees that they may charge. In addition, profitability of such companies is largely
dependent upon the availability and the cost of capital.
Market risk
The Fund may incur losses due to
declines in the value of one or more securities in which it invests. These declines may be due to factors affecting a particular issuer, or the result of, among other things, political, regulatory, market, economic or
social developments affecting the relevant market(s) more generally. In addition, turbulence in financial markets and reduced liquidity in equity, credit and/or fixed income markets may negatively affect many issuers,
which could adversely affect the Fund’s ability to price or value hard-to-value assets in thinly traded and closed markets and could cause significant redemptions and operational challenges. Global economies and
financial markets are increasingly interconnected, and conditions and events in one country, region or financial market may adversely impact issuers in a different country, region or financial market. These risks may
be magnified if certain events or developments adversely interrupt the global supply chain; in these and other circumstances, such risks might affect companies worldwide. As a result, local, regional or global events
such as terrorism, war, natural disasters, disease/virus outbreaks and epidemics or other public health issues, recessions, depressions or other events – or the potential for such events – could have a
significant negative impact on global economic and market conditions.
The large-scale invasion of Ukraine
by Russia in February 2022 has resulted in sanctions and market disruptions, including declines in regional and global stock and commodity markets and significant devaluations of Russian currency. The extent and
duration of the military action are impossible to predict but could be significant. Market disruption caused by the Russian military action, and any counter measures or responses thereto (including international
sanctions, a downgrade in the country’s credit rating, purchasing and financing restrictions, boycotts, tariffs, changes in consumer or purchaser preferences, cyberattacks and espionage) could have severe
adverse impacts on regional and/or global securities and commodities markets, including markets for oil and natural gas. These impacts may include reduced market liquidity, distress in credit markets, further
disruption of global supply chains, increased risk of inflation, and limited access to investments in certain international markets and/or issuers. These developments and other related events could negatively impact
Fund performance.
The pandemic caused by coronavirus
disease 2019 and its variants (COVID-19) 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
| 32 | Columbia Small Cap Value Fund I | Annual Report 2022 |
Notes to Financial Statements (continued)
April 30, 2022
April 30, 2022
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 objective. Any such events could have a significant adverse impact on the value and risk profile of the Fund.
Shareholder concentration risk
At April 30, 2022, two unaffiliated
shareholders of record owned 41.5% 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 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 are involved in the normal course of business in legal proceedings which include regulatory inquiries, arbitration and litigation, including class actions concerning matters arising in connection
with the conduct of its activities as a diversified financial services firm. Ameriprise Financial believes that the Fund is not currently the subject of, and that neither Ameriprise Financial nor any of its affiliates
are the subject of, any pending legal, arbitration or regulatory proceedings that are likely to have a material adverse effect on the Fund or the ability of Ameriprise Financial or its affiliates to perform under
their contracts with the Fund. Ameriprise Financial is required to make quarterly (10-Q), annual (10-K) and, as necessary, 8-K filings with the Securities and Exchange Commission (SEC) on legal and regulatory matters
that relate to Ameriprise Financial and its affiliates. Copies of these filings may be obtained by accessing the SEC website at www.sec.gov.
There can be no assurance that
these matters, or the adverse publicity associated with them, will not result in increased Fund redemptions, reduced sale of Fund shares or other adverse consequences to the Fund. Further, although we believe
proceedings are not likely to have a material adverse effect on the Fund or the ability of Ameriprise Financial or its affiliates to perform under their contracts with the Fund, these proceedings are subject to
uncertainties and, as such, we are unable to estimate the possible loss or range of loss that may result. An adverse outcome in one or more of these proceedings could result in adverse judgments, settlements, fines,
penalties or other relief that could have a material adverse effect on the consolidated financial condition or results of operations of Ameriprise Financial or one or more of its affiliates that provides services to
the Fund.
| Columbia Small Cap Value Fund I | Annual Report 2022 | 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, 2022, the related statement of operations for the year ended April 30, 2022, the statement of changes in net assets for each of the two years in the period ended April 30, 2022, including the related notes,
and the financial highlights for each of the five years in the period ended April 30, 2022 (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, 2022, 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,
2022 and the financial highlights for each of the five years in the period ended April 30, 2022 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, 2022 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 23, 2022
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 2022 |
Federal Income Tax
Information
(Unaudited)
The Fund hereby designates the
following tax attributes for the fiscal year ended April 30, 2022. Shareholders will be notified in early 2023 of the amounts for use in preparing 2022 income tax returns.
| Qualified dividend income | Dividends received deduction | Section 199A dividends | Capital gain dividend |
| 70.96% | 60.78% | 1.61% | $137,188,545 |
Qualified dividend income. For
taxable, non-corporate shareholders, the percentage of ordinary income distributed during the fiscal year that represents qualified dividend income subject to reduced tax rates.
Dividends received deduction. The
percentage of ordinary income distributed during the fiscal year that qualifies for the corporate dividends received deduction.
Section 199A dividends. For
taxable, non-corporate shareholders, the percentage of ordinary income distributed during the fiscal year that represents Section 199A dividends potentially eligible for a 20% 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
(Unaudited)
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 290 Congress Street Boston, MA 02210 1953 | Trustee since 2017 | Executive Vice President, Global Head of Technology and Operations, Janus Capital Group, Inc., 2010-2016 | 176 | 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 2022 | 35 |
TRUSTEES AND OFFICERS (continued)
(Unaudited)
Independent trustees (continued)
(Unaudited)
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 290 Congress Street Boston, MA 02210 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, April-October 2021 | 176 | Former Trustee, Blue Cross and Blue Shield of Minnesota, 2009-2021 (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; former Director, Robina Foundation, 2009-2020 (Chair, 2014-2020); Director, Schulze Family Foundation, since 2021 |
| Pamela G. Carlton c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 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, Cleary Gottlieb Steen & Hamilton LLP, 1980-1982 | 176 | 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) since 2019; Director, Apollo Commercial Real Estate Finance, Inc. since 2021; the Governing Council of the Independent Directors Council (IDC), since 2021 |
| Janet Langford Carrig c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1957 | Trustee since 1996 | Senior Vice President, General Counsel and Corporate Secretary, ConocoPhillips (independent energy company), September 2007-October 2018 | 174 | 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 290 Congress Street Boston, MA 02210 1964 | Trustee since 2020 | Member, FINRA National Adjudicatory Council since January 2020; Adjunct Professor of Finance, Bentley University since January 2018; Consultant to Independent Trustees of CFVIT and CFST I from March 2016 to June 2020 with respect to CFVIT and to December 2020 with respect to CFST I; 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 | 174 | Former Director, The Autism Project, March 2015-December 2021; 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 |
| 36 | Columbia Small Cap Value Fund I | Annual Report 2022 |
TRUSTEES AND OFFICERS (continued)
(Unaudited)
Independent trustees (continued)
(Unaudited)
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 |
| Olive M. Darragh c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1962 | Trustee since 2020 | 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; Consultant to Independent Trustees of CFVIT and CFST I from June 2019 to June 2020 with respect to CFVIT and to December 2020 with respect to CFST I; Partner, Tudor Investments, 2004-2010; Senior Partner, McKinsey & Company (consulting), 1990-2004; Touche Ross CPA, 1985-1988 | 174 | Former Director, University of Edinburgh Business School (Member of US Board); former Director, Boston Public Library Foundation |
| Patricia M. Flynn c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 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 | 176 | Trustee, MA Taxpayers Foundation since 1997; Board of Governors, Innovation Institute, MA Technology Collaborative, 2010-2020; former Board of Directors, The MA Business Roundtable, 2003-2019 |
| Brian J. Gallagher c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1954 | Trustee since 2017 | Retired; Partner with Deloitte & Touche LLP and its predecessors, 1977-2016 | 176 | Trustee, Catholic Schools Foundation since 2004 |
| Douglas A. Hacker c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 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, CET I and CET 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 | 176 | 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 290 Congress Street Boston, MA 02210 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 | 174 | None |
| Columbia Small Cap Value Fund I | Annual Report 2022 | 37 |
TRUSTEES AND OFFICERS (continued)
(Unaudited)
Independent trustees (continued)
(Unaudited)
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 |
| David M. Moffett c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1952 | Trustee since 2011 | Retired; Consultant to Bridgewater and Associates | 174 | 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 |
| Catherine James Paglia c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1952 | Co-Chair since 2021; Chair of CFST, CFST II, CFVST II, CET I and CET 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. | 176 | 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) |
| Minor M. Shaw c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1947 | Trustee since 2003 | President, Micco LLC (private investments) since 2011; President, Micco Corp. (family investment business), 1998-2011 | 176 | Director, Blue Cross Blue Shield 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 since 1998 |
| 38 | Columbia Small Cap Value Fund I | Annual Report 2022 |
TRUSTEES AND OFFICERS (continued)
(Unaudited)
Independent trustees (continued)
(Unaudited)
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 290 Congress Street Boston, MA 02210 1967 | Trustee since 2020 | Chief Executive Officer, Millennial Portfolio Solutions LLC (asset management and consulting services), January 2016-January 2021; Non-executive Member of the Investment Committee and Valuation Committee, Sarona Asset Management Inc. (private equity firm) since September 2019; Advisor, Horizon Investments (asset management and consulting services), August 2018-January 2021; Advisor, Paradigm Asset Management, November 2016-December 2021; Consultant to Independent Trustees of CFVIT and CFST I from September 2016 to June 2020 with respect to CFVIT and to December 2020 with respect to CFST I; Director of Investments/Consultant, Casey Family Programs, April 2016-November 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 | 174 | Former Director, Investment Committee, Health Services for Children with Special Needs, Inc., 2012-2019; Director, Chair of Audit Committee, Consumer Credit Counseling Services (formerly Guidewell Financial Solutions), since 2019; Independent Director, Investment Committee and Valuation Committee, Sarona Asset Management, since 2019 |
| Sandra L. Yeager c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 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 | 176 | Former 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 (CET I), Columbia ETF Trust II (CET II), Columbia Funds Variable Insurance Trust (CFVIT) and Columbia Funds Variable Series Trust II (CFVST II). Messrs. Batejan, Beckman, Gallagher and Hacker and Mses. Blatz, Carlton, Flynn, Paglia, Shaw and Yeager serve as Directors of Columbia Seligman Premium Technology Growth Fund and Tri-Continental Corporation. |
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 |
| Daniel J. Beckman c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1962 | Trustee since November 2021 and President since June 2021 | Vice President – Head of North America Product, Columbia Management Investment Advisers, LLC since April 2015; President and Principal Executive Officer of the Columbia Funds since June 2021; officer of Columbia Funds and affiliated funds, 2020-2021 | 176 | Director, Ameriprise Trust Company, since October 2016; Director, Columbia Management Investment Distributors, Inc. since November 2018; Board of Governors, Columbia Wanger Asset Management, LLC since January 2022 |
| * | Interested person (as defined under the 1940 Act) by reason of being an officer, director, security holder and/or employee of the Investment Manager or Ameriprise Financial. |
The Statement of Additional
Information has additional information about the Fund’s Board members and is available, without charge, upon request by calling 800.345.6611, visiting columbiathreadneedleus.com/investor/ or contacting your
financial intermediary.
| Columbia Small Cap Value Fund I | Annual Report 2022 | 39 |
TRUSTEES AND OFFICERS (continued)
(Unaudited)
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. Beckman, who is President and Principal Executive Officer, the Fund’s other officers are:
(Unaudited)
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. Beckman, who is President and Principal Executive Officer, the Fund’s other officers are:
Fund officers
| 40 | Columbia Small Cap Value Fund I | Annual Report 2022 |
TRUSTEES AND OFFICERS (continued)
(Unaudited)
Fund officers (continued)
(Unaudited)
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 |
| Michael E. DeFao 290 Congress Street Boston, MA 02210 1968 | Vice President (2011) and Assistant Secretary (2010) | Vice President and Chief Counsel, Ameriprise Financial, Inc. since May 2010; Vice President, Chief Legal Officer and Assistant Secretary, Columbia Management Investment Advisers, LLC since October 2021 (previously Vice President and Assistant Secretary, May 2010 – September 2021). |
| 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
(Unaudited)
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, 2021,
through December 31, 2021, 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 2022 | 41 |
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.
© 2022 Columbia Management Investment
Advisers, LLC.
columbiathreadneedleus.com/investor/
ANN287_04_M01_(06/22)
Columbia U.S.
Treasury Index Fund
Not FDIC or NCUA Insured •
No Financial Institution Guarantee • May Lose Value
Table of Contents
| 3 | |
| 5 | |
| 6 | |
| 7 | |
| 11 | |
| 12 | |
| 13 | |
| 16 | |
| 20 | |
| 28 | |
| 29 | |
| 29 | |
| 35 |
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)
290 Congress Street
Boston, MA 02210
Fund distributor
Columbia Management Investment Distributors,
Inc.
290 Congress Street
Boston, MA 02210
Fund transfer agent
Columbia Management Investment Services Corp.
P.O. Box 219104
Kansas City, MO 64121-9104
Columbia U.S. Treasury Index
Fund | Annual Report 2022
Fund at a Glance
(Unaudited)
(Unaudited)
Investment objective
The Fund
seeks total return that corresponds to the total return of the FTSE USBIG Treasury Index, before fees and expenses.
| Columbia U.S. Treasury Index Fund | Annual Report 2022 | 3 |
Fund at a Glance (continued)
(Unaudited)
(Unaudited)
Performance of a hypothetical $10,000 investment (April 30, 2012 — April 30, 2022)
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.
| 4 | Columbia U.S. Treasury Index Fund | Annual Report 2022 |
Manager Discussion of Fund Performance
(Unaudited)
(Unaudited)
At April 30, 2022, approximately
85.71% 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, 2022, Class A shares of Columbia U.S. Treasury Index Fund returned -7.54%. The Fund’s benchmark, the FTSE USBIG Treasury Index, returned -7.15% for the same time period. Mutual funds, unlike unmanaged
indices, incur operating expenses.
Market overview
The U.S. Treasury market was
significantly impacted by U.S. Federal Reserve (Fed) monetary policy change starting at the beginning of 2022. Inflation had proved to be more persistent and at a much higher level than the Fed expected in their
forecasts in 2021. Tight labor markets, a spike higher in energy costs as well as continued supply chain issues put substantial pressure on prices across the economy. In response, the Fed’s forward
guidance changed from slow and steady rate increases to an accelerated and higher terminal fed funds target rate.
At the end of 2021, the market
generally expected and had priced in three 25 basis point (bp) hikes, which would result in a 0.75% overnight rate, but at the end of April 2022 that had risen to an expected 2.75% by year end. (A basis point is 1/100
of a percent.)
While Treasury rates had been
pretty stable through much of the period, volatility exploded as 2022 began. The two-year U.S. Treasury yield moved 198 bps higher and the long Treasury bond was up 109 bps through April 2022.
The Fund’s notable
contributors during the period
| • | The Fund attempts to match the return of its benchmark, the unmanaged FTSE USBIG Treasury Index. |
| • | Shorter term U.S. Treasuries, though in negative territory, returning -4.19%, outperformed the benchmark during the period. |
The Fund’s notable
detractors during the period
| • | Treasury returns were negatively impacted by the move toward higher rates during the period. |
| • | Total returns for intermediate maturity Treasuries were down 9% and longer term Treasuries were down 19.4%. |
| • | A flattening of the yield curve is typical as the Fed embarks on an interest rate hiking cycle. However, the current environment is different from more recent hiking cycles as the Fed is behind the curve in its inflation mandate. As a result, the market is adjusting to the fact that short term interest rates could rise higher than what is generally perceived as “neutral” and reach a more “restrictive” level. |
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 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.
| Columbia U.S. Treasury Index Fund | Annual Report 2022 | 5 |
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.
| 6 | Columbia U.S. Treasury Index Fund | Annual Report 2022 |
Portfolio of Investments
April 30, 2022
April 30, 2022
(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 U.S. Treasury Index Fund | Annual Report 2022 | 7 |
Portfolio of Investments (continued)
April 30, 2022
April 30, 2022
The accompanying Notes to Financial
Statements are an integral part of this statement.
| 8 | Columbia U.S. Treasury Index Fund | Annual Report 2022 |
Portfolio of Investments (continued)
April 30, 2022
April 30, 2022
Notes to Portfolio of
Investments
| (a) | The rate shown is the seven-day current annualized yield at April 30, 2022. |
| (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, 2022 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, 0.462% | ||||||||
| 5,961,437 | 137,837,543 | (131,596,100) | 1,074 | 12,203,954 | (2,139) | 12,562 | 12,207,617 | |
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 accompanying Notes to Financial Statements are
an integral part of this statement.
| Columbia U.S. Treasury Index Fund | Annual Report 2022 | 9 |
Portfolio of Investments (continued)
April 30, 2022
April 30, 2022
Fair value measurements (continued)
The following table is a summary of the inputs used to value the Fund’s investments at April 30, 2022:
The following table is a summary of the inputs used to value the Fund’s investments at April 30, 2022:
| Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | |
| Investments in Securities | ||||
| U.S. Treasury Obligations | 1,278,208,650 | — | — | 1,278,208,650 |
| Money Market Funds | 12,203,954 | — | — | 12,203,954 |
| Total Investments in Securities | 1,290,412,604 | — | — | 1,290,412,604 |
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.
| 10 | Columbia U.S. Treasury Index Fund | Annual Report 2022 |
Statement of Assets and Liabilities
April 30, 2022
April 30, 2022
| Assets | |
| Investments in securities, at value | |
| Unaffiliated issuers (cost $1,381,184,063) | $1,278,208,650 |
| Affiliated issuers (cost $12,202,685) | 12,203,954 |
| Receivable for: | |
| Investments sold | 4,935,090 |
| Capital shares sold | 2,063,551 |
| Dividends | 5,023 |
| Interest | 6,862,015 |
| Expense reimbursement due from Investment Manager | 8,231 |
| Trustees’ deferred compensation plan | 138,780 |
| Total assets | 1,304,425,294 |
| Liabilities | |
| Payable for: | |
| Investments purchased | 9,681,054 |
| Capital shares purchased | 267,856 |
| Distributions to shareholders | 1,470,760 |
| Management services fees | 14,241 |
| Distribution and/or service fees | 202 |
| Compensation of board members | 16,945 |
| Trustees’ deferred compensation plan | 138,780 |
| Total liabilities | 11,589,838 |
| Net assets applicable to outstanding capital stock | $1,292,835,456 |
| Represented by | |
| Paid in capital | 1,401,076,211 |
| Total distributable earnings (loss) | (108,240,755) |
| Total - representing net assets applicable to outstanding capital stock | $1,292,835,456 |
| Class A | |
| Net assets | $35,498,765 |
| Shares outstanding | 3,375,352 |
| Net asset value per share | $10.52 |
| Class C | |
| Net assets | $2,540,002 |
| Shares outstanding | 241,517 |
| Net asset value per share | $10.52 |
| Institutional Class | |
| Net assets | $444,883,392 |
| Shares outstanding | 42,283,607 |
| Net asset value per share | $10.52 |
| Institutional 2 Class | |
| Net assets | $43,738,350 |
| Shares outstanding | 4,165,800 |
| Net asset value per share | $10.50 |
| Institutional 3 Class | |
| Net assets | $766,174,947 |
| Shares outstanding | 72,413,699 |
| Net asset value per share | $10.58 |
The accompanying Notes to Financial Statements are
an integral part of this statement.
| Columbia U.S. Treasury Index Fund | Annual Report 2022 | 11 |
Statement of Operations
Year Ended April 30, 2022
Year Ended April 30, 2022
| Net investment income | |
| Income: | |
| Dividends — affiliated issuers | $12,562 |
| Interest | 20,229,013 |
| Total income | 20,241,575 |
| Expenses: | |
| Management services fees | 5,973,899 |
| Distribution and/or service fees | |
| Class A | 76,649 |
| Class C | 39,593 |
| Compensation of board members | 31,664 |
| Total expenses | 6,121,805 |
| Fees waived or expenses reimbursed by Investment Manager and its affiliates | (3,466,656) |
| Fees waived by distributor | |
| Class A | (15,011) |
| Class C | (3,835) |
| Expense reduction | (560) |
| Total net expenses | 2,635,743 |
| Net investment income | 17,605,832 |
| Realized and unrealized gain (loss) — net | |
| Net realized gain (loss) on: | |
| Investments — unaffiliated issuers | (968,748) |
| Investments — affiliated issuers | (2,139) |
| Net realized loss | (970,887) |
| Net change in unrealized appreciation (depreciation) on: | |
| Investments — unaffiliated issuers | (124,255,496) |
| Investments — affiliated issuers | 1,074 |
| Net change in unrealized appreciation (depreciation) | (124,254,422) |
| Net realized and unrealized loss | (125,225,309) |
| Net decrease in net assets resulting from operations | $(107,619,477) |
The accompanying Notes to
Financial Statements are an integral part of this statement.
| 12 | Columbia U.S. Treasury Index Fund | Annual Report 2022 |
Statement of Changes in Net Assets
| Year Ended April 30, 2022 | Year Ended April 30, 2021 | |
| Operations | ||
| Net investment income | $17,605,832 | $15,765,172 |
| Net realized gain (loss) | (970,887) | 4,878,183 |
| Net change in unrealized appreciation (depreciation) | (124,254,422) | (77,711,771) |
| Net decrease in net assets resulting from operations | (107,619,477) | (57,068,416) |
| Distributions to shareholders | ||
| Net investment income and net realized gains | ||
| Class A | (508,052) | (1,007,331) |
| Class C | (25,091) | (102,605) |
| Institutional Class | (7,204,929) | (10,927,800) |
| Institutional 2 Class | (725,831) | (1,056,029) |
| Institutional 3 Class | (12,283,759) | (9,468,987) |
| Total distributions to shareholders | (20,747,662) | (22,562,752) |
| Increase in net assets from capital stock activity | 182,947,241 | 210,255,941 |
| Total increase in net assets | 54,580,102 | 130,624,773 |
| Net assets at beginning of year | 1,238,255,354 | 1,107,630,581 |
| Net assets at end of year | $1,292,835,456 | $1,238,255,354 |
The accompanying Notes to
Financial Statements are an integral part of this statement.
| Columbia U.S. Treasury Index Fund | Annual Report 2022 | 13 |
Statement of Changes in Net Assets (continued)
| Year Ended | Year Ended | |||
| April 30, 2022 | April 30, 2021 | |||
| Shares | Dollars ($) | Shares | Dollars ($) | |
| Capital stock activity | ||||
| Class A | ||||
| Subscriptions | 823,155 | 9,394,626 | 2,503,519 | 30,279,238 |
| Distributions reinvested | 25,050 | 286,578 | 52,006 | 623,745 |
| Redemptions | (1,667,328) | (19,113,195) | (2,581,410) | (30,736,169) |
| Net increase (decrease) | (819,123) | (9,431,991) | (25,885) | 166,814 |
| Class C | ||||
| Subscriptions | 20,460 | 237,356 | 463,270 | 5,632,251 |
| Distributions reinvested | 2,179 | 25,022 | 8,523 | 102,314 |
| Redemptions | (360,822) | (4,116,126) | (454,200) | (5,406,784) |
| Net increase (decrease) | (338,183) | (3,853,748) | 17,593 | 327,781 |
| Institutional Class | ||||
| Subscriptions | 7,139,052 | 81,835,936 | 13,476,919 | 162,645,987 |
| Distributions reinvested | 611,158 | 6,987,861 | 877,042 | 10,532,133 |
| Redemptions | (12,069,469) | (137,444,941) | (15,064,561) | (180,968,131) |
| Net decrease | (4,319,259) | (48,621,144) | (710,600) | (7,790,011) |
| Institutional 2 Class | ||||
| Subscriptions | 1,498,220 | 17,118,267 | 3,633,451 | 43,793,657 |
| Distributions reinvested | 13,042 | 149,480 | 24,726 | 296,679 |
| Redemptions | (1,968,952) | (22,484,879) | (3,212,716) | (38,649,751) |
| Net increase (decrease) | (457,690) | (5,217,132) | 445,461 | 5,440,585 |
| Institutional 3 Class | ||||
| Subscriptions | 30,992,063 | 359,650,385 | 31,328,526 | 377,853,939 |
| Distributions reinvested | 1,066,894 | 12,261,812 | 785,573 | 9,460,633 |
| Redemptions | (10,775,546) | (121,840,941) | (14,582,431) | (175,203,800) |
| Net increase | 21,283,411 | 250,071,256 | 17,531,668 | 212,110,772 |
| Total net increase | 15,349,156 | 182,947,241 | 17,258,237 | 210,255,941 |
The accompanying Notes to Financial Statements are
an integral part of this statement.
| 14 | Columbia U.S. Treasury Index Fund | Annual Report 2022 |
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 4/30/2022 | $11.52 | 0.12 | (0.98) | (0.86) | (0.12) | (0.02) | (0.14) |
| 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) |
| Class C | |||||||
| Year Ended 4/30/2022 | $11.52 | 0.04 | (0.97) | (0.93) | (0.05) | (0.02) | (0.07) |
| 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) |
| Institutional Class | |||||||
| Year Ended 4/30/2022 | $11.53 | 0.14 | (0.99) | (0.85) | (0.14) | (0.02) | (0.16) |
| 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) |
| Institutional 2 Class | |||||||
| Year Ended 4/30/2022 | $11.50 | 0.13 | (0.97) | (0.84) | (0.14) | (0.02) | (0.16) |
| 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) |
The accompanying Notes to
Financial Statements are an integral part of this statement.
| 16 | Columbia U.S. Treasury Index Fund | Annual Report 2022 |
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 4/30/2022 | $10.52 | (7.54%) | 0.59% | 0.32%(c) | 1.03% | 31% | $35,499 |
| Year Ended 4/30/2021 | $11.52 | (4.66%) | 0.65% | 0.32%(c),(d) | 1.20% | 40% | $48,338 |
| Year Ended 4/30/2020 | $12.30 | 13.88% | 0.65% | 0.33%(c),(d) | 1.83% | 54% | $51,890 |
| Year Ended 4/30/2019 | $11.00 | 4.32% | 0.65% | 0.35%(c),(d) | 1.93% | 50% | $35,707 |
| Year Ended 4/30/2018 | $10.75 | (1.35%) | 0.65% | 0.35%(c),(d) | 1.49% | 27% | $45,074 |
| Class C | |||||||
| Year Ended 4/30/2022 | $10.52 | (8.14%) | 1.29% | 0.97%(c) | 0.37% | 31% | $2,540 |
| Year Ended 4/30/2021 | $11.52 | (5.22%) | 1.40% | 0.99%(c),(d) | 0.53% | 40% | $6,680 |
| Year Ended 4/30/2020 | $12.29 | 13.00% | 1.41% | 1.03%(c),(d) | 1.12% | 54% | $6,910 |
| Year Ended 4/30/2019 | $11.00 | 3.59% | 1.40% | 1.05%(c),(d) | 1.23% | 50% | $2,801 |
| Year Ended 4/30/2018 | $10.75 | (2.03%) | 1.41% | 1.05%(c),(d) | 0.78% | 27% | $4,143 |
| Institutional Class | |||||||
| Year Ended 4/30/2022 | $10.52 | (7.48%) | 0.40% | 0.17%(c) | 1.18% | 31% | $444,883 |
| 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 |
| Institutional 2 Class | |||||||
| Year Ended 4/30/2022 | $10.50 | (7.42%) | 0.40% | 0.17% | 1.18% | 31% | $43,738 |
| 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 |
The accompanying Notes to
Financial Statements are an integral part of this statement.
| Columbia U.S. Treasury Index Fund | Annual Report 2022 | 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 4/30/2022 | $11.59 | 0.14 | (0.99) | (0.85) | (0.14) | (0.02) | (0.16) |
| 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) |
| 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) | Ratios include the impact of voluntary waivers paid by the Investment Manager. For the periods indicated below, if the Investment Manager had not paid these voluntary waivers, the Fund’s net expense ratio would increase by: |
| 4/30/2021 | 4/30/2020 | 4/30/2019 | 4/30/2018 | |
| Class A | 0.03% | 0.10% | 0.10% | 0.10% |
| Class C | 0.05% | 0.15% | 0.15% | 0.15% |
The accompanying Notes to
Financial Statements are an integral part of this statement.
| 18 | Columbia U.S. Treasury Index Fund | Annual Report 2022 |
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 4/30/2022 | $10.58 | (7.44%) | 0.40% | 0.17% | 1.19% | 31% | $766,175 |
| 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 |
The accompanying Notes to Financial Statements are
an integral part of this statement.
| Columbia U.S. Treasury Index Fund | Annual Report 2022 | 19 |
Notes to Financial Statements
April 30, 2022
April 30, 2022
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. Class C shares automatically convert to Class A shares after 8 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 2022 |
Notes to Financial Statements (continued)
April 30, 2022
April 30, 2022
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 2022 | 21 |
Notes to Financial Statements (continued)
April 30, 2022
April 30, 2022
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" in the Statement of Operations.
Compensation of Chief Compliance
Officer
The Board of Trustees has appointed
a Chief Compliance Officer for the Fund in accordance with federal securities regulations. 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, 2022, 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 2022 |
Notes to Financial Statements (continued)
April 30, 2022
April 30, 2022
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, 2021, the
Distributor has reduced the service fee for Class A and Class C shares to 0.15% annually of the average daily net assets attributable to each share class. Prior to September 1, 2021, the Distributor contractually
waived a portion of the service fee for Class A and Class C shares so that the service fee did not exceed 0.15% annually of the average daily net assets attributable to each share class. This arrangement could have
been modified or terminated at the sole discretion of the Board of Trustees.
Effective September 1, 2021, the
Distributor has reduced the distribution fee for Class C shares to 0.65% annually of the average daily net assets attributable to Class C shares. Prior to September 1, 2021, the Distributor contractually waived a
portion of the distribution fee for Class C shares so that the distribution fee did not exceed 0.65% annually of the average daily net assets attributable to Class C shares. This arrangement could have been modified
or terminated at the sole discretion of the Board of Trustees.
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, 2022, if any, are listed below:
| Front End (%) | CDSC (%) | Amount ($) | |
| Class C | — | 1.00(a) | 2,377 |
| (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 classes’ 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, costs associated with shareholder meetings, infrequent and/or unusual expenses and any other expenses the exclusion of which is
| Columbia U.S. Treasury Index Fund | Annual Report 2022 | 23 |
Notes to Financial Statements (continued)
April 30, 2022
April 30, 2022
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. Prior to September 1, 2021, Class A and Class C distribution and service fees
waived by the Distributor, as discussed above, were in addition to the waiver/reimbursement commitment under the agreement. Any fees waived and/or expenses reimbursed under the expense reimbursement arrangements
described above are not recoverable by the Investment Manager or its affiliates in future periods.
Note 4. Federal tax
information
The timing and character of
income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP because of temporary or permanent book to tax differences.
At April 30, 2022, 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 ($) |
| (200,287) | 200,287 | — |
Net investment income (loss) and
net realized gains (losses), as disclosed in the Statement of Operations, and net assets were not affected by this reclassification.
The tax character of distributions
paid during the years indicated was as follows:
| Year Ended April 30, 2022 | Year Ended April 30, 2021 | ||||
| Ordinary income ($) | Long-term capital gains ($) | Total ($) | Ordinary income ($) | Long-term capital gains ($) | Total ($) |
| 17,854,919 | 2,892,743 | 20,747,662 | 19,038,808 | 3,523,944 | 22,562,752 |
Short-term capital gain
distributions, if any, are considered ordinary income distributions for tax purposes.
At April 30, 2022, the components
of distributable earnings on a tax basis were as follows:
| Undistributed ordinary income ($) | Undistributed long-term capital gains ($) | Capital loss carryforwards ($) | Net unrealized (depreciation) ($) |
| 1,211,183 | — | — | (104,421,973) |
At April 30, 2022, the cost of all
investments for federal income tax purposes along with the aggregate gross unrealized appreciation and depreciation based on that cost was:
| Federal tax cost ($) | Gross unrealized appreciation ($) | Gross unrealized (depreciation) ($) | Net unrealized (depreciation) ($) |
| 1,394,834,577 | 697,834 | (105,119,807) | (104,421,973) |
Tax cost of investments and
unrealized appreciation/(depreciation) may also include timing differences that do not constitute adjustments to tax basis.
Under current tax rules, regulated
investment companies can elect to treat certain late-year ordinary losses incurred and post-October capital losses (capital losses realized after October 31) as arising on the first day of the following taxable year.
As of April 30, 2022, the Fund will elect to treat the following late-year ordinary losses and post-October capital losses as arising on May 1, 2022.
| 24 | Columbia U.S. Treasury Index Fund | Annual Report 2022 |
Notes to Financial Statements (continued)
April 30, 2022
April 30, 2022
| Late year ordinary losses ($) | Post-October capital losses ($) |
| — | 3,404,597 |
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 $628,189,688 and $447,576,645, respectively, for the year ended April 30, 2022, of which $628,189,688 and
$447,576,645, 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, 2022.
Note 8. Line of credit
The Fund has access to a
revolving credit facility with a syndicate of banks led by JPMorgan Chase Bank, N.A., Citibank, N.A. and Wells Fargo Bank, N.A. whereby the Fund may borrow for the temporary funding of shareholder redemptions or for
other temporary or emergency purposes. Pursuant to an October 28, 2021 amendment and restatement, the credit facility, which is an agreement between the Fund and certain other funds managed by the Investment Manager
or an affiliated investment manager, severally and not jointly, permits aggregate borrowings up to $950 million. Interest is currently charged to each participating fund based on its borrowings at a rate equal to the
higher of (i) the federal funds effective rate, (ii) the secured overnight financing rate plus 0.11448% and (iii) the overnight bank funding rate, plus in each case, 1.00%. Each borrowing under the credit facility
matures no later than 60 days after the date of borrowing. The Fund also pays a commitment fee equal to its pro rata share of the unused amount of the credit facility at a rate of 0.15% per annum. The commitment fee
is included in other expenses in the Statement of Operations. This agreement expires annually in October unless extended or renewed. Prior to the October 28, 2021 amendment and restatement, the Fund had access to a
revolving credit facility with a syndicate of banks led by JPMorgan Chase Bank, N.A., Citibank, N.A. and Wells Fargo Bank, N.A. which permitted collective
| Columbia U.S. Treasury Index Fund | Annual Report 2022 | 25 |
Notes to Financial Statements (continued)
April 30, 2022
April 30, 2022
borrowings up to $950 million. Interest was
charged to each participating fund based on its borrowings at a rate equal to the higher of (i) the federal funds effective rate, (ii) the one-month London Interbank Offered Rate (LIBOR) rate and (iii) the overnight
bank funding rate, plus in each case, 1.25%.
The Fund had no borrowings during
the year ended April 30, 2022.
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 instruments tend to fall, and if interest rates fall, the values of debt instruments tend to rise.
Actions by governments and central banking authorities can result in increases or decreases in interest rates. Higher periods of inflation could lead such authorities to raise interest rates. Increasing interest rates
may negatively affect the value of debt securities held by the Fund, resulting in a negative impact on the Fund’s performance and net asset value per share. In general, the longer the maturity or duration of a
debt security, the greater its sensitivity to changes in interest rates. The Fund is subject to the risk that the income generated by its investments may not keep pace with inflation.
Market risk
The Fund may incur losses due to
declines in the value of one or more securities in which it invests. These declines may be due to factors affecting a particular issuer, or the result of, among other things, political, regulatory, market, economic or
social developments affecting the relevant market(s) more generally. In addition, turbulence in financial markets and reduced liquidity in equity, credit and/or fixed income markets may negatively affect many issuers,
which could adversely affect the Fund’s ability to price or value hard-to-value assets in thinly traded and closed markets and could cause significant redemptions and operational challenges. Global economies and
financial markets are increasingly interconnected, and conditions and events in one country, region or financial market may adversely impact issuers in a different country, region or financial market. These risks may
be magnified if certain events or developments adversely interrupt the global supply chain; in these and other circumstances, such risks might affect companies worldwide. As a result, local, regional or global events
such as terrorism, war, natural disasters, disease/virus outbreaks and epidemics or other public health issues, recessions, depressions or other events – or the potential for such events – could have a
significant negative impact on global economic and market conditions.
The large-scale invasion of Ukraine
by Russia in February 2022 has resulted in sanctions and market disruptions, including declines in regional and global stock and commodity markets and significant devaluations of Russian currency. The extent and
duration of the military action are impossible to predict but could be significant. Market disruption caused by the Russian military action, and any counter measures or responses thereto (including international
sanctions, a downgrade in the country’s credit rating, purchasing and financing restrictions, boycotts, tariffs, changes in consumer or purchaser preferences, cyberattacks and espionage) could have severe
adverse impacts on regional and/or global securities and commodities markets, including markets for oil and natural gas. These impacts may include reduced market liquidity, distress in credit markets, further
disruption of global supply chains, increased risk of inflation, and limited access to investments in certain international markets and/or issuers. These developments and other related events could negatively impact
Fund performance.
The pandemic caused by coronavirus
disease 2019 and its variants (COVID-19) 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
| 26 | Columbia U.S. Treasury Index Fund | Annual Report 2022 |
Notes to Financial Statements (continued)
April 30, 2022
April 30, 2022
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 objective. Any such events could have a significant adverse impact on the value and risk profile of the Fund.
Passive investment risk
The Fund is not
“actively” managed and may be affected by a general decline in market segments related to its tracking index. The Fund invests in securities or instruments included in, or believed by the Investment
Manager to be representative of, its tracking 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 the tracking 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, 2022, affiliated
shareholders of record owned 88.1% 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.
Note 11. Information
regarding pending and settled legal proceedings
Ameriprise Financial and certain
of its affiliates are involved in the normal course of business in legal proceedings which include regulatory inquiries, arbitration and litigation, including class actions concerning matters arising in connection
with the conduct of its activities as a diversified financial services firm. Ameriprise Financial believes that the Fund is not currently the subject of, and that neither Ameriprise Financial nor any of its affiliates
are the subject of, any pending legal, arbitration or regulatory proceedings that are likely to have a material adverse effect on the Fund or the ability of Ameriprise Financial or its affiliates to perform under
their contracts with the Fund. Ameriprise Financial is required to make quarterly (10-Q), annual (10-K) and, as necessary, 8-K filings with the Securities and Exchange Commission (SEC) on legal and regulatory matters
that relate to Ameriprise Financial and its affiliates. Copies of these filings may be obtained by accessing the SEC website at www.sec.gov.
There can be no assurance that
these matters, or the adverse publicity associated with them, will not result in increased Fund redemptions, reduced sale of Fund shares or other adverse consequences to the Fund. Further, although we believe
proceedings are not likely to have a material adverse effect on the Fund or the ability of Ameriprise Financial or its affiliates to perform under their contracts with the Fund, these proceedings are subject to
uncertainties and, as such, we are unable to estimate the possible loss or range of loss that may result. An adverse outcome in one or more of these proceedings could result in adverse judgments, settlements, fines,
penalties or other relief that could have a material adverse effect on the consolidated financial condition or results of operations of Ameriprise Financial or one or more of its affiliates that provides services to
the Fund.
| Columbia U.S. Treasury Index Fund | Annual Report 2022 | 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, 2022, the related statement of operations for the year ended April 30, 2022, the statement of changes in net assets for each of the two years in the period ended April 30, 2022, including the related
notes, and the financial highlights for each of the five years in the period ended April 30, 2022 (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, 2022, 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, 2022 and the financial highlights for each of the five years in the period ended April 30, 2022 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, 2022 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 23, 2022
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 2022 |
Federal Income Tax
Information
(Unaudited)
The Fund hereby designates the
following tax attributes for the fiscal year ended April 30, 2022. Shareholders will be notified in early 2023 of the amounts for use in preparing 2022 income tax returns.
| Capital gain dividend | Section 163(j) Interest Dividends |
| $382,751 | 100.00% |
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
(Unaudited)
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 290 Congress Street Boston, MA 02210 1953 | Trustee since 2017 | Executive Vice President, Global Head of Technology and Operations, Janus Capital Group, Inc., 2010-2016 | 176 | 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 2022 | 29 |
TRUSTEES AND OFFICERS (continued)
(Unaudited)
Independent trustees (continued)
(Unaudited)
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 290 Congress Street Boston, MA 02210 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, April-October 2021 | 176 | Former Trustee, Blue Cross and Blue Shield of Minnesota, 2009-2021 (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; former Director, Robina Foundation, 2009-2020 (Chair, 2014-2020); Director, Schulze Family Foundation, since 2021 |
| Pamela G. Carlton c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 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, Cleary Gottlieb Steen & Hamilton LLP, 1980-1982 | 176 | 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) since 2019; Director, Apollo Commercial Real Estate Finance, Inc. since 2021; the Governing Council of the Independent Directors Council (IDC), since 2021 |
| Janet Langford Carrig c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1957 | Trustee since 1996 | Senior Vice President, General Counsel and Corporate Secretary, ConocoPhillips (independent energy company), September 2007-October 2018 | 174 | 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 290 Congress Street Boston, MA 02210 1964 | Trustee since 2020 | Member, FINRA National Adjudicatory Council since January 2020; Adjunct Professor of Finance, Bentley University since January 2018; Consultant to Independent Trustees of CFVIT and CFST I from March 2016 to June 2020 with respect to CFVIT and to December 2020 with respect to CFST I; 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 | 174 | Former Director, The Autism Project, March 2015-December 2021; 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 |
| 30 | Columbia U.S. Treasury Index Fund | Annual Report 2022 |
TRUSTEES AND OFFICERS (continued)
(Unaudited)
Independent trustees (continued)
(Unaudited)
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 |
| Olive M. Darragh c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1962 | Trustee since 2020 | 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; Consultant to Independent Trustees of CFVIT and CFST I from June 2019 to June 2020 with respect to CFVIT and to December 2020 with respect to CFST I; Partner, Tudor Investments, 2004-2010; Senior Partner, McKinsey & Company (consulting), 1990-2004; Touche Ross CPA, 1985-1988 | 174 | Former Director, University of Edinburgh Business School (Member of US Board); former Director, Boston Public Library Foundation |
| Patricia M. Flynn c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 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 | 176 | Trustee, MA Taxpayers Foundation since 1997; Board of Governors, Innovation Institute, MA Technology Collaborative, 2010-2020; former Board of Directors, The MA Business Roundtable, 2003-2019 |
| Brian J. Gallagher c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1954 | Trustee since 2017 | Retired; Partner with Deloitte & Touche LLP and its predecessors, 1977-2016 | 176 | Trustee, Catholic Schools Foundation since 2004 |
| Douglas A. Hacker c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 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, CET I and CET 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 | 176 | 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 290 Congress Street Boston, MA 02210 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 | 174 | None |
| Columbia U.S. Treasury Index Fund | Annual Report 2022 | 31 |
TRUSTEES AND OFFICERS (continued)
(Unaudited)
Independent trustees (continued)
(Unaudited)
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 |
| David M. Moffett c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1952 | Trustee since 2011 | Retired; Consultant to Bridgewater and Associates | 174 | 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 |
| Catherine James Paglia c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1952 | Co-Chair since 2021; Chair of CFST, CFST II, CFVST II, CET I and CET 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. | 176 | 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) |
| Minor M. Shaw c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1947 | Trustee since 2003 | President, Micco LLC (private investments) since 2011; President, Micco Corp. (family investment business), 1998-2011 | 176 | Director, Blue Cross Blue Shield 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 since 1998 |
| 32 | Columbia U.S. Treasury Index Fund | Annual Report 2022 |
TRUSTEES AND OFFICERS (continued)
(Unaudited)
Independent trustees (continued)
(Unaudited)
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 290 Congress Street Boston, MA 02210 1967 | Trustee since 2020 | Chief Executive Officer, Millennial Portfolio Solutions LLC (asset management and consulting services), January 2016-January 2021; Non-executive Member of the Investment Committee and Valuation Committee, Sarona Asset Management Inc. (private equity firm) since September 2019; Advisor, Horizon Investments (asset management and consulting services), August 2018-January 2021; Advisor, Paradigm Asset Management, November 2016-December 2021; Consultant to Independent Trustees of CFVIT and CFST I from September 2016 to June 2020 with respect to CFVIT and to December 2020 with respect to CFST I; Director of Investments/Consultant, Casey Family Programs, April 2016-November 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 | 174 | Former Director, Investment Committee, Health Services for Children with Special Needs, Inc., 2012-2019; Director, Chair of Audit Committee, Consumer Credit Counseling Services (formerly Guidewell Financial Solutions), since 2019; Independent Director, Investment Committee and Valuation Committee, Sarona Asset Management, since 2019 |
| Sandra L. Yeager c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 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 | 176 | Former 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 (CET I), Columbia ETF Trust II (CET II), Columbia Funds Variable Insurance Trust (CFVIT) and Columbia Funds Variable Series Trust II (CFVST II). Messrs. Batejan, Beckman, Gallagher and Hacker and Mses. Blatz, Carlton, Flynn, Paglia, Shaw and Yeager serve as Directors of Columbia Seligman Premium Technology Growth Fund and Tri-Continental Corporation. |
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 |
| Daniel J. Beckman c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1962 | Trustee since November 2021 and President since June 2021 | Vice President – Head of North America Product, Columbia Management Investment Advisers, LLC since April 2015; President and Principal Executive Officer of the Columbia Funds since June 2021; officer of Columbia Funds and affiliated funds, 2020-2021 | 176 | Director, Ameriprise Trust Company, since October 2016; Director, Columbia Management Investment Distributors, Inc. since November 2018; Board of Governors, Columbia Wanger Asset Management, LLC since January 2022 |
| * | Interested person (as defined under the 1940 Act) by reason of being an officer, director, security holder and/or employee of the Investment Manager or Ameriprise Financial. |
The Statement of Additional
Information has additional information about the Fund’s Board members and is available, without charge, upon request by calling 800.345.6611, visiting columbiathreadneedleus.com/investor/ or contacting your
financial intermediary.
| Columbia U.S. Treasury Index Fund | Annual Report 2022 | 33 |
TRUSTEES AND OFFICERS (continued)
(Unaudited)
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. Beckman, who is President and Principal Executive Officer, the Fund’s other officers are:
(Unaudited)
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. Beckman, who is President and Principal Executive Officer, the Fund’s other officers are:
Fund officers
| 34 | Columbia U.S. Treasury Index Fund | Annual Report 2022 |
TRUSTEES AND OFFICERS (continued)
(Unaudited)
Fund officers (continued)
(Unaudited)
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 |
| Michael E. DeFao 290 Congress Street Boston, MA 02210 1968 | Vice President (2011) and Assistant Secretary (2010) | Vice President and Chief Counsel, Ameriprise Financial, Inc. since May 2010; Vice President, Chief Legal Officer and Assistant Secretary, Columbia Management Investment Advisers, LLC since October 2021 (previously Vice President and Assistant Secretary, May 2010 – September 2021). |
| 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
(Unaudited)
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, 2021,
through December 31, 2021, 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 2022 | 35 |
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.
© 2022 Columbia Management Investment
Advisers, LLC.
columbiathreadneedleus.com/investor/
ANN237_04_M01_(06/22)
Columbia Corporate
Income Fund
Not FDIC or NCUA 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)
290 Congress Street
Boston, MA 02210
Fund distributor
Columbia Management Investment Distributors,
Inc.
290 Congress Street
Boston, MA 02210
Fund transfer agent
Columbia Management Investment Services Corp.
P.O. Box 219104
Kansas City, MO 64121-9104
Columbia Corporate Income Fund | Annual
Report 2022
Fund at a Glance
(Unaudited)
(Unaudited)
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
Shannon Rinehart, CFA
Portfolio Manager
Managed Fund since February 2022
| Columbia Corporate Income Fund | Annual Report 2022 | 3 |
Fund at a Glance (continued)
(Unaudited)
(Unaudited)
Performance of a hypothetical $10,000 investment (April 30, 2012 — April 30, 2022)
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.
| 4 | Columbia Corporate Income Fund | Annual Report 2022 |
Manager Discussion of Fund Performance
(Unaudited)
(Unaudited)
At April 30, 2022, approximately
60.23% 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, 2022, Class A shares of Columbia Corporate Income Fund returned -10.79% excluding sales charges. The Fund underperformed its Blended Benchmark, which returned -9.62%, as well as the Bloomberg U.S. Corporate
Bond Index, which returned -10.43% for the same time period.
Market overview
Entering the period, risk
sentiment continued to be supported by the dovish posture of the U.S. Federal Reserve (Fed). The central bank’s messaging indicated that it viewed increases in inflation above the traditional 2% target as
“transitory” and largely driven by pandemic-related supply chain issues. As such, the Fed felt justified in maintaining accommodative policies, including keeping the Fed funds target rate, the benchmark
overnight lending rate, near zero and engaging in bond purchases to keep longer-term borrowing costs low as well. Against this backdrop, credit-oriented areas of the bond markets outperformed as investors sought yield
in a low-rate environment.
November of 2021 witnessed a shift
in the Fed’s messaging to acknowledge that inflation had become more entrenched than previously believed. The Fed began to taper its bond purchases and signaled that it would begin to raise short-term rates in
2022.
Inflation readouts remained
historically high entering the new year. These concerns were compounded as Russia’s late-February invasion of Ukraine exacerbated global supply chain issues and led to a spike in already high prices for oil and
other commodities. As a result, expectations for the pace of Fed tightening for the remainder of the year increased, leading market interest rates higher and weakening credit sentiment.
As signaled, in mid-March 2022 the
Fed implemented a quarter-point hike in the benchmark overnight lending rate, the first such increase since December 2018. The Fed also formally ended its pandemic-era quantitative easing program and signaled it would
soon begin reducing its holdings of Treasuries and agency mortgage-backed securities by reinvesting a lower proportion of the proceeds from maturing securities. March saw China launch a new round of COVID-related
lockdowns, leading to a further deterioration in the global outlook for both growth and inflation.
For the 12-month period, yields
rose along the length of the Treasury curve and the curve flattened as increases were most significant for shorter maturities. To illustrate, the two-year Treasury yield rose 254 basis points from 0.16% to 2.70%, the
10-year yield rose 124 basis points from 1.65% to 2.89%, and the 30-year yield rose 66 basis points from 2.30% to 2.96%. (A basis point is 1/100 of a percent.)
The Fund’s notable
detractors during the period
| • | The Fund’s consistent overweight to credit versus the benchmark weighed on relative return. This was primarily driven by exposure to below-investment-grade, high-yield corporates. |
| • | Security selection within high yield detracted as well. The team marginally reduced the portfolio’s credit risk profile in the latter part of the period while awaiting a possible re-entry point after first quarter earnings are reported. |
| • | Overall security selection detracted from the Fund’s relative performance over the period. Within investment-grade corporates, notable individual detractors included positions held in a cable company and a communication services company. Marginally offsetting these detractors were positions in a media company and a food & beverage company. |
| • | Sector and sub-industry exposures within investment-grade corporates also constrained relative performance. Most notably, an overweight to banking and an underweight to independent energy detracted. The negative impact of these allocations was modestly offset by overweights to finance companies and midstream energy. |
| Columbia Corporate Income Fund | Annual Report 2022 | 5 |
Manager Discussion of Fund Performance (continued)
(Unaudited)
(Unaudited)
The Fund’s notable
contributors during the period
| • | Positive contributions to performance relative to the benchmark were led by the Fund’s stance with respect to overall portfolio duration and corresponding sensitivity to changes in interest rates. Specifically, the Fund was slightly underweight duration as Treasury yields moved sharply higher in the first quarter of 2022. |
| • | Duration and yield curve positioning are generally not a meaningful source of relative performance for the Fund as the management team seeks to maintain portfolio duration within a fairly narrow band around that of the benchmark. |
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 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 Corporate Income Fund | Annual Report 2022 |
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 2022 | 7 |
Portfolio of Investments
April 30, 2022
April 30, 2022
(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 Corporate Income Fund | Annual Report 2022 |
Portfolio of Investments (continued)
April 30, 2022
April 30, 2022
The accompanying Notes to Financial
Statements are an integral part of this statement.
| Columbia Corporate Income Fund | Annual Report 2022 | 9 |
Portfolio of Investments (continued)
April 30, 2022
April 30, 2022
The accompanying Notes to Financial
Statements are an integral part of this statement.
| 10 | Columbia Corporate Income Fund | Annual Report 2022 |
Portfolio of Investments (continued)
April 30, 2022
April 30, 2022
The accompanying Notes to Financial
Statements are an integral part of this statement.
| Columbia Corporate Income Fund | Annual Report 2022 | 11 |
Portfolio of Investments (continued)
April 30, 2022
April 30, 2022
The accompanying Notes to Financial
Statements are an integral part of this statement.
| 12 | Columbia Corporate Income Fund | Annual Report 2022 |
Portfolio of Investments (continued)
April 30, 2022
April 30, 2022
The accompanying Notes to Financial
Statements are an integral part of this statement.
| Columbia Corporate Income Fund | Annual Report 2022 | 13 |
Portfolio of Investments (continued)
April 30, 2022
April 30, 2022
The accompanying Notes to Financial
Statements are an integral part of this statement.
| 14 | Columbia Corporate Income Fund | Annual Report 2022 |
Portfolio of Investments (continued)
April 30, 2022
April 30, 2022
The accompanying Notes to Financial
Statements are an integral part of this statement.
| Columbia Corporate Income Fund | Annual Report 2022 | 15 |
Portfolio of Investments (continued)
April 30, 2022
April 30, 2022
The accompanying Notes to Financial
Statements are an integral part of this statement.
| 16 | Columbia Corporate Income Fund | Annual Report 2022 |
Portfolio of Investments (continued)
April 30, 2022
April 30, 2022
The accompanying Notes to Financial
Statements are an integral part of this statement.
| Columbia Corporate Income Fund | Annual Report 2022 | 17 |
Portfolio of Investments (continued)
April 30, 2022
April 30, 2022
The accompanying Notes to Financial
Statements are an integral part of this statement.
| 18 | Columbia Corporate Income Fund | Annual Report 2022 |
Portfolio of Investments (continued)
April 30, 2022
April 30, 2022
The accompanying Notes to Financial
Statements are an integral part of this statement.
| Columbia Corporate Income Fund | Annual Report 2022 | 19 |
Portfolio of Investments (continued)
April 30, 2022
April 30, 2022
The accompanying Notes to Financial
Statements are an integral part of this statement.
| 20 | Columbia Corporate Income Fund | Annual Report 2022 |
Portfolio of Investments (continued)
April 30, 2022
April 30, 2022
At April 30, 2022,
securities and/or cash totaling $4,450,051 were pledged as collateral.
Investments in
derivatives
| Long futures contracts | ||||||
| Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
| U.S. Long Bond | 543 | 06/2022 | USD | 76,393,313 | — | (7,193,678) |
| U.S. Treasury 2-Year Note | 550 | 06/2022 | USD | 115,946,875 | — | (1,817,330) |
| U.S. Treasury 5-Year Note | 1,885 | 06/2022 | USD | 212,386,484 | — | (7,779,775) |
| Total | — | (16,790,783) | ||||
| Short futures contracts | ||||||
| Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
| U.S. Treasury 10-Year Note | (1,095) | 06/2022 | USD | (130,476,094) | 4,191,303 | — |
| U.S. Treasury Ultra 10-Year Note | (1,082) | 06/2022 | USD | (139,578,000) | 11,510,884 | — |
| U.S. Ultra Treasury Bond | (357) | 06/2022 | USD | (57,276,188) | 6,799,115 | — |
| Total | 22,501,302 | — | ||||
Notes to Portfolio of
Investments
| (a) | Non-income producing investment. |
| (b) | Represents privately placed and other securities and instruments exempt from Securities and Exchange Commission registration (collectively, private placements), such as Section 4(a)(2) and Rule 144A eligible securities, which are often sold only to qualified institutional buyers. At April 30, 2022, the total value of these securities amounted to $447,378,269, which represents 27.99% of total net assets. |
| (c) | Represents a security purchased on a when-issued basis. |
| (d) | 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, 2022. |
| (e) | Represents fair value as determined in good faith under procedures approved by the Board of Trustees. At April 30, 2022, the total value of these securities amounted to $9,525, which represents less than 0.01% of total net assets. |
| (f) | Represents securities that have defaulted on payment of interest. The Fund has stopped accruing interest on these securities. At April 30, 2022, the total value of these securities amounted to $9,525, which represents less than 0.01% of total net assets. |
| (g) | Valuation based on significant unobservable inputs. |
| (h) | Payment-in-kind security. Interest can be paid by issuing additional par of the security or in cash. |
| (i) | Variable rate security. The interest rate shown was the current rate as of April 30, 2022. |
| (j) | Principal and interest may not be guaranteed by a governmental entity. |
The accompanying Notes to Financial Statements are
an integral part of this statement.
| Columbia Corporate Income Fund | Annual Report 2022 | 21 |
Portfolio of Investments (continued)
April 30, 2022
April 30, 2022
Notes to Portfolio of Investments (continued)
| (k) | The stated interest rate represents the weighted average interest rate at April 30, 2022 of contracts within the senior loan facility. Interest rates on contracts are primarily determined either weekly, monthly or quarterly by reference to the indicated base lending rate and spread and the reset period. These base lending rates are primarily the LIBOR and other short-term rates. Base lending rates may be subject to a floor or minimum rate. The interest rate for senior loans purchased on a when-issued or delayed delivery basis will be determined upon settlement, therefore no interest rate is disclosed. Senior loans often require prepayments from excess cash flows or permit the borrowers to repay at their election. The degree to which borrowers repay cannot be predicted with accuracy. As a result, remaining maturities of senior loans may be less than the stated maturities. Generally, the Fund is contractually obligated to receive approval from the agent bank and/or borrower prior to the disposition of a senior loan. |
| (l) | The rate shown is the seven-day current annualized yield at April 30, 2022. |
| (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, 2022 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, 0.462% | ||||||||
| 10,464,850 | 795,024,029 | (696,606,206) | 6,194 | 108,888,867 | (21,549) | 103,590 | 108,921,543 | |
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.
Investments falling into the Level 3
category are primarily supported by quoted prices from brokers and dealers participating in the market for those investments. However, these may be classified as Level 3 investments due to lack of market transparency
and corroboration to support these quoted prices. Additionally, valuation models may be used as the pricing source for any remaining investments classified as Level 3. These models may rely on one or more significant
unobservable inputs and/or significant assumptions by the Investment Manager. Inputs used in valuations may include, but are not limited to, financial statement analysis, capital account balances, discount rates and
estimated cash flows, and comparable company data.
Under the direction of the
Fund’s Board of Trustees (the Board), the Investment Manager’s Valuation Committee (the Committee) is responsible for overseeing the valuation procedures approved by the Board. The Committee consists of
voting and non-voting members from various groups within the Investment Manager’s organization, including operations and accounting, trading and investments, compliance, risk management and legal.
The Committee meets at least monthly
to review and approve valuation matters, which may include a description of specific valuation determinations, data regarding pricing information received from approved pricing vendors and brokers and the results of
Board-approved valuation control policies and procedures (the Policies). The Policies address, among other things, instances when market quotations are or are not readily available, including recommendations of third
party pricing vendors and a determination of appropriate pricing methodologies; events that require specific valuation determinations and assessment of fair value techniques; securities with a potential for stale
pricing, including those that are illiquid, restricted, or in default; and the effectiveness of third party pricing vendors, including periodic reviews of vendors. The Committee meets more frequently, as needed, to
discuss
The accompanying Notes to Financial Statements are
an integral part of this statement.
| 22 | Columbia Corporate Income Fund | Annual Report 2022 |
Portfolio of Investments (continued)
April 30, 2022
April 30, 2022
Fair value measurements (continued)
additional valuation matters, which may include the need to review back-testing results, review time-sensitive information or approve related valuation actions. The Committee reports to the Board, with members of the Committee meeting with the Board at each of its regularly scheduled meetings to discuss valuation matters and actions during the period, similar to those described earlier.
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, 2022:
| Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | |
| Investments in Securities | ||||
| Common Stocks | ||||
| Financials | 80,137 | — | — | 80,137 |
| Total Common Stocks | 80,137 | — | — | 80,137 |
| Convertible Bonds | — | 403,882 | — | 403,882 |
| Corporate Bonds & Notes | — | 1,434,898,126 | 9,525 | 1,434,907,651 |
| Foreign Government Obligations | — | 511,707 | — | 511,707 |
| Senior Loans | — | 3,703,271 | — | 3,703,271 |
| U.S. Treasury Obligations | 35,951,222 | — | — | 35,951,222 |
| Money Market Funds | 108,888,867 | — | — | 108,888,867 |
| Total Investments in Securities | 144,920,226 | 1,439,516,986 | 9,525 | 1,584,446,737 |
| Investments in Derivatives | ||||
| Asset | ||||
| Futures Contracts | 22,501,302 | — | — | 22,501,302 |
| Liability | ||||
| Futures Contracts | (16,790,783) | — | — | (16,790,783) |
| Total | 150,630,745 | 1,439,516,986 | 9,525 | 1,590,157,256 |
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.
| Columbia Corporate Income Fund | Annual Report 2022 | 23 |
Statement of Assets and Liabilities
April 30, 2022
April 30, 2022
| Assets | |
| Investments in securities, at value | |
| Unaffiliated issuers (cost $1,676,699,696) | $1,475,557,870 |
| Affiliated issuers (cost $108,882,497) | 108,888,867 |
| Cash | 14,433 |
| Margin deposits on: | |
| Futures contracts | 4,450,051 |
| Receivable for: | |
| Investments sold | 2,750,090 |
| Investments sold on a delayed delivery basis | 748,022 |
| Capital shares sold | 3,678,982 |
| Dividends | 41,053 |
| Interest | 14,549,890 |
| Foreign tax reclaims | 54,732 |
| Variation margin for futures contracts | 832,805 |
| Prepaid expenses | 11,274 |
| Trustees’ deferred compensation plan | 199,284 |
| Other assets | 1 |
| Total assets | 1,611,777,354 |
| Liabilities | |
| Payable for: | |
| Investments purchased | 2,784,913 |
| Investments purchased on a delayed delivery basis | 4,443,575 |
| Capital shares purchased | 1,241,217 |
| Distributions to shareholders | 3,920,950 |
| Variation margin for futures contracts | 719,875 |
| Management services fees | 21,623 |
| Distribution and/or service fees | 803 |
| Transfer agent fees | 162,384 |
| Compensation of board members | 17,552 |
| Other expenses | 45,821 |
| Trustees’ deferred compensation plan | 199,284 |
| Total liabilities | 13,557,997 |
| Net assets applicable to outstanding capital stock | $1,598,219,357 |
| Represented by | |
| Paid in capital | 1,814,763,868 |
| Total distributable earnings (loss) | (216,544,511) |
| Total - representing net assets applicable to outstanding capital stock | $1,598,219,357 |
The accompanying Notes to Financial Statements are
an integral part of this statement.
| 24 | Columbia Corporate Income Fund | Annual Report 2022 |
Statement of Assets and Liabilities (continued)
April 30, 2022
April 30, 2022
| Class A | |
| Net assets | $107,905,054 |
| Shares outstanding | 11,701,092 |
| Net asset value per share | $9.22 |
| 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) | $9.68 |
| Advisor Class | |
| Net assets | $190,943,491 |
| Shares outstanding | 20,739,766 |
| Net asset value per share | $9.21 |
| Class C | |
| Net assets | $2,608,621 |
| Shares outstanding | 282,969 |
| Net asset value per share | $9.22 |
| Institutional Class | |
| Net assets | $380,743,106 |
| Shares outstanding | 41,292,798 |
| Net asset value per share | $9.22 |
| Institutional 2 Class | |
| Net assets | $51,118,616 |
| Shares outstanding | 5,552,313 |
| Net asset value per share | $9.21 |
| Institutional 3 Class | |
| Net assets | $864,900,469 |
| Shares outstanding | 93,843,975 |
| Net asset value per share | $9.22 |
The accompanying Notes to Financial Statements are
an integral part of this statement.
| Columbia Corporate Income Fund | Annual Report 2022 | 25 |
Statement of Operations
Year Ended April 30, 2022
Year Ended April 30, 2022
| Net investment income | |
| Income: | |
| Dividends — affiliated issuers | $103,590 |
| Interest | 46,114,051 |
| Total income | 46,217,641 |
| Expenses: | |
| Management services fees | 7,895,106 |
| Distribution and/or service fees | |
| Class A | 246,785 |
| Class C | 32,379 |
| Transfer agent fees | |
| Class A | 157,614 |
| Advisor Class | 116,328 |
| Class C | 5,809 |
| Institutional Class | 669,990 |
| Institutional 2 Class | 27,897 |
| Institutional 3 Class | 51,067 |
| Compensation of board members | 33,140 |
| Custodian fees | 15,645 |
| Printing and postage fees | 30,997 |
| Registration fees | 110,282 |
| Audit fees | 29,500 |
| Legal fees | 26,875 |
| Compensation of chief compliance officer | 507 |
| Other | 27,636 |
| Total expenses | 9,477,557 |
| Fees waived or expenses reimbursed by Investment Manager and its affiliates | (710,495) |
| Fees waived by distributor | |
| Class C | (2,837) |
| Fees waived by transfer agent | |
| Institutional 2 Class | (1,553) |
| Institutional 3 Class | (33,206) |
| Expense reduction | (794) |
| Total net expenses | 8,728,672 |
| Net investment income | 37,488,969 |
| Realized and unrealized gain (loss) — net | |
| Net realized gain (loss) on: | |
| Investments — unaffiliated issuers | (8,380,438) |
| Investments — affiliated issuers | (21,549) |
| Foreign currency translations | (18) |
| Futures contracts | 6,228,703 |
| Net realized loss | (2,173,302) |
| Net change in unrealized appreciation (depreciation) on: | |
| Investments — unaffiliated issuers | (229,979,524) |
| Investments — affiliated issuers | 6,194 |
| Futures contracts | 3,877,463 |
| Net change in unrealized appreciation (depreciation) | (226,095,867) |
| Net realized and unrealized loss | (228,269,169) |
| Net decrease in net assets resulting from operations | $(190,780,200) |
The accompanying Notes to
Financial Statements are an integral part of this statement.
| 26 | Columbia Corporate Income Fund | Annual Report 2022 |
Statement of Changes in Net Assets
| Year Ended April 30, 2022 | Year Ended April 30, 2021 | |
| Operations | ||
| Net investment income | $37,488,969 | $30,385,975 |
| Net realized gain (loss) | (2,173,302) | 52,823,472 |
| Net change in unrealized appreciation (depreciation) | (226,095,867) | (23,119,699) |
| Net increase (decrease) in net assets resulting from operations | (190,780,200) | 60,089,748 |
| Distributions to shareholders | ||
| Net investment income and net realized gains | ||
| Class A | (3,854,952) | (5,331,630) |
| Advisor Class | (2,031,592) | (1,101,540) |
| Class C | (130,378) | (368,028) |
| Institutional Class | (18,611,079) | (31,133,094) |
| Institutional 2 Class | (2,203,410) | (545,291) |
| Institutional 3 Class | (43,577,361) | (42,137,931) |
| Total distributions to shareholders | (70,408,772) | (80,617,514) |
| Increase in net assets from capital stock activity | 399,692,269 | 460,373,330 |
| Total increase in net assets | 138,503,297 | 439,845,564 |
| Net assets at beginning of year | 1,459,716,060 | 1,019,870,496 |
| Net assets at end of year | $1,598,219,357 | $1,459,716,060 |
The accompanying Notes to
Financial Statements are an integral part of this statement.
| Columbia Corporate Income Fund | Annual Report 2022 | 27 |
Statement of Changes in Net Assets (continued)
| Year Ended | Year Ended | |||
| April 30, 2022 | April 30, 2021 | |||
| Shares | Dollars ($) | Shares | Dollars ($) | |
| Capital stock activity | ||||
| Class A | ||||
| Subscriptions | 638,607 | 6,769,881 | 2,697,195 | 30,058,077 |
| Fund reorganization | 5,714,967 | 59,304,731 | — | — |
| Distributions reinvested | 343,238 | 3,605,192 | 442,851 | 4,930,570 |
| Redemptions | (3,212,631) | (32,315,030) | (1,261,240) | (14,061,169) |
| Net increase | 3,484,181 | 37,364,774 | 1,878,806 | 20,927,478 |
| Advisor Class | ||||
| Subscriptions | 877,829 | 8,954,563 | 410,874 | 4,590,830 |
| Fund reorganization | 24,537,894 | 254,220,549 | — | — |
| Distributions reinvested | 145,363 | 1,444,471 | 85,525 | 953,153 |
| Redemptions | (5,808,925) | (57,624,830) | (1,175,449) | (13,101,669) |
| Net increase (decrease) | 19,752,161 | 206,994,753 | (679,050) | (7,557,686) |
| Class C | ||||
| Subscriptions | 53,093 | 553,091 | 233,445 | 2,613,615 |
| Distributions reinvested | 11,849 | 125,621 | 31,893 | 355,172 |
| Redemptions | (195,053) | (2,044,510) | (371,965) | (4,115,281) |
| Net decrease | (130,111) | (1,365,798) | (106,627) | (1,146,494) |
| Institutional Class | ||||
| Subscriptions | 8,951,136 | 94,457,557 | 21,574,553 | 239,072,587 |
| Distributions reinvested | 1,360,579 | 14,368,616 | 2,133,747 | 23,768,542 |
| Redemptions | (9,054,166) | (95,583,271) | (17,252,995) | (191,452,395) |
| Net increase | 1,257,549 | 13,242,902 | 6,455,305 | 71,388,734 |
| Institutional 2 Class | ||||
| Subscriptions | 2,215,006 | 22,835,824 | 4,076,722 | 43,998,512 |
| Distributions reinvested | 208,806 | 2,202,458 | 49,219 | 545,225 |
| Redemptions | (1,448,999) | (15,704,938) | (125,903) | (1,385,958) |
| Net increase | 974,813 | 9,333,344 | 4,000,038 | 43,157,779 |
| Institutional 3 Class | ||||
| Subscriptions | 17,930,828 | 191,386,445 | 36,922,199 | 409,476,388 |
| Distributions reinvested | 3,706,220 | 39,133,542 | 3,039,549 | 33,789,874 |
| Redemptions | (9,092,452) | (96,397,693) | (9,856,703) | (109,662,743) |
| Net increase | 12,544,596 | 134,122,294 | 30,105,045 | 333,603,519 |
| Total net increase | 37,883,189 | 399,692,269 | 41,653,517 | 460,373,330 |
The accompanying Notes to Financial Statements are
an integral part of this statement.
| 28 | Columbia Corporate Income Fund | Annual Report 2022 |
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 4/30/2022 | $10.77 | 0.21 | (1.32) | (1.11) | (0.22) | (0.22) | (0.44) |
| 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) |
| Advisor Class | |||||||
| Year Ended 4/30/2022 | $10.76 | 0.25 | (1.34) | (1.09) | (0.24) | (0.22) | (0.46) |
| 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) |
| Class C | |||||||
| Year Ended 4/30/2022 | $10.77 | 0.15 | (1.32) | (1.17) | (0.16) | (0.22) | (0.38) |
| 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) |
| Institutional Class | |||||||
| Year Ended 4/30/2022 | $10.77 | 0.24 | (1.33) | (1.09) | (0.24) | (0.22) | (0.46) |
| 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) |
| Institutional 2 Class | |||||||
| Year Ended 4/30/2022 | $10.76 | 0.25 | (1.32) | (1.07) | (0.26) | (0.22) | (0.48) |
| 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) |
The accompanying Notes to
Financial Statements are an integral part of this statement.
| 30 | Columbia Corporate Income Fund | Annual Report 2022 |
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 4/30/2022 | $9.22 | (10.79%) | 0.92% | 0.87%(c) | 2.03% | 80% | $107,905 |
| 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 |
| Advisor Class | |||||||
| Year Ended 4/30/2022 | $9.21 | (10.58%) | 0.67% | 0.62%(c) | 2.54% | 80% | $190,943 |
| 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 |
| Class C | |||||||
| Year Ended 4/30/2022 | $9.22 | (11.28%) | 1.54% | 1.42%(c) | 1.41% | 80% | $2,609 |
| 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 |
| Institutional Class | |||||||
| Year Ended 4/30/2022 | $9.22 | (10.57%) | 0.67% | 0.62%(c) | 2.24% | 80% | $380,743 |
| 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 |
| Institutional 2 Class | |||||||
| Year Ended 4/30/2022 | $9.21 | (10.49%) | 0.56% | 0.52% | 2.34% | 80% | $51,119 |
| 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 |
The accompanying Notes to
Financial Statements are an integral part of this statement.
| Columbia Corporate Income Fund | Annual Report 2022 | 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 | |
| Institutional 3 Class | |||||||
| Year Ended 4/30/2022 | $10.77 | 0.25 | (1.32) | (1.07) | (0.26) | (0.22) | (0.48) |
| 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) |
| Notes to Financial Highlights | |
| (a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
| (b) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
| (c) | The benefits derived from expense reductions had an impact of less than 0.01%. |
The accompanying Notes to
Financial Statements are an integral part of this statement.
| 32 | Columbia Corporate Income Fund | Annual Report 2022 |
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 4/30/2022 | $9.22 | (10.43%) | 0.51% | 0.47% | 2.39% | 80% | $864,900 |
| 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 |
The accompanying Notes to Financial Statements are
an integral part of this statement.
| Columbia Corporate Income Fund | Annual Report 2022 | 33 |
Notes to Financial Statements
April 30, 2022
April 30, 2022
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. Class C shares automatically convert to Class A shares after 8 years. Advisor Class, Institutional Class, Institutional 2 Class
and Institutional 3 Class shares are available for purchase through authorized investment professionals to omnibus retirement plans or to institutional investors and to certain other investors as also described in the
Fund’s prospectus.
Note 2. Summary of
significant accounting policies
Basis of preparation
The Fund is an investment company
that applies the accounting and reporting guidance in the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946, Financial Services - Investment Companies (ASC 946). The financial statements are prepared in accordance with U.S. generally accepted accounting principles (GAAP), which requires
management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities, the disclosure of contingent assets and liabilities at the date of the financial statements and the
reported amounts of income and expenses during the reporting period. Actual results could differ from those estimates. The 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 price on their primary exchange at the close of business of the New York Stock Exchange. Securities with a closing price not readily available or not listed on
any exchange are valued at the mean between the closing bid and ask prices. Listed preferred stocks convertible into common stocks are valued using an evaluated price from a pricing service.
Debt securities generally are
valued 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.
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.
| 34 | Columbia Corporate Income Fund | Annual Report 2022 |
Notes to Financial Statements (continued)
April 30, 2022
April 30, 2022
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.
Foreign currency transactions and
translations
The values of all assets and
liabilities denominated in foreign currencies are generally translated into U.S. dollars at exchange rates determined at the close of regular trading on the New York Stock Exchange. Net realized and unrealized gains
(losses) on foreign currency transactions and translations include gains (losses) arising from the fluctuation in exchange rates between trade and settlement dates on securities transactions, gains (losses) arising
from the disposition of foreign currency and currency gains (losses) between the accrual and payment dates on dividends, interest income and foreign withholding taxes.
For financial statement purposes,
the Fund does not distinguish that portion of gains (losses) on investments which is due to changes in foreign exchange rates from that which is due to changes in market prices of the investments. Such fluctuations
are included with the net realized and unrealized gains (losses) on investments in the Statement of Operations.
Derivative instruments
The Fund invests in certain
derivative instruments, as detailed below, in seeking to meet its investment objectives. Derivatives are instruments whose values depend on, or are derived from, in whole or in part, the value of one or more
securities, currencies, commodities, indices, or other assets or instruments. Derivatives may be used to increase investment flexibility (including to maintain cash reserves while maintaining desired exposure to
certain assets), for risk management (hedging) purposes, to facilitate trading, to reduce transaction costs and to pursue higher investment returns. The Fund may also use derivative instruments to mitigate certain
investment risks, such as foreign currency exchange rate risk, interest rate risk and credit risk. Derivatives may involve various risks, including the potential inability of the counterparty to fulfill its
obligations under the terms of the contract, the potential for an illiquid secondary market (making it difficult for the Fund to sell or terminate, including at favorable prices) and the potential for market movements
which may expose the Fund to gains or losses in excess of the amount shown in the Statement of Assets and Liabilities. The notional amounts of derivative instruments, if applicable, are not recorded in the financial
statements.
A derivative instrument may suffer
a marked-to-market loss if the value of the contract decreases due to an unfavorable change in the market rates or values of the underlying instrument. Losses can also occur if the counterparty does not perform its
obligations under the contract. The Fund’s risk of loss from counterparty credit risk on over-the-counter derivatives is generally limited to the aggregate unrealized gain netted against any collateral held by
the Fund and the amount of any variation margin held by the counterparty, plus any replacement costs or related amounts. With exchange-traded or centrally cleared derivatives, there is reduced counterparty credit risk
to the Fund since the clearinghouse or central counterparty (CCP) provides some protection in the case of clearing member default. The clearinghouse or CCP stands between the buyer and the seller of the contract;
therefore, failure of the clearinghouse or CCP may pose additional counterparty credit risk. However, credit risk still exists in exchange-traded or centrally cleared derivatives with respect to initial and variation
margin that is held in a broker’s customer account. While clearing brokers are required to segregate customer margin from their own assets, in the event that a clearing broker becomes insolvent or goes into
bankruptcy and at that time there is a shortfall in
| Columbia Corporate Income Fund | Annual Report 2022 | 35 |
Notes to Financial Statements (continued)
April 30, 2022
April 30, 2022
the aggregate amount of margin held by the
clearing broker for all its clients and such shortfall is remedied by the CCP or otherwise, U.S. bankruptcy laws will typically allocate that shortfall on a pro-rata basis across all the clearing broker’s
customers (including the Fund), potentially resulting in losses to the Fund.
In order to better define its
contractual rights and to secure rights that will help the Fund mitigate its counterparty risk, the Fund may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (ISDA Master Agreement)
or similar agreement with its derivatives counterparties. An ISDA Master Agreement is an agreement between the Fund and a counterparty that governs over-the-counter derivatives and foreign exchange forward contracts
and contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. Under an ISDA Master Agreement, the Fund may, under certain circumstances, offset
with the counterparty certain derivative instruments’ payables and/or receivables with collateral held and/or posted and create one single net payment. The provisions of the ISDA Master Agreement typically
permit a single net payment in the event of default (close-out netting), including the bankruptcy or insolvency of the counterparty. Note, however, that bankruptcy or insolvency laws of a particular jurisdiction may
impose restrictions on or prohibitions against the right of offset or netting in bankruptcy, insolvency or other events.
Collateral (margin) requirements
differ by type of derivative. Margin requirements are established by the clearinghouse or CCP for exchange-traded and centrally cleared derivatives. Brokers can ask for margin in excess of the minimum in certain
circumstances. Collateral terms for most over-the-counter derivatives are subject to regulatory requirements to exchange variation margin with trading counterparties and may have contract specific margin terms as
well. For over-the-counter derivatives traded under an ISDA Master Agreement, the collateral requirements are typically calculated by netting the marked-to-market amount for each transaction under such agreement and
comparing that amount to the value of any variation margin currently pledged by the Fund and/or the counterparty. Generally, the amount of collateral due from or to a party has to exceed a minimum transfer amount
threshold (e.g., $250,000) before a transfer has to be made. To the extent amounts due to the Fund from its counterparties are not fully collateralized, contractually or otherwise, the Fund bears the risk of loss from
counterparty nonperformance. The Fund may also pay interest expense on cash collateral received from the broker. Any interest expense paid by the Fund is shown in 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. 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
| 36 | Columbia Corporate Income Fund | Annual Report 2022 |
Notes to Financial Statements (continued)
April 30, 2022
April 30, 2022
unrealized gains or losses. The Fund generally
expects to earn interest income on its margin deposits. The Fund recognizes a realized gain or loss when the contract is closed or expires. Futures contracts involve, to varying degrees, risk of loss in excess of the
variation margin disclosed in the Statement of Assets and Liabilities.
Effects of derivative transactions in
the financial statements
The following tables are intended
to provide additional information about the effect of derivatives on the financial statements of the Fund, including: the fair value of derivatives by risk category and the location of those fair values in the
Statement of Assets and Liabilities; and the impact of derivative transactions over the period in the Statement of Operations, including realized and unrealized gains (losses). The derivative instrument schedules
following the Portfolio of Investments present additional information regarding derivative instruments outstanding at the end of the period, if any.
The following table is a summary of
the fair value of derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) at April 30, 2022:
| * | 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, 2022:
The following table is a summary
of the average outstanding volume by derivative instrument for the year ended April 30, 2022:
| Derivative instrument | Average notional amounts ($)* |
| Futures contracts — long | 331,736,022 |
| Futures contracts — short | 267,574,727 |
| * | Based on the ending quarterly outstanding amounts for the year ended April 30, 2022. |
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.
| Columbia Corporate Income Fund | Annual Report 2022 | 37 |
Notes to Financial Statements (continued)
April 30, 2022
April 30, 2022
Although certain senior loan assignments are
secured by collateral, the Fund could experience delays or limitations in realizing such collateral or have its interest subordinated to other indebtedness of the obligor. In the event that the administrator or
collateral agent of a loan becomes insolvent or enters into receivership or bankruptcy, the Fund may incur costs and delays in realizing payment or may suffer a loss of principal and/or interest. The risk of loss is
greater for unsecured or subordinated loans. In addition, senior loan assignments are vulnerable to market, economic or other conditions or events that may reduce the demand for senior loan assignments and certain
senior loan assignments which were liquid when purchased, may become illiquid.
The Fund may enter into senior loan
assignments where all or a portion of the loan may be unfunded. The Fund is obligated to fund these commitments at the borrower’s discretion. These commitments, if any, are generally traded and priced in the
same manner as other senior loan securities and are disclosed as unfunded senior loan commitments in the Fund’s Portfolio of Investments with a corresponding payable for investments purchased. The Fund
designates cash or liquid securities to cover these commitments.
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. For
convertible securities, premiums attributable to the conversion feature are not amortized.
The Fund may place a debt security
on non-accrual status and reduce related interest income when it becomes probable that the interest will not be collected and the amount of uncollectible interest can be reasonably estimated. 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.
| 38 | Columbia Corporate Income Fund | Annual Report 2022 |
Notes to Financial Statements (continued)
April 30, 2022
April 30, 2022
The value of additional securities
received as an income payment through a payment in kind, if any, is recorded as interest income and increases the cost basis of such securities.
The Fund may receive other income
from senior loans, including amendment fees, consent fees and commitment fees. These fees are recorded as income when received by the Fund. These amounts are included in Interest Income in the Statement of
Operations.
Expenses
General expenses of the Trust are
allocated to the Fund and other funds of the Trust based upon relative net assets or other expense allocation methodologies determined by the nature of the expense. Expenses directly attributable to the Fund are
charged to the Fund. Expenses directly attributable to a specific class of shares are charged to that share class.
Determination of class net asset
value
All income, expenses (other than
class-specific expenses, which are charged to that share class, as shown in the Statement of Operations) and realized and unrealized gains (losses) are allocated to each class of the Fund on a daily basis, based on
the relative net assets of each class, for purposes of determining the net asset value of each class.
Federal income tax status
The Fund intends to qualify each
year as a regulated investment company under Subchapter M of the Internal Revenue Code, as amended, and will distribute substantially all of its investment company taxable income and net capital gain, if any, for its
tax year, and as such will not be subject to federal income taxes. In addition, the Fund intends to distribute in each calendar year substantially all of its ordinary income, capital gain net income and certain other
amounts, if any, such that the Fund should not be subject to federal excise tax. Therefore, no federal income or excise tax provision is recorded.
Foreign taxes
The Fund may be subject to foreign
taxes on income, gains on investments or currency repatriation, a portion of which may be recoverable. The Fund will accrue such taxes and recoveries, as applicable, based upon its current interpretation of tax rules
and regulations that exist in the markets in which it invests.
Realized gains in certain countries
may be subject to foreign taxes at the Fund level, based on statutory rates. The Fund accrues for such foreign taxes on realized and unrealized gains at the appropriate rate for each jurisdiction, as applicable. The
amount, if any, is disclosed as a liability in the Statement of Assets and Liabilities.
Distributions to shareholders
Distributions from net investment
income, if any, are declared daily and paid monthly. Net realized capital gains, if any, are distributed at least annually. Income distributions and capital gain distributions are determined in accordance with federal
income tax regulations, which may differ from GAAP.
Guarantees and indemnifications
Under the Trust’s
organizational documents and, in some cases, by contract, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Trust or its funds. In addition,
certain of the Fund’s contracts with its service providers contain general indemnification clauses. The Fund’s maximum exposure under these arrangements is unknown since the amount of any future claims
that may be made against the Fund cannot be determined, and the Fund has no historical basis for predicting the likelihood of any such claims.
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
| Columbia Corporate Income Fund | Annual Report 2022 | 39 |
Notes to Financial Statements (continued)
April 30, 2022
April 30, 2022
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,
2022 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" in the Statement of Operations.
Compensation of Chief Compliance
Officer
The Board of Trustees has appointed
a Chief Compliance Officer for the Fund in accordance with federal securities regulations. As disclosed in the Statement of Operations, a portion of the Chief Compliance Officer’s total compensation is allocated
to the Fund, along with other allocations to affiliated registered investment companies managed by the Investment Manager and its affiliates, based on relative net assets.
Transfer agency fees
Under a Transfer and Dividend
Disbursing Agent Agreement, Columbia Management Investment Services Corp. (the Transfer Agent), an affiliate of the Investment Manager and a wholly-owned subsidiary of Ameriprise Financial, is responsible for
providing transfer agency services to the Fund. The Transfer Agent has contracted with 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, 2021 through August 31, 2024, 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,
2022, the Fund’s effective transfer agency fee rates as a percentage of average daily net assets of each class were as follows:
| 40 | Columbia Corporate Income Fund | Annual Report 2022 |
Notes to Financial Statements (continued)
April 30, 2022
April 30, 2022
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, 2022, these minimum account balance fees reduced total expenses of
the Fund by $794.
Distribution and service fees
The Fund has entered into an
agreement with Columbia Management Investment Distributors, Inc. (the Distributor), an affiliate of the Investment Manager and a wholly-owned subsidiary of Ameriprise Financial, for distribution and shareholder
services. The Board of Trustees has approved, and the Fund has adopted, distribution and shareholder service plans (the Plans) applicable to certain share classes, which set the distribution and service fees for the
Fund. These fees are calculated daily and are intended to compensate the Distributor and/or eligible selling and/or servicing agents for selling shares of the Fund and providing services to investors.
Under the Plans, the Fund pays a
monthly service fee to the Distributor at the maximum annual rate of 0.25% of the average daily net assets attributable to Class A and Class C shares of the Fund. Also under the Plans, the Fund pays a monthly
distribution fee to the Distributor at the maximum annual rate of 0.75% of the average daily net assets attributable to Class C shares of the Fund.
Effective September 1, 2021, the
Distributor has reduced the distribution fee for Class C shares to 0.55% annually of the average daily net assets attributable to Class C shares. Prior to September 1, 2021, the Distributor contractually waived
a portion of the distribution fee for Class C shares so that the distribution fee did not exceed 0.55% annually of the average daily net assets attributable to Class C shares. This arrangement could have been modified
or terminated at the sole discretion of the Board of Trustees.
Sales charges (unaudited)
Sales charges, including front-end
charges and contingent deferred sales charges (CDSCs), received by the Distributor for distributing Fund shares for the year ended April 30, 2022, if any, are listed below:
| Front End (%) | CDSC (%) | Amount ($) | |
| Class A | 4.75 | 0.50 - 1.00(a) | 52,103 |
| Class C | — | 1.00(b) | 1,493 |
| (a) | This charge is imposed on certain investments of between $1 million and $50 million redeemed within 18 months after purchase, as follows: 1.00% if redeemed within 12 months after purchase, and 0.50% if redeemed more than 12, but less than 18, months after purchase, with certain limited exceptions. |
| (b) | This charge applies to redemptions within 12 months after purchase, with certain limited exceptions. |
The Fund’s other share
classes are not subject to sales charges.
Expenses waived/reimbursed by the
Investment Manager and its affiliates
The Investment Manager and certain
of its affiliates have contractually agreed to waive fees and/or reimburse expenses (excluding certain fees and expenses described below) for the period(s) disclosed below, unless sooner terminated at the sole
discretion of the Board of Trustees, so that the Fund’s net operating expenses, after giving effect to fees waived/expenses reimbursed and any balance credits and/or overdraft charges from the Fund’s
custodian, do not exceed the following annual rate(s) as a percentage of the classes’ average daily net assets:
| Columbia Corporate Income Fund | Annual Report 2022 | 41 |
Notes to Financial Statements (continued)
April 30, 2022
April 30, 2022
Under the agreement governing
these fee waivers and/or expense reimbursement arrangements, the following fees and expenses are excluded from the waiver/reimbursement commitment, and therefore will be paid by the Fund, if applicable: taxes
(including foreign transaction taxes), expenses associated with investments in affiliated and non-affiliated pooled investment vehicles (including mutual funds and exchange-traded funds), transaction costs and
brokerage commissions, costs related to any securities lending program, dividend expenses associated with securities sold short, inverse floater program fees and expenses, transaction charges and interest on borrowed
money, interest, costs associated with shareholder meetings, infrequent and/or unusual expenses and any other expenses the exclusion of which is specifically approved by the Board of Trustees. This agreement may be
modified or amended only with approval from the Investment Manager, certain of its affiliates and the Fund. 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, 2021 through August 31,
2024, is the Transfer Agent’s contractual agreement to limit total transfer agency fees to an annual rate of not more than 0.05% for Institutional 2 Class and 0.00% for Institutional 3 Class of the average daily
net assets attributable to each share class. Prior to September 1, 2021, Class C distribution fees waived by the Distributor, as discussed above, were in addition to the waiver/reimbursement commitment under the
agreement. Any fees waived and/or expenses reimbursed under the expense reimbursement arrangements described above are not recoverable by the Investment Manager or its affiliates in future periods.
Note 4. Federal tax
information
The timing and character of
income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP because of temporary or permanent book to tax differences.
At April 30, 2022, 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, principal and/or interest of fixed income securities, distribution reclassifications and foreign currency transactions. To the extent these differences were permanent, reclassifications were made among
the components of the Fund’s net assets. Temporary differences do not require reclassifications.
The following reclassifications
were made:
| Excess of distributions over net investment income ($) | Accumulated net realized (loss) ($) | Paid in capital ($) |
| 618,813 | (631,373) | 12,560 |
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, 2022 | Year Ended April 30, 2021 | ||||
| Ordinary income ($) | Long-term capital gains ($) | Total ($) | Ordinary income ($) | Long-term capital gains ($) | Total ($) |
| 47,640,113 | 22,768,659 | 70,408,772 | 45,213,911 | 35,403,603 | 80,617,514 |
Short-term capital gain
distributions, if any, are considered ordinary income distributions for tax purposes.
At April 30, 2022, the components
of distributable earnings on a tax basis were as follows:
| Undistributed ordinary income ($) | Undistributed long-term capital gains ($) | Capital loss carryforwards ($) | Net unrealized (depreciation) ($) |
| 3,982,679 | — | — | (199,656,418) |
| 42 | Columbia Corporate Income Fund | Annual Report 2022 |
Notes to Financial Statements (continued)
April 30, 2022
April 30, 2022
At April 30, 2022, the cost of all
investments for federal income tax purposes along with the aggregate gross unrealized appreciation and depreciation based on that cost was:
| Federal tax cost ($) | Gross unrealized appreciation ($) | Gross unrealized (depreciation) ($) | Net unrealized (depreciation) ($) |
| 1,789,813,674 | 2,783,346 | (202,439,764) | (199,656,418) |
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, 2022, the Fund will elect to treat the following late-year ordinary losses and post-October capital losses as arising on May 1, 2022.
| Late year ordinary losses ($) | Post-October capital losses ($) |
| — | 16,734,117 |
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 $1,275,922,195 and $1,225,081,960, respectively, for the year ended April 30, 2022, of which $17,949,320 and
$18,907,202, respectively, were U.S. government securities. 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 $73,475,566 and $2,483,200, respectively, for the year ended April 30, 2022.
Note 6. Affiliated money
market fund
The Fund invests in Columbia
Short-Term Cash Fund, an affiliated money market fund established for the exclusive use by the Fund and other affiliated funds (the Affiliated MMF). The income earned by the Fund from such investments is included as
Dividends - affiliated issuers in the Statement of Operations. As an investing fund, the Fund indirectly bears its proportionate share of the expenses of the Affiliated MMF. The Affiliated MMF prices its shares with a
floating net asset value. In addition, the Board of Trustees of the Affiliated MMF may impose a fee on redemptions (sometimes referred to as a liquidity fee) or temporarily suspend redemptions (sometimes
referred to as imposing a redemption gate) in the event its liquidity falls below regulatory limits.
Note 7. Interfund
lending
Pursuant to an exemptive order
granted by the Securities and Exchange Commission, the Fund participates in a program (the Interfund Program) allowing each participating Columbia Fund (each, a Participating Fund) to lend money directly to and,
except for closed-end funds and money market funds, borrow money directly from other Participating Funds for temporary purposes. The amounts eligible for borrowing and lending under the Interfund Program are subject
to certain restrictions.
| Columbia Corporate Income Fund | Annual Report 2022 | 43 |
Notes to Financial Statements (continued)
April 30, 2022
April 30, 2022
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, 2022.
Note 8. Line of credit
The Fund has access to a
revolving credit facility with a syndicate of banks led by JPMorgan Chase Bank, N.A., Citibank, N.A. and Wells Fargo Bank, N.A. whereby the Fund may borrow for the temporary funding of shareholder redemptions or for
other temporary or emergency purposes. Pursuant to an October 28, 2021 amendment and restatement, the credit facility, which is an agreement between the Fund and certain other funds managed by the Investment Manager
or an affiliated investment manager, severally and not jointly, permits aggregate borrowings up to $950 million. Interest is currently charged to each participating fund based on its borrowings at a rate equal to the
higher of (i) the federal funds effective rate, (ii) the secured overnight financing rate plus 0.11448% and (iii) the overnight bank funding rate, plus in each case, 1.00%. Each borrowing under the credit facility
matures no later than 60 days after the date of borrowing. The Fund also pays a commitment fee equal to its pro rata share of the unused amount of the credit facility at a rate of 0.15% per annum. The commitment fee
is included in other expenses in the Statement of Operations. This agreement expires annually in October unless extended or renewed. Prior to the October 28, 2021 amendment and restatement, the Fund had access to a
revolving credit facility with a syndicate of banks led by JPMorgan Chase Bank, N.A., Citibank, N.A. and Wells Fargo Bank, N.A. which permitted collective borrowings up to $950 million. Interest was charged to each
participating fund based on its borrowings at a rate equal to the higher of (i) the federal funds effective rate, (ii) the one-month London Interbank Offered Rate (LIBOR) rate and (iii) the overnight bank funding
rate, plus in each case, 1.25%.
The Fund had no borrowings during
the year ended April 30, 2022.
Note 9. Fund
reorganization
At the close of business on
January 21, 2022, the Fund acquired the assets and assumed the identified liabilities of BMO Corporate Income Fund (the Acquired Fund), a series of BMO Funds Inc. The reorganization was completed after
shareholders of the Acquired Fund approved a plan of reorganization at a shareholder meeting held on January 7, 2022. The purpose of the reorganization was to combine two funds with comparable investment objectives
and strategies.
The aggregate net assets of the
Fund immediately before the reorganization were $1,506,560,053 and the combined net assets immediately after the reorganization were $1,820,085,333.
The reorganization was accomplished
by a tax-free exchange of 23,832,742 shares of the Acquired Fund valued at $313,525,280 (including $6,649,604 of unrealized appreciation/(depreciation)).
In exchange for the Acquired
Fund’s shares, the Fund issued the following number of shares:
| Shares | |
| Class A | 5,714,967 |
| Advisor Class | 24,537,894 |
For financial reporting purposes,
net assets received and shares issued by the Fund were recorded at fair value; however, the Acquired Fund’s cost of investments was carried forward.
The Fund’s financial
statements reflect both the operations of the Fund for the period prior to the reorganization and the combined Fund for the period subsequent to the reorganization. Because the combined investment portfolios have been
managed as a single integrated portfolio since the reorganization was completed, it is not practicable to separate the amounts of revenue and earnings of the Acquired Fund that have been included in the combined
Fund’s Statement of Operations since the reorganization was completed.
| 44 | Columbia Corporate Income Fund | Annual Report 2022 |
Notes to Financial Statements (continued)
April 30, 2022
April 30, 2022
Assuming the reorganization had
been completed on May 1, 2021, the Fund’s pro-forma results of operations for the year ended April 30, 2022 would have been approximately:
| ($) | |
| Net investment income | 45,018,000 |
| Net realized gain | 9,130,000 |
| Net change in unrealized appreciation/(depreciation) | (240,761,000) |
| Net decrease in net assets from operations | (186,613,000) |
Note 10. Significant
risks
Credit risk
Credit risk is the risk that the
value of debt instruments in the Fund’s portfolio may decline because the issuer defaults or otherwise becomes unable or unwilling, or is perceived to be unable or unwilling, to honor its financial obligations,
such as making payments to the Fund when due. Credit rating agencies assign credit ratings to certain debt instruments to indicate their credit risk. Lower-rated or unrated debt instruments held by the Fund may
present increased credit risk as compared to higher-rated debt instruments.
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 instruments tend to fall, and if interest rates fall, the values of debt instruments tend to rise.
Actions by governments and central banking authorities can result in increases or decreases in interest rates. Higher periods of inflation could lead such authorities to raise interest rates. Increasing interest rates
may negatively affect the value of debt securities held by the Fund, resulting in a negative impact on the Fund’s performance and net asset value per share. In general, the longer the maturity or duration of a
debt security, the greater its sensitivity to changes in interest rates. The Fund is subject to the risk that the income generated by its investments may not keep pace with inflation.
Liquidity risk
Liquidity risk is the risk
associated with a lack of marketability of investments which may make it difficult to sell the investment at a desirable time or price. Changing regulatory, market or other conditions or environments (for example, the
interest rate or credit environments) may adversely affect the liquidity of the Fund’s investments. The Fund may have to accept a lower selling price for the holding, sell other investments, or forego another,
more appealing investment opportunity. Generally, the less liquid the market at the time the Fund sells a portfolio investment, the greater the risk of loss or decline of value to the Fund. A less liquid market can
lead to an increase in Fund redemptions, which may negatively impact Fund performance and net asset value per share, including, for example, if the Fund is forced to sell securities in a down market.
Market risk
The Fund may incur losses due to
declines in the value of one or more securities in which it invests. These declines may be due to factors affecting a particular issuer, or the result of, among other things, political, regulatory, market, economic or
social developments affecting the relevant market(s) more generally. In addition, turbulence in financial markets and reduced liquidity in equity, credit and/or fixed income markets may negatively affect many issuers,
which could adversely affect the Fund’s ability to price or value hard-to-value assets in thinly traded and closed markets and could cause significant redemptions and operational challenges. Global economies and
financial markets are increasingly interconnected, and conditions and events in one country, region or financial market may adversely impact issuers in a different country, region or financial market. These risks may
be magnified if certain events or developments adversely interrupt the global supply chain; in these and other circumstances, such risks might affect companies worldwide. As a result, local, regional or global events
such as terrorism, war, natural disasters, disease/virus outbreaks and epidemics or other public health issues, recessions, depressions or other events – or the potential for such events – could have a
significant negative impact on global economic and market conditions.
| Columbia Corporate Income Fund | Annual Report 2022 | 45 |
Notes to Financial Statements (continued)
April 30, 2022
April 30, 2022
The large-scale invasion of Ukraine
by Russia in February 2022 has resulted in sanctions and market disruptions, including declines in regional and global stock and commodity markets and significant devaluations of Russian currency. The extent and
duration of the military action are impossible to predict but could be significant. Market disruption caused by the Russian military action, and any counter measures or responses thereto (including international
sanctions, a downgrade in the country’s credit rating, purchasing and financing restrictions, boycotts, tariffs, changes in consumer or purchaser preferences, cyberattacks and espionage) could have severe
adverse impacts on regional and/or global securities and commodities markets, including markets for oil and natural gas. These impacts may include reduced market liquidity, distress in credit markets, further
disruption of global supply chains, increased risk of inflation, and limited access to investments in certain international markets and/or issuers. These developments and other related events could negatively impact
Fund performance.
The pandemic caused by coronavirus
disease 2019 and its variants (COVID-19) 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 objective. Any such events could have a significant adverse impact on the value and risk profile of the Fund.
Shareholder concentration risk
At April 30, 2022, affiliated
shareholders of record owned 66.1% 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 11. Subsequent
events
Management has evaluated the
events and transactions that have occurred through the date the financial statements were issued and noted no items requiring adjustment of the financial statements or additional disclosure.
Note 12. Information
regarding pending and settled legal proceedings
Ameriprise Financial and certain
of its affiliates are involved in the normal course of business in legal proceedings which include regulatory inquiries, arbitration and litigation, including class actions concerning matters arising in connection
with the conduct of its activities as a diversified financial services firm. Ameriprise Financial believes that the Fund is not currently the subject of, and that neither Ameriprise Financial nor any of its affiliates
are the subject of, any pending legal, arbitration or regulatory proceedings that are likely to have a material adverse effect on the Fund or the ability of Ameriprise Financial or its affiliates to perform under
their contracts with the Fund. Ameriprise Financial is required to make quarterly (10-Q), annual (10-K) and, as necessary, 8-K filings with the Securities and Exchange Commission (SEC) on legal and regulatory matters
that relate to Ameriprise Financial and its affiliates. Copies of these filings may be obtained by accessing the SEC website at www.sec.gov.
| 46 | Columbia Corporate Income Fund | Annual Report 2022 |
Notes to Financial Statements (continued)
April 30, 2022
April 30, 2022
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 2022 | 47 |
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, 2022, the related statement of operations for the year ended April 30, 2022, the statement of changes in net assets for each of the two years in the period ended April 30, 2022, including the related notes,
and the financial highlights for each of the five years in the period ended April 30, 2022 (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, 2022, 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,
2022 and the financial highlights for each of the five years in the period ended April 30, 2022 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, 2022 by correspondence with the custodian, transfer agent, brokers and agent banks. We
believe that our audits provide a reasonable basis for our opinion.
/s/PricewaterhouseCoopers LLP
Minneapolis, Minnesota
June 23, 2022
We have served as the auditor of
one or more investment companies within the Columbia Funds Complex since 1977.
| 48 | Columbia Corporate Income Fund | Annual Report 2022 |
Federal Income Tax
Information
(Unaudited)
The Fund hereby designates the
following tax attributes for the fiscal year ended April 30, 2022. Shareholders will be notified in early 2023 of the amounts for use in preparing 2022 income tax returns.
| Capital gain dividend | Section 163(j) Interest Dividends |
| $17,649,722 | 81.59% |
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
(Unaudited)
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 290 Congress Street Boston, MA 02210 1953 | Trustee since 2017 | Executive Vice President, Global Head of Technology and Operations, Janus Capital Group, Inc., 2010-2016 | 176 | 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 2022 | 49 |
TRUSTEES AND OFFICERS (continued)
(Unaudited)
Independent trustees (continued)
(Unaudited)
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 290 Congress Street Boston, MA 02210 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, April-October 2021 | 176 | Former Trustee, Blue Cross and Blue Shield of Minnesota, 2009-2021 (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; former Director, Robina Foundation, 2009-2020 (Chair, 2014-2020); Director, Schulze Family Foundation, since 2021 |
| Pamela G. Carlton c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 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, Cleary Gottlieb Steen & Hamilton LLP, 1980-1982 | 176 | 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) since 2019; Director, Apollo Commercial Real Estate Finance, Inc. since 2021; the Governing Council of the Independent Directors Council (IDC), since 2021 |
| Janet Langford Carrig c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1957 | Trustee since 1996 | Senior Vice President, General Counsel and Corporate Secretary, ConocoPhillips (independent energy company), September 2007-October 2018 | 174 | 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 290 Congress Street Boston, MA 02210 1964 | Trustee since 2020 | Member, FINRA National Adjudicatory Council since January 2020; Adjunct Professor of Finance, Bentley University since January 2018; Consultant to Independent Trustees of CFVIT and CFST I from March 2016 to June 2020 with respect to CFVIT and to December 2020 with respect to CFST I; 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 | 174 | Former Director, The Autism Project, March 2015-December 2021; 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 |
| 50 | Columbia Corporate Income Fund | Annual Report 2022 |
TRUSTEES AND OFFICERS (continued)
(Unaudited)
Independent trustees (continued)
(Unaudited)
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 |
| Olive M. Darragh c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1962 | Trustee since 2020 | 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; Consultant to Independent Trustees of CFVIT and CFST I from June 2019 to June 2020 with respect to CFVIT and to December 2020 with respect to CFST I; Partner, Tudor Investments, 2004-2010; Senior Partner, McKinsey & Company (consulting), 1990-2004; Touche Ross CPA, 1985-1988 | 174 | Former Director, University of Edinburgh Business School (Member of US Board); former Director, Boston Public Library Foundation |
| Patricia M. Flynn c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 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 | 176 | Trustee, MA Taxpayers Foundation since 1997; Board of Governors, Innovation Institute, MA Technology Collaborative, 2010-2020; former Board of Directors, The MA Business Roundtable, 2003-2019 |
| Brian J. Gallagher c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1954 | Trustee since 2017 | Retired; Partner with Deloitte & Touche LLP and its predecessors, 1977-2016 | 176 | Trustee, Catholic Schools Foundation since 2004 |
| Douglas A. Hacker c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 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, CET I and CET 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 | 176 | 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 290 Congress Street Boston, MA 02210 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 | 174 | None |
| Columbia Corporate Income Fund | Annual Report 2022 | 51 |
TRUSTEES AND OFFICERS (continued)
(Unaudited)
Independent trustees (continued)
(Unaudited)
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 |
| David M. Moffett c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1952 | Trustee since 2011 | Retired; Consultant to Bridgewater and Associates | 174 | 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 |
| Catherine James Paglia c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1952 | Co-Chair since 2021; Chair of CFST, CFST II, CFVST II, CET I and CET 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. | 176 | 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) |
| Minor M. Shaw c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1947 | Trustee since 2003 | President, Micco LLC (private investments) since 2011; President, Micco Corp. (family investment business), 1998-2011 | 176 | Director, Blue Cross Blue Shield 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 since 1998 |
| 52 | Columbia Corporate Income Fund | Annual Report 2022 |
TRUSTEES AND OFFICERS (continued)
(Unaudited)
Independent trustees (continued)
(Unaudited)
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 290 Congress Street Boston, MA 02210 1967 | Trustee since 2020 | Chief Executive Officer, Millennial Portfolio Solutions LLC (asset management and consulting services), January 2016-January 2021; Non-executive Member of the Investment Committee and Valuation Committee, Sarona Asset Management Inc. (private equity firm) since September 2019; Advisor, Horizon Investments (asset management and consulting services), August 2018-January 2021; Advisor, Paradigm Asset Management, November 2016-December 2021; Consultant to Independent Trustees of CFVIT and CFST I from September 2016 to June 2020 with respect to CFVIT and to December 2020 with respect to CFST I; Director of Investments/Consultant, Casey Family Programs, April 2016-November 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 | 174 | Former Director, Investment Committee, Health Services for Children with Special Needs, Inc., 2012-2019; Director, Chair of Audit Committee, Consumer Credit Counseling Services (formerly Guidewell Financial Solutions), since 2019; Independent Director, Investment Committee and Valuation Committee, Sarona Asset Management, since 2019 |
| Sandra L. Yeager c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 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 | 176 | Former 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 (CET I), Columbia ETF Trust II (CET II), Columbia Funds Variable Insurance Trust (CFVIT) and Columbia Funds Variable Series Trust II (CFVST II). Messrs. Batejan, Beckman, Gallagher and Hacker and Mses. Blatz, Carlton, Flynn, Paglia, Shaw and Yeager serve as Directors of Columbia Seligman Premium Technology Growth Fund and Tri-Continental Corporation. |
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 |
| Daniel J. Beckman c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1962 | Trustee since November 2021 and President since June 2021 | Vice President – Head of North America Product, Columbia Management Investment Advisers, LLC since April 2015; President and Principal Executive Officer of the Columbia Funds since June 2021; officer of Columbia Funds and affiliated funds, 2020-2021 | 176 | Director, Ameriprise Trust Company, since October 2016; Director, Columbia Management Investment Distributors, Inc. since November 2018; Board of Governors, Columbia Wanger Asset Management, LLC since January 2022 |
| * | Interested person (as defined under the 1940 Act) by reason of being an officer, director, security holder and/or employee of the Investment Manager or Ameriprise Financial. |
The Statement of Additional
Information has additional information about the Fund’s Board members and is available, without charge, upon request by calling 800.345.6611, visiting columbiathreadneedleus.com/investor/ or contacting your
financial intermediary.
| Columbia Corporate Income Fund | Annual Report 2022 | 53 |
TRUSTEES AND OFFICERS (continued)
(Unaudited)
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. Beckman, who is President and Principal Executive Officer, the Fund’s other officers are:
(Unaudited)
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. Beckman, who is President and Principal Executive Officer, the Fund’s other officers are:
Fund officers
| 54 | Columbia Corporate Income Fund | Annual Report 2022 |
TRUSTEES AND OFFICERS (continued)
(Unaudited)
Fund officers (continued)
(Unaudited)
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 |
| Michael E. DeFao 290 Congress Street Boston, MA 02210 1968 | Vice President (2011) and Assistant Secretary (2010) | Vice President and Chief Counsel, Ameriprise Financial, Inc. since May 2010; Vice President, Chief Legal Officer and Assistant Secretary, Columbia Management Investment Advisers, LLC since October 2021 (previously Vice President and Assistant Secretary, May 2010 – September 2021). |
| 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
(Unaudited)
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, 2021,
through December 31, 2021, 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 2022 | 55 |
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.
© 2022 Columbia Management Investment
Advisers, LLC.
columbiathreadneedleus.com/investor/
ANN136_04_M01_(06/22)
Columbia Total
Return Bond Fund
Not FDIC or NCUA 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)
290 Congress Street
Boston, MA 02210
Fund distributor
Columbia Management Investment Distributors,
Inc.
290 Congress Street
Boston, MA 02210
Fund transfer agent
Columbia Management Investment Services Corp.
P.O. Box 219104
Kansas City, MO 64121-9104
Columbia Total Return Bond
Fund | Annual Report 2022
Fund at a Glance
(Unaudited)
(Unaudited)
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
Alex Christensen, CFA
Portfolio Manager
Managed Fund since March 2021
| Columbia Total Return Bond Fund | Annual Report 2022 | 3 |
Fund at a Glance (continued)
(Unaudited)
(Unaudited)
Performance of a hypothetical $10,000 investment (April 30, 2012 — April 30, 2022)
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.
| 4 | Columbia Total Return Bond Fund | Annual Report 2022 |
Fund at a Glance (continued)
(Unaudited)
(Unaudited)
its credit analysis process, along with such other
issuer-specific factors as cash flows, capital structure and leverage ratios, ability to de-leverage (repay) through free cash flow, quality of management, market positioning and access to capital, as well as such
security-specific factors as the terms of the security (e.g., interest rate and time to maturity) and the amount and type of any collateral.
| Market exposure through derivatives investments (% of notional exposure) (at April 30, 2022)(a) | |||
| Long | Short | Net | |
| Fixed Income Derivative Contracts | 268.6 | (168.0) | 100.6 |
| Foreign Currency Derivative Contracts | — | (0.6) | (0.6) |
| Total Notional Market Value of Derivative Contracts | 268.6 | (168.6) | 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 2022 | 5 |
Manager Discussion of Fund Performance
(Unaudited)
(Unaudited)
For the 12-month period that
ended April 30, 2022, Class A shares of Columbia Total Return Bond Fund returned -10.72% excluding sales charges. The Fund underperformed its benchmark, the Bloomberg U.S. Aggregate Bond Index, which returned
-8.51% for the same period.
Market overview
Entering the period, risk
sentiment continued to be supported by the dovish posture of the U.S. Federal Reserve (Fed). The central bank’s messaging indicated that it viewed increases in inflation above the traditional 2% target as
“transitory” and largely driven by pandemic-related supply chain issues. As such, the Fed felt justified in maintaining accommodative policies, including keeping the Fed funds target rate, the benchmark
overnight lending rate, near zero and engaging in bond purchases to keep longer term borrowing costs low as well. Against this backdrop, credit-oriented areas of the bond markets outperformed as investors sought yield
in a low-rate environment.
November of 2021 witnessed a shift
in the Fed’s messaging to acknowledge that inflation had become more entrenched than previously believed. The Fed began to taper its bond purchases and signaled that it would begin to raise short-term rates in
2022.
Inflation readouts remained
historically high entering the new year. These concerns were compounded as Russia’s late-February invasion of Ukraine exacerbated global supply chain issues and led to a spike in already high prices for oil and
other commodities. As a result, expectations for the pace of Fed tightening for the remainder of the year increased, leading market interest rates higher and weakening credit sentiment.
As signaled, in mid-March 2022, the
Fed implemented a quarter-point hike in short-term rates, the first such increase since December 2018. The Fed also formally ended its quantitative easing program and signaled it would soon begin reducing its holdings
of Treasuries and agency mortgage-backed securities by reinvesting a lower proportion of the proceeds from maturing securities. March saw China launch a new round of COVID-related lockdowns, leading to a further
deterioration in the global outlook for both growth and inflation.
For the 12-month period, yields
rose along the length of the Treasury curve and the curve flattened as increases were most significant for shorter maturities. To illustrate, the two-year Treasury yield rose 254 basis points from 0.16% to 2.70%, the
10-year yield rose 124 basis points from 1.65% to 2.89%, and the 30-year yield rose 66 basis points from 2.30% to 2.96%. (A basis point is 1/100 of a percent.)
The Fund’s notable
detractors during the period
| • | In broad terms, the Fund’s approach to balancing risk exposures across credit-oriented sectors and between credit risk and interest rate risk was less effective than we have seen historically as interest rates moved sharply higher and credit sentiment weakened in early 2022. |
| • | The Fund’s underperformance relative to the benchmark was largely the result of positioning with respect to interest rates. Specifically, the Fund had an above-benchmark stance with respect to duration and corresponding interest rate sensitivity as Treasury yields spiked in the first quarter of 2022. In addition, the Fund was overweight the front end of the curve which was most impacted by rising yields. |
| • | From an asset allocation perspective, the Fund’s underweight to Treasuries weighed on relative performance as investor risk aversion increased entering 2022. |
| • | Security selection within investment-grade corporates detracted as a tilt toward longer maturities had a negative impact as credit spreads widened in early 2022. |
The Fund’s notable
contributors during the period
| • | Overall sector allocation had a positive impact on performance relative to the benchmark. Most notably, the Fund’s exposure to non-agency mortgage-backed securities benefited return as the segment continued to be supported by a strong housing market and resilient consumer demand. |
| 6 | Columbia Total Return Bond Fund | Annual Report 2022 |
Manager Discussion of Fund Performance (continued)
(Unaudited)
(Unaudited)
| • | Within commercial mortgage-backed securities, a focus on single-asset, single-borrower issues with underlying collateral such as hotels and malls proved beneficial as investors were attracted to the economic reopening theme. |
| • | Within asset-backed securities, performance was supported by a focus on high quality collateralized loan obligations. |
| • | Exposure to below-investment grade, high-yield corporates proved additive, most notably issues in the BB quality range (the highest below-investment grade rating category). |
Derivative usage
The Fund invested in
highly-liquid, widely traded Treasury futures and interest rate swap contracts to help manage portfolio duration during the period. We believe that these enable 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 net negative impact on performance.
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 2022 | 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 2022 |
Portfolio of Investments
April 30, 2022
April 30, 2022
(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 2022 | 9 |
Portfolio of Investments (continued)
April 30, 2022
April 30, 2022
The accompanying Notes to Financial
Statements are an integral part of this statement.
| 10 | Columbia Total Return Bond Fund | Annual Report 2022 |
Portfolio of Investments (continued)
April 30, 2022
April 30, 2022
The accompanying Notes to Financial
Statements are an integral part of this statement.
| Columbia Total Return Bond Fund | Annual Report 2022 | 11 |
Portfolio of Investments (continued)
April 30, 2022
April 30, 2022
The accompanying Notes to Financial
Statements are an integral part of this statement.
| 12 | Columbia Total Return Bond Fund | Annual Report 2022 |
The accompanying Notes to Financial
Statements are an integral part of this statement.
| Columbia Total Return Bond Fund | Annual Report 2022 | 13 |
Portfolio of Investments (continued)
April 30, 2022
April 30, 2022
The accompanying Notes to Financial
Statements are an integral part of this statement.
| 14 | Columbia Total Return Bond Fund | Annual Report 2022 |
Portfolio of Investments (continued)
April 30, 2022
April 30, 2022
The accompanying Notes to Financial
Statements are an integral part of this statement.
| Columbia Total Return Bond Fund | Annual Report 2022 | 15 |
Portfolio of Investments (continued)
April 30, 2022
April 30, 2022
The accompanying Notes to Financial
Statements are an integral part of this statement.
| 16 | Columbia Total Return Bond Fund | Annual Report 2022 |
Portfolio of Investments (continued)
April 30, 2022
April 30, 2022
The accompanying Notes to Financial
Statements are an integral part of this statement.
| Columbia Total Return Bond Fund | Annual Report 2022 | 17 |
Portfolio of Investments (continued)
April 30, 2022
April 30, 2022
The accompanying Notes to Financial
Statements are an integral part of this statement.
| 18 | Columbia Total Return Bond Fund | Annual Report 2022 |
Portfolio of Investments (continued)
April 30, 2022
April 30, 2022
The accompanying Notes to Financial
Statements are an integral part of this statement.
| Columbia Total Return Bond Fund | Annual Report 2022 | 19 |
Portfolio of Investments (continued)
April 30, 2022
April 30, 2022
The accompanying Notes to Financial
Statements are an integral part of this statement.
| 20 | Columbia Total Return Bond Fund | Annual Report 2022 |
Portfolio of Investments (continued)
April 30, 2022
April 30, 2022
The accompanying Notes to Financial
Statements are an integral part of this statement.
| Columbia Total Return Bond Fund | Annual Report 2022 | 21 |
Portfolio of Investments (continued)
April 30, 2022
April 30, 2022
The accompanying Notes to Financial
Statements are an integral part of this statement.
| 22 | Columbia Total Return Bond Fund | Annual Report 2022 |
Portfolio of Investments (continued)
April 30, 2022
April 30, 2022
The accompanying Notes to Financial
Statements are an integral part of this statement.
| Columbia Total Return Bond Fund | Annual Report 2022 | 23 |
Portfolio of Investments (continued)
April 30, 2022
April 30, 2022
The accompanying Notes to Financial
Statements are an integral part of this statement.
| 24 | Columbia Total Return Bond Fund | Annual Report 2022 |
Portfolio of Investments (continued)
April 30, 2022
April 30, 2022
The accompanying Notes to Financial
Statements are an integral part of this statement.
| Columbia Total Return Bond Fund | Annual Report 2022 | 25 |
Portfolio of Investments (continued)
April 30, 2022
April 30, 2022
The accompanying Notes to Financial
Statements are an integral part of this statement.
| 26 | Columbia Total Return Bond Fund | Annual Report 2022 |
Portfolio of Investments (continued)
April 30, 2022
April 30, 2022
The accompanying Notes to Financial
Statements are an integral part of this statement.
| Columbia Total Return Bond Fund | Annual Report 2022 | 27 |
Portfolio of Investments (continued)
April 30, 2022
April 30, 2022
The accompanying Notes to Financial
Statements are an integral part of this statement.
| 28 | Columbia Total Return Bond Fund | Annual Report 2022 |
Portfolio of Investments (continued)
April 30, 2022
April 30, 2022
The accompanying Notes to Financial
Statements are an integral part of this statement.
| Columbia Total Return Bond Fund | Annual Report 2022 | 29 |
Portfolio of Investments (continued)
April 30, 2022
April 30, 2022
The accompanying Notes to Financial
Statements are an integral part of this statement.
| 30 | Columbia Total Return Bond Fund | Annual Report 2022 |
Portfolio of Investments (continued)
April 30, 2022
April 30, 2022
The accompanying Notes to Financial
Statements are an integral part of this statement.
| Columbia Total Return Bond Fund | Annual Report 2022 | 31 |
Portfolio of Investments (continued)
April 30, 2022
April 30, 2022
The accompanying Notes to Financial
Statements are an integral part of this statement.
| 32 | Columbia Total Return Bond Fund | Annual Report 2022 |
Portfolio of Investments (continued)
April 30, 2022
April 30, 2022
The accompanying Notes to Financial
Statements are an integral part of this statement.
| Columbia Total Return Bond Fund | Annual Report 2022 | 33 |
At April 30, 2022,
securities and/or cash totaling $75,843,568 were pledged as collateral.
The accompanying Notes to Financial Statements are
an integral part of this statement.
| 34 | Columbia Total Return Bond Fund | Annual Report 2022 |
Portfolio of Investments (continued)
April 30, 2022
April 30, 2022
Investments in derivatives
| Forward foreign currency exchange contracts | |||||
| Currency to be sold | Currency to be purchased | Counterparty | Settlement date | Unrealized appreciation ($) | Unrealized depreciation ($) |
| 4,490,000 EUR | 4,853,802 USD | UBS | 05/27/2022 | 112,120 | — |
| Long futures contracts | ||||||
| Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
| Euro-BTP | 517 | 06/2022 | EUR | 67,385,780 | — | (8,926,374) |
| Long Gilt | 389 | 06/2022 | GBP | 46,073,160 | — | (1,961,726) |
| U.S. Treasury 10-Year Note | 6,581 | 06/2022 | USD | 784,167,281 | — | (3,995,506) |
| U.S. Treasury 2-Year Note | 301 | 06/2022 | USD | 63,454,563 | — | (1,119,961) |
| U.S. Ultra Treasury Bond | 1,122 | 06/2022 | USD | 180,010,875 | — | (23,554,709) |
| Total | — | (39,558,276) | ||||
| Short futures contracts | ||||||
| Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
| U.S. Treasury 5-Year Note | (8,945) | 06/2022 | USD | (1,007,849,922) | 20,468,130 | — |
The accompanying Notes to Financial Statements are
an integral part of this statement.
| Columbia Total Return Bond Fund | Annual Report 2022 | 35 |
Portfolio of Investments (continued)
April 30, 2022
April 30, 2022
| Put option contracts written (continued) | ||||||||
| Description | Counterparty | Trading currency | Notional amount | Number of contracts | Exercise price/Rate | Expiration date | Premium received ($) | Value ($) |
| 5-Year OTC interest rate swap with Citi to receive exercise rate and pay 3-Month USD LIBOR BBA | Citi | USD | (172,100,000) | (172,100,000) | 1.75 | 07/05/2022 | (1,333,775) | (10,650,873) |
| 5-Year OTC interest rate swap with Morgan Stanley to receive exercise rate and pay 3-Month USD LIBOR BBA | Morgan Stanley | USD | (239,000,000) | (239,000,000) | 1.85 | 07/07/2022 | (2,031,500) | (13,740,038) |
| Total | (6,557,920) | (41,951,930) | ||||||
| Cleared credit default swap contracts - buy protection | |||||||||||
| Reference entity | Counterparty | Maturity date | Pay fixed rate (%) | Payment frequency | Notional currency | Notional amount | Value ($) | Upfront payments ($) | Upfront receipts ($) | Unrealized appreciation ($) | Unrealized depreciation ($) |
| Markit CDX North America High Yield Index, Series 38 | Morgan Stanley | 06/20/2027 | 5.000 | Quarterly | USD | 247,962,000 | 7,661,259 | — | — | 7,661,259 | — |
The accompanying Notes to Financial Statements are
an integral part of this statement.
| 36 | Columbia Total Return Bond Fund | Annual Report 2022 |
Portfolio of Investments (continued)
April 30, 2022
April 30, 2022
| Credit default swap contracts - sell protection (continued) | |||||||||||||
| Reference entity | Counterparty | Maturity date | Receive fixed rate (%) | Payment frequency | Implied credit spread (%)* | Notional currency | Notional amount | Value ($) | Periodic payments receivable (payable) ($) | Upfront payments ($) | Upfront receipts ($) | Unrealized appreciation ($) | Unrealized depreciation ($) |
| Markit CMBX North America Index, Series 13 BBB- | Goldman Sachs International | 12/16/2072 | 3.000 | Monthly | 5.312 | USD | 3,800,000 | (492,219) | 1,583 | — | (312,080) | — | (178,556) |
| Markit CMBX North America Index, Series 13 BBB- | Goldman Sachs International | 12/16/2072 | 3.000 | Monthly | 5.312 | USD | 5,400,000 | (699,469) | 2,250 | — | (277,825) | — | (419,394) |
| Markit CMBX North America Index, Series 13 BBB- | Goldman Sachs International | 12/16/2072 | 3.000 | Monthly | 5.312 | USD | 7,400,000 | (958,531) | 3,083 | — | (398,668) | — | (556,780) |
| Markit CMBX North America Index, Series 10 BBB- | JPMorgan | 11/17/2059 | 3.000 | Monthly | 6.373 | USD | 5,000,000 | (619,530) | 2,083 | — | (1,099,980) | 482,533 | — |
| Markit CMBX North America Index, Series 10 BBB- | JPMorgan | 11/17/2059 | 3.000 | Monthly | 6.373 | USD | 5,000,000 | (619,531) | 2,083 | — | (852,082) | 234,634 | — |
| Markit CMBX North America Index, Series 10 BBB- | JPMorgan | 11/17/2059 | 3.000 | Monthly | 6.373 | USD | 6,000,000 | (743,437) | 2,500 | — | (952,805) | 211,868 | — |
| Markit CMBX North America Index, Series 10 BBB- | JPMorgan | 11/17/2059 | 3.000 | Monthly | 6.373 | USD | 5,000,000 | (619,530) | 2,083 | — | (820,503) | 203,056 | — |
| Markit CMBX North America Index, Series 11 BBB- | JPMorgan | 11/18/2054 | 3.000 | Monthly | 5.389 | USD | 3,000,000 | (314,532) | 1,250 | — | (446,247) | 132,965 | — |
| Markit CMBX North America Index, Series 13 BBB- | JPMorgan | 12/16/2072 | 3.000 | Monthly | 5.312 | USD | 4,900,000 | (634,704) | 2,042 | — | (305,692) | — | (326,970) |
| Markit CMBX North America Index, Series 13 BBB- | JPMorgan | 12/16/2072 | 3.000 | Monthly | 5.312 | USD | 5,400,000 | (699,468) | 2,250 | — | (308,174) | — | (389,044) |
| Markit CMBX North America Index, Series 13 BBB- | JPMorgan | 12/16/2072 | 3.000 | Monthly | 5.312 | USD | 6,400,000 | (829,000) | 2,667 | — | (322,958) | — | (503,375) |
| Markit CMBX North America Index, Series 10 BBB- | Morgan Stanley | 11/17/2059 | 3.000 | Monthly | 6.373 | USD | 7,000,000 | (867,344) | 2,917 | — | (1,535,544) | 671,117 | — |
| Markit CMBX North America Index, Series 10 BBB- | Morgan Stanley | 11/17/2059 | 3.000 | Monthly | 6.373 | USD | 5,000,000 | (619,531) | 2,083 | — | (995,516) | 378,068 | — |
| Markit CMBX North America Index, Series 10 BBB- | Morgan Stanley | 11/17/2059 | 3.000 | Monthly | 6.373 | USD | 7,000,000 | (867,344) | 2,917 | — | (1,148,705) | 284,278 | — |
| Markit CMBX North America Index, Series 10 BBB- | Morgan Stanley | 11/17/2059 | 3.000 | Monthly | 6.373 | USD | 3,000,000 | (371,719) | 1,250 | — | (579,649) | 209,180 | — |
| Markit CMBX North America Index, Series 11 BBB- | Morgan Stanley | 11/18/2054 | 3.000 | Monthly | 5.389 | USD | 8,800,000 | (922,626) | 3,667 | — | (539,813) | — | (379,146) |
| Markit CMBX North America Index, Series 12 BBB- | Morgan Stanley | 08/17/2061 | 3.000 | Monthly | 5.403 | USD | 7,500,000 | (885,937) | 3,125 | — | (356,695) | — | (526,117) |
The accompanying Notes to Financial Statements are
an integral part of this statement.
| Columbia Total Return Bond Fund | Annual Report 2022 | 37 |
Portfolio of Investments (continued)
April 30, 2022
April 30, 2022
| Credit default swap contracts - sell protection (continued) | |||||||||||||
| Reference entity | Counterparty | Maturity date | Receive fixed rate (%) | Payment frequency | Implied credit spread (%)* | Notional currency | Notional amount | Value ($) | Periodic payments receivable (payable) ($) | Upfront payments ($) | Upfront receipts ($) | Unrealized appreciation ($) | Unrealized depreciation ($) |
| Markit CMBX North America Index, Series 13 BBB- | Morgan Stanley | 12/16/2072 | 3.000 | Monthly | 5.312 | USD | 23,000,000 | (2,979,217) | 9,583 | — | (1,304,330) | — | (1,665,304) |
| Markit CMBX North America Index, Series 14 BBB- | Morgan Stanley | 12/16/2072 | 3.000 | Monthly | 5.537 | USD | 6,250,000 | (829,101) | 2,604 | — | (570,153) | — | (256,344) |
| Total | (20,081,378) | 67,187 | — | (17,015,745) | 3,202,340 | (6,200,786) | |||||||
| * | 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, 2022, the total value of these securities amounted to $1,968,025,543, which represents 61.62% of total net assets. |
| (b) | Variable rate security. The interest rate shown was the current rate as of April 30, 2022. |
| (c) | Represents fair value as determined in good faith under procedures approved by the Board of Trustees. At April 30, 2022, the total value of these securities amounted to $51,748,634, which represents 1.62% of total net assets. |
| (d) | Security represents a pool of loans that generate cash payments generally over fixed periods of time. Such securities entitle the security holders to receive distributions (i.e. principal and interest, net of fees and expenses) that are tied to the payments made by the borrower on the underlying loans. Due to the structure of the security the cash payments received are not known until the time of payment. The interest rate shown is the stated coupon rate as of April 30, 2022 and is not reflective of the cash flow payments. |
| (e) | Valuation based on significant unobservable inputs. |
| (f) | Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. The interest rate shown was the current rate as of April 30, 2022. |
| (g) | Represents interest only securities which have the right to receive the monthly interest payments on an underlying pool of mortgage loans. |
| (h) | Non-income producing investment. |
| (i) | Represents a security purchased on a when-issued basis. |
| (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, 2022. |
| (k) | Represents securities that have defaulted on payment of interest. The Fund has stopped accruing interest on these securities. At April 30, 2022, the total value of these securities amounted to $41,069, which represents less than 0.01% of total net assets. |
| (l) | Payment-in-kind security. Interest can be paid by issuing additional par of the security or in cash. |
| (m) | Principal and interest may not be guaranteed by a governmental entity. |
| (n) | This security or a portion of this security has been pledged as collateral in connection with derivative contracts. |
| (o) | The stated interest rate represents the weighted average interest rate at April 30, 2022 of contracts within the senior loan facility. Interest rates on contracts are primarily determined either weekly, monthly or quarterly by reference to the indicated base lending rate and spread and the reset period. These base lending rates are primarily the LIBOR and other short-term rates. Base lending rates may be subject to a floor or minimum rate. The interest rate for senior loans purchased on a when-issued or delayed delivery basis will be determined upon settlement, therefore no interest rate is disclosed. Senior loans often require prepayments from excess cash flows or permit the borrowers to repay at their election. The degree to which borrowers repay cannot be predicted with accuracy. As a result, remaining maturities of senior loans may be less than the stated maturities. Generally, the Fund is contractually obligated to receive approval from the agent bank and/or borrower prior to the disposition of a senior loan. |
| (p) | The rate shown is the seven-day current annualized yield at April 30, 2022. |
The accompanying Notes to Financial Statements are
an integral part of this statement.
| 38 | Columbia Total Return Bond Fund | Annual Report 2022 |
Portfolio of Investments (continued)
April 30, 2022
April 30, 2022
Notes to Portfolio of Investments (continued)
| (q) | 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, 2022 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, 0.462% | ||||||||
| 167,900,915 | 1,909,282,665 | (1,955,867,587) | (4,081) | 121,311,912 | (9,527) | 162,789 | 121,348,316 | |
Abbreviation Legend
| CMO | Collateralized Mortgage Obligation |
| CMT | Constant Maturity Treasury |
| FHLMC | Federal Home Loan Mortgage Corporation |
| 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 |
| GBP | British Pound |
| 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
The accompanying Notes to Financial Statements are
an integral part of this statement.
| Columbia Total Return Bond Fund | Annual Report 2022 | 39 |
Portfolio of Investments (continued)
April 30, 2022
April 30, 2022
Fair value measurements (continued)
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.
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, 2022:
| Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | |
| Investments in Securities | ||||
| Asset-Backed Securities — Non-Agency | — | 324,672,389 | 15,192,448 | 339,864,837 |
| Commercial Mortgage-Backed Securities - Agency | — | 6,862,235 | — | 6,862,235 |
| Commercial Mortgage-Backed Securities - Non-Agency | — | 200,266,990 | — | 200,266,990 |
| Common Stocks | ||||
| Financials | 203,174 | — | — | 203,174 |
| Industrials | 75,397 | — | — | 75,397 |
| Total Common Stocks | 278,571 | — | — | 278,571 |
| Convertible Bonds | — | 728,875 | — | 728,875 |
| Corporate Bonds & Notes | — | 1,083,480,658 | 41,069 | 1,083,521,727 |
| Foreign Government Obligations | — | 76,905,380 | — | 76,905,380 |
| Residential Mortgage-Backed Securities - Agency | — | 598,765,491 | — | 598,765,491 |
| Residential Mortgage-Backed Securities - Non-Agency | — | 891,614,395 | 114,128,474 | 1,005,742,869 |
| Senior Loans | — | 5,034,892 | — | 5,034,892 |
| U.S. Treasury Obligations | 114,302,620 | — | — | 114,302,620 |
| Options Purchased Calls | — | 1,515,339 | — | 1,515,339 |
| Options Purchased Puts | — | 22,577,437 | — | 22,577,437 |
| Money Market Funds | 121,311,912 | — | — | 121,311,912 |
| Total Investments in Securities | 235,893,103 | 3,212,424,081 | 129,361,991 | 3,577,679,175 |
| Investments in Derivatives | ||||
| Asset | ||||
| Forward Foreign Currency Exchange Contracts | — | 112,120 | — | 112,120 |
| Futures Contracts | 20,468,130 | — | — | 20,468,130 |
| Swap Contracts | — | 11,702,622 | — | 11,702,622 |
| Liability | ||||
| Futures Contracts | (39,558,276) | — | — | (39,558,276) |
| Options Contracts Written | — | (41,951,930) | — | (41,951,930) |
| Swap Contracts | — | (6,200,786) | — | (6,200,786) |
| Total | 216,802,957 | 3,176,086,107 | 129,361,991 | 3,522,251,055 |
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:
| Balance as of 04/30/2021 ($) | Increase (decrease) in accrued discounts/ premiums ($) | Realized gain (loss) ($) | Change in unrealized appreciation (depreciation)(a) ($) | Purchases ($) | Sales ($) | Transfers into Level 3 ($) | Transfers out of Level 3 ($) | Balance as of 04/30/2022 ($) | |
| Asset-Backed Securities — Non-Agency | 9,110,923 | (1,689,489) | — | 1,138,047 | 13,749,910 | (7,116,943) | — | — | 15,192,448 |
| Corporate Bonds & Notes | 41,069 | — | — | — | — | — | — | — | 41,069 |
| Residential Mortgage-Backed Securities — Non-Agency | 113,532,969 | (37,422) | — | (410,600) | 62,050,000 | (62,756,603) | 26,750,000 | (24,999,870) | 114,128,474 |
| Total | 122,684,961 | (1,726,911) | — | 727,447 | 75,799,910 | (69,873,546) | 26,750,000 | (24,999,870) | 129,361,991 |
(a) Change in unrealized
appreciation (depreciation) relating to securities held at April 30, 2022 was $778,329, which is comprised of Asset-Backed Securities — Non-Agency of $1,177,312 and Residential Mortgage-Backed Securities —
Non-Agency of $(398,983).
The accompanying Notes to Financial Statements are
an integral part of this statement.
| 40 | Columbia Total Return Bond Fund | Annual Report 2022 |
Portfolio of Investments (continued)
April 30, 2022
April 30, 2022
Fair value measurements (continued)
The Fund’s assets assigned to the Level 3 category are valued utilizing the valuation technique deemed the most appropriate in the circumstances.
The Fund’s assets assigned to the Level 3 category are valued utilizing the valuation technique deemed the most appropriate in the circumstances.
Certain corporate bonds classified as
Level 3 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 2 to Level 3 due to utilizing a single market quotation from a broker dealer. As a result, management concluded that the market input(s) were generally unobservable.
Financial assets were transferred from
Level 3 to Level 2 as observable market inputs were utilized and management determined that there was sufficient, reliable and observable market data to value these assets as of period end.
The accompanying Notes to Financial Statements are
an integral part of this statement.
| Columbia Total Return Bond Fund | Annual Report 2022 | 41 |
Statement of Assets and Liabilities
April 30, 2022
April 30, 2022
| Assets | |
| Investments in securities, at value | |
| Unaffiliated issuers (cost $3,694,265,838) | $3,432,274,487 |
| Affiliated issuers (cost $121,298,696) | 121,311,912 |
| Options purchased (cost $6,921,781) | 24,092,776 |
| Cash | 1,067,190 |
| Cash collateral held at broker for: | |
| Swap contracts | 14,147,000 |
| TBA | 4,086,000 |
| Other(a) | 22,909,000 |
| Margin deposits on: | |
| Swap contracts | 14,556,992 |
| Unrealized appreciation on forward foreign currency exchange contracts | 112,120 |
| Unrealized appreciation on swap contracts | 4,041,363 |
| Upfront payments on swap contracts | 449,910 |
| Receivable for: | |
| Investments sold | 12,529,192 |
| Investments sold on a delayed delivery basis | 46,910,239 |
| Capital shares sold | 17,728,598 |
| Dividends | 44,447 |
| Interest | 18,211,549 |
| Foreign tax reclaims | 37,356 |
| Variation margin for futures contracts | 1,386,177 |
| Variation margin for swap contracts | 1,629,277 |
| Expense reimbursement due from Investment Manager | 11,892 |
| Prepaid expenses | 18,717 |
| Trustees’ deferred compensation plan | 377,069 |
| Total assets | 3,737,933,263 |
| Liabilities | |
| Option contracts written, at value (premiums received $6,557,920) | 41,951,930 |
| Unrealized depreciation on swap contracts | 6,200,786 |
| Upfront receipts on swap contracts | 17,015,745 |
| Payable for: | |
| Investments purchased | 2,888,038 |
| Investments purchased on a delayed delivery basis | 426,100,327 |
| Capital shares purchased | 38,878,123 |
| Distributions to shareholders | 7,517,363 |
| Variation margin for futures contracts | 2,769,527 |
| Management services fees | 42,186 |
| Distribution and/or service fees | 5,352 |
| Transfer agent fees | 397,775 |
| Compensation of board members | 26,801 |
| Other expenses | 111,482 |
| Trustees’ deferred compensation plan | 377,069 |
| Total liabilities | 544,282,504 |
| Net assets applicable to outstanding capital stock | $3,193,650,759 |
| Represented by | |
| Paid in capital | 3,628,521,490 |
| Total distributable earnings (loss) | (434,870,731) |
| Total - representing net assets applicable to outstanding capital stock | $3,193,650,759 |
The accompanying Notes to Financial Statements are
an integral part of this statement.
| 42 | Columbia Total Return Bond Fund | Annual Report 2022 |
Statement of Assets and Liabilities (continued)
April 30, 2022
April 30, 2022
| Class A | |
| Net assets | $699,471,376 |
| Shares outstanding | 21,292,217 |
| Net asset value per share | $32.85 |
| 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) | $33.87 |
| Advisor Class | |
| Net assets | $358,749,400 |
| Shares outstanding | 10,934,064 |
| Net asset value per share | $32.81 |
| Class C | |
| Net assets | $16,369,785 |
| Shares outstanding | 498,244 |
| Net asset value per share | $32.85 |
| Institutional Class | |
| Net assets | $1,497,858,453 |
| Shares outstanding | 45,568,918 |
| Net asset value per share | $32.87 |
| Institutional 2 Class | |
| Net assets | $209,091,191 |
| Shares outstanding | 6,373,474 |
| Net asset value per share | $32.81 |
| Institutional 3 Class | |
| Net assets | $405,758,860 |
| Shares outstanding | 12,342,698 |
| Net asset value per share | $32.87 |
| Class R | |
| Net assets | $6,351,694 |
| Shares outstanding | 193,265 |
| Net asset value per share | $32.87 |
| (a) | Includes collateral related to options purchased and options contracts written. |
The accompanying Notes to Financial Statements are
an integral part of this statement.
| Columbia Total Return Bond Fund | Annual Report 2022 | 43 |
Statement of Operations
Year Ended April 30, 2022
Year Ended April 30, 2022
| Net investment income | |
| Income: | |
| Dividends — affiliated issuers | $162,789 |
| Interest | 105,616,221 |
| Total income | 105,779,010 |
| Expenses: | |
| Management services fees | 15,626,595 |
| Distribution and/or service fees | |
| Class A | 1,989,544 |
| Class C | 199,653 |
| Class R | 31,492 |
| Transfer agent fees | |
| Class A | 938,409 |
| Advisor Class | 513,612 |
| Class C | 23,536 |
| Institutional Class | 1,613,465 |
| Institutional 2 Class | 127,012 |
| Institutional 3 Class | 25,456 |
| Class R | 7,431 |
| Compensation of board members | 51,593 |
| Custodian fees | 53,425 |
| Printing and postage fees | 168,998 |
| Registration fees | 226,818 |
| Audit fees | 49,690 |
| Legal fees | 43,890 |
| Interest on collateral | 48,971 |
| Compensation of chief compliance officer | 1,073 |
| Other | 40,481 |
| Total expenses | 21,781,144 |
| Fees waived or expenses reimbursed by Investment Manager and its affiliates | (4,125,761) |
| Fees waived by transfer agent | |
| Institutional 2 Class | (13,246) |
| Institutional 3 Class | (25,456) |
| Expense reduction | (1,300) |
| Total net expenses | 17,615,381 |
| Net investment income | 88,163,629 |
The accompanying Notes to Financial Statements are
an integral part of this statement.
| 44 | Columbia Total Return Bond Fund | Annual Report 2022 |
Statement of Operations (continued)
Year Ended April 30, 2022
Year Ended April 30, 2022
| Realized and unrealized gain (loss) — net | |
| Net realized gain (loss) on: | |
| Investments — unaffiliated issuers | $(31,365,460) |
| Investments — affiliated issuers | (9,527) |
| Foreign currency translations | (18,287) |
| Forward foreign currency exchange contracts | 468,371 |
| Futures contracts | (119,539,109) |
| Options purchased | 16,090,320 |
| Options contracts written | 1,793,910 |
| Swap contracts | (12,763,600) |
| Net realized loss | (145,343,382) |
| Net change in unrealized appreciation (depreciation) on: | |
| Investments — unaffiliated issuers | (311,001,744) |
| Investments — affiliated issuers | (4,081) |
| Foreign currency translations | (1,567) |
| Forward foreign currency exchange contracts | 165,952 |
| Futures contracts | (9,092,765) |
| Options purchased | 263,209 |
| Options contracts written | (35,641,450) |
| Swap contracts | 4,350,330 |
| Net change in unrealized appreciation (depreciation) | (350,962,116) |
| Net realized and unrealized loss | (496,305,498) |
| Net decrease in net assets resulting from operations | $(408,141,869) |
The accompanying Notes to
Financial Statements are an integral part of this statement.
| Columbia Total Return Bond Fund | Annual Report 2022 | 45 |
Statement of Changes in Net Assets
| Year Ended April 30, 2022 | Year Ended April 30, 2021 | |
| Operations | ||
| Net investment income | $88,163,629 | $74,216,346 |
| Net realized gain (loss) | (145,343,382) | 66,395,171 |
| Net change in unrealized appreciation (depreciation) | (350,962,116) | 87,375,881 |
| Net increase (decrease) in net assets resulting from operations | (408,141,869) | 227,987,398 |
| Distributions to shareholders | ||
| Net investment income and net realized gains | ||
| Class A | (20,545,842) | (59,111,740) |
| Advisor Class | (10,992,351) | (9,899,845) |
| Class C | (365,555) | (1,663,273) |
| Institutional Class | (39,125,903) | (69,252,953) |
| Institutional 2 Class | (6,621,970) | (8,342,279) |
| Institutional 3 Class | (13,245,990) | (41,349,583) |
| Class R | (147,159) | (239,878) |
| Total distributions to shareholders | (91,044,770) | (189,859,551) |
| Increase in net assets from capital stock activity | 1,148,230,395 | 374,921,635 |
| Total increase in net assets | 649,043,756 | 413,049,482 |
| Net assets at beginning of year | 2,544,607,003 | 2,131,557,521 |
| Net assets at end of year | $3,193,650,759 | $2,544,607,003 |
The accompanying Notes to
Financial Statements are an integral part of this statement.
| 46 | Columbia Total Return Bond Fund | Annual Report 2022 |
Statement of Changes in Net Assets (continued)
| Year Ended | Year Ended | |||
| April 30, 2022 | April 30, 2021 | |||
| Shares | Dollars ($) | Shares(a) | Dollars ($) | |
| Capital stock activity | ||||
| Class A | ||||
| Subscriptions | 3,044,452 | 113,585,218 | 3,392,143 | 131,241,097 |
| Fund reorganization | 1,160,251 | 43,249,882 | — | — |
| Distributions reinvested | 539,052 | 19,810,483 | 1,497,723 | 57,351,626 |
| Redemptions | (4,293,120) | (156,197,661) | (2,850,040) | (109,899,016) |
| Net increase | 450,635 | 20,447,922 | 2,039,826 | 78,693,707 |
| Advisor Class | ||||
| Subscriptions | 4,447,352 | 164,193,332 | 2,218,443 | 85,382,536 |
| Fund reorganization | 22,289,843 | 829,852,611 | — | — |
| Distributions reinvested | 294,563 | 10,666,605 | 258,509 | 9,883,128 |
| Redemptions | (20,328,558) | (718,469,434) | (775,459) | (29,812,236) |
| Net increase | 6,703,200 | 286,243,114 | 1,701,493 | 65,453,428 |
| Class C | ||||
| Subscriptions | 191,880 | 7,174,826 | 309,029 | 11,982,924 |
| Distributions reinvested | 9,468 | 348,440 | 41,869 | 1,601,588 |
| Redemptions | (245,685) | (9,028,183) | (368,227) | (14,177,432) |
| Net decrease | (44,337) | (1,504,917) | (17,329) | (592,920) |
| Institutional Class | ||||
| Subscriptions | 33,295,466 | 1,210,427,840 | 13,153,693 | 506,956,850 |
| Distributions reinvested | 915,801 | 33,518,142 | 1,704,417 | 65,293,510 |
| Redemptions | (16,764,044) | (602,857,360) | (5,951,290) | (229,194,998) |
| Net increase | 17,447,223 | 641,088,622 | 8,906,820 | 343,055,362 |
| Institutional 2 Class | ||||
| Subscriptions | 6,069,976 | 224,354,721 | 2,429,819 | 93,135,315 |
| Distributions reinvested | 180,719 | 6,615,919 | 217,562 | 8,317,392 |
| Redemptions | (4,012,675) | (143,682,213) | (795,737) | (30,592,116) |
| Net increase | 2,238,020 | 87,288,427 | 1,851,644 | 70,860,591 |
| Institutional 3 Class | ||||
| Subscriptions | 5,326,489 | 198,016,596 | 2,326,346 | 89,641,196 |
| Distributions reinvested | 187,435 | 6,885,479 | 602,295 | 23,118,888 |
| Redemptions | (2,548,127) | (92,789,213) | (7,755,176) | (297,530,308) |
| Net increase (decrease) | 2,965,797 | 112,112,862 | (4,826,535) | (184,770,224) |
| Class R | ||||
| Subscriptions | 109,119 | 4,081,279 | 82,698 | 3,167,249 |
| Distributions reinvested | 3,963 | 145,150 | 6,158 | 235,661 |
| Redemptions | (45,604) | (1,672,064) | (30,713) | (1,181,219) |
| Net increase | 67,478 | 2,554,365 | 58,143 | 2,221,691 |
| Total net increase | 29,828,016 | 1,148,230,395 | 9,714,062 | 374,921,635 |
| (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 Total Return Bond Fund | Annual Report 2022 | 47 |
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 4/30/2022 | $37.76 | 0.91 | (4.87) | (3.96) | (0.87) | (0.08) | — | (0.95) |
| 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) |
| Advisor Class(c) | ||||||||
| Year Ended 4/30/2022 | $37.71 | 0.98 | (4.84) | (3.86) | (0.96) | (0.08) | — | (1.04) |
| 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) |
| Class C(c) | ||||||||
| Year Ended 4/30/2022 | $37.77 | 0.64 | (4.89) | (4.25) | (0.59) | (0.08) | — | (0.67) |
| 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) |
| Institutional Class(c) | ||||||||
| Year Ended 4/30/2022 | $37.78 | 1.01 | (4.87) | (3.86) | (0.97) | (0.08) | — | (1.05) |
| 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) |
| Institutional 2 Class(c) | ||||||||
| Year Ended 4/30/2022 | $37.71 | 1.03 | (4.86) | (3.83) | (0.99) | (0.08) | — | (1.07) |
| 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) |
The accompanying Notes to
Financial Statements are an integral part of this statement.
| 48 | Columbia Total Return Bond Fund | Annual Report 2022 |
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 4/30/2022 | $32.85 | (10.72%) | 0.87%(d) | 0.74%(d),(e) | 2.48% | 173% | $699,471 |
| 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 |
| Advisor Class(c) | |||||||
| Year Ended 4/30/2022 | $32.81 | (10.49%) | 0.62%(d) | 0.49%(d),(e) | 2.69% | 173% | $358,749 |
| 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 |
| Class C(c) | |||||||
| Year Ended 4/30/2022 | $32.85 | (11.42%) | 1.62%(d) | 1.49%(d),(e) | 1.73% | 173% | $16,370 |
| 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 |
| Institutional Class(c) | |||||||
| Year Ended 4/30/2022 | $32.87 | (10.49%) | 0.62%(d) | 0.49%(d),(e) | 2.75% | 173% | $1,497,858 |
| 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 |
| Institutional 2 Class(c) | |||||||
| Year Ended 4/30/2022 | $32.81 | (10.43%) | 0.55%(d) | 0.42%(d) | 2.80% | 173% | $209,091 |
| 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 |
The accompanying Notes to
Financial Statements are an integral part of this statement.
| Columbia Total Return Bond Fund | Annual Report 2022 | 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 4/30/2022 | $37.79 | 1.05 | (4.88) | (3.83) | (1.01) | (0.08) | — | (1.09) |
| 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) |
| Class R(c) | ||||||||
| Year Ended 4/30/2022 | $37.78 | 0.82 | (4.87) | (4.05) | (0.78) | (0.08) | — | (0.86) |
| 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) |
| 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%. |
The accompanying Notes to
Financial Statements are an integral part of this statement.
| 50 | Columbia Total Return Bond Fund | Annual Report 2022 |
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 4/30/2022 | $32.87 | (10.41%) | 0.50%(d) | 0.37%(d) | 2.85% | 173% | $405,759 |
| 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 |
| Class R(c) | |||||||
| Year Ended 4/30/2022 | $32.87 | (10.94%) | 1.12%(d) | 0.99%(d),(e) | 2.24% | 173% | $6,352 |
| 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 |
The accompanying Notes to Financial Statements are
an integral part of this statement.
| Columbia Total Return Bond Fund | Annual Report 2022 | 51 |
Notes to Financial Statements
April 30, 2022
April 30, 2022
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. Class C shares automatically convert to Class A shares after 8 years. Advisor Class, Institutional Class, Institutional 2 Class,
Institutional 3 Class and Class R shares are available for purchase through authorized investment professionals to omnibus retirement plans or to institutional investors and to certain other investors as also
described in the Fund’s prospectus.
Note 2. Summary of
significant accounting policies
Basis of preparation
The Fund is an investment company
that applies the accounting and reporting guidance in the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946, Financial Services - Investment Companies (ASC 946). The financial statements are prepared in accordance with U.S. generally accepted accounting principles (GAAP), which requires
management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities, the disclosure of contingent assets and liabilities at the date of the financial statements and the
reported amounts of income and expenses during the reporting period. Actual results could differ from those estimates.
The following is a summary of
significant accounting policies followed by the Fund in the preparation of its financial statements.
Security valuation
Equity securities listed on an
exchange are valued at the closing price or last trade price on their primary exchange at the close of business of the New York Stock Exchange. Securities with a closing price not readily available or not listed on
any exchange are valued at the mean between the closing bid and ask prices. Listed preferred stocks convertible into common stocks are valued using an evaluated price from a pricing service.
Debt securities generally are
valued 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 2022 |
Notes to Financial Statements (continued)
April 30, 2022
April 30, 2022
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 2022 | 53 |
Notes to Financial Statements (continued)
April 30, 2022
April 30, 2022
Derivative instruments
The Fund invests in certain
derivative instruments, as detailed below, in seeking to meet its investment objectives. Derivatives are instruments whose values depend on, or are derived from, in whole or in part, the value of one or more
securities, currencies, commodities, indices, or other assets or instruments. Derivatives may be used to increase investment flexibility (including to maintain cash reserves while maintaining desired exposure to
certain assets), for risk management (hedging) purposes, to facilitate trading, to reduce transaction costs and to pursue higher investment returns. The Fund may also use derivative instruments to mitigate certain
investment risks, such as foreign currency exchange rate risk, interest rate risk and credit risk. Derivatives may involve various risks, including the potential inability of the counterparty to fulfill its
obligations under the terms of the contract, the potential for an illiquid secondary market (making it difficult for the Fund to sell or terminate, including at favorable prices) and the potential for market movements
which may expose the Fund to gains or losses in excess of the amount shown in the Statement of Assets and Liabilities. The notional amounts of derivative instruments, if applicable, are not recorded in the financial
statements.
A derivative instrument may suffer
a marked-to-market loss if the value of the contract decreases due to an unfavorable change in the market rates or values of the underlying instrument. Losses can also occur if the counterparty does not perform its
obligations under the contract. The Fund’s risk of loss from counterparty credit risk on over-the-counter derivatives is generally limited to the aggregate unrealized gain netted against any collateral held by
the Fund and the amount of any variation margin held by the counterparty, plus any replacement costs or related amounts. With exchange-traded or centrally cleared derivatives, there is reduced counterparty credit risk
to the Fund since the clearinghouse or central counterparty (CCP) provides some protection in the case of clearing member default. The clearinghouse or CCP stands between the buyer and the seller of the contract;
therefore, failure of the clearinghouse or CCP may pose additional counterparty credit risk. However, credit risk still exists in exchange-traded or centrally cleared derivatives with respect to initial and variation
margin that is held in a broker’s customer account. While clearing brokers are required to segregate customer margin from their own assets, in the event that a clearing broker becomes insolvent or goes into
bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the clearing broker for all its clients and such shortfall is remedied by the CCP or otherwise, U.S. bankruptcy laws will
typically allocate that shortfall on a pro-rata basis across all the clearing broker’s customers (including the Fund), potentially resulting in losses to the Fund.
In order to better define its
contractual rights and to secure rights that will help the Fund mitigate its counterparty risk, the Fund may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (ISDA Master Agreement)
or similar agreement with its derivatives counterparties. An ISDA Master Agreement is an agreement between the Fund and a counterparty that governs over-the-counter derivatives and foreign exchange forward contracts
and contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. Under an ISDA Master Agreement, the Fund may, under certain circumstances, offset
with the counterparty certain derivative instruments’ payables and/or receivables with collateral held and/or posted and create one single net payment. The provisions of the ISDA Master Agreement typically
permit a single net payment in the event of default (close-out netting), including the bankruptcy or insolvency of the counterparty. Note, however, that bankruptcy or insolvency laws of a particular jurisdiction may
impose restrictions on or prohibitions against the right of offset or netting in bankruptcy, insolvency or other events.
Collateral (margin) requirements
differ by type of derivative. Margin requirements are established by the clearinghouse or CCP for exchange-traded and centrally cleared derivatives. Brokers can ask for margin in excess of the minimum in certain
circumstances. Collateral terms for most over-the-counter derivatives are subject to regulatory requirements to exchange variation margin with trading counterparties and may have contract specific margin terms as
well. For over-the-counter derivatives traded under an ISDA Master Agreement, the collateral requirements are typically calculated by netting the marked-to-market amount for each transaction under such agreement and
comparing that amount to the value of any variation margin currently pledged by the Fund and/or the counterparty. Generally, the amount of collateral due from or to a party has to exceed a minimum transfer amount
threshold (e.g., $250,000) before a transfer has to be made. To the extent amounts due to the Fund from its counterparties are not fully collateralized, contractually or otherwise, the Fund bears the risk of loss from
counterparty nonperformance. The Fund may also pay interest expense on cash collateral received from the broker. Any interest expense paid by the Fund is shown in 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 2022 |
Notes to Financial Statements (continued)
April 30, 2022
April 30, 2022
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 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.
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 managed
convexity risk. These instruments may be used for other purposes in future periods. Completion of transactions for option contracts traded in the
| Columbia Total Return Bond Fund | Annual Report 2022 | 55 |
Notes to Financial Statements (continued)
April 30, 2022
April 30, 2022
over-the-counter market depends upon the
performance of the other party. Collateral may be collected or posted by the Fund to secure over-the-counter option contract trades. Collateral held or posted by the Fund for such option contract trades must be
returned to the broker or the Fund upon closure, exercise or expiration of the contract.
Options contracts purchased are
recorded as investments. When the Fund writes an options contract, the premium received is recorded as an asset and an amount equivalent to the premium is recorded as a liability in the Statement of Assets and
Liabilities and is subsequently adjusted to reflect the current fair value of the option written. Changes in the fair value of the written option are recorded as unrealized appreciation or depreciation until the
contract is exercised or has expired. The Fund realizes a gain or loss when the option contract is closed or expires. When option contracts are exercised, the proceeds on sales for a written call or purchased put
option contract, or the purchase cost for a written put or purchased call option contract, is adjusted by the amount of premium received or paid.
For over-the-counter options
purchased, the Fund bears the risk of loss of the amount of the premiums paid plus the positive change in market values net of any collateral held by the Fund should the counterparty fail to perform under the
contracts. Option contracts written by the Fund do not typically give rise to significant counterparty credit risk, as options written generally obligate the Fund and not the counterparty to perform. The risk in
writing a call option contract is that the Fund gives up the opportunity for profit if the market price of the security increases above the strike price and the option contract is exercised. The risk in writing a put
option contract is that the Fund may incur a loss if the market price of the security decreases below the strike price and the option contract is exercised. Exercise of a written option could result in the Fund
purchasing or selling a security or foreign currency when it otherwise would not, or at a price different from the current market value. In purchasing and writing options, the Fund bears the risk of an unfavorable
change in the value of the underlying instrument or the risk that the Fund may not be able to enter into a closing transaction due to an illiquid market.
Interest rate swaption contracts
Interest rate swaption contracts
entered into by the Fund typically represent an option that gives the purchaser the right, but not the obligation, to enter into an interest rate swap contract on a future date. Each interest rate swaption contract
will specify if the buyer is entitled to receive the fixed or floating rate if the interest rate is exercised. Changes in the value of a purchased interest rate swaption contracts are reported as unrealized
appreciation or depreciation on options in the Statement of Assets and Liabilities. Gain or loss is recognized in the Statement of Operations when the interest rate swaption contract is closed or expires.
When the Fund writes an interest
rate swaption contract, the premium received is recorded as an asset and an amount equivalent to the premium is recorded as a liability in the Statement of Assets and Liabilities and is subsequently adjusted to
reflect the current fair value of the interest rate swaption contract written. Premiums received from writing interest rate swaption contracts that expire unexercised are recorded by the Fund on the expiration date as
realized gains from options written in the Statement of Operations. The difference between the premium and the amount paid on effecting a closing purchase transaction, including brokerage commissions, is also recorded
as realized gain, or if the premium is less than the amount paid for the closing purchase, as realized loss. These amounts are reflected as net realized gain (loss) on options written in the Statement of
Operations.
Swap contracts
Swap contracts are negotiated in
the over-the-counter market and 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
| 56 | Columbia Total Return Bond Fund | Annual Report 2022 |
Notes to Financial Statements (continued)
April 30, 2022
April 30, 2022
side of the contract. Swap contracts are
marked-to-market daily and changes in value are recorded as unrealized appreciation (depreciation). The daily change in valuation of centrally cleared swap contracts, if any, is recorded as a receivable or payable for
variation margin in the Statement of Assets and Liabilities.
Entering into these contracts
involves, to varying degrees, elements of interest, liquidity and counterparty credit risk in excess of the amounts recognized in the Statement of Assets and Liabilities. Such risks involve the possibility that there
may be unfavorable changes in interest rates, market conditions or other conditions, that it may be difficult to initiate a swap transaction or liquidate a position at an advantageous time or price which may result in
significant losses, and that the FCM or CCP may not fulfill its obligation under the contract.
Credit default swap contracts
The Fund entered into credit
default swap contracts to manage credit risk exposure. These instruments may be used for other purposes in future periods. Credit default swap contracts are transactions in which one party pays fixed periodic payments
to a counterparty in consideration for an agreement from the counterparty to make a specific payment should a specified credit event(s) take place. Although specified credit events are contract specific, credit events
are typically bankruptcy, failure to pay, restructuring, obligation acceleration, obligation default, or repudiation/moratorium.
As the purchaser of a credit
default swap contract, the Fund purchases protection by paying a periodic interest rate on the notional amount to the counterparty. The interest amount is accrued daily as a component of unrealized appreciation
(depreciation) and is recorded as a realized loss upon payment. If a credit event as specified in the contract occurs, the Fund may have the option either to deliver the reference obligation to the seller in exchange
for a cash payment of its par amount, or to receive a net cash settlement equal to the par amount less an agreed-upon value of the reference obligation as of the date of the credit event. The difference between the
value of the obligation or cash delivered and the notional amount received will be recorded as a realized gain (loss).
As the seller of a credit default
swap contract, the Fund sells protection to a buyer and will generally receive a periodic interest rate on a notional amount. The interest amount is accrued daily as a component of unrealized appreciation
(depreciation) and is recorded as a realized gain upon receipt of the payment. If a credit event as specified in the contract with the counterparty occurs, the Fund may either be required to accept the reference
obligation from the buyer in exchange for a cash payment of its notional amount, or to pay the buyer a net cash settlement equal to the notional amount less an agreed-upon value of the reference obligation (recovery
value) as of the date of the credit event. The difference between the value of the obligation or cash received and the notional amount paid will be recorded as a realized gain (loss). The maximum potential amount of
undiscounted future payments the Fund could be required to make as the seller of protection under a credit default swap contract is equal to the notional amount of the reference obligation. These potential amounts may
be partially offset by any recovery values of the respective reference obligations or upfront receipts upon entering into the agreement. The notional amounts and market values of all credit default swap contracts in
which the Fund is the seller of protection, if any, are disclosed in the Credit Default Swap Contracts Outstanding schedule following the Portfolio of Investments.
As a protection seller, the Fund
bears the risk of loss from the credit events specified in the contract with the counterparty. For credit default swap contracts on credit indices, quoted market prices and resulting market values serve as an
indicator of the current status of the payment/performance risk. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the reference entity’s
credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the contract.
Any upfront payment or receipt by
the Fund upon entering into a credit default swap contract is recorded as an asset or liability, respectively, and amortized daily as a component of realized gain (loss) in the Statement of Operations. Credit default
swap contracts are valued daily, and the change in value is recorded as unrealized appreciation (depreciation) until the termination of the swap, at which time a realized gain (loss) is recorded.
Credit default swap contracts can
involve greater risks than if a fund had invested in the reference obligation directly since, in addition to general market risks, credit default swaps are subject to counterparty credit risk, leverage risk, hedging
risk, correlation risk and liquidity risk.
| Columbia Total Return Bond Fund | Annual Report 2022 | 57 |
Notes to Financial Statements (continued)
April 30, 2022
April 30, 2022
Interest rate and inflation
rate swap contracts
The Fund entered into interest rate
swap transactions and/or inflation rate swap contracts to manage long or short exposure to an inflation index. These instruments may be used for other purposes in future periods. An interest rate swap or
inflation rate swap, as applicable, is an agreement between two parties where there are two flows and payments are made between the two counterparties and the payments are dependent upon changes in an interest rate,
inflation rate or inflation index calculated on a nominal amount. Interest rate swaps are agreements between two parties that involve the exchange of one type of interest rate for another type of interest rate cash
flow on specified dates in the future, based on a predetermined, specified notional amount. Certain interest rate swaps are considered forward-starting, whereby the accrual for the exchange of cash flows does not
begin until a specified date in the future. The net cash flow for a standard interest rate swap transaction is generally the difference between a floating market interest rate versus a fixed interest rate.
Interest rate swaps are valued
daily and unrealized appreciation (depreciation) is recorded. Certain interest rate swaps may accrue periodic interest on a daily basis as a component of unrealized appreciation (depreciation); the Fund will realize a
gain or loss upon the payment or receipt of accrued interest. The Fund will realize a gain or a loss when the interest rate swap is terminated.
Effects of derivative transactions in
the financial statements
The following tables are intended
to provide additional information about the effect of derivatives on the financial statements of the Fund, including: the fair value of derivatives by risk category and the location of those fair values in the
Statement of Assets and Liabilities; and the impact of derivative transactions over the period in the Statement of Operations, including realized and unrealized gains (losses). The derivative instrument schedules
following the Portfolio of Investments present additional information regarding derivative instruments outstanding at the end of the period, if any.
The following table is a summary of
the fair value of derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) at April 30, 2022:
| 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 | 11,702,622* |
| Credit risk | Upfront payments on swap contracts | 449,910 |
| Foreign exchange risk | Unrealized appreciation on forward foreign currency exchange contracts | 112,120 |
| Interest rate risk | Component of total distributable earnings (loss) — unrealized appreciation on futures contracts | 20,468,130* |
| Interest rate risk | Investments, at value — Options purchased | 24,092,776 |
| Total | 56,825,558 |
| Liability derivatives | ||
| Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
| Credit risk | Component of total distributable earnings (loss) — unrealized depreciation on swap contracts | 6,200,786* |
| Credit risk | Upfront receipts on swap contracts | 17,015,745 |
| Interest rate risk | Component of total distributable earnings (loss) — unrealized depreciation on futures contracts | 39,558,276* |
| Interest rate risk | Options contracts written, at value | 41,951,930 |
| Total | 104,726,737 |
| * | Includes cumulative appreciation (depreciation) as reported in the tables following the Portfolio of Investments. Only the current day’s variation margin is reported in receivables or payables in the Statement of Assets and Liabilities. |
| 58 | Columbia Total Return Bond Fund | Annual Report 2022 |
Notes to Financial Statements (continued)
April 30, 2022
April 30, 2022
The following table indicates the
effect of derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) in the Statement of Operations for the year ended April 30, 2022:
| Amount of realized gain (loss) on derivatives recognized in income | ||||||
| Risk exposure category | Forward foreign currency exchange contracts ($) | Futures contracts ($) | Options contracts written ($) | Options contracts purchased ($) | Swap contracts ($) | Total ($) |
| Credit risk | — | — | — | — | (247,363) | (247,363) |
| Foreign exchange risk | 468,371 | — | — | — | — | 468,371 |
| Interest rate risk | — | (119,539,109) | 1,793,910 | 16,090,320 | (12,516,237) | (114,171,116) |
| Total | 468,371 | (119,539,109) | 1,793,910 | 16,090,320 | (12,763,600) | (113,950,108) |
| Change in unrealized appreciation (depreciation) on derivatives recognized in income | ||||||
| Risk exposure category | Forward foreign currency exchange contracts ($) | Futures contracts ($) | Options contracts written ($) | Options contracts purchased ($) | Swap contracts ($) | Total ($) |
| Credit risk | — | — | — | — | 1,672,068 | 1,672,068 |
| Foreign exchange risk | 165,952 | — | — | — | — | 165,952 |
| Interest rate risk | — | (9,092,765) | (35,641,450) | 263,209 | 2,678,262 | (41,792,744) |
| Total | 165,952 | (9,092,765) | (35,641,450) | 263,209 | 4,350,330 | (39,954,724) |
The following table is a summary
of the average outstanding volume by derivative instrument for the year ended April 30, 2022:
| Derivative instrument | Average notional amounts ($)* |
| Futures contracts — long | 1,472,936,955 |
| Futures contracts — short | 272,908,507 |
| Credit default swap contracts — buy protection | 180,037,000 |
| Credit default swap contracts — sell protection | 114,137,500 |
| Derivative instrument | Average value ($)* |
| Options contracts — purchased | 15,866,277 |
| Options contracts — written | (13,614,855) |
| Derivative instrument | Average unrealized appreciation ($)* | Average unrealized depreciation ($)* |
| Forward foreign currency exchange contracts | 41,228 | (11,170) |
| Interest rate swap contracts | — | (2,797,383) |
| * | Based on the ending quarterly outstanding amounts for the year ended April 30, 2022. |
Investments in senior loans
The Fund may invest in senior loan
assignments. When the Fund purchases an assignment of a senior loan, the Fund typically has direct rights against the borrower; provided, however, that the Fund’s rights may be more limited than the lender from
which it acquired the assignment and the Fund may be able to enforce its rights only through an administrative agent. Although certain senior loan assignments are secured by collateral, the Fund could experience
delays or limitations in realizing such collateral or have its interest subordinated to other indebtedness of the obligor. In the event that the administrator or collateral agent of a loan becomes insolvent or enters
into receivership or bankruptcy, the Fund may incur costs and delays in realizing payment or may suffer a loss of principal and/or interest. The risk of loss is greater for
| Columbia Total Return Bond Fund | Annual Report 2022 | 59 |
Notes to Financial Statements (continued)
April 30, 2022
April 30, 2022
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 2022 |
Notes to Financial Statements (continued)
April 30, 2022
April 30, 2022
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 in the Statement of Operations. Because no principal will be received at the maturity of
an IO, adjustments are made to the cost of the security on a monthly basis until maturity. These adjustments are included in interest income in the Statement of Operations. POs are stripped securities entitled to
receive the principal from the underlying obligation, but not the interest. POs are particularly sensitive to changes in interest rates and therefore are subject to fluctuations in price. POs are also subject to
credit risk because the Fund may not receive all or part of its principal if the issuer, obligor, guarantor or counterparty defaults on its obligation. The Fund may also invest in IO or PO stripped mortgage-backed
securities. Payments received for POs are treated as reductions to the cost and par value of the securities.
Offsetting of assets and
liabilities
The following table presents the
Fund’s gross and net amount of assets and liabilities available for offset under netting arrangements as well as any related collateral received or pledged by the Fund as of April 30, 2022:
| Citi ($)(a) | Citi ($)(a) | Goldman Sachs International ($) | JPMorgan ($) | Morgan Stanley ($)(a) | Morgan Stanley ($)(a) | UBS ($) | Total ($) | ||
| Assets | |||||||||
| Centrally cleared credit default swap contracts (b) | - | - | - | - | - | 1,629,277 | - | 1,629,277 | |
| Forward foreign currency exchange contracts | - | - | - | - | - | - | 112,120 | 112,120 | |
| Options purchased calls | 1,515,339 | - | - | - | - | - | - | 1,515,339 | |
| Options purchased puts | - | - | - | - | 22,577,437 | - | - | 22,577,437 | |
| OTC credit default swap contracts (c) | - | 394,641 | - | 2,430,499 | 1,666,133 | - | - | 4,491,273 | |
| Total assets | 1,515,339 | 394,641 | - | 2,430,499 | 24,243,570 | 1,629,277 | 112,120 | 30,325,446 | |
| Liabilities | |||||||||
| Options contracts written | 23,364,683 | - | - | - | 18,587,247 | - | - | 41,951,930 | |
| OTC credit default swap contracts (c) | - | 3,196,806 | 3,834,579 | 6,327,830 | 9,857,316 | - | - | 23,216,531 | |
| Total liabilities | 23,364,683 | 3,196,806 | 3,834,579 | 6,327,830 | 28,444,563 | - | - | 65,168,461 | |
| Total financial and derivative net assets | (21,849,344) | (2,802,165) | (3,834,579) | (3,897,331) | (4,200,993) | 1,629,277 | 112,120 | (34,843,015) | |
| Total collateral received (pledged) (d) | (21,849,344) | (2,794,000) | (3,590,000) | (3,680,000) | (4,083,000) | - | - | (35,996,344) | |
| Net amount (e) | - | (8,165) | (244,579) | (217,331) | (117,993) | 1,629,277 | 112,120 | 1,153,329 |
| (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 2022 | 61 |
Notes to Financial Statements (continued)
April 30, 2022
April 30, 2022
Income recognition
Interest income is recorded on an
accrual basis. Market premiums and discounts, including original issue discounts, are amortized and accreted, respectively, over the expected life of the security on all debt securities, unless otherwise noted. The
Fund classifies gains and losses realized on prepayments received on mortgage-backed securities as adjustments to interest income. For convertible securities, premiums attributable to the conversion feature are
not amortized.
The Fund may place a debt security
on non-accrual status and reduce related interest income when it becomes probable that the interest will not be collected and the amount of uncollectible interest can be reasonably estimated. 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 2022 |
Notes to Financial Statements (continued)
April 30, 2022
April 30, 2022
Foreign taxes
The Fund may be subject to foreign
taxes on income, gains on investments or currency repatriation, a portion of which may be recoverable. The Fund will accrue such taxes and recoveries, as applicable, based upon its current interpretation of tax rules
and regulations that exist in the markets in which it invests.
Realized gains in certain countries
may be subject to foreign taxes at the Fund level, based on statutory rates. The Fund accrues for such foreign taxes on realized and unrealized gains at the appropriate rate for each jurisdiction, as applicable. The
amount, if any, is disclosed as a liability in the Statement of Assets and Liabilities.
Distributions to shareholders
Distributions from net investment
income, if any, are declared daily and paid monthly. Net realized capital gains, if any, are distributed at least annually. Income distributions and capital gain distributions are determined in accordance with federal
income tax regulations, which may differ from GAAP.
Guarantees and indemnifications
Under the Trust’s
organizational documents and, in some cases, by contract, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Trust or its funds. In addition,
certain of the Fund’s contracts with its service providers contain general indemnification clauses. The Fund’s maximum exposure under these arrangements is unknown since the amount of any future claims
that may be made against the Fund cannot be determined, and the Fund has no historical basis for predicting the likelihood of any such claims.
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, 2022 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" in the Statement of Operations.
Compensation of Chief Compliance
Officer
The Board of Trustees has appointed
a Chief Compliance Officer for the Fund in accordance with federal securities regulations. As disclosed in the Statement of Operations, a portion of the Chief Compliance Officer’s total compensation is allocated
to the Fund, along with other allocations to affiliated registered investment companies managed by the Investment Manager and its affiliates, based on relative net assets.
| Columbia Total Return Bond Fund | Annual Report 2022 | 63 |
Notes to Financial Statements (continued)
April 30, 2022
April 30, 2022
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 through August 31, 2023, 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, 2022, 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 | 0.13 |
| 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, 2022, these minimum account balance fees reduced total expenses of
the Fund by $1,300.
Distribution and service fees
The Fund has entered into an
agreement with Columbia Management Investment Distributors, Inc. (the Distributor), an affiliate of the Investment Manager and a wholly-owned subsidiary of Ameriprise Financial, for distribution and shareholder
services. The Board of Trustees has approved, and the Fund has adopted, distribution and shareholder service plans (the Plans) applicable to certain share classes, which set the distribution and service fees for the
Fund. These fees are calculated daily and are intended to compensate the Distributor and/or eligible selling and/or servicing agents for selling shares of the Fund and providing services to investors.
Under the Plans, the Fund pays a
monthly service fee to the Distributor at the maximum annual rate of 0.25% of the average daily net assets attributable to Class A and Class C shares of the Fund. Also under the Plans, the Fund pays a
monthly distribution fee to the Distributor at the maximum annual rates of 0.10%, 0.75% and 0.50% of the average daily net assets attributable to Class A, Class C and Class R shares of the Fund,
respectively.
| 64 | Columbia Total Return Bond Fund | Annual Report 2022 |
Notes to Financial Statements (continued)
April 30, 2022
April 30, 2022
Although the Fund may pay
distribution and service fees up to a maximum annual rate of 0.35% of the Fund’s average daily net assets attributable to Class A shares (comprised of up to 0.10% for distribution services and up to 0.25% for
shareholder services), the Fund currently limits such fees to an aggregate fee of not more than 0.25% of the Fund’s average daily net assets attributable to Class A shares.
Sales charges (unaudited)
Sales charges, including front-end
charges and contingent deferred sales charges (CDSCs), received by the Distributor for distributing Fund shares for the year ended April 30, 2022, if any, are listed below:
| Front End (%) | CDSC (%) | Amount ($) | |
| Class A | 3.00 | 0.50 - 1.00(a) | 409,977 |
| Class C | — | 1.00(b) | 3,921 |
| (a) | This charge is imposed on certain investments of between $1 million and $50 million redeemed within 18 months after purchase, as follows: 1.00% if redeemed within 12 months after purchase, and 0.50% if redeemed more than 12, but less than 18, months after purchase, with certain limited exceptions. |
| (b) | This charge applies to redemptions within 12 months after purchase, with certain limited exceptions. |
The Fund’s other share
classes are not subject to sales charges.
Expenses waived/reimbursed by the
Investment Manager and its affiliates
The Investment Manager and certain
of its affiliates have contractually agreed to waive fees and/or reimburse expenses (excluding certain fees and expenses described below) for the period(s) disclosed below, unless sooner terminated at the sole
discretion of the Board of Trustees, so that the Fund’s net operating expenses, after giving effect to fees waived/expenses reimbursed and any balance credits and/or overdraft charges from the Fund’s
custodian, do not exceed the following annual rate(s) as a percentage of the classes’ average daily net assets:
Under the agreement governing
these fee waivers and/or expense reimbursement arrangements, the following fees and expenses are excluded from the waiver/reimbursement commitment, and therefore will be paid by the Fund, if applicable: taxes
(including foreign transaction taxes), expenses associated with investments in affiliated and non-affiliated pooled investment vehicles (including mutual funds and exchange-traded funds), transaction costs and
brokerage commissions, costs related to any securities lending program, dividend expenses associated with securities sold short, inverse floater program fees and expenses, transaction charges and interest on borrowed
money, interest, costs associated with shareholder meetings, infrequent and/or unusual expenses and any other expenses the exclusion of which is specifically approved by the Board of Trustees. This agreement may be
modified or amended only with approval from the Investment Manager, certain of its affiliates and the Fund. 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 through August 31, 2023, is the Transfer
Agent’s contractual agreement to limit total transfer agency fees to an annual rate of not more than 0.05% for Institutional 2 Class 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.
| Columbia Total Return Bond Fund | Annual Report 2022 | 65 |
Notes to Financial Statements (continued)
April 30, 2022
April 30, 2022
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, 2022, these
differences were primarily due to differing treatment for deferral/reversal of wash sale losses, trustees’ deferred compensation, derivative investments, tax straddles, distributions, capital loss carryforward,
constructive sales of appreciated financial positions, swap investments, principal and/or interest of fixed income securities, distribution reclassifications and foreign currency transactions. To the extent these
differences were permanent, reclassifications were made among the components of the Fund’s net assets. Temporary differences do not require reclassifications.
The following reclassifications
were made:
| Excess of distributions over net investment income ($) | Accumulated net realized (loss) ($) | Paid in capital ($) |
| 1,114,126 | (1,114,432) | 306 |
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, 2022 | Year Ended April 30, 2021 | ||||
| Ordinary income ($) | Long-term capital gains ($) | Total ($) | Ordinary income ($) | Long-term capital gains ($) | Total ($) |
| 84,107,203 | 6,937,567 | 91,044,770 | 154,497,770 | 35,361,781 | 189,859,551 |
Short-term capital gain
distributions, if any, are considered ordinary income distributions for tax purposes.
At April 30, 2022, the components
of distributable earnings on a tax basis were as follows:
| Undistributed ordinary income ($) | Undistributed long-term capital gains ($) | Capital loss carryforwards ($) | Net unrealized (depreciation) ($) |
| 13,838,527 | — | (175,720,066) | (265,069,179) |
At April 30, 2022, the cost of all
investments for federal income tax purposes along with the aggregate gross unrealized appreciation and depreciation based on that cost was:
| Federal tax cost ($) | Gross unrealized appreciation ($) | Gross unrealized (depreciation) ($) | Net unrealized (depreciation) ($) |
| 3,787,320,234 | 16,365,854 | (281,435,033) | (265,069,179) |
Tax cost of investments and
unrealized appreciation/(depreciation) may also include timing differences that do not constitute adjustments to tax basis.
The following capital loss
carryforwards, determined at April 30, 2022, 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,
2022, capital loss carryforwards utilized, if any, were as follows:
| No expiration short-term ($) | No expiration long-term ($) | Total ($) | Utilized ($) |
| (91,843,703) | (83,876,363) | (175,720,066) | — |
| 66 | Columbia Total Return Bond Fund | Annual Report 2022 |
Notes to Financial Statements (continued)
April 30, 2022
April 30, 2022
Management of the Fund has
concluded that there are no significant uncertain tax positions in the Fund that would require recognition in the financial statements. However, management’s conclusion may be subject to review and adjustment at
a later date based on factors including, but not limited to, new tax laws, regulations, and administrative interpretations (including relevant court decisions). Generally, the Fund’s federal tax returns for the
prior three fiscal years remain subject to examination by the Internal Revenue Service.
Note 5. Portfolio
information
The cost of purchases and
proceeds from sales of securities, excluding short-term investments and derivatives, if any, aggregated to $6,080,018,688 and $5,906,518,658, respectively, for the year ended April 30, 2022, of which $4,479,443,029
and $4,212,216,619, respectively, were U.S. government securities. 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 repositioning transactions amounted to
cost of purchases and proceeds from sales of $276,840,715 and $26,937,484, 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 did not borrow or lend
money under the Interfund Program during the year ended April 30, 2022.
Note 8. Line of credit
The Fund has access to a
revolving credit facility with a syndicate of banks led by JPMorgan Chase Bank, N.A., Citibank, N.A. and Wells Fargo Bank, N.A. whereby the Fund may borrow for the temporary funding of shareholder redemptions or for
other temporary or emergency purposes. Pursuant to an October 28, 2021 amendment and restatement, the credit facility, which is an agreement between the Fund and certain other funds managed by the Investment Manager
or an affiliated investment manager, severally and not jointly, permits aggregate borrowings up to $950 million. Interest is currently charged to each participating fund based on its borrowings at a rate equal to the
higher of (i) the federal funds effective rate, (ii) the secured overnight financing rate plus 0.11448% and (iii) the overnight bank funding rate, plus in each case, 1.00%. Each borrowing under the credit facility
matures no later than 60 days after the date of borrowing. The Fund also pays a commitment fee equal to its pro rata share of the unused amount of the credit facility at a rate of 0.15% per annum. The commitment fee
is included in other expenses in the Statement of Operations. This agreement expires annually in October unless extended or renewed. Prior to the October 28, 2021 amendment and restatement, the Fund had access to a
revolving credit facility with a syndicate of banks led by JPMorgan Chase Bank, N.A., Citibank, N.A. and Wells Fargo Bank, N.A. which permitted collective
| Columbia Total Return Bond Fund | Annual Report 2022 | 67 |
Notes to Financial Statements (continued)
April 30, 2022
April 30, 2022
borrowings up to $950 million. Interest was
charged to each participating fund based on its borrowings at a rate equal to the higher of (i) the federal funds effective rate, (ii) the one-month London Interbank Offered Rate (LIBOR) rate and (iii) the overnight
bank funding rate, plus in each case, 1.25%.
The Fund had no borrowings during
the year ended April 30, 2022.
Note 9. Fund
reorganization
At the close of business on
December 10, 2021, the Fund acquired the assets and assumed the identified liabilities of BMO Core Plus Bond Fund (the Acquired Fund), a series of BMO Funds Inc. The reorganization was completed after
shareholders of the Acquired Fund approved a plan of reorganization at a shareholder meeting held on November 23, 2021. The purpose of the reorganization was to combine two funds with comparable investment objectives
and strategies.
The aggregate net assets of the
Fund immediately before the reorganization were $3,221,966,676 and the combined net assets immediately after the reorganization were $4,095,069,169.
The reorganization was accomplished
by a tax-free exchange of 75,114,557 shares of the Acquired Fund valued at $873,102,493 (including $6,019,203 of unrealized appreciation/(depreciation)).
In exchange for the Acquired
Fund’s shares, the Fund issued the following number of shares:
| Shares | |
| Class A | 1,160,251 |
| Advisor Class | 22,289,843 |
For financial reporting purposes,
net assets received and shares issued by the Fund were recorded at fair value; however, the Acquired Fund’s cost of investments was carried forward.
The Fund’s financial
statements reflect both the operations of the Fund for the period prior to the reorganization and the combined Fund for the period subsequent to the reorganization. Because the combined investment portfolios have been
managed as a single integrated portfolio since the reorganization was completed, it is not practicable to separate the amounts of revenue and earnings of the Acquired Fund that have been included in the combined
Fund’s Statement of Operations since the reorganization was completed.
Assuming the reorganization had
been completed on May 1, 2021, the Fund’s pro-forma results of operations for the year ended April 30, 2022 would have been approximately:
| ($) | |
| Net investment income | 104,475,000 |
| Net realized loss | (114,922,000) |
| Net change in unrealized appreciation/(depreciation) | (384,820,000) |
| Net decrease in net assets from operations | (395,267,000) |
Note 10. Significant
risks
Credit risk
Credit risk is the risk that the
value of debt instruments in the Fund’s portfolio may decline because the issuer defaults or otherwise becomes unable or unwilling, or is perceived to be unable or unwilling, to honor its financial obligations,
such as making payments to the Fund when due. Credit rating agencies assign credit ratings to certain debt instruments to indicate their credit risk. Lower-rated or unrated debt instruments held by the Fund may
present increased credit risk as compared to higher-rated debt instruments.
| 68 | Columbia Total Return Bond Fund | Annual Report 2022 |
Notes to Financial Statements (continued)
April 30, 2022
April 30, 2022
Derivatives risk
Losses involving derivative
instruments may be substantial, because a relatively small movement in the underlying reference (which is generally the price, rate or other economic indicator associated with a security(ies), commodity, currency,
index or other instrument or asset) may result in a substantial loss for the Fund. In addition to the potential for increased losses, the use of derivative instruments may lead to increased volatility within the Fund.
Derivatives will typically increase the Fund’s exposure to principal risks to which it is otherwise exposed, and may expose the Fund to additional risks, including correlation risk, counterparty risk, hedging
risk, leverage risk, liquidity risk and pricing risk.
High-yield investments risk
Securities and other debt
instruments held by the Fund that are rated below investment grade (commonly called "high-yield" or "junk" bonds) and unrated debt instruments of comparable quality expose the Fund to a greater risk of loss of
principal and income than a fund that invests solely or primarily in investment grade debt instruments. In addition, these investments have greater price fluctuations, are less liquid and are more likely to experience
a default than higher-rated debt instruments. High-yield debt instruments are considered to be predominantly speculative with respect to the issuer’s capacity to pay interest and repay principal.
Interest rate risk
Interest rate risk is the risk of
losses attributable to changes in interest rates. In general, if prevailing interest rates rise, the values of debt instruments tend to fall, and if interest rates fall, the values of debt instruments tend to rise.
Actions by governments and central banking authorities can result in increases or decreases in interest rates. Higher periods of inflation could lead such authorities to raise interest rates. Increasing interest rates
may negatively affect the value of debt securities held by the Fund, resulting in a negative impact on the Fund’s performance and net asset value per share. In general, the longer the maturity or duration of a
debt security, the greater its sensitivity to changes in interest rates. The Fund is subject to the risk that the income generated by its investments may not keep pace with inflation.
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. The U.K.
Financial Conduct Authority and the ICE Benchmark Administration have announced that a majority of U.S. dollar LIBOR settings will cease publication after June 30, 2023. A subset of non-U.S. dollar LIBOR settings are
continuing to be published on a “synthetic” basis and it is possible that a subset of U.S. dollar LIBOR settings will also be published after June 30, 2023 on a “synthetic” basis. Any such
publications are, or would be considered, non-representative of the underlying market. Markets are slowly developing in response to the elimination of LIBOR. 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 more settled. Alternatives to LIBOR have been established or are in development in most major currencies, including the Secured Overnight Financing
Rate (SOFR), which the U.S. Federal Reserve is promoting as the alternative reference rate to U.S. dollar LIBOR.
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.
| Columbia Total Return Bond Fund | Annual Report 2022 | 69 |
Notes to Financial Statements (continued)
April 30, 2022
April 30, 2022
Market risk
The Fund may incur losses due to
declines in the value of one or more securities in which it invests. These declines may be due to factors affecting a particular issuer, or the result of, among other things, political, regulatory, market, economic or
social developments affecting the relevant market(s) more generally. In addition, turbulence in financial markets and reduced liquidity in equity, credit and/or fixed income markets may negatively affect many issuers,
which could adversely affect the Fund’s ability to price or value hard-to-value assets in thinly traded and closed markets and could cause significant redemptions and operational challenges. Global economies and
financial markets are increasingly interconnected, and conditions and events in one country, region or financial market may adversely impact issuers in a different country, region or financial market. These risks may
be magnified if certain events or developments adversely interrupt the global supply chain; in these and other circumstances, such risks might affect companies worldwide. As a result, local, regional or global events
such as terrorism, war, natural disasters, disease/virus outbreaks and epidemics or other public health issues, recessions, depressions or other events – or the potential for such events – could have a
significant negative impact on global economic and market conditions.
The large-scale invasion of Ukraine
by Russia in February 2022 has resulted in sanctions and market disruptions, including declines in regional and global stock and commodity markets and significant devaluations of Russian currency. The extent and
duration of the military action are impossible to predict but could be significant. Market disruption caused by the Russian military action, and any counter measures or responses thereto (including international
sanctions, a downgrade in the country’s credit rating, purchasing and financing restrictions, boycotts, tariffs, changes in consumer or purchaser preferences, cyberattacks and espionage) could have severe
adverse impacts on regional and/or global securities and commodities markets, including markets for oil and natural gas. These impacts may include reduced market liquidity, distress in credit markets, further
disruption of global supply chains, increased risk of inflation, and limited access to investments in certain international markets and/or issuers. These developments and other related events could negatively impact
Fund performance.
The pandemic caused by coronavirus
disease 2019 and its variants (COVID-19) 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 objective. Any such events could have a significant adverse impact on the value and risk profile of the Fund.
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
| 70 | Columbia Total Return Bond Fund | Annual Report 2022 |
Notes to Financial Statements (continued)
April 30, 2022
April 30, 2022
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, 2022, three
unaffiliated shareholders of record owned 35.4% of the outstanding shares of the Fund in one or more accounts. The Fund has no knowledge about whether any portion of those shares was owned beneficially. Affiliated
shareholders of record owned 41.2% of the outstanding shares of the Fund in one or more accounts. Subscription and redemption activity by concentrated accounts may have a significant effect on the operations of the
Fund. In the case of a large redemption, the Fund may be forced to sell investments at inopportune times, including its liquid positions, which may result in Fund losses and the Fund holding a higher percentage of
less liquid positions. Large redemptions could result in decreased economies of scale and increased operating expenses for non-redeeming Fund shareholders.
Note 11. Subsequent
events
Management has evaluated the
events and transactions that have occurred through the date the financial statements were issued and noted no items requiring adjustment of the financial statements or additional disclosure.
Note 12. Information
regarding pending and settled legal proceedings
Ameriprise Financial and certain
of its affiliates are involved in the normal course of business in legal proceedings which include regulatory inquiries, arbitration and litigation, including class actions concerning matters arising in connection
with the conduct of its activities as a diversified financial services firm. Ameriprise Financial believes that the Fund is not currently the subject of, and that neither Ameriprise Financial nor any of its affiliates
are the subject of, any pending legal, arbitration or regulatory proceedings that are likely to have a material adverse effect on the Fund or the ability of Ameriprise Financial or its affiliates to perform under
their contracts with the Fund. Ameriprise Financial is required to make quarterly (10-Q), annual (10-K) and, as necessary, 8-K filings with the Securities and Exchange Commission (SEC) on legal and regulatory matters
that relate to Ameriprise Financial and its affiliates. Copies of these filings may be obtained by accessing the SEC website at www.sec.gov.
There can be no assurance that
these matters, or the adverse publicity associated with them, will not result in increased Fund redemptions, reduced sale of Fund shares or other adverse consequences to the Fund. Further, although we believe
proceedings are not likely to have a material adverse effect on the Fund or the ability of Ameriprise Financial or its affiliates to perform under their contracts with the Fund, these proceedings are subject to
uncertainties and, as such, we are unable to estimate the possible loss or range of loss that may result. An adverse outcome in one or more of these proceedings could result in adverse judgments, settlements, fines,
penalties or other relief that could have a material adverse effect on the consolidated financial condition or results of operations of Ameriprise Financial or one or more of its affiliates that provides services to
the Fund.
| Columbia Total Return Bond Fund | Annual Report 2022 | 71 |
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, 2022, the related statement of operations for the year ended April 30, 2022, the statement of changes in net assets for each of the two years in the period ended April 30, 2022, including the related notes,
and the financial highlights for each of the five years in the period ended April 30, 2022 (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, 2022, 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,
2022 and the financial highlights for each of the five years in the period ended April 30, 2022 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, 2022 by correspondence with the custodian, transfer agent, brokers and agent banks; when
replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
/s/PricewaterhouseCoopers LLP
Minneapolis, Minnesota
June 23, 2022
We have served as the auditor of
one or more investment companies within the Columbia Funds Complex since 1977.
| 72 | Columbia Total Return Bond Fund | Annual Report 2022 |
Federal Income Tax
Information
(Unaudited)
The Fund hereby designates the
following tax attributes for the fiscal year ended April 30, 2022. Shareholders will be notified in early 2023 of the amounts for use in preparing 2022 income tax returns.
| Section 163(j) Interest Dividends | |
| 94.80% |
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
(Unaudited)
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 290 Congress Street Boston, MA 02210 1953 | Trustee since 2017 | Executive Vice President, Global Head of Technology and Operations, Janus Capital Group, Inc., 2010-2016 | 176 | 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 Total Return Bond Fund | Annual Report 2022 | 73 |
TRUSTEES AND OFFICERS (continued)
(Unaudited)
Independent trustees (continued)
(Unaudited)
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 290 Congress Street Boston, MA 02210 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, April-October 2021 | 176 | Former Trustee, Blue Cross and Blue Shield of Minnesota, 2009-2021 (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; former Director, Robina Foundation, 2009-2020 (Chair, 2014-2020); Director, Schulze Family Foundation, since 2021 |
| Pamela G. Carlton c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 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, Cleary Gottlieb Steen & Hamilton LLP, 1980-1982 | 176 | 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) since 2019; Director, Apollo Commercial Real Estate Finance, Inc. since 2021; the Governing Council of the Independent Directors Council (IDC), since 2021 |
| Janet Langford Carrig c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1957 | Trustee since 1996 | Senior Vice President, General Counsel and Corporate Secretary, ConocoPhillips (independent energy company), September 2007-October 2018 | 174 | 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 290 Congress Street Boston, MA 02210 1964 | Trustee since 2020 | Member, FINRA National Adjudicatory Council since January 2020; Adjunct Professor of Finance, Bentley University since January 2018; Consultant to Independent Trustees of CFVIT and CFST I from March 2016 to June 2020 with respect to CFVIT and to December 2020 with respect to CFST I; 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 | 174 | Former Director, The Autism Project, March 2015-December 2021; 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 |
| 74 | Columbia Total Return Bond Fund | Annual Report 2022 |
TRUSTEES AND OFFICERS (continued)
(Unaudited)
Independent trustees (continued)
(Unaudited)
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 |
| Olive M. Darragh c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1962 | Trustee since 2020 | 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; Consultant to Independent Trustees of CFVIT and CFST I from June 2019 to June 2020 with respect to CFVIT and to December 2020 with respect to CFST I; Partner, Tudor Investments, 2004-2010; Senior Partner, McKinsey & Company (consulting), 1990-2004; Touche Ross CPA, 1985-1988 | 174 | Former Director, University of Edinburgh Business School (Member of US Board); former Director, Boston Public Library Foundation |
| Patricia M. Flynn c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 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 | 176 | Trustee, MA Taxpayers Foundation since 1997; Board of Governors, Innovation Institute, MA Technology Collaborative, 2010-2020; former Board of Directors, The MA Business Roundtable, 2003-2019 |
| Brian J. Gallagher c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1954 | Trustee since 2017 | Retired; Partner with Deloitte & Touche LLP and its predecessors, 1977-2016 | 176 | Trustee, Catholic Schools Foundation since 2004 |
| Douglas A. Hacker c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 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, CET I and CET 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 | 176 | 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 290 Congress Street Boston, MA 02210 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 | 174 | None |
| Columbia Total Return Bond Fund | Annual Report 2022 | 75 |
TRUSTEES AND OFFICERS (continued)
(Unaudited)
Independent trustees (continued)
(Unaudited)
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 |
| David M. Moffett c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1952 | Trustee since 2011 | Retired; Consultant to Bridgewater and Associates | 174 | 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 |
| Catherine James Paglia c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1952 | Co-Chair since 2021; Chair of CFST, CFST II, CFVST II, CET I and CET 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. | 176 | 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) |
| Minor M. Shaw c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1947 | Trustee since 2003 | President, Micco LLC (private investments) since 2011; President, Micco Corp. (family investment business), 1998-2011 | 176 | Director, Blue Cross Blue Shield 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 since 1998 |
| 76 | Columbia Total Return Bond Fund | Annual Report 2022 |
TRUSTEES AND OFFICERS (continued)
(Unaudited)
Independent trustees (continued)
(Unaudited)
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 290 Congress Street Boston, MA 02210 1967 | Trustee since 2020 | Chief Executive Officer, Millennial Portfolio Solutions LLC (asset management and consulting services), January 2016-January 2021; Non-executive Member of the Investment Committee and Valuation Committee, Sarona Asset Management Inc. (private equity firm) since September 2019; Advisor, Horizon Investments (asset management and consulting services), August 2018-January 2021; Advisor, Paradigm Asset Management, November 2016-December 2021; Consultant to Independent Trustees of CFVIT and CFST I from September 2016 to June 2020 with respect to CFVIT and to December 2020 with respect to CFST I; Director of Investments/Consultant, Casey Family Programs, April 2016-November 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 | 174 | Former Director, Investment Committee, Health Services for Children with Special Needs, Inc., 2012-2019; Director, Chair of Audit Committee, Consumer Credit Counseling Services (formerly Guidewell Financial Solutions), since 2019; Independent Director, Investment Committee and Valuation Committee, Sarona Asset Management, since 2019 |
| Sandra L. Yeager c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 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 | 176 | Former 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 (CET I), Columbia ETF Trust II (CET II), Columbia Funds Variable Insurance Trust (CFVIT) and Columbia Funds Variable Series Trust II (CFVST II). Messrs. Batejan, Beckman, Gallagher and Hacker and Mses. Blatz, Carlton, Flynn, Paglia, Shaw and Yeager serve as Directors of Columbia Seligman Premium Technology Growth Fund and Tri-Continental Corporation. |
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 |
| Daniel J. Beckman c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1962 | Trustee since November 2021 and President since June 2021 | Vice President – Head of North America Product, Columbia Management Investment Advisers, LLC since April 2015; President and Principal Executive Officer of the Columbia Funds since June 2021; officer of Columbia Funds and affiliated funds, 2020-2021 | 176 | Director, Ameriprise Trust Company, since October 2016; Director, Columbia Management Investment Distributors, Inc. since November 2018; Board of Governors, Columbia Wanger Asset Management, LLC since January 2022 |
| * | Interested person (as defined under the 1940 Act) by reason of being an officer, director, security holder and/or employee of the Investment Manager or Ameriprise Financial. |
The Statement of Additional
Information has additional information about the Fund’s Board members and is available, without charge, upon request by calling 800.345.6611, visiting columbiathreadneedleus.com/investor/ or contacting your
financial intermediary.
| Columbia Total Return Bond Fund | Annual Report 2022 | 77 |
TRUSTEES AND OFFICERS (continued)
(Unaudited)
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. Beckman, who is President and Principal Executive Officer, the Fund’s other officers are:
(Unaudited)
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. Beckman, who is President and Principal Executive Officer, the Fund’s other officers are:
Fund officers
| 78 | Columbia Total Return Bond Fund | Annual Report 2022 |
TRUSTEES AND OFFICERS (continued)
(Unaudited)
Fund officers (continued)
(Unaudited)
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 |
| Michael E. DeFao 290 Congress Street Boston, MA 02210 1968 | Vice President (2011) and Assistant Secretary (2010) | Vice President and Chief Counsel, Ameriprise Financial, Inc. since May 2010; Vice President, Chief Legal Officer and Assistant Secretary, Columbia Management Investment Advisers, LLC since October 2021 (previously Vice President and Assistant Secretary, May 2010 – September 2021). |
| 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
(Unaudited)
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, 2021,
through December 31, 2021, 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 Total Return Bond Fund | Annual Report 2022 | 79 |
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.
© 2022 Columbia Management Investment
Advisers, LLC.
columbiathreadneedleus.com/investor/
ANN166_04_M01_(06/22)
Multi-Manager
Directional Alternative Strategies Fund
Not FDIC or NCUA 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)
290 Congress Street
Boston, MA 02210
Fund distributor
Columbia Management Investment Distributors,
Inc.
290 Congress Street
Boston, MA 02210
Fund transfer agent
Columbia Management Investment Services Corp.
P.O. Box 219104
Kansas City, MO 64121-9104
Multi-Manager Directional Alternative Strategies
Fund | Annual Report 2022
Fund at a Glance
(Unaudited)
(Unaudited)
Investment objective
The Fund
seeks capital appreciation.
Portfolio management
Boston Partners Global Investors, Inc
Joseph Feeney, Jr., CFA
Eric Connerly, CFA
J.P. Morgan Investment Management Inc.
Rick Singh
Allspring Global Investments, LLC
Harindra de Silva, CFA
Dennis Bein, CFA*
David Krider, CFA
* Dennis Bein, CFA, has announced his intention to step down as a portfolio manager of the Fund as of June 1, 2022 and retire from Allspring Global Investments, LLC at the end of September
2022
| Multi-Manager Directional Alternative Strategies Fund | Annual Report 2022 | 3 |
Fund at a Glance (continued)
(Unaudited)
(Unaudited)
Performance of a hypothetical $10,000 investment (October 17, 2016 — April 30, 2022)
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.
| 4 | Multi-Manager Directional Alternative Strategies Fund | Annual Report 2022 |
Fund at a Glance (continued)
(Unaudited)
(Unaudited)
| Multi-Manager Directional Alternative Strategies Fund | Annual Report 2022 | 5 |
Manager Discussion of Fund Performance
(Unaudited)
(Unaudited)
During the 12-month period ended
April 30, 2022, the Fund was managed by four independent money management firms and each invested a portion of the portfolio’s assets. Effective February 17, 2022, AQR Capital Management, LLC (AQR) ceased
serving as a subadvisor of the Fund and J.P. Morgan Investment Management Inc. (JPMorgan) assumed day-to-day management of a portion of the Fund’s portfolio. As of April 30, 2022, Boston Partners Global
Investors, Inc. doing business as Boston Partners (Boston Partners), Allspring Global Investments, LLC (Allspring) and JPMorgan managed approximately 40.54%, 29.82% and 29.64% of the Fund’s assets,
respectively.
For the 12-month period that ended
April 30, 2022, the Fund’s Institutional Class shares returned 10.42%. During the same time period, the Fund outperformed the HFRX Equity Hedge Index, which returned 3.91%, and the Wilshire Liquid Alternative
Equity Hedge Index, which returned 0.42%. The Fund also outperformed the MSCI World Index (Net), which returned -3.52% 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
Despite a strong rally in 2021,
global equities were flat to negative for the 12-month period that ended April 30, 2022. As pandemic-related restrictions were eased, robust economic growth and corporate earnings drove gains for stocks. Both U.S.
monetary and fiscal policy were highly supportive, as Congress approved massive spending packages that included direct payments to citizens and the U.S. Federal Reserve (Fed) maintained its benchmark overnight lending
rate near zero while engaging in bond market purchases to keep longer term borrowing costs low. The fourth quarter of 2021 saw the Fed adopt a more hawkish tone in response to persistently high inflation, driven in
large part by supply chain constraints and rising commodity prices, which led to increased market volatility. High-growth companies came under intense selling pressure and many investors crowded back to more defensive
and established growth stocks, rotating away from longer duration growth stocks.
The first four months of 2022
erased much of the gains won in 2021. Most major indices returned in negative territory as global markets grappled with individual stock volatility, the number and timing of interest rate hikes by the Fed, inflation
and rising geopolitical tensions. The invasion of Ukraine by Russia on February 24, 2022, roiled global markets and drove significant sell-offs. The conflict pressured the outlook for global growth and raised fresh
concerns about supply chains, weighing heavily on investor sentiment. In addition, the resulting sanctions from the United States and other nations contributed to a spike in commodity prices by restricting the supply
of oil and other raw materials. This development further weighed on the markets by fueling expectations that inflation, which was already accelerating, would rise to an even greater extent. As a result, investors
began to factor in the possibility of very aggressive interest rate hikes by the Fed over the remainder of 2022.
Global commodities markets saw
historic volatility as a U.S. and E.U.-led coalition of governments, central banks, and corporations imposed unprecedented sanctions on Russia, the world’s third largest oil producer. Commodities delivered
strong gains overall, driven in large part by energy markets, with the Bloomberg Commodity Index Total Return delivering a gain of 43.53% for the 12-month period that ended April 30, 2022.
AQR
We managed a portion of the
Fund’s portfolio from the start of the period through February 16, 2022. During that time period, our portion of the Fund outperformed its custom benchmark, composed of 50% MSCI World Index and 50% FTSE
Three-Month U.S. Treasury Bill Index.
The strategy utilized equity swaps,
equity index futures, and currency forwards during the period. The strategy uses equity derivative instruments as a substitute for investing in conventional securities and for investment purposes to increase economic
exposure to a particular security or index in a cost-effective manner. Additionally, the strategy utilizes both equity index futures and currency forwards to gain passive equity market exposure. The use of derivatives
had a meaningful impact
| 6 | Multi-Manager Directional Alternative Strategies Fund | Annual Report 2022 |
Manager Discussion of Fund Performance (continued)
(Unaudited)
(Unaudited)
on the strategy’s performance during the
period. Specifically, the strategy’s passive market exposure and tactical market exposure components were implemented entirely using derivatives. The global stock selection component was implemented using both
common equities and equity swaps.
Notable contributors in our
portion of the Fund during the period
Outperformance in our portion of
the Fund was driven by its market neutral stock selection component.
| • | The Fund’s passive market exposure contributed to overall performance. |
| • | From an investment theme perspective, valuation, sentiment, quality, and momentum each contributed positively to performance. |
| • | The top contributing sectors were health care, consumer discretionary, and industrials. The strategy’s portfolio process is a market neutral model that does not think in benchmark-relative terms, along with a static passive exposure via futures. |
| • | The top three individual contributors to performance during our reporting period were WM Morrison Super Markets, Vroom, and Beyond Meat, Inc. |
| • | From a country perspective, stock selection within the United States and the United Kingdom were the largest contributors to performance during the period. |
Notable detractors in our portion
of the Fund during the period
| • | Tactical market exposure in our portion of the Fund detracted from overall performance. |
| • | The bottom performing sectors in our portion of the portfolio were real estate and utilities. |
| • | During our reporting period, the top three individual detractors from performance were Avis Budget Group, Toyota Motor Corporation, and AtoS SE. |
| • | In terms of country exposure, Germany, France and Switzerland were the largest detractors. |
Boston Partners
Our portion of the Fund
outperformed its benchmark, the S&P 500 Index, for the 12 months that ended April 30, 2022, primarily a result of maintaining our strategy’s valuation discipline. Our portion of the portfolio is populated
with long positions in statistically inexpensive companies and short positions in expensive companies, which was a significant tailwind for performance. Value stocks, as measured by the Russell 3000 Value Index, rose
0.8% for the one-year period ending April 30, 2022, while growth stocks, measured by the Russell 3000 Growth Index fell -6.8%. The sharp underperformance of expensive stocks with weak profitability aided performance
in our portion of the Fund, as our short positions fell in price by more than 22% during the period and was the primary driver of Fund performance.
Notable contributors in our
portion of the Fund during the period
| • | Long positions in energy stocks were the top contributors to performance in our portion of the Fund during the reporting period, as oil prices measured by WTI (West Texas Intermediate) Oil were up over 65% during the year. |
| • | Top contributors were oil producers including Cenovus Energy, Inc., Devon Energy Corp. and Canadian Natural Resources Ltd. |
| • | Long positions in the health care sector were also among the top contributors, with pharmaceutical holdings including Novo Nordisk A/S and AstraZeneca PLC delivering strong earnings reports, while managed care insurance holdings Centene Corp. and CVS Health Corp. also benefitted from better-than-expected earnings and guidance. |
| • | Short positions in the consumer discretionary sector fell sharply and positively contributed, as less profitable e-commerce holdings saw revenue growth slow, with names such as Chewy, Inc. and Carvana Co. down more than 50% and positively contributing. |
| Multi-Manager Directional Alternative Strategies Fund | Annual Report 2022 | 7 |
Manager Discussion of Fund Performance (continued)
(Unaudited)
(Unaudited)
| • | Several statistically expensive health care shorts also fell in price, primarily within biotechnology and included names such as CureVac NV, Kodiak Sciences, Inc. and Allogene Therapeutics, Inc. (all down more than 70% during the period). |
| • | Lastly, several small- to mid-cap U.S. software shorts fell sharply and contributed positively to results, with the common theme consisting of very high valuations (typically greater than 20x sales) with slowing revenue growth and increasing competition. |
Notable detractors in our portion
of the Fund during the period
| • | Long positions within the consumer discretionary sector were the top detractors, as companies in the leisure and lodging sector fell in price as the Omicron variant further delayed a full earnings recovery. |
| • | Top leisure and lodging detractors included Flutter Entertainment PLC, Wynn Macau Ltd. and Las Vegas Sands Corp. |
| • | Long positions in housing-related stocks also declined amid the surge higher in mortgage rates, with top detractors including Tempur Sealy International, Inc., Mohawk Industries, Inc. and Whirlpool Corp. |
| • | Long positions in financials also detracted, as regional banks fell in price as the U.S. yield curve flattened during the latter portion of the period. Top individual detractors included Truist Financial Corp., Huntington Bancshares, Inc., KeyCorp and Capital One Financial Corp. |
Allspring
Our portion of the Fund
outperformed its custom benchmark, composed of 50% MSCI World Index/50% FTSE Three-Month U.S. Treasury Bill Index, due primarily to risk exposures in our portion of the Fund. The portfolio maintained an
overweight position to low beta securities, and an underweight position to high beta securities. During this period, low beta securities substantially outperformed the market and high beta securities substantially
underperformed the market.
Our stock selection model also
performed well during most of the year, as stocks we forecasted to do well outperformed stocks we thought would do poorly. This was primarily the result of favoring certain valuation characteristics which
outperformed during the 12-month period ended April 30, 2022. Specifically, an emphasis to companies with strong book value and earnings relative to their price positively impacted results as these characteristics
were rewarded by investors.
Our portion of the Fund utilizes
short positions to pursue downside protection, risk hedging, and also to enhance stock selection. Our strategy, the Global Long/Short strategy, attempts to achieve a consistent 100% Long/30% Short structure at
all times.
Notable contributors in our
portion of the Fund during the period
| • | Short positions in Carvana Co., Canopy Growth Corp. and Exact Sciences Corp., were the largest positive contributors to performance in our portion of the Fund. These companies exhibited factor exposures which were penalized by the market environment and our short positions were rewarded. |
| • | An underweight exposure to the consumer discretionary sector was the greatest positive contributor from a sector weighting perspective. |
| • | Countries that made positive contributions were underweight positions to the Netherlands, Germany and Japan as all three underperformed the MSCI World Index (Net). |
| • | In addition, while an underweight position in the United States detracted slightly from performance, stock selection within the United States was particularly strong and added significant value overall. |
Notable detractors in our portion
of the Fund during the period
| • | Long positions in Yamada Holdings Co., Ltd., Moderna, Inc. and Adecco Group AG, were the largest detractors from performance. These companies exhibited factor exposures which were not rewarded by the market environment. |
| • | An underweight exposure to the strong-performing energy sector was the greatest detractor from a sector weighting perspective. |
| 8 | Multi-Manager Directional Alternative Strategies Fund | Annual Report 2022 |
Manager Discussion of Fund Performance (continued)
(Unaudited)
(Unaudited)
| • | Countries that had negative contributions were the United Kingdom, Canada and Hong Kong. |
| ○ | An overweight position to Hong Kong negatively impacted performance as this country posted negative returns. In addition, stock selection within Hong Kong struggled within our portion of the Fund. |
| ○ | Underweight positions to the UK and Canada negatively detracted from returns as these countries posted positive gains and outperformed the index. However, strong stock selection within both the UK and Canada also positively impacted returns overall. |
JPMorgan
We began managing a portion of
the Fund’s portfolio on February 17, 2022. From February 17, 2022 through the close of the reporting period, our portion of the Fund outperformed our custom benchmark, composed of 50% S&P 500 Index/50% FTSE
Three-Month U.S. Treasury Bill Index.
The positioning of the portfolio
evolved across multiple dimensions in the period. Gross and net exposures were actively reduced, which is consistent with our process as increased risks in the market translate to lower exposures and a more
conservative approach in our portion of the portfolio. Both the long and short side of the portfolio have been diversified with respect to industry, sector, valuation and style considerations. In the long book, our
portion of the portfolio has a greater presence of macro-agnostic companies, with examples found in health care, transportation, cloud infrastructure, and utilities. Within the short book, we increased the number of
holdings as well as diversity across style and sectors. Examples include companies we believe are globally exposed to highly discretionary spending, consumer staples businesses with significant exposure to
inflationary pressures as well as those companies that had been beneficiaries of the stay-at-home period during the pandemic but now, in our opinion, face tough comparisons.
Notable contributors in our
portion of the Fund during the period
| • | Our strategy’s short portfolio was a modest contributor during the period, as short positions in the information technology and industrials sectors contributed to performance in our portion of the Fund. |
| • | Long positions in the financials sector contributed during the period. Top individual contributors during the period included long positions in UnitedHealth Group, Inc. and Berkshire Hathaway, Inc. |
Notable detractors in our portion
of the Fund during the period
| • | The long portfolio was the primary detractor during the period. |
| • | Long positions in the information technology and industrials sectors were top detractors. |
| • | Top individual detractors included long positions in Tempur Sealy International, Inc. and Seagate Technology Holdings PLC. |
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.
| Multi-Manager Directional Alternative Strategies Fund | Annual Report 2022 | 9 |
Manager Discussion of Fund Performance (continued)
(Unaudited)
(Unaudited)
The views expressed in this report
reflect the current views of the respective parties. These views are not guarantees of future performance and involve certain risks, uncertainties and assumptions that are difficult to predict, so actual outcomes and
results may differ significantly from the views expressed. These views are subject to change at any time based upon economic, market or other conditions and the respective parties disclaim any responsibility to update
such views. These views may not be relied on as investment advice and, because investment decisions for a Columbia fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf
of any particular Columbia fund. References to specific securities should not be construed as a recommendation or investment advice.
| 10 | Multi-Manager Directional Alternative Strategies Fund | Annual Report 2022 |
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.
| Multi-Manager Directional Alternative Strategies Fund | Annual Report 2022 | 11 |
Portfolio of Investments
April 30, 2022
April 30, 2022
(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.
| 12 | Multi-Manager Directional Alternative Strategies Fund | Annual Report 2022 |
Portfolio of Investments (continued)
April 30, 2022
April 30, 2022
The accompanying Notes to Financial
Statements are an integral part of this statement.
| Multi-Manager Directional Alternative Strategies Fund | Annual Report 2022 | 13 |
The accompanying Notes to Financial
Statements are an integral part of this statement.
| 14 | Multi-Manager Directional Alternative Strategies Fund | Annual Report 2022 |
Portfolio of Investments (continued)
April 30, 2022
April 30, 2022
The accompanying Notes to Financial
Statements are an integral part of this statement.
| Multi-Manager Directional Alternative Strategies Fund | Annual Report 2022 | 15 |
Portfolio of Investments (continued)
April 30, 2022
April 30, 2022
The accompanying Notes to Financial
Statements are an integral part of this statement.
| 16 | Multi-Manager Directional Alternative Strategies Fund | Annual Report 2022 |
Portfolio of Investments (continued)
April 30, 2022
April 30, 2022
The accompanying Notes to Financial
Statements are an integral part of this statement.
| Multi-Manager Directional Alternative Strategies Fund | Annual Report 2022 | 17 |
Portfolio of Investments (continued)
April 30, 2022
April 30, 2022
The accompanying Notes to Financial
Statements are an integral part of this statement.
| 18 | Multi-Manager Directional Alternative Strategies Fund | Annual Report 2022 |
Portfolio of Investments (continued)
April 30, 2022
April 30, 2022
The accompanying Notes to Financial
Statements are an integral part of this statement.
| Multi-Manager Directional Alternative Strategies Fund | Annual Report 2022 | 19 |
Portfolio of Investments (continued)
April 30, 2022
April 30, 2022
The accompanying Notes to Financial
Statements are an integral part of this statement.
| 20 | Multi-Manager Directional Alternative Strategies Fund | Annual Report 2022 |
Portfolio of Investments (continued)
April 30, 2022
April 30, 2022
The accompanying Notes to Financial
Statements are an integral part of this statement.
| Multi-Manager Directional Alternative Strategies Fund | Annual Report 2022 | 21 |
Portfolio of Investments (continued)
April 30, 2022
April 30, 2022
The accompanying Notes to Financial
Statements are an integral part of this statement.
| 22 | Multi-Manager Directional Alternative Strategies Fund | Annual Report 2022 |
Portfolio of Investments (continued)
April 30, 2022
April 30, 2022
The accompanying Notes to Financial
Statements are an integral part of this statement.
| Multi-Manager Directional Alternative Strategies Fund | Annual Report 2022 | 23 |
Portfolio of Investments (continued)
April 30, 2022
April 30, 2022
At April 30, 2022,
securities and/or cash totaling $155,495,688 were pledged as collateral.
The accompanying Notes to Financial Statements are
an integral part of this statement.
| 24 | Multi-Manager Directional Alternative Strategies Fund | Annual Report 2022 |
Portfolio of Investments (continued)
April 30, 2022
April 30, 2022
Investments in derivatives
| Total return swap contracts | ||||||||||||
| Fund receives | Fund pays | Payment frequency | Counterparty | Maturity date | Notional currency | Notional amount | Value ($) | Periodic payments receivable (payable) ($) | Upfront payments ($) | Upfront receipts ($) | Unrealized appreciation ($) | Unrealized depreciation ($) |
| SOFR minus 1.642%† | Total return on Sillajen, Inc. | Monthly | Macquarie | 09/19/2023 | USD | 32,148 | 23,776†† | (12) | — | — | 23,764 | — |
| SOFR minus 1.000% | Total return on Advantech Ltd. | Monthly | Macquarie | 09/19/2023 | USD | 278,767 | 5,293 | (57) | — | — | 5,236 | — |
| Total return on Samsung Electronics Co., Ltd. | SOFR plus 0.800% | Monthly | Macquarie | 09/19/2023 | USD | 226,582 | (4,669) | 791 | — | — | — | (3,878) |
| Total | 24,400 | 722 | — | — | 29,000 | (3,878) | ||||||
| † | Represents fair value as determined in good faith under procedures approved by the Board of Trustees. At April 30, 2022, the total value of these swap contracts amounted to $23,776, which represents 0.01% of total net assets. |
| †† | Valuation based on significant unobservable inputs. |
| Reference index and values for swap contracts as of period end | ||
| Reference index | Reference rate | |
| SOFR | Secured Overnight Financing Rate | 0.280% |
Notes to Portfolio of
Investments
| (a) | Non-income producing investment. |
| (b) | This security or a portion of this security has been pledged as collateral in connection with investments sold short. |
| (c) | The rate shown is the seven-day current annualized yield at April 30, 2022. |
| (d) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the year ended April 30, 2022 are as follows: |
| Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Realized gain (loss)($) | Dividends($) | End of period shares |
| Columbia Short-Term Cash Fund, 0.462% | ||||||||
| 22,000,966 | 351,962,240 | (331,400,793) | (157) | 42,562,256 | (11,777) | 42,163 | 42,575,028 | |
Abbreviation Legend
| ADR | American Depositary Receipt |
| NVDR | Non-Voting Depositary Receipt |
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:
The accompanying Notes to Financial Statements are
an integral part of this statement.
| Multi-Manager Directional Alternative Strategies Fund | Annual Report 2022 | 25 |
Portfolio of Investments (continued)
April 30, 2022
April 30, 2022
Fair value measurements (continued)
| ■ | Level 1 — Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments. |
| ■ | Level 2 — Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
| ■ | Level 3 — Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
Inputs that are used in determining
fair value of an investment may include price information, credit data, volatility statistics, and other factors. These inputs can be either observable or unobservable. The availability of observable inputs can vary
between investments, and is affected by various factors such as the type of investment, and the volume and level of activity for that investment or similar investments in the marketplace. The inputs will be considered
by the Investment Manager, along with any other relevant factors in the calculation of an investment’s fair value. The Fund uses prices and inputs that are current as of the measurement date, which may include
periods of market dislocations. During these periods, the availability of prices and inputs may be reduced for many investments. This condition could cause an investment to be reclassified between the various levels
within the hierarchy.
Foreign equity securities actively
traded in markets where there is a significant delay in the local close relative to the New York Stock Exchange are classified as Level 2. The values of these securities may include an adjustment to reflect the impact
of market movements following the close of local trading, as described in Note 2 to the financial statements – Security valuation.
Investments falling into the Level 3
category are primarily supported by quoted prices from brokers and dealers participating in the market for those investments. However, these may be classified as Level 3 investments due to lack of market transparency
and corroboration to support these quoted prices. Additionally, valuation models may be used as the pricing source for any remaining investments classified as Level 3. These models may rely on one or more significant
unobservable inputs and/or significant assumptions by the Investment Manager. Inputs used in valuations may include, but are not limited to, financial statement analysis, capital account balances, discount rates and
estimated cash flows, and comparable company data.
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, 2022:
| Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | |
| Investments in Securities | ||||
| Common Stocks | ||||
| Communication Services | 10,488,317 | 1,040,298 | — | 11,528,615 |
| Consumer Discretionary | 28,817,822 | 1,527,213 | — | 30,345,035 |
| Consumer Staples | 13,996,214 | 2,880,538 | — | 16,876,752 |
| Energy | 15,374,842 | 2,904,358 | — | 18,279,200 |
| Financials | 15,345,356 | 3,761,263 | — | 19,106,619 |
| Health Care | 35,121,482 | 3,712,437 | — | 38,833,919 |
| Industrials | 24,176,943 | 4,151,778 | — | 28,328,721 |
| Information Technology | 30,992,130 | 649,106 | — | 31,641,236 |
| Materials | 10,459,202 | 4,394,249 | — | 14,853,451 |
| Real Estate | 4,989,277 | 1,518,478 | — | 6,507,755 |
| Utilities | 2,044,017 | 2,442,342 | — | 4,486,359 |
| Total Common Stocks | 191,805,602 | 28,982,060 | — | 220,787,662 |
| Exchange-Traded Equity Funds | 752,426 | — | — | 752,426 |
| Preferred Stocks | ||||
| Consumer Discretionary | — | 76,247 | — | 76,247 |
| Total Preferred Stocks | — | 76,247 | — | 76,247 |
| Warrants | ||||
| Energy | 128,962 | — | — | 128,962 |
| Total Warrants | 128,962 | — | — | 128,962 |
| Money Market Funds | 42,562,256 | — | — | 42,562,256 |
| Total Investments in Securities | 235,249,246 | 29,058,307 | — | 264,307,553 |
| Investments in Securities Sold Short |
The accompanying Notes to Financial Statements are
an integral part of this statement.
| 26 | Multi-Manager Directional Alternative Strategies Fund | Annual Report 2022 |
Portfolio of Investments (continued)
April 30, 2022
April 30, 2022
Fair value measurements (continued)
| Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | |
| Common Stocks | ||||
| Communication Services | (1,760,076) | (1,430,042) | — | (3,190,118) |
| Consumer Discretionary | (6,938,235) | (2,672,432) | — | (9,610,667) |
| Consumer Staples | (9,398,647) | (1,215,511) | — | (10,614,158) |
| Energy | (908,134) | (878,100) | — | (1,786,234) |
| Financials | (8,641,885) | (2,394,418) | — | (11,036,303) |
| Health Care | (5,371,473) | (959,354) | — | (6,330,827) |
| Industrials | (12,871,865) | (1,904,940) | — | (14,776,805) |
| Information Technology | (8,034,582) | (1,817,779) | — | (9,852,361) |
| Materials | (3,274,462) | (2,532,782) | — | (5,807,244) |
| Real Estate | (1,932,472) | (168,815) | — | (2,101,287) |
| Utilities | (225,743) | (567,933) | — | (793,676) |
| Total Common Stocks | (59,357,574) | (16,542,106) | — | (75,899,680) |
| Exchange-Traded Equity Funds | (2,287,424) | — | — | (2,287,424) |
| Total Investments in Securities Sold Short | (61,644,998) | (16,542,106) | — | (78,187,104) |
| Total Investments in Securities, Net of Securities Sold Short | 173,604,248 | 12,516,201 | — | 186,120,449 |
| Investments in Derivatives | ||||
| Asset | ||||
| Swap Contracts | — | 5,236 | 23,764 | 29,000 |
| Liability | ||||
| Swap Contracts | — | (3,878) | — | (3,878) |
| Total | 173,604,248 | 12,517,559 | 23,764 | 186,145,571 |
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 2022 | 27 |
Statement of Assets and Liabilities
April 30, 2022
April 30, 2022
| Assets | |
| Investments in securities, at value | |
| Unaffiliated issuers (cost $204,242,139) | $221,745,297 |
| Affiliated issuers (cost $42,558,903) | 42,562,256 |
| Cash | 212 |
| Cash collateral held at broker for: | |
| Swap contracts | 60,000 |
| Securities sold short | 83,026,347 |
| Unrealized appreciation on swap contracts | 29,000 |
| Receivable for: | |
| Investments sold | 10,578,243 |
| Capital shares sold | 839,658 |
| Dividends | 259,715 |
| Foreign tax reclaims | 268,900 |
| Expense reimbursement due from Investment Manager | 1,935 |
| Prepaid expenses | 2,535 |
| Trustees’ deferred compensation plan | 38,781 |
| Total assets | 359,412,879 |
| Liabilities | |
| Securities sold short, at value (proceeds $93,840,581) | 78,187,104 |
| Foreign currency (cost $11,203) | 11,204 |
| Unrealized depreciation on swap contracts | 3,878 |
| Payable for: | |
| Investments purchased | 13,953,188 |
| Capital shares purchased | 198,023 |
| Dividends and interest on securities sold short | 116,852 |
| Management services fees | 11,845 |
| Transfer agent fees | 34,271 |
| Compensation of board members | 9,566 |
| Other expenses | 147,743 |
| Trustees’ deferred compensation plan | 38,781 |
| Total liabilities | 92,712,455 |
| Net assets applicable to outstanding capital stock | $266,700,424 |
| Represented by | |
| Paid in capital | 219,621,195 |
| Total distributable earnings (loss) | 47,079,229 |
| Total - representing net assets applicable to outstanding capital stock | $266,700,424 |
| Institutional Class | |
| Net assets | $266,700,424 |
| Shares outstanding | 35,935,926 |
| Net asset value per share | $7.42 |
The accompanying Notes to Financial Statements are
an integral part of this statement.
| 28 | Multi-Manager Directional Alternative Strategies Fund | Annual Report 2022 |
Statement of Operations
Year Ended April 30, 2022
Year Ended April 30, 2022
| Net investment income | |
| Income: | |
| Dividends — unaffiliated issuers | $3,997,407 |
| Dividends — affiliated issuers | 42,163 |
| Foreign taxes withheld | (211,868) |
| Total income | 3,827,702 |
| Expenses: | |
| Management services fees | 4,300,211 |
| Transfer agent fees | |
| Institutional Class | 491,719 |
| Compensation of board members | 17,450 |
| Custodian fees | 392,555 |
| Printing and postage fees | 57,125 |
| Registration fees | 43,228 |
| Audit fees | 82,150 |
| Legal fees | 13,508 |
| Interest on collateral | 885 |
| Dividends and interest on securities sold short | 1,581,090 |
| Interest on interfund lending | 19 |
| Compensation of chief compliance officer | 87 |
| Other | 25,607 |
| Total expenses | 7,005,634 |
| Fees waived or expenses reimbursed by Investment Manager and its affiliates | (478,398) |
| Total net expenses | 6,527,236 |
| Net investment loss | (2,699,534) |
| Realized and unrealized gain (loss) — net | |
| Net realized gain (loss) on: | |
| Investments — unaffiliated issuers | 27,124,969 |
| Investments — affiliated issuers | (11,777) |
| Foreign currency translations | (991,725) |
| Forward foreign currency exchange contracts | (817,171) |
| Futures contracts | 4,217,580 |
| Securities sold short | 1,996,149 |
| Swap contracts | 11,585,694 |
| Net realized gain | 43,103,719 |
| Net change in unrealized appreciation (depreciation) on: | |
| Investments — unaffiliated issuers | (33,381,071) |
| Investments — affiliated issuers | (157) |
| Foreign currency translations | (955,340) |
| Forward foreign currency exchange contracts | 55,175 |
| Futures contracts | (1,814,575) |
| Securities sold short | 23,807,102 |
| Swap contracts | 1,029,908 |
| Net change in unrealized appreciation (depreciation) | (11,258,958) |
| Net realized and unrealized gain | 31,844,761 |
| Net increase in net assets resulting from operations | $29,145,227 |
The accompanying Notes to
Financial Statements are an integral part of this statement.
| Multi-Manager Directional Alternative Strategies Fund | Annual Report 2022 | 29 |
Statement of Changes in Net Assets
| Year Ended April 30, 2022 | Year Ended April 30, 2021 | |
| Operations | ||
| Net investment loss | $(2,699,534) | $(3,194,998) |
| Net realized gain | 43,103,719 | 15,647,061 |
| Net change in unrealized appreciation (depreciation) | (11,258,958) | 34,887,283 |
| Net increase in net assets resulting from operations | 29,145,227 | 47,339,346 |
| Distributions to shareholders | ||
| Net investment income and net realized gains | ||
| Institutional Class | (19,622,766) | — |
| Total distributions to shareholders | (19,622,766) | — |
| Increase (decrease) in net assets from capital stock activity | (21,172,260) | 9,851,969 |
| Total increase (decrease) in net assets | (11,649,799) | 57,191,315 |
| Net assets at beginning of year | 278,350,223 | 221,158,908 |
| Net assets at end of year | $266,700,424 | $278,350,223 |
| Year Ended | Year Ended | |||
| April 30, 2022 | April 30, 2021 | |||
| Shares | Dollars ($) | Shares | Dollars ($) | |
| Capital stock activity | ||||
| Institutional Class | ||||
| Subscriptions | 7,824,223 | 58,217,586 | 8,789,623 | 55,388,433 |
| Distributions reinvested | 2,767,668 | 19,622,766 | — | — |
| Redemptions | (13,156,101) | (99,012,612) | (7,151,858) | (45,536,464) |
| Net increase (decrease) | (2,564,210) | (21,172,260) | 1,637,765 | 9,851,969 |
| Total net increase (decrease) | (2,564,210) | (21,172,260) | 1,637,765 | 9,851,969 |
The accompanying Notes to Financial Statements are
an integral part of this statement.
| 30 | Multi-Manager Directional Alternative Strategies Fund | Annual Report 2022 |
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, | ||||
| 2022 | 2021 | 2020 | 2019 | 2018 | |
| Per share data | |||||
| Net asset value, beginning of period | $7.23 | $6.00 | $6.78 | $10.82 | $10.60 |
| Income (loss) from investment operations: | |||||
| Net investment loss | (0.07) | (0.08) | (0.01) | (0.01) | (0.09) |
| Net realized and unrealized gain (loss) | 0.80 | 1.31 | (0.72) | (0.80) | 0.92 |
| Total from investment operations | 0.73 | 1.23 | (0.73) | (0.81) | 0.83 |
| Distributions to shareholders | |||||
| Distributions from net investment income | (0.08) | — | — | (0.06) | (0.18) |
| Distributions from net realized gains | (0.46) | — | (0.05) | (3.17) | (0.43) |
| Total distributions to shareholders | (0.54) | — | (0.05) | (3.23) | (0.61) |
| Net asset value, end of period | $7.42 | $7.23 | $6.00 | $6.78 | $10.82 |
| Total return | 10.42% | 20.50% | (10.81%) | (5.65%) | 7.67% |
| Ratios to average net assets | |||||
| Total gross expenses(a) | 2.61%(b),(c),(d) | 2.90%(b),(c),(d) | 2.31%(b),(c) | 2.16%(b),(c),(d) | 2.36%(b) |
| Total net expenses(a),(e) | 2.43%(b),(c),(d) | 2.71%(b),(c),(d) | 2.19%(b),(c) | 2.12%(b),(c),(d) | 2.36%(b) |
| Net investment loss | (1.00%) | (1.31%) | (0.14%) | (0.11%) | (0.83%) |
| Supplemental data | |||||
| Net assets, end of period (in thousands) | $266,700 | $278,350 | $221,159 | $251,976 | $290,666 |
| Portfolio turnover | 323% | 254% | 197% | 146%(f) | 158% |
| 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) | 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 | 4/30/2022 | 4/30/2021 | 4/30/2020 | 4/30/2019 | 4/30/2018 |
| Institutional Class | 0.59% | 0.87% | 0.32% | 0.19% | 0.40% |
| (c) | Ratios include interest on collateral expense which is less than 0.01%. |
| (d) | Ratios include interfund lending expense which is less than 0.01%. |
| (e) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
| (f) | 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 2022 | 31 |
Notes to Financial Statements
April 30, 2022
April 30, 2022
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 the
share class listed in the Statement of Assets and Liabilities which is not subject to any front-end sales charge or contingent deferred sales charge.
Note 2. Summary of
significant accounting policies
Basis of preparation
The Fund is an investment company
that applies the accounting and reporting guidance in the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946, Financial Services - Investment Companies (ASC 946). The financial statements are prepared in accordance with U.S. generally accepted accounting principles (GAAP), which requires
management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities, the disclosure of contingent assets and liabilities at the date of the financial statements and the
reported amounts of income and expenses during the reporting period. Actual results could differ from those estimates.
The following is a summary of
significant accounting policies followed by the Fund in the preparation of its financial statements.
Security valuation
Equity securities listed on an
exchange are valued at the closing price or last trade price on their primary exchange at the close of business of the New York Stock Exchange. Securities with a closing price not readily available or not listed on
any exchange are valued at the mean between the closing bid and ask prices. Listed preferred stocks convertible into common stocks are valued using an evaluated price from a pricing service.
Foreign equity securities are
valued based on the closing price or last trade price on their primary exchange at the close of business of the New York Stock Exchange. If any foreign equity security closing prices are not readily available,
the securities are valued at the mean of the latest quoted bid and ask prices on such exchanges or markets. Foreign currency exchange rates are determined at the scheduled closing time of the New York Stock Exchange.
Many securities markets and exchanges outside the U.S. close prior to the close of the New York Stock Exchange; therefore, the closing prices for securities in such markets or on such exchanges may not fully reflect
events that occur after such close but before the close of the New York Stock Exchange. In those situations, foreign securities will be fair valued pursuant to a policy 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.
Swap transactions are valued
through an independent pricing service or broker, or if neither is available, through an internal model based upon observable inputs.
| 32 | Multi-Manager Directional Alternative Strategies Fund | Annual Report 2022 |
Notes to Financial Statements (continued)
April 30, 2022
April 30, 2022
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, failure of the clearinghouse or CCP may pose additional counterparty credit risk. However, credit risk still exists in exchange-traded or centrally cleared derivatives with respect to initial and variation
margin that is held in a broker’s customer account. While clearing brokers are required to segregate customer margin from their own assets, in the event that a clearing broker becomes insolvent or goes into
bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the clearing broker for all its clients and such shortfall is remedied by the CCP or otherwise, U.S. bankruptcy laws will
typically allocate that shortfall on a pro-rata basis across all the clearing broker’s customers (including the Fund), potentially resulting in losses to the Fund.
| Multi-Manager Directional Alternative Strategies Fund | Annual Report 2022 | 33 |
Notes to Financial Statements (continued)
April 30, 2022
April 30, 2022
In order to better define its
contractual rights and to secure rights that will help the Fund mitigate its counterparty risk, the Fund may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (ISDA Master Agreement)
or similar agreement with its derivatives counterparties. An ISDA Master Agreement is an agreement between the Fund and a counterparty that governs over-the-counter derivatives and foreign exchange forward contracts
and contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. Under an ISDA Master Agreement, the Fund may, under certain circumstances, offset
with the counterparty certain derivative instruments’ payables and/or receivables with collateral held and/or posted and create one single net payment. The provisions of the ISDA Master Agreement typically
permit a single net payment in the event of default (close-out netting), including the bankruptcy or insolvency of the counterparty. Note, however, that bankruptcy or insolvency laws of a particular jurisdiction may
impose restrictions on or prohibitions against the right of offset or netting in bankruptcy, insolvency or other events.
Collateral (margin) requirements
differ by type of derivative. Margin requirements are established by the clearinghouse or CCP for exchange-traded and centrally cleared derivatives. Brokers can ask for margin in excess of the minimum in certain
circumstances. Collateral terms for most over-the-counter derivatives are subject to regulatory requirements to exchange variation margin with trading counterparties and may have contract specific margin terms as
well. For over-the-counter derivatives traded under an ISDA Master Agreement, the collateral requirements are typically calculated by netting the marked-to-market amount for each transaction under such agreement and
comparing that amount to the value of any variation margin currently pledged by the Fund and/or the counterparty. Generally, the amount of collateral due from or to a party has to exceed a minimum transfer amount
threshold (e.g., $250,000) before a transfer has to be made. To the extent amounts due to the Fund from its counterparties are not fully collateralized, contractually or otherwise, the Fund bears the risk of loss from
counterparty nonperformance. The Fund may also pay interest expense on cash collateral received from the broker. Any interest expense paid by the Fund is shown in 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.
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.
| 34 | Multi-Manager Directional Alternative Strategies Fund | Annual Report 2022 |
Notes to Financial Statements (continued)
April 30, 2022
April 30, 2022
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.
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
| Multi-Manager Directional Alternative Strategies Fund | Annual Report 2022 | 35 |
Notes to Financial Statements (continued)
April 30, 2022
April 30, 2022
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, 2022:
| Asset derivatives | ||
| Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
| Equity risk | Component of total distributable earnings (loss) — unrealized appreciation on swap contracts | 29,000* |
| Liability derivatives | ||
| Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
| Equity risk | Component of total distributable earnings (loss) — unrealized depreciation on swap contracts | 3,878* |
| * | Includes cumulative appreciation (depreciation) as reported in the tables following the Portfolio of Investments. Only the current day’s variation margin is reported in receivables or payables in the Statement of Assets and Liabilities. |
| 36 | Multi-Manager Directional Alternative Strategies Fund | Annual Report 2022 |
Notes to Financial Statements (continued)
April 30, 2022
April 30, 2022
The following table indicates the
effect of derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) in the Statement of Operations for the year ended April 30, 2022:
| Amount of realized gain (loss) on derivatives recognized in income | ||||
| Risk exposure category | Forward foreign currency exchange contracts ($) | Futures contracts ($) | Swap contracts ($) | Total ($) |
| Equity risk | — | 4,217,580 | 11,585,694 | 15,803,274 |
| Foreign exchange risk | (817,171) | — | — | (817,171) |
| Total | (817,171) | 4,217,580 | 11,585,694 | 14,986,103 |
| Change in unrealized appreciation (depreciation) on derivatives recognized in income | ||||
| Risk exposure category | Forward foreign currency exchange contracts ($) | Futures contracts ($) | Swap contracts ($) | Total ($) |
| Equity risk | — | (1,814,575) | 1,029,908 | (784,667) |
| Foreign exchange risk | 55,175 | — | — | 55,175 |
| Total | 55,175 | (1,814,575) | 1,029,908 | (729,492) |
The following table is a summary
of the average outstanding volume by derivative instrument for the year ended April 30, 2022:
| Derivative instrument | Average notional amounts ($) |
| Futures contracts — long | 22,891,759* |
| Futures contracts — short | 212,927** |
| Derivative instrument | Average unrealized appreciation ($)* | Average unrealized depreciation ($)* |
| Forward foreign currency exchange contracts | 81,237 | (213,320) |
| Total return swap contracts | 207,325 | (370,788) |
| * | Based on the ending quarterly outstanding amounts for the year ended April 30, 2022. |
| ** | Based on the ending daily outstanding amounts for the year ended April 30, 2022. |
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, the 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 2022 | 37 |
Notes to Financial Statements (continued)
April 30, 2022
April 30, 2022
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, 2022:
| Citi ($) | JPMorgan ($) | Macquarie ($) | Morgan Stanley ($) | Total ($) | |
| Assets | |||||
| OTC total return swap contracts (a) | - | - | 29,000 | - | 29,000 |
| Liabilities | |||||
| OTC total return swap contracts (a) | - | - | 3,878 | - | 3,878 |
| Securities borrowed | 17,311,274 | 5,646,129 | - | 55,229,701 | 78,187,104 |
| Total liabilities | 17,311,274 | 5,646,129 | 3,878 | 55,229,701 | 78,190,982 |
| Total financial and derivative net assets | (17,311,274) | (5,646,129) | 25,122 | (55,229,701) | (78,161,982) |
| Total collateral received (pledged) (b) | (17,311,274) | (5,646,129) | - | (55,229,701) | (78,187,104) |
| Net amount (c) | - | - | 25,122 | - | 25,122 |
| (a) | 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. |
| (b) | In some instances, the actual collateral received and/or pledged may be more than the amount shown due to overcollateralization. |
| (c) | Represents the net amount due from/(to) counterparties in the event of default. |
Security transactions
Security transactions are accounted
for on the trade date. Cost is determined and gains (losses) are based upon the specific identification method for both financial statement and federal income tax purposes.
Income recognition
Corporate actions and dividend
income are generally recorded net of any non-reclaimable tax withholdings, on the ex-dividend date or upon receipt of an ex-dividend notification in the case of certain foreign securities.
The Fund may receive distributions
from holdings in equity securities, business development companies (BDCs), exchange-traded funds (ETFs), limited partnerships (LPs), other regulated investment companies (RICs), and real estate investment trusts
(REITs), which report information as to the tax character of their distributions annually. These distributions are allocated to dividend income, capital gain and return of capital based on actual information reported.
Return of capital is recorded as a reduction of the cost basis of securities held. If the Fund no longer owns the applicable securities, return of capital is recorded as a realized gain. With respect to REITs, to the
extent actual information has not yet been reported, estimates for return of capital are made by Columbia Management Investment Advisers, LLC (the Investment Manager), a wholly-owned subsidiary of Ameriprise
Financial, Inc. (Ameriprise Financial). The Investment Manager’s estimates are subsequently adjusted when the actual character of the distributions is disclosed by the REITs, which could result in a
proportionate change in return of capital to shareholders.
Awards from class action litigation
are recorded as a reduction of cost basis if the Fund still owns the applicable securities on the payment date. If the Fund no longer owns the applicable securities on the payment date, the proceeds are recorded as
realized gains.
Expenses
General expenses of the Trust are
allocated to the Fund and other funds of the Trust based upon relative net assets or other expense allocation methodologies determined by the nature of the expense. Expenses directly attributable to the Fund are
charged to the Fund. Expenses directly attributable to a specific class of shares are charged to that share class.
Determination of class net asset
value
All income, expenses (other than
class-specific expenses, which are charged to that share class, as shown in the Statement of Operations) and realized and unrealized gains (losses) are allocated to each class of the Fund on a daily basis, based on
the relative net assets of each class, for purposes of determining the net asset value of each class.
| 38 | Multi-Manager Directional Alternative Strategies Fund | Annual Report 2022 |
Notes to Financial Statements (continued)
April 30, 2022
April 30, 2022
Federal income tax status
The Fund intends to qualify each
year as a regulated investment company under Subchapter M of the Internal Revenue Code, as amended, and will distribute substantially all of its investment company taxable income and net capital gain, if any, for its
tax year, and as such will not be subject to federal income taxes. In addition, the Fund intends to distribute in each calendar year substantially all of its ordinary income, capital gain net income and certain other
amounts, if any, such that the Fund should not be subject to federal excise tax. Therefore, no federal income or excise tax provision is recorded.
Foreign taxes
The Fund may be subject to foreign
taxes on income, gains on investments or currency repatriation, a portion of which may be recoverable. The Fund will accrue such taxes and recoveries, as applicable, based upon its current interpretation of tax rules
and regulations that exist in the markets in which it invests.
Realized gains in certain countries
may be subject to foreign taxes at the Fund level, based on statutory rates. The Fund accrues for such foreign taxes on realized and unrealized gains at the appropriate rate for each jurisdiction, as applicable. The
amount, if any, is disclosed as a liability in the Statement of Assets and Liabilities.
Distributions to shareholders
Distributions from net investment
income, if any, are declared and paid annually. Net realized capital gains, if any, are distributed at least annually. Income distributions and capital gain distributions are determined in accordance with federal
income tax regulations, which may differ from GAAP.
Guarantees and indemnifications
Under the Trust’s
organizational documents and, in some cases, by contract, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Trust or its funds. In addition,
certain of the Fund’s contracts with its service providers contain general indemnification clauses. The Fund’s maximum exposure under these arrangements is unknown since the amount of any future claims
that may be made against the Fund cannot be determined, and the Fund has no historical basis for predicting the likelihood of any such claims.
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.
Subadvisory agreements
The Investment Manager has entered
into Subadvisory Agreements with Allspring Global Investments, LLC and Boston Partners Global Investors, Inc., each of which subadvises a portion of the assets of the Fund. Effective February 17, 2022, the Investment
Manager has entered into a Subadvisory Agreement with J.P. Morgan Investment Management Inc. to serve as a subadviser to a portion of the assets of the Fund. Prior to February 17, 2022, AQR Capital Management, LLC
served as a subadviser to the Fund. Prior to November 1, 2021, Allspring Global Investments, LLC was known as Wells Capital Management Incorporated. New investments in the Fund, net of any redemptions, are allocated
in accordance with the Investment Manager’s determination. Each subadviser’s proportionate share of investments in the Fund will vary due to market fluctuations. The Investment Manager compensates each
subadviser to manage the investment of the Fund’s assets.
| Multi-Manager Directional Alternative Strategies Fund | Annual Report 2022 | 39 |
Notes to Financial Statements (continued)
April 30, 2022
April 30, 2022
Compensation of board members
Members of the Board of Trustees
who are not officers or employees of the Investment Manager or Ameriprise Financial are compensated for their services to the Fund as disclosed in the Statement of Operations. Under a Deferred Compensation Plan (the
Deferred Plan), these members of the Board of Trustees may elect to defer payment of up to 100% of their compensation. Deferred amounts are treated as though equivalent dollar amounts had been invested in shares of
certain funds managed by the Investment Manager. The Fund’s liability for these amounts is adjusted for market value changes and remains in the Fund until distributed in accordance with the Deferred Plan. All
amounts payable under the Deferred Plan constitute a general unsecured obligation of the Fund. The expense for the Deferred Plan, which includes Trustees’ fees deferred during the current period as well as any
gains or losses on the Trustees’ deferred compensation balances as a result of market fluctuations, is included in "Compensation of board members" in the Statement of Operations.
Compensation of Chief Compliance
Officer
The Board of Trustees has appointed
a Chief Compliance Officer for the Fund in accordance with federal securities regulations. As disclosed in the Statement of Operations, a portion of the Chief Compliance Officer’s total compensation is allocated
to the Fund, along with other allocations to affiliated registered investment companies managed by the Investment Manager and its affiliates, based on relative net assets.
Transfer agency fees
Under a Transfer and Dividend
Disbursing Agent Agreement, Columbia Management Investment Services Corp. (the Transfer Agent), an affiliate of the Investment Manager and a wholly-owned subsidiary of Ameriprise Financial, is responsible for
providing transfer agency services to the Fund. The Transfer Agent has contracted with 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, 2022,
the Fund’s effective transfer agency fee rate as a percentage of average daily net assets was as follows:
| Effective rate (%) | |
| Institutional Class | 0.18 |
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.
| 40 | Multi-Manager Directional Alternative Strategies Fund | Annual Report 2022 |
Notes to Financial Statements (continued)
April 30, 2022
April 30, 2022
Expenses waived/reimbursed by the
Investment Manager and its affiliates
The Investment Manager and certain
of its affiliates have contractually agreed to waive fees and/or reimburse expenses (excluding certain fees and expenses described below) for the period(s) disclosed below, unless sooner terminated at the sole
discretion of the Board of Trustees, so that the Fund’s net operating expenses, after giving effect to fees waived/expenses reimbursed and any balance credits and/or overdraft charges from the Fund’s
custodian, do not exceed the following annual rate(s) as a percentage of the classes’ average daily net assets:
| Fee rate(s) contractual through August 31, 2022 | |
| 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, costs associated with shareholder meetings, infrequent and/or unusual expenses and any other expenses the exclusion of which is specifically approved by the Board of Trustees. This agreement may be
modified or amended only with approval from the Investment Manager, certain of its affiliates and the Fund. Any fees waived and/or expenses reimbursed under the expense reimbursement arrangements described above are
not recoverable by the Investment Manager or its affiliates in future periods.
Note 4. Federal tax
information
The timing and character of
income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP because of temporary or permanent book to tax differences.
At April 30, 2022, 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 and passive foreign investment company (PFIC) holdings. To the extent
these differences were permanent, reclassifications were made among the components of the Fund’s net assets. Temporary differences do not require reclassifications.
The following reclassifications
were made:
| Undistributed net investment income ($) | Accumulated net realized gain ($) | Paid in capital ($) |
| 9,918,081 | (10,167,347) | 249,266 |
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, 2022 | Year Ended April 30, 2021 | ||||
| Ordinary income ($) | Long-term capital gains ($) | Total ($) | Ordinary income ($) | Long-term capital gains ($) | Total ($) |
| 2,950,230 | 16,672,536 | 19,622,766 | — | — | — |
Short-term capital gain
distributions, if any, are considered ordinary income distributions for tax purposes.
| Multi-Manager Directional Alternative Strategies Fund | Annual Report 2022 | 41 |
Notes to Financial Statements (continued)
April 30, 2022
April 30, 2022
At April 30, 2022, the components
of distributable earnings on a tax basis were as follows:
| Undistributed ordinary income ($) | Undistributed long-term capital gains ($) | Capital loss carryforwards ($) | Net unrealized appreciation ($) |
| 15,484,169 | 11,863,827 | — | 20,711,324 |
At April 30, 2022, 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) ($) | Net unrealized appreciation ($) |
| 165,434,247 | 33,732,420 | (13,021,096) | 20,711,324 |
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 $1,001,176,562 and $1,004,704,824, respectively, for the year ended April 30, 2022. 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, 2022 was as follows:
| Borrower or lender | Average loan balance ($) | Weighted average interest rate (%) | Number of days with outstanding loans |
| Borrower | 550,000 | 0.64 | 2 |
| 42 | Multi-Manager Directional Alternative Strategies Fund | Annual Report 2022 |
Notes to Financial Statements (continued)
April 30, 2022
April 30, 2022
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, 2022.
Note 8. Line of credit
The Fund has access to a
revolving credit facility with a syndicate of banks led by JPMorgan Chase Bank, N.A., Citibank, N.A. and Wells Fargo Bank, N.A. whereby the Fund may borrow for the temporary funding of shareholder redemptions or for
other temporary or emergency purposes. Pursuant to an October 28, 2021 amendment and restatement, the credit facility, which is an agreement between the Fund and certain other funds managed by the Investment Manager
or an affiliated investment manager, severally and not jointly, permits aggregate borrowings up to $950 million. Interest is currently charged to each participating fund based on its borrowings at a rate equal to the
higher of (i) the federal funds effective rate, (ii) the secured overnight financing rate plus 0.11448% and (iii) the overnight bank funding rate, plus in each case, 1.00%. Each borrowing under the credit facility
matures no later than 60 days after the date of borrowing. The Fund also pays a commitment fee equal to its pro rata share of the unused amount of the credit facility at a rate of 0.15% per annum. The commitment fee
is included in other expenses in the Statement of Operations. This agreement expires annually in October unless extended or renewed. Prior to the October 28, 2021 amendment and restatement, the Fund had access to a
revolving credit facility with a syndicate of banks led by JPMorgan Chase Bank, N.A., Citibank, N.A. and Wells Fargo Bank, N.A. which permitted collective borrowings up to $950 million. Interest was charged to each
participating fund based on its borrowings at a rate equal to the higher of (i) the federal funds effective rate, (ii) the one-month London Interbank Offered Rate (LIBOR) rate and (iii) the overnight bank funding
rate, plus in each case, 1.25%.
The Fund had no borrowings during
the year ended April 30, 2022.
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,
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 risk
The Fund may incur losses due to
declines in the value of one or more securities in which it invests. These declines may be due to factors affecting a particular issuer, or the result of, among other things, political, regulatory, market, economic or
social developments affecting the relevant market(s) more generally. In addition, turbulence in financial markets and reduced liquidity in equity, credit and/or fixed income markets may negatively affect many issuers,
which could adversely affect the Fund’s ability to price or value hard-to-value assets in thinly traded and closed markets and could cause significant redemptions and operational challenges. Global economies and
financial markets are increasingly interconnected, and conditions and events in one country, region or financial market may adversely impact issuers in a different country, region or financial market. These risks may
be magnified if certain events or developments adversely interrupt the global supply chain; in these and other circumstances, such risks might affect companies worldwide. As a result, local, regional or global
events
| Multi-Manager Directional Alternative Strategies Fund | Annual Report 2022 | 43 |
Notes to Financial Statements (continued)
April 30, 2022
April 30, 2022
such as terrorism, war, natural disasters,
disease/virus outbreaks and epidemics or other public health issues, recessions, depressions or other events – or the potential for such events – could have a significant negative impact on global economic
and market conditions.
The large-scale invasion of Ukraine
by Russia in February 2022 has resulted in sanctions and market disruptions, including declines in regional and global stock and commodity markets and significant devaluations of Russian currency. The extent and
duration of the military action are impossible to predict but could be significant. Market disruption caused by the Russian military action, and any counter measures or responses thereto (including international
sanctions, a downgrade in the country’s credit rating, purchasing and financing restrictions, boycotts, tariffs, changes in consumer or purchaser preferences, cyberattacks and espionage) could have severe
adverse impacts on regional and/or global securities and commodities markets, including markets for oil and natural gas. These impacts may include reduced market liquidity, distress in credit markets, further
disruption of global supply chains, increased risk of inflation, and limited access to investments in certain international markets and/or issuers. These developments and other related events could negatively impact
Fund performance.
The pandemic caused by coronavirus
disease 2019 and its variants (COVID-19) 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 objective. Any such events could have a significant adverse impact on the value and risk profile of the Fund.
Shareholder concentration risk
At April 30, 2022, 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.
| 44 | Multi-Manager Directional Alternative Strategies Fund | Annual Report 2022 |
Notes to Financial Statements (continued)
April 30, 2022
April 30, 2022
Note 11. Information
regarding pending and settled legal proceedings
Ameriprise Financial and certain
of its affiliates are involved in the normal course of business in legal proceedings which include regulatory inquiries, arbitration and litigation, including class actions concerning matters arising in connection
with the conduct of its activities as a diversified financial services firm. Ameriprise Financial believes that the Fund is not currently the subject of, and that neither Ameriprise Financial nor any of its affiliates
are the subject of, any pending legal, arbitration or regulatory proceedings that are likely to have a material adverse effect on the Fund or the ability of Ameriprise Financial or its affiliates to perform under
their contracts with the Fund. Ameriprise Financial is required to make quarterly (10-Q), annual (10-K) and, as necessary, 8-K filings with the Securities and Exchange Commission (SEC) on legal and regulatory matters
that relate to Ameriprise Financial and its affiliates. Copies of these filings may be obtained by accessing the SEC website at www.sec.gov.
There can be no assurance that
these matters, or the adverse publicity associated with them, will not result in increased Fund redemptions, reduced sale of Fund shares or other adverse consequences to the Fund. Further, although we believe
proceedings are not likely to have a material adverse effect on the Fund or the ability of Ameriprise Financial or its affiliates to perform under their contracts with the Fund, these proceedings are subject to
uncertainties and, as such, we are unable to estimate the possible loss or range of loss that may result. An adverse outcome in one or more of these proceedings could result in adverse judgments, settlements, fines,
penalties or other relief that could have a material adverse effect on the consolidated financial condition or results of operations of Ameriprise Financial or one or more of its affiliates that provides services to
the Fund.
| Multi-Manager Directional Alternative Strategies Fund | Annual Report 2022 | 45 |
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, 2022, the related statement of operations for the year ended April 30, 2022, the statement of changes in net assets for each of the two years in the period ended April 30, 2022,
including the related notes, and the financial highlights for each of the five years in the period ended April 30, 2022 (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, 2022, 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, 2022 and the financial highlights for each of the five years in the period ended April 30, 2022 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, 2022 by correspondence with the custodian, transfer agent and brokers; when replies were
not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
/s/PricewaterhouseCoopers LLP
Minneapolis, Minnesota
June 23, 2022
We have served as the auditor of
one or more investment companies within the Columbia Funds Complex since 1977.
| 46 | Multi-Manager Directional Alternative Strategies Fund | Annual Report 2022 |
Federal Income Tax
Information
(Unaudited)
The Fund hereby designates the
following tax attributes for the fiscal year ended April 30, 2022. Shareholders will be notified in early 2023 of the amounts for use in preparing 2022 income tax returns.
| Qualified dividend income | Dividends received deduction | Capital gain dividend |
| 18.52% | 10.01% | $23,416,948 |
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
(Unaudited)
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 290 Congress Street Boston, MA 02210 1953 | Trustee since 2017 | Executive Vice President, Global Head of Technology and Operations, Janus Capital Group, Inc., 2010-2016 | 176 | 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 2022 | 47 |
TRUSTEES AND OFFICERS (continued)
(Unaudited)
Independent trustees (continued)
(Unaudited)
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 290 Congress Street Boston, MA 02210 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, April-October 2021 | 176 | Former Trustee, Blue Cross and Blue Shield of Minnesota, 2009-2021 (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; former Director, Robina Foundation, 2009-2020 (Chair, 2014-2020); Director, Schulze Family Foundation, since 2021 |
| Pamela G. Carlton c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 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, Cleary Gottlieb Steen & Hamilton LLP, 1980-1982 | 176 | 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) since 2019; Director, Apollo Commercial Real Estate Finance, Inc. since 2021; the Governing Council of the Independent Directors Council (IDC), since 2021 |
| Janet Langford Carrig c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1957 | Trustee since 1996 | Senior Vice President, General Counsel and Corporate Secretary, ConocoPhillips (independent energy company), September 2007-October 2018 | 174 | 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 290 Congress Street Boston, MA 02210 1964 | Trustee since 2020 | Member, FINRA National Adjudicatory Council since January 2020; Adjunct Professor of Finance, Bentley University since January 2018; Consultant to Independent Trustees of CFVIT and CFST I from March 2016 to June 2020 with respect to CFVIT and to December 2020 with respect to CFST I; 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 | 174 | Former Director, The Autism Project, March 2015-December 2021; 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 |
| 48 | Multi-Manager Directional Alternative Strategies Fund | Annual Report 2022 |
TRUSTEES AND OFFICERS (continued)
(Unaudited)
Independent trustees (continued)
(Unaudited)
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 |
| Olive M. Darragh c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1962 | Trustee since 2020 | 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; Consultant to Independent Trustees of CFVIT and CFST I from June 2019 to June 2020 with respect to CFVIT and to December 2020 with respect to CFST I; Partner, Tudor Investments, 2004-2010; Senior Partner, McKinsey & Company (consulting), 1990-2004; Touche Ross CPA, 1985-1988 | 174 | Former Director, University of Edinburgh Business School (Member of US Board); former Director, Boston Public Library Foundation |
| Patricia M. Flynn c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 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 | 176 | Trustee, MA Taxpayers Foundation since 1997; Board of Governors, Innovation Institute, MA Technology Collaborative, 2010-2020; former Board of Directors, The MA Business Roundtable, 2003-2019 |
| Brian J. Gallagher c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1954 | Trustee since 2017 | Retired; Partner with Deloitte & Touche LLP and its predecessors, 1977-2016 | 176 | Trustee, Catholic Schools Foundation since 2004 |
| Douglas A. Hacker c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 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, CET I and CET 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 | 176 | 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 290 Congress Street Boston, MA 02210 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 | 174 | None |
| Multi-Manager Directional Alternative Strategies Fund | Annual Report 2022 | 49 |
TRUSTEES AND OFFICERS (continued)
(Unaudited)
Independent trustees (continued)
(Unaudited)
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 |
| David M. Moffett c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1952 | Trustee since 2011 | Retired; Consultant to Bridgewater and Associates | 174 | 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 |
| Catherine James Paglia c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1952 | Co-Chair since 2021; Chair of CFST, CFST II, CFVST II, CET I and CET 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. | 176 | 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) |
| Minor M. Shaw c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1947 | Trustee since 2003 | President, Micco LLC (private investments) since 2011; President, Micco Corp. (family investment business), 1998-2011 | 176 | Director, Blue Cross Blue Shield 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 since 1998 |
| 50 | Multi-Manager Directional Alternative Strategies Fund | Annual Report 2022 |
TRUSTEES AND OFFICERS (continued)
(Unaudited)
Independent trustees (continued)
(Unaudited)
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 290 Congress Street Boston, MA 02210 1967 | Trustee since 2020 | Chief Executive Officer, Millennial Portfolio Solutions LLC (asset management and consulting services), January 2016-January 2021; Non-executive Member of the Investment Committee and Valuation Committee, Sarona Asset Management Inc. (private equity firm) since September 2019; Advisor, Horizon Investments (asset management and consulting services), August 2018-January 2021; Advisor, Paradigm Asset Management, November 2016-December 2021; Consultant to Independent Trustees of CFVIT and CFST I from September 2016 to June 2020 with respect to CFVIT and to December 2020 with respect to CFST I; Director of Investments/Consultant, Casey Family Programs, April 2016-November 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 | 174 | Former Director, Investment Committee, Health Services for Children with Special Needs, Inc., 2012-2019; Director, Chair of Audit Committee, Consumer Credit Counseling Services (formerly Guidewell Financial Solutions), since 2019; Independent Director, Investment Committee and Valuation Committee, Sarona Asset Management, since 2019 |
| Sandra L. Yeager c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 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 | 176 | Former 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 (CET I), Columbia ETF Trust II (CET II), Columbia Funds Variable Insurance Trust (CFVIT) and Columbia Funds Variable Series Trust II (CFVST II). Messrs. Batejan, Beckman, Gallagher and Hacker and Mses. Blatz, Carlton, Flynn, Paglia, Shaw and Yeager serve as Directors of Columbia Seligman Premium Technology Growth Fund and Tri-Continental Corporation. |
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 |
| Daniel J. Beckman c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1962 | Trustee since November 2021 and President since June 2021 | Vice President – Head of North America Product, Columbia Management Investment Advisers, LLC since April 2015; President and Principal Executive Officer of the Columbia Funds since June 2021; officer of Columbia Funds and affiliated funds, 2020-2021 | 176 | Director, Ameriprise Trust Company, since October 2016; Director, Columbia Management Investment Distributors, Inc. since November 2018; Board of Governors, Columbia Wanger Asset Management, LLC since January 2022 |
| * | Interested person (as defined under the 1940 Act) by reason of being an officer, director, security holder and/or employee of the Investment Manager or Ameriprise Financial. |
The Statement of Additional
Information has additional information about the Fund’s Board members and is available, without charge, upon request by calling 800.345.6611, visiting columbiathreadneedleus.com/investor/ or contacting your
financial intermediary.
| Multi-Manager Directional Alternative Strategies Fund | Annual Report 2022 | 51 |
TRUSTEES AND OFFICERS (continued)
(Unaudited)
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. Beckman, who is President and Principal Executive Officer, the Fund’s other officers are:
(Unaudited)
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. Beckman, who is President and Principal Executive Officer, the Fund’s other officers are:
Fund officers
| 52 | Multi-Manager Directional Alternative Strategies Fund | Annual Report 2022 |
TRUSTEES AND OFFICERS (continued)
(Unaudited)
Fund officers (continued)
(Unaudited)
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 |
| Michael E. DeFao 290 Congress Street Boston, MA 02210 1968 | Vice President (2011) and Assistant Secretary (2010) | Vice President and Chief Counsel, Ameriprise Financial, Inc. since May 2010; Vice President, Chief Legal Officer and Assistant Secretary, Columbia Management Investment Advisers, LLC since October 2021 (previously Vice President and Assistant Secretary, May 2010 – September 2021). |
| 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
(Unaudited)
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, 2021,
through December 31, 2021, 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 2022 | 53 |
Board Consideration
and Approval of theSubadvisory Agreement
(Unaudited)
Columbia Management Investment
Advisers, LLC (the Investment Manager, and together with its domestic and global affiliates, Columbia Threadneedle Investments), a wholly-owned subsidiary of Ameriprise Financial, Inc. (Ameriprise Financial), serves
as the investment manager to Multi-Manager Directional Alternative Strategies Fund (the Fund). On November 23, 2021, the Fund’s Board of Trustees (the Board), including a majority of the Board members who are
not interested persons of the Fund within the meaning of the Investment Company Act of 1940 (the Independent Trustees), upon the recommendation of the Investment Manager, unanimously approved the Subadvisory Agreement
between the Investment Manager and JP Morgan Investment Management Inc. (JPMIM) with respect to the Fund.
At meetings held on November 23,
2021, independent legal counsel to the Independent Trustees reviewed with the Board the legal standards for consideration by directors/trustees of advisory and subadvisory agreements and referred to the various
written materials and oral presentations received by the Board and its Contracts Committee in connection with the Board’s evaluation of JPMIM’s proposed services.
The Trustees held discussions with
the Investment Manager and JPMIM and reviewed and considered various written materials and oral presentations in connection with the evaluation of JPMIM’s proposed services, including the reports from management
with respect to the fees and terms of the proposed Subadvisory Agreement and JPMIM’s investment strategy/style and performance. In considering the Subadvisory Agreement, the Board reviewed, among other
things:
| • | Terms of the Subadvisory Agreement; |
| • | Subadvisory fees payable by the Investment Manager under the Subadvisory Agreement; |
| • | Descriptions of various services proposed to be performed by JPMIM under the Subadvisory Agreement, including portfolio management and portfolio trading practices; |
| • | Information regarding the experience and resources of JPMIM, including information regarding senior management, portfolio managers and other personnel; |
| • | Information regarding the capabilities of JPMIM’s compliance program; and |
| • | The profitability to the Investment Manager and its affiliates from their relationships with the Fund. |
Nature, Extent and Quality of
Services
The Board considered its analysis
of the reports and presentations received by it, detailing the services proposed to be performed by JPMIM as a subadviser for the Fund, as well as the history, expertise, resources and capabilities, and the
qualifications of the personnel of JPMIM. The Board considered the diligence and selection process undertaken by the Investment Manager to select JPMIM, including the Investment Manager’s rationale for
recommending JPMIM, and the process for monitoring JPMIM’s ongoing performance of services for the Fund. The Board observed that JPMIM’s compliance program had been reviewed by the Fund’s Chief
Compliance Officer and was determined by him to be reasonably designed to prevent violation of the federal securities laws by the Fund. The Board also observed that information had been presented regarding
JPMIM’s ability to carry out its responsibilities under the proposed Subadvisory Agreement. The Board also considered the information provided by management regarding the personnel, risk controls, philosophy,
and investment processes of JPMIM. The Board also noted the presentation by JPMIM to the Board’s Contracts Committee.
The Board also discussed the
acceptability of the terms of the proposed Subadvisory Agreement. Independent legal counsel noted that the proposed Subadvisory Agreement was generally similar in scope and form to subadvisory agreements applicable to
other subadvised Funds. The Board noted the Investment Manager’s representation that JPMIM has experience subadvising registered mutual funds, including other Columbia Funds.
After reviewing these and related
factors, the Board concluded, within the context of their overall conclusions, that the expected nature, extent and quality of the services to be provided to the Fund supported the approval of the Subadvisory
Agreement.
| 54 | Multi-Manager Directional Alternative Strategies Fund | Annual Report 2022 |
Board Consideration and Approval of the
Subadvisory Agreement (continued)
(Unaudited)
Investment Performance of JPMIM
The Board observed JPMIM’s
relevant performance results versus a broad-based benchmark and versus peers over various periods, noting outperformance versus the Fund and the Fund’s benchmark over the 3-year period ended September 30, 2021.
After reviewing these and related factors, the Board concluded, within the context of their overall conclusions, that the performance of JPMIM, in light of other considerations, supported the approval of the
Subadvisory Agreement.
Comparative Fees, Costs of
Services Provided and Profitability
The Board reviewed the proposed
level of subadvisory fees under the proposed Subadvisory Agreement, noting that the proposed subadvisory fees payable to JPMIM would be paid by the Investment Manager and would not impact the fees paid by the Fund.
The Board observed that the proposed subadvisory fees for JPMIM were within a reasonable range of subadvisory fees paid by the Investment Manager to the subadvisers of other Funds with similar strategies. The Trustees
observed that management fees, which were not proposed to change, remained within the range of other peers and that the Fund’s expense ratio also remained within the range of other peers.
Additionally, the Board considered
the expected slight increase in total profitability of the Investment Manager and its affiliates in connection with the hiring of JPMIM. Because the Subadvisory Agreement was negotiated at arms-length by the
Investment Manager, which is responsible for payments to the Subadviser thereunder, the Board did not consider the profitability to JPMIM from its relationship with the Fund.
After reviewing these and related
factors, the Board concluded, within the context of their overall conclusions, that the proposed level of subadvisory fees, anticipated costs of services provided and the expected profitability to the Investment
Manager and its affiliates from their relationships with the Fund supported the approval of the Subadvisory Agreement.
Economies of Scale
The Board also considered the
economies of scale that may be realized by the Investment Manager and its affiliates as the Fund grows and took note of the extent to which shareholders might also benefit from such growth. The Board considered, in
this regard, the expected slight increase in profitability to the Investment Manager from its management agreement with the Fund as a result of the proposed engagement of JPMIM. The Board took into account, in this
regard, the significant oversight services provided by the Investment Manager to the Fund. The Board also observed that fees to be paid under the Subadvisory Agreement would not impact fees paid by the Fund (as
subadvisory fees are paid by the Investment Manager and not the Fund).
Conclusion
The Board reviewed all of the
above considerations in reaching its decision to approve the Subadvisory Agreement. In reaching its conclusions, no single factor was determinative.
On November 23, 2021, the Board,
including all of the Independent Trustees, determined that fees payable under the Subadvisory Agreement appeared fair and reasonable in light of the services proposed to be provided and approved the Subadvisory
Agreement.
| Multi-Manager Directional Alternative Strategies Fund | Annual Report 2022 | 55 |
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.
© 2022 Columbia Management Investment
Advisers, LLC.
columbiathreadneedleus.com/investor/
ANN284_04_M01_(06/22)
