N-Q 1 a12-26973_1nq.htm N-Q

 

 

 

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UNITED STATES

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SECURITIES AND EXCHANGE COMMISSION

 

 

Washington, D.C. 20549

 

 

FORM N-Q

 

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANY

 

Investment Company Act file number

811-09645

 

Columbia Funds Series Trust

(Exact name of registrant as specified in charter)

 

225 Franklin Street, Boston, Massachusetts

 

02110

(Address of principal executive offices)

 

(Zip code)

 

Scott R. Plummer

5228 Ameriprise Financial Center

Minneapolis, MN 55474

(Name and address of agent for service)

 

Registrant’s telephone number, including area code:

1-612-671-1947

 

 

Date of fiscal year end:

January 31

 

 

Date of reporting period:

October 31, 2012

 

 



 

Item 1. Schedule of Investments.

 



 

Portfolio of Investments

Columbia LifeGoal Balanced Growth Portfolio

(Renamed Columbia Capital Allocation Moderate Aggressive Portfolio, effective December 14, 2012)

 

October 31, 2012 (Unaudited)

 

(Percentages represent value of investments compared to net assets)

 


 

 

Shares

 

Value

 

 

 

 

 

 

 

Equity Funds 59.8%

 

 

 

 

 

DIVIDEND INCOME 6.0%

 

 

 

 

 

Columbia Dividend Income Fund, Class I Shares (a)

 

2,120,122

 

$

31,483,818

 

Columbia Dividend Opportunity Fund, Class I Shares (a)

 

3,618,553

 

31,589,963

 

Total

 

 

 

63,073,781

 

INTERNATIONAL 12.2%

 

 

 

 

 

Columbia Emerging Markets Fund, Class I Shares (a)(b)

 

6,210,135

 

60,486,714

 

Columbia European Equity Fund, Class I Shares (a)

 

884,006

 

5,268,677

 

Columbia Greater China Fund, Class I Shares (a)

 

218,900

 

10,667,022

 

Columbia Overseas Value Fund, Class I Shares (a)

 

3,414,313

 

24,583,052

 

Columbia Pacific/Asia Fund, Class I Shares (a)

 

3,288,517

 

26,472,561

 

Total

 

 

 

127,478,026

 

U.S. LARGE CAP 25.7%

 

 

 

 

 

Columbia Contrarian Core Fund, Class I Shares (a)

 

4,242,529

 

68,050,157

 

Columbia Large Cap Growth Fund, Class I Shares (a)

 

1,142,770

 

31,026,202

 

Columbia Large Core Quantitative Fund, Class I Shares (a)

 

11,906,292

 

78,462,467

 

Columbia Large Growth Quantitative Fund, Class I Shares (a)

 

2,384,251

 

20,719,144

 

Columbia Large Value Quantitative Fund, Class I Shares (a)

 

2,840,854

 

21,107,542

 

Columbia Select Large Cap Growth Fund, Class I Shares (a)(b)

 

3,040,987

 

40,293,077

 

Columbia Select Large-Cap Value Fund, Class I Shares (a)

 

643,602

 

10,567,949

 

Total

 

 

 

270,226,538

 

U.S. MID CAP 8.9%

 

 

 

 

 

Columbia Mid Cap Growth Fund, Class I Shares (a)(b)

 

1,727,143

 

46,304,709

 

Columbia Mid Cap Value Fund, Class I Shares (a)

 

3,337,849

 

47,564,352

 

Total

 

 

 

93,869,061

 

U.S. SMALL CAP 7.0%

 

 

 

 

 

Columbia Small Cap Growth Fund I, Class I Shares (a)(b)

 

1,206,113

 

36,098,960

 

Columbia Small Cap Value Fund I, Class I Shares (a)

 

358,941

 

15,825,683

 

 

 

 

Shares

 

Value

 

 

 

 

 

 

 

Equity Funds (continued)

 

 

 

 

 

U.S. SMALL CAP (CONTINUED)

 

 

 

 

 

Columbia Small Cap Value Fund II, Class I Shares (a)

 

1,432,499

 

$

21,014,764

 

Total

 

 

 

72,939,407

 

Total Equity Funds
(Cost: $610,890,765)

 

 

 

$

627,586,813

 

 

 

 

 

 

 

Fixed-Income Funds 29.9%

 

 

 

 

 

CONVERTIBLE 2.0%

 

 

 

 

 

Columbia Convertible Securities Fund, Class I Shares (a)

 

1,429,762

 

21,131,878

 

EMERGING MARKETS 2.1%

 

 

 

 

 

Columbia Emerging Markets Bond Fund, Class I Shares (a)

 

1,693,586

 

21,186,760

 

HIGH YIELD 4.6%

 

 

 

 

 

Columbia High Yield Bond Fund, Class I Shares (a)

 

5,649,404

 

16,496,261

 

Columbia Income Opportunities Fund, Class I Shares (a)

 

3,213,542

 

31,910,467

 

Total

 

 

 

48,406,728

 

INTERNATIONAL 2.0%

 

 

 

 

 

Columbia International Bond Fund, Class I Shares (a)

 

1,820,659

 

21,156,062

 

INVESTMENT GRADE 19.2%

 

 

 

 

 

Columbia Corporate Income Fund, Class I Shares (a)

 

8,866,697

 

95,937,663

 

Columbia Limited Duration Credit Fund, Class I Shares (a)

 

3,094,258

 

31,870,862

 

Columbia U.S. Government Mortgage Fund, Class I Shares (a)

 

12,799,740

 

73,726,501

 

Total

 

 

 

201,535,026

 

Total Fixed-Income Funds

(Cost: $296,493,518)

 

 

 

$

313,416,454

 

 

 

 

 

 

 

Alternative Investments 6.2%

 

 

 

 

 

Columbia Absolute Return Currency and Income Fund, Class I Shares(a)(b)

 

2,033,666

 

21,190,802

 

Columbia Absolute Return Multi-Strategy Fund, Class I Shares(a)(b)

 

2,909,124

 

28,974,877

 


 


 


 

 

Shares

 

Values

 

 

 

 

 

 

 

Alternative Investments (continued)

 

Columbia Commodity Strategy Fund, Class I Shares(a)(b)

 

1,632,167

 

$

15,407,650

 

 

 

 

 

 

 

Total Alternative Investments

(Cost: $65,124,027)

 

 

 

$

65,573,329

 

 

Issuer

 

Shares

 

Value

 

 

 

 

 

 

 

Common Stocks —%

 

 

 

 

 

CONSUMER STAPLES —%

 

 

 

 

 

Food Products —%

 

 

 

 

 

China Milk Products Group Ltd. (b)(c)(d)

 

322,000

 

$

10,559

 

TOTAL CONSUMER STAPLES

 

 

 

10,559

 

 

 

 

 

 

 

Total Common Stocks

(Cost: $172,880)

 

 

 

$

10,559

 

 

Issuer

 

Coupon
Rate

 

Principal
Amount

 

Value

 

 

 

 

 

 

 

 

 

Inflation-Indexed Bonds 2.6%

 

 

 

U.S. Treasury Inflation-Indexed Bond

 

 

 

 

 

 

 

07/15/13

 

1.875

%

$

1,624,383

 

$

1,661,439

 

01/15/14

 

2.000

%

2,337,769

 

2,425,070

 

01/15/15

 

1.625

%

3,040,430

 

3,236,632

 

Issuer

 

Coupon
Rate

 

Principal
Amount

 

Value

 

 

 

 

 

 

 

 

 

Inflation-Indexed Bonds (continued)

 

01/15/16

 

2.000

%

$

2,100,921

 

$

2,336,947

 

07/15/17

 

2.625

%

1,728,491

 

2,076,215

 

01/15/19

 

2.125

%

2,323,110

 

2,839,640

 

01/15/21

 

1.125

%

284,351

 

336,245

 

01/15/25

 

2.375

%

3,691,014

 

5,046,598

 

04/15/29

 

3.875

%

3,363,336

 

5,646,987

 

02/15/40

 

2.125

%

1,017,915

 

1,514,149

 

 

 

 

 

 

 

 

 

Total Inflation-Indexed Bonds
(Cost: $23,838,339)

 

 

 

$

27,119,922

 

 

 

 

Shares

 

Value

 

 

 

 

 

 

 

Money Market Funds 1.9%

 

 

 

 

 

Columbia Short-Term Cash Fund, 0.149%(a)(e)

 

20,470,250

 

$

20,470,250

 

Total Money Market Funds
(Cost: $20,470,250)

 

 

 

$

20,470,250

 

 

 

 

 

 

 

Total Investments
(Cost: $1,016,989,779) (f)

 

 

 

$

1,054,177,327(g)

 

Other Assets and Liabilities

 

 

 

(4,321,338)

 

Net Assets

 

 

 

$

1,049,855,989

 


 

Investments in Derivatives

 

Futures Contracts Outstanding at October 31, 2012

 

 

At October 31, 2012, $61,600 was held in a margin deposit account as collateral to cover initial margin requirements on open futures contracts.

 

 

 

Number of

 

 

 

 

 

 

 

 

 

 

 

Contracts

 

Notional Market

 

Expiration

 

Unrealized

 

Unrealized

 

Contract Description

 

Long (Short)

 

Value ($)

 

Date

 

Appreciation ($)

 

Depreciation ($)

 

U.S. Treasury Note, 10-year

 

56

 

7,449,750

 

December 2012

 

16,502

 

 

Total

 

 

 

 

 

 

 

16,502

 

 

 

Notes to Portfolio of Investments

 

 

 

 

(a)

As defined in the Investment Company Act of 1940, an affiliated company is one in which the Portfolio owns 5% or more of its outstanding voting securities, or a company which is under common ownership or control with the Fund. Holdings and transactions in these affiliated companies during the period ended October 31, 2012, are as follows:

 


 

Issuer

 

Beginning Cost
($)

 

Purchase
Cost ($)

 

Sales Cost/
Proceeds from
Sales ($)

 

Realized
Gain/ Loss
($)

 

Ending Cost
($)

 

Capital Gain
Distributions
($)

 

Dividends or
Interest
Income ($)

 

Value ($)

 

Columbia Absolute Return Currency and Income Fund, Class I Shares

 

21,809,715

 

560,067

 

(1,850,104

)

33,328

 

20,553,006

 

 

 

21,190,802

 

Columbia Absolute Return Multi-Strategy Fund, Class I Shares

 

29,866,961

 

829,546

 

(1,740,316

)

7,625

 

28,963,816

 

 

 

28,974,877

 

Columbia Bond Fund, Class I Shares

 

20,656,573

 

 

(20,988,337

)

331,764

 

 

 

6,007

 

 

Columbia Commodity Strategy Fund, Class I Shares

 

 

16,656,477

 

(1,053,093

)

3,821

 

15,607,205

 

 

 

15,407,650

 

Columbia Contrarian Core Fund, Class I Shares

 

52,575,085

 

16,088,361

 

(9,973,600

)

3,606,248

 

62,296,094

 

 

 

68,050,157

 

Columbia Convertible Securities Fund, Class I Shares

 

22,640,178

 

600,845

 

(2,620,980

)

249,225

 

20,869,268

 

 

535,853

 

21,131,878

 

Columbia Corporate Income Fund, Class I Shares

 

73,824,595

 

25,528,139

 

(12,646,611

)

859,181

 

87,565,304

 

 

2,643,000

 

95,937,663

 

Columbia Dividend Income Fund, Class I Shares

 

27,969,217

 

4,031,820

 

(4,057,277

)

386,677

 

28,330,437

 

 

660,764

 

31,483,818

 

Columbia Dividend Opportunity Fund, Class I Shares

 

17,037,201

 

15,954,361

 

(3,501,998

)

385,354

 

29,874,918

 

 

855,671

 

31,589,963

 

Columbia Emerging Markets Bond Fund, Class I Shares

 

19,214,757

 

3,442,618

 

(3,522,336

)

218,559

 

19,353,598

 

 

898,064

 

21,186,760

 

Columbia Emerging Markets Fund, Class I Shares

 

37,218,998

 

32,966,240

 

(4,217,642

)

(110,518

)

65,857,078

 

2,671,841

 

 

60,486,714

 

Columbia Energy and Natural Resources Fund, Class I Shares

 

19,215,927

 

 

(17,739,376

)

(1,476,551

)

 

 

 

 

Columbia European Equity Fund, Class I Shares

 

43,721,849

 

425,228

 

(37,415,235

)

(1,434,757

)

5,297,085

 

 

 

5,268,677

 

Columbia Greater China Fund, Class I Shares

 

22,078,556

 

346,193

 

(8,259,212

)

(2,346,717

)

11,818,820

 

 

 

10,667,022

 

Columbia High Yield Bond Fund, Class I Shares

 

16,902,033

 

1,077,030

 

(2,167,594

)

67,001

 

15,878,470

 

 

811,614

 

16,496,261

 

Columbia Income Opportunities Fund, Class I Shares

 

34,918,583

 

1,808,672

 

(6,151,059

)

219,181

 

30,795,377

 

 

1,419,413

 

31,910,467

 

Columbia International Bond Fund, Class I Shares

 

18,918,739

 

3,459,612

 

(2,055,119

)

37,974

 

20,361,206

 

 

224,684

 

21,156,062

 

Columbia International Value Fund, Class I Shares

 

11

 

 

 

(11

)

 

 

 

 

 


 

Columbia Large Cap Core Fund, Class I Shares

 

44,036,837

 

 

(48,504,710

)

4,467,873

 

 

 

 

 

Columbia Large Cap Growth Fund, Class I Shares

 

49,082,736

 

13,536

 

(27,104,747

)

5,079,804

 

27,071,329

 

 

 

31,026,202

 

Columbia Large Core Quantitative Fund, Class I Shares

 

27,608,545

 

54,002,310

 

(9,927,544

)

1,074,701

 

72,758,012

 

 

 

78,462,467

 

Columbia Large Growth Quantitative Fund, Class I Shares

 

 

22,813,736

 

(3,179,051

)

131,036

 

19,765,721

 

 

 

20,719,144

 

Columbia Large Value Quantitative Fund, Class I Shares

 

16,558,082

 

4,786,646

 

(2,779,466

)

816,930

 

19,382,192

 

 

 

21,107,542

 

Columbia Limited Duration Credit Fund, Class I Shares

 

38,298,683

 

1,246,258

 

(8,527,118

)

52,130

 

31,069,953

 

 

599,452

 

31,870,862

 

Columbia Mid Cap Growth Fund, Class I Shares

 

40,533,283

 

11,000,590

 

(9,976,234

)

3,463,556

 

45,021,195

 

 

 

46,304,709

 

Columbia Mid Cap Value Fund, Class I Shares

 

33,218,807

 

15,629,128

 

(4,199,531

)

1,181,309

 

45,829,713

 

 

414,559

 

47,564,352

 

Columbia Multi-Advisor International Equity Fund, Class I Shares

 

56,428,089

 

 

(54,471,405

)

(1,956,684

)

 

 

 

 

Columbia Overseas Value Fund, Class I Shares

 

28,157,431

 

276,471

 

(2,008,334

)

(172,438

)

26,253,130

 

 

62,770

 

24,583,052

 

Columbia Pacific/Asia Fund, Class I Shares

 

17,204,848

 

11,577,102

 

(1,624,048

)

25,113

 

27,183,015

 

 

182,866

 

26,472,561

 

Columbia Select Large Cap Growth Fund, Class I Shares

 

38,640,963

 

4,740,383

 

(4,680,401

)

1,320,877

 

40,021,822

 

 

 

40,293,077

 

Columbia Select Large-Cap Value Fund, Class I Shares

 

9,045,981

 

2,328,903

 

(1,087,388

)

14,266

 

10,301,762

 

 

 

10,567,949

 

Columbia Short-Term Cash Fund

 

37,781,238

 

32,031,875

 

(49,342,863

)

 

20,470,250

 

 

30,536

 

20,470,250

 

Columbia Small Cap Growth Fund I, Class I Shares

 

7,696,860

 

30,459,020

 

(2,468,392

)

923,351

 

36,610,839

 

 

 

36,098,960

 

Columbia Small Cap Growth Fund II, Class I Shares

 

10,486,102

 

 

(11,729,251

)

1,243,149

 

 

 

 

 

Columbia Small Cap Value Fund I, Class I Shares

 

19,668,743

 

452,691

 

(4,946,278

)

863,114

 

16,038,270

 

 

 

15,825,683

 

Columbia Small Cap Value Fund II, Class I Shares

 

11,705,906

 

11,206,004

 

(1,885,197

)

152,620

 

21,179,333

 

 

16,261

 

21,014,764

 

Columbia U.S. Government Mortgage Fund, Class I Shares

 

50,421,819

 

24,954,605

 

(5,065,402

)

289,320

 

70,600,342

 

 

1,192,114

 

73,726,501

 

Mortgage- and Asset-Backed Portfolio

 

37,328,344

 

2,116,450

 

(39,465,831

)

21,037

 

 

1,182,652

 

451,729

 

 

Total

 

1,052,472,275

 

353,410,917

 

(432,933,080

)

20,028,448

 

992,978,560

 

3,854,493

 

11,005,357

 

1,027,046,846

 

 

(b)

Non-income producing.

(c)

Identifies issues considered to be illiquid as to their marketability. The aggregate value of such securities at October 31, 2012 was $10,559, representing less than 0.01% of net assets. Information concerning such security holdings at October 31, 2012 was as follows:

 

Security Description

 

Acquisition Dates

 

Cost ($)

 

China Milk Products Group Ltd.

 

11-17-10

 

172,880

 

 

(d)

Represents fair value as determined in good faith under procedures approved by the Board of Trustees. At October 31, 2012, the value of these securities amounted to $10,559, which represents less than 0.01% of net assets.

(e)

The rate shown is the seven-day current annualized yield at October 31, 2012.

(f)

At October 31, 2012, the cost of securities for federal income tax purposes was approximately $1,016,990,000 and the approximate aggregate gross unrealized appreciation and depreciation based on that cost was:

 


 

Unrealized Appreciation

 

$

47,369,000

 

Unrealized Depreciation

 

(10,182,000

)

Net Unrealized Appreciation

 

$

37,187,000

 

 

(g)

Investments are valued using policies described in the notes to financial statements in the most recent shareholder report.

 

Fair Value Measurements

 

 

Generally accepted accounting principles (GAAP) require 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.

 

The Portfolio 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 Portfolio’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 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 Portfolio has the ability to access at the measurement date (including NAV for open-end mutual funds). 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 Portfolio’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 Portfolio 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 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 Portfolio’s Board of Trustees (the Board), the Investment Manager’s Valuation Committee (the Committee) is responsible for carrying out 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 readily available, including recommendations of third party pricing vendors and a determination of appropriate pricing methodologies; events that require specific valuation determinations and assessment of fair value techniques; securities with a potential for stale pricing, including those that are illiquid, restricted, or in default; and the effectiveness of third- party pricing vendors, including periodic reviews of vendors.  The Committee meets more frequently, as needed, to discuss additional valuation matters, which may include the need to review back-testing results, review time-sensitive information or approve related valuation actions.  The Committee reports to the Board, with members of the Committee meeting with the Board at each of its regularly scheduled meetings to discuss valuation matters and actions during the period, similar to those described earlier.

 

For investments categorized as Level 3, the Committee monitors information similar to that described above, which may include: (i) data specific to the issuer or comparable issuers, (ii) general market or specific sector news and (iii) quoted prices and specific or similar security transactions.  The Committee considers this data and any changes from prior periods in order to assess the reasonableness of observable and unobservable inputs, any assumptions or internal models used to value those securities and changes in fair value.  This data is also used to corroborate, when available, information received from approved pricing vendors and brokers.  Various factors impact the frequency of monitoring this information (which may occur as often as daily). However, the Committee may determine that changes to inputs, assumptions and models are not required as a result of the monitoring procedures performed.

 

The following table is a summary of the inputs used to value the Portfolio’s investments at October 31, 2012:

 

 Description

Level 1

Level 2

Level 3

 

 

Quoted Prices in

Other Significant

Significant

 

 

Active Markets for

Observable

Unobservable

 

 

Identical Assets ($)

Inputs ($)

Inputs ($)

Total ($)

 Mutual Funds

 

 

 

 

Investments in Affiliated Funds

1,027,046,846

1,027,046,846

 Total Mutual Funds

1,027,046,846

1,027,046,846

 Equity Securities

 

 

 

 

Common Stocks

 

 

 

 

Consumer Staples

10,559

10,559

 Total Equity Securities

10,559

10,559

 Bonds

 

 

 

 

Inflation-Indexed Bonds

27,119,922

27,119,922

 Total Bonds

27,119,922

27,119,922

 Investments in Securities

1,027,046,846

27,119,922

10,559

1,054,177,327

 Derivatives

 

 

 

 

Assets

 

 

 

 

Futures Contracts

16,502

16,502

 Total

1,027,063,348

27,119,922

10,559

1,054,193,829

 


 

See the Portfolio of Investments for all investment classifications not indicated in the table.

 

The Portfolio’s assets assigned to the Level 2 input category are generally valued using the market approach, in which a security’s value is determined through reference to prices and information from market transactions for similar or identical assets.

 

The Portfolio’s assets assigned to the Level 3 category are valued utilizing the valuation technique deemed the most appropriate in the circumstances. Certain common stock classified as Level 3 securities are valued using the market approach.  To determine fair value for these securities, management considered various factors which may have included, but were not limited to, the halt price of the security, the movement in observed market prices for other securities from the issuer, the movement in certain foreign or domestic market indices, and the position of the security within the respective company’s capital structure. Significant increases (decreases) to any of these inputs would result in a significantly lower (higher) fair value measurement.

 

There were no transfers of financial assets between Levels 1 and 2 during the period.

 

Derivative Instruments are valued at unrealized appreciation (depreciation).

 

The following table is a reconciliation of Level 3 assets for which significant observable and/or unobservable inputs were used to determine fair value.

 

 

Common
Stocks ($)

 

Balance as of January 31, 2012

10,240

 

Accrued discounts/premiums

 

Realized gain (loss)

 

Change in unrealized appreciation (depreciation)(a)

319

 

Sales

 

Purchases

 

Transfers into Level 3

 

Transfers out of Level 3

 

Balance as of October 31, 2012

10,559

 

 

(a)          Change in unrealized appreciation (depreciation) relating to securities held at October 31, 2012 was $319.

 

The Portfolio does not hold any significant investments with unobservable inputs which are categorized as Level 3.

 

Transfers in and/or out of Level 3 are determined based on the fair value at the beginning of the period for security positions held throughout the period.

 


 

Portfolio of Investments

Columbia LifeGoal Growth Portfolio

October 31, 2012 (Unaudited)

(Percentages represent value of investments compared to net assets)

 


 

 

Shares

 

Value

 

 

 

 

 

 

 

Equity Funds 94.5%

 

 

 

 

 

CONVERTIBLE 6.2%

 

 

 

 

 

Columbia Convertible Securities Fund, Class I Shares (a)

 

3,046,124

 

$

45,021,714

 

DIVIDEND INCOME 27.4%

 

 

 

 

 

Columbia Dividend Income Fund, Class I Shares (a)

 

5,987,457

 

88,913,738

 

Columbia Dividend Opportunity Fund, Class I Shares (a)

 

8,517,395

 

74,356,863

 

Columbia Global Dividend Opportunity Fund, Class I Shares (a)

 

1,886,244

 

37,159,000

 

Total

 

 

 

200,429,601

 

INTERNATIONAL 10.4%

 

 

 

 

 

Columbia Emerging Markets Fund, Class I Shares (a)(b)

 

3,981,659

 

38,781,355

 

Columbia Pacific/Asia Fund, Class I Shares (a)

 

4,598,104

 

37,014,736

 

Total

 

 

 

75,796,091

 

U.S. LARGE CAP 43.5%

 

 

 

 

 

Columbia Contrarian Core Fund, Class I Shares (a)

 

2,770,625

 

44,440,818

 

Columbia Energy and Natural Resources Fund, Class I Shares (a)

 

1,431,386

 

29,386,342

 

Columbia Large Cap Core Fund, Class I Shares (a)

 

2,516,664

 

36,919,463

 

Columbia Large Cap Growth Fund, Class I Shares (a)

 

2,434,505

 

66,096,820

 

 

 

 

Shares

 

Value

 

 

 

 

 

 

 

Equity Funds (continued)

 

 

 

 

 

U.S. LARGE CAP (CONTINUED)

 

 

 

 

 

Columbia Large Core Quantitative Fund, Class I Shares (a)

 

2,245,516

 

$

14,797,953

 

Columbia Large Growth Quantitative Fund, Class I Shares (a)

 

4,647,247

 

40,384,577

 

Columbia Select Large Cap Growth Fund, Class I Shares (a)(b)

 

6,509,986

 

86,257,316

 

Total

 

 

 

318,283,289

 

U.S. MID CAP 5.0%

 

 

 

 

 

Columbia Mid Cap Growth Fund, Class I Shares (a)(b)

 

1,362,059

 

36,516,807

 

U.S. SMALL CAP 2.0%

 

 

 

 

 

Columbia Small Cap Growth Fund I, Class I Shares (a)(b)

 

490,436

 

14,678,744

 

Total Equity Funds
(Cost: $632,548,199)

 

 

 

$

690,726,246

 

 

 

 

 

 

 

Alternative Investments 6.0%

 

Columbia Flexible Capital Income Fund, Class I Shares(a)

 

4,001,963

 

44,061,619

 

Total Alternative Investments
(Cost: $42,928,921)

 

 

 

$

44,061,619

 

Total Investments
(Cost: $675,477,120) (c)

 

 

 

$

734,787,865(d)

 

Other Assets and Liabilities

 

 

 

(3,354,287)

 

Net Assets

 

 

 

$

731,433,578

 


 

Notes to Portfolio of Investments

 

 

 

(a)

As defined in the Investment Company Act of 1940, an affiliated company is one in which the Portfolio owns 5% or more of its outstanding voting securities, or a company which is under common ownership or control with the Portfolio. Holdings and transactions in these affiliated companies during the period ended October 31, 2012, are as follows:

 

Issuer

 

Beginning Cost
($)

 

Purchase Cost
($)

 

Sales Cost/
Proceeds from
Sales ($)

 

Realized
Gain/Loss
($)

 

Ending Cost
($)

 

Capital Gain
Distributions
($)

 

Dividends
or Interest
Income ($)

 

Value ($)

 

Columbia Absolute Return Enhanced Multi-Strategy Fund, Class I Shares

 

7,229,901

 

 

(7,325,718

)

95,817

 

 

 

 

 

Columbia Contrarian Core Fund, Class I Shares

 

35,246,259

 

 

(7,681,079

)

3,714,555

 

31,279,735

 

 

 

44,440,818

 

Columbia Convertible Securities Fund, Class I Shares

 

43,201,148

 

2,960,051

 

(3,540,841

)

(130,561

)

42,489,797

 

 

1,082,936

 

45,021,714

 

Columbia Dividend Income Fund, Class I Shares

 

86,803,004

 

1,883,753

 

(10,696,479

)

717,321

 

78,707,599

 

 

1,879,115

 

88,913,738

 

Columbia Dividend Opportunity Fund, Class I Shares

 

84,351,144

 

2,431,887

 

(25,887,169

)

5,420,104

 

66,315,966

 

 

2,431,886

 

74,356,863

 

 


 

Columbia Emerging Markets Fund, Class I Shares

 

47,990,510

 

17,235,054

 

(24,608,222

)

(458,684

)

40,158,658

 

2,037,751

 

 

38,781,355

 

Columbia Energy and Natural Resources Fund, Class I Shares

 

23,139,402

 

7,979,731

 

(322,865

)

17,689

 

30,813,957

 

 

198,686

 

29,386,342

 

Columbia Flexible Capital Income Fund, Class I Shares

 

 

46,014,591

 

(3,096,067

)

10,397

 

42,928,921

 

 

890,888

 

44,061,619

 

Columbia Global Dividend Opportunity Fund, Class I Shares

 

 

37,741,004

 

(317,554

)

(376

)

37,423,074

 

 

 

37,159,000

 

Columbia Large Cap Core Fund, Class I Shares

 

31,183,416

 

7,405,581

 

(5,030,259

)

217,537

 

33,776,275

 

 

66,200

 

36,919,463

 

Columbia Large Cap Growth Fund, Class I Shares

 

64,279,014

 

8,193

 

(11,461,711

)

(1,370,494

)

51,455,002

 

 

 

66,096,820

 

Columbia Large Core Quantitative Fund, Class I Shares

 

20,027,990

 

 

(10,999,714

)

3,794,488

 

12,822,764

 

 

 

14,797,953

 

Columbia Large Growth Quantitative Fund, Class I Shares

 

28,663,917

 

11,754,700

 

(4,921,350

)

(499,273

)

34,997,994

 

 

 

40,384,577

 

Columbia Large Value Quantitative Fund, Class I Shares

 

15,898,827

 

 

(15,942,988

)

44,161

 

 

 

 

 

Columbia Mid Cap Growth Fund, Class I Shares

 

40,777,448

 

34,151

 

(2,994,201

)

(81,785

)

37,735,613

 

 

 

36,516,807

 

Columbia Mid Cap Value Fund, Class I Shares

 

8,674,007

 

38,008

 

(8,244,012

)

(468,003

)

 

 

38,008

 

 

Columbia Mid Cap Value Opportunity Fund, Class I Shares

 

5,767,332

 

 

(8,596,943

)

2,829,611

 

 

 

 

 

Columbia Pacific/Asia Fund, Class I Shares

 

70,378,348

 

308,956

 

(34,632,071

)

(1,623,221

)

34,432,012

 

 

307,637

 

37,014,736

 

Columbia Select Large Cap Growth Fund, Class I Shares

 

82,680,397

 

6,297,893

 

(7,000,277

)

3,228,344

 

85,206,357

 

 

 

86,257,316

 

Columbia Select Large-Cap Value Fund, Class I Shares

 

15,752,455

 

 

(16,153,323

)

400,868

 

 

 

 

 

Columbia Short-Term Cash Fund

 

 

1,334,997

 

(1,334,997

)

 

 

 

85

 

 

Columbia Small Cap Growth Fund I, Class I Shares

 

16,642,187

 

12,462

 

(1,465,015

)

(256,238

)

14,933,396

 

 

 

14,678,744

 

Total

 

728,686,706

 

143,441,012

 

(212,252,855

)

15,602,257

 

675,477,120

 

2,037,751

 

6,895,441

 

734,787,865

 

 

(b)

Non-income producing.

(c)

At October 31, 2012, the cost of securities for federal income tax purposes was approximately $675,477,000 and the approximate aggregate gross unrealized appreciation and depreciation based on that cost was:

 

Unrealized Appreciation

 

$

63,853,000

 

Unrealized Depreciation

 

(4,542,000

)

Net Unrealized Appreciation

 

$

59,311,000

 

 

(d)

Investments are valued using policies described in the notes to financial statements in the most recent shareholder report.

 

Fair Value Measurements

 

 

Generally accepted accounting principles (GAAP) require 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.

 


 

The Portfolio 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 Portfolio’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 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 Portfolio has the ability to access at the measurement date (to include NAV for open-end mutual funds).  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 Portfolio’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 Portfolio 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 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 Portfolio’s Board of Trustees (the Board), the Investment Manager’s Valuation Committee (the Committee) is responsible for carrying out 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 readily available, including recommendations of third party pricing vendors and a determination of appropriate pricing methodologies; events that require specific valuation determinations and assessment of fair value techniques; securities with a potential for stale pricing, including those that are illiquid, restricted, or in default; and the effectiveness of third-party pricing vendors, including periodic reviews of vendors.  The Committee meets more frequently, as needed, to discuss additional valuation matters, which may include the need to review back-testing results, review time-sensitive information or approve related valuation actions.  The Committee reports to the Board, with members of the Committee meeting with the Board at each of its regularly scheduled meetings to discuss valuation matters and actions during the period, similar to those described earlier.

 


 

For investments categorized as Level 3, the Committee monitors information similar to that described above, which may include: (i) data specific to the issuer or comparable issuers, (ii) general market or specific sector news and (iii) quoted prices and specific or similar security transactions.  The Committee considers this data and any changes from prior periods in order to assess the reasonableness of observable and unobservable inputs, any assumptions or internal models used to value those securities and changes in fair value.  This data is also used to corroborate, when available, information received from approved pricing vendors and brokers.  Various factors impact the frequency of monitoring this information (which may occur as often as daily). However, the Committee may determine that changes to inputs, assumptions and models are not required as a result of the monitoring procedures performed.

 

The following table is a summary of the inputs used to value the Portfolio’s investments at October 31, 2012:

 

Description

 

Level 1

 

 

Level 2

 

 

Level 3

 

 

 

 

 

 

Quoted Prices in

 

 

Other Significant

 

 

Significant

 

 

 

 

 

 

Active Markets for

 

 

Observable

 

 

Unobservable

 

 

 

 

 

 

Identical Assets ($)

 

 

Inputs ($)

 

 

Inputs ($)

 

 

Total ($)

 

Mutual Funds

 

 

 

 

 

 

 

 

 

 

 

 

Investments in Affiliated Funds

 

734,787,865

 

 

 

 

 

 

734,787,865

 

Total

 

734,787,865

 

 

 

 

 

 

734,787,865

 

 

There were no transfers of financial assets between Levels 1 and 2 during the period.

 

 


 

Portfolio of Investments

Columbia LifeGoal Income and Growth Portfolio

October 31, 2012 (Unaudited)

(Percentages represent value of investments compared to net assets)

 


 

 

Shares

 

Value

 

 

 

 

 

 

 

Equity Funds 32.7%

 

 

 

 

 

CONVERTIBLE 3.0%

 

 

 

 

 

Columbia Convertible Securities Fund, Class I Shares (a)

 

260,373

 

$

3,848,312

 

DIVIDEND INCOME 6.0%

 

 

 

 

 

Columbia Dividend Income Fund, Class I Shares (a)

 

300,039

 

4,455,574

 

Columbia Dividend Opportunity Fund, Class I Shares (a)

 

365,432

 

3,190,221

 

Total

 

 

 

7,645,795

 

INTERNATIONAL 3.6%

 

 

 

 

 

Columbia Emerging Markets Fund, Class I Shares (a)

 

275,433

 

2,682,715

 

Columbia Greater China Fund, Class I Shares (a)

 

13,159

 

641,250

 

Columbia Pacific/Asia Fund, Class I Shares (a)

 

159,466

 

1,283,702

 

Total

 

 

 

4,607,667

 

U.S. LARGE CAP 14.8%

 

 

 

 

 

Columbia Contrarian Core Fund, Class I Shares (a)

 

276,469

 

4,434,559

 

Columbia Large Cap Growth Fund, Class I Shares (a)

 

184,899

 

5,020,001

 

Columbia Large Core Quantitative Fund, Class I Shares (a)

 

673,752

 

4,440,023

 

Columbia Large Growth Quantitative Fund, Class I Shares (a)

 

434,067

 

3,772,047

 

Columbia Large Value Quantitative Fund, Class I Shares (a)

 

172,101

 

1,278,711

 

Total

 

 

 

18,945,341

 

U.S. MID CAP 4.1%

 

 

 

 

 

Columbia Mid Cap Growth Fund, Class I Shares (a)(b)

 

98,030

 

2,628,175

 

Columbia Mid Cap Value Fund, Class I Shares (a)

 

189,185

 

2,695,892

 

Total

 

 

 

5,324,067

 

U.S. SMALL CAP 1.2%

 

 

 

 

 

Columbia Small Cap Growth Fund I, Class I Shares (a)(b)

 

25,216

 

754,712

 

Columbia Small Cap Value Fund I, Class I Shares (a)

 

17,404

 

767,365

 

Total

 

 

 

1,522,077

 

Total Equity Funds
(Cost: $38,791,624)

 

 

 

$

41,893,259

 

 

 

 

Shares

 

Value

 

 

 

 

 

 

 

Fixed-Income Funds 55.0%

 

EMERGING MARKETS 3.5%

 

 

 

 

 

Columbia Emerging Markets Bond Fund, Class I Shares (a)

 

359,262

 

$

4,494,361

 

HIGH YIELD 8.6%

 

 

 

 

 

Columbia Income Opportunities Fund, Class I Shares (a)

 

1,103,922

 

10,961,944

 

INTERNATIONAL 3.0%

 

 

 

 

 

Columbia International Bond Fund, Class I Shares (a)

 

330,913

 

3,845,212

 

INVESTMENT GRADE 39.9%

 

 

 

 

 

Columbia Corporate Income Fund, Class I Shares (a)

 

2,137,717

 

23,130,097

 

Columbia Limited Duration Credit Fund, Class I Shares (a)

 

848,452

 

8,739,054

 

Columbia U.S. Government Mortgage Fund, Class I Shares (a)

 

3,351,206

 

19,302,948

 

Total

 

 

 

51,172,099

 

Total Fixed-Income Funds
(Cost: $65,991,123)

 

 

 

$

70,473,616

 

 

 

 

 

 

 

Alternative Investments 5.0%

 

Columbia Absolute Return Currency and Income Fund, Class I Shares(a)(b)

 

307,895

 

3,208,271

 

Columbia Absolute Return Multi-Strategy Fund, Class I Shares(a)(b)

 

322,185

 

3,208,960

 

Total Alternative Investments
(Cost: $6,326,043)

 

 

 

$

6,417,231

 

 

Issuer

 

Coupon
Rate

 

Principal
Amount

 

Value

 

 

 

 

 

 

 

 

 

Inflation-Indexed Bonds 4.3%

 

U.S. Treasury Inflation-Indexed Bond

 

07/15/13

 

1.875%

 

363,762

 

372,060

 

01/15/14

 

2.000%

 

436,384

 

452,680

 

01/15/15

 

1.625%

 

542,934

 

577,970

 

01/15/16

 

2.000%

 

412,059

 

458,351

 

07/15/17

 

2.625%

 

333,471

 

400,556

 

01/15/19

 

2.125%

 

461,403

 

563,993

 

01/15/21

 

1.125%

 

168,504

 

199,256

 

01/15/25

 

2.375%

 

721,092

 

985,925

 

04/15/29

 

3.875%

 

686,681

 

1,152,927

 

02/15/40

 

2.125%

 

213,176

 

317,099

 

Total Inflation-Indexed Bonds
(Cost: $4,827,206)

 

$

5,480,817

 


 

 


 


 

 

Shares

 

Value

 

 

 

 

 

 

 

Money Market Funds 3.3%

 

 

 

 

 

BofA Cash Reserves, Capital Class, 0.150% (c)

 

1,283,641

 

$

1,283,641

 

Columbia Short-Term Cash Fund, 0.149% (a)(c)

 

2,998,122

 

2,998,122

 

Total Money Market Funds
(Cost: $4,281,763)

 

 

 

$

4,281,763

 

 

Total Investments
(Cost: $120,217,759) (d)

 

 

 

$

128,546,686(e)

 

Other Assets and Liabilities

 

 

 

(428,678)

 

Net Assets

 

 

 

$

128,118,008

 

 


 

 

Investments in Derivatives

 

Futures Contracts Outstanding at October 31, 2012

 

 

At October 31, 2012, $33,550 was held in a margin deposit account as collateral to cover initial margin requirements on open futures contracts.

 

 

 

Number of

 

Notional

 

 

 

 

 

 

 

 

 

Contracts

 

Market

 

Expiration

 

Unrealized

 

Unrealized

 

Contract Description

 

Long (Short)

 

Value ($)

 

Date

 

Appreciation ($)

 

Depreciation ($)

 

U.S. Treasury Note, 5-year

 

25

 

3,106,250

 

January 2013

 

3,219

 

 

U.S. Treasury Note, 10-year

 

18

 

2,394,563

 

December 2012

 

5,304

 

 

Total

 

 

 

 

 

 

 

8,523

 

 

 

Notes to Portfolio of Investments

 

 

(a)

As defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of its outstanding voting securities, or a company which is under common ownership or control with the Fund. Holdings and transactions in these affiliated companies during the period ended October 31, 2012, are as follows:

 

Issuer

 

Beginning
Cost ($) 

 

Purchase
Cost ($)

 

Proceeds
from Sales ($)

 

Realized
Gain/ Loss
($)

 

Capital Gain
Distributions
($)

 

Ending Cost
($)

 

Dividends or
Interest
Income ($)

 

Value ($)

 

Columbia Absolute Return Currency and Income Fund, Class I Shares

 

3,377,956

 

135,711

 

(403,603

)

8,409

 

 

3,118,473

 

 

3,208,271

 

Columbia Absolute Return Multi-Strategy Fund, Class I Shares

 

4,496,081

 

149,159

 

(1,445,831

)

8,161

 

 

3,207,570

 

 

3,208,960

 

Columbia Bond Fund, Class I Shares

 

9,767,911

 

12,568

 

(10,048,522

)

268,043

 

 

 

2,874

 

 

Columbia Contrarian Core Fund, Class I Shares

 

2,720,106

 

1,453,198

 

(693,082

)

252,700

 

 

3,732,922

 

 

4,434,559

 

Columbia Convertible Securities Fund, Class I Shares

 

3,673,908

 

263,685

 

(408,541

)

30,812

 

 

3,559,864

 

96,269

 

3,848,312

 

Columbia Corporate Income Fund, Class I Shares

 

13,849,170

 

10,268,316

 

(3,044,960

)

229,340

 

 

21,301,866

 

636,303

 

23,130,097

 

Columbia Dividend Income Fund, Class I Shares

 

3,991,120

 

596,523

 

(649,721

)

48,382

 

 

3,986,304

 

91,923

 

4,455,574

 

 


 

Columbia Dividend Opportunity Fund, Class I Shares

 

1,295,106

 

2,117,398

 

(392,593

)

25,037

 

 

3,044,948

 

85,395

 

3,190,221

 

Columbia Emerging Markets Bond Fund, Class I Shares

 

3,861,625

 

900,702

 

(704,347

)

48,363

 

 

4,106,343

 

188,580

 

4,494,361

 

Columbia Emerging Markets Fund, Class I Shares

 

2,101,112

 

1,099,706

 

(347,742

)

(5,155

)

120,405

 

2,847,921

 

 

2,682,715

 

Columbia Greater China Fund, Class I Shares

 

717,880

 

93,843

 

(140,098

)

(9,510

)

 

662,115

 

 

641,250

 

Columbia Income Opportunities Fund, Class I Shares

 

10,298,536

 

667,255

 

(1,261,583

)

85,615

 

 

9,789,823

 

483,378

 

10,961,944

 

Columbia International Bond Fund, Class I Shares

 

4,401,191

 

186,979

 

(910,498

)

19,904

 

 

3,697,576

 

40,756

 

3,845,212

 

Columbia Large Cap Core Fund, Class I Shares

 

2,774,622

 

 

 

(3,348,757

)

574,135

 

 

 

 

 

Columbia Large Cap Growth Fund, Class I Shares

 

2,623,109

 

2,454,868

 

(878,025

)

271,620

 

 

4,471,572

 

 

5,020,001

 

Columbia Large Core Quantitative Fund, Class I Shares

 

2,199,459

 

2,421,945

 

(619,775

)

72,481

 

 

4,074,110

 

 

4,440,023

 

Columbia Large Growth Quantitative Fund, Class I Shares

 

 

4,042,809

 

(465,454

)

24,751

 

 

3,602,106

 

 

3,772,047

 

Columbia Large Value Quantitative Fund, Class I Shares

 

820,488

 

382,399

 

(200,851

)

85,829

 

 

1,087,865

 

 

1,278,711

 

Columbia Limited Duration Credit Fund, Class I Shares

 

8,686,033

 

525,517

 

(725,876

)

11,312

 

 

8,496,986

 

163,447

 

8,739,054

 

Columbia Mid Cap Growth Fund, Class I Shares

 

1,986,655

 

965,862

 

(949,446

)

454,367

 

 

2,457,438

 

 

2,628,175

 

Columbia Mid Cap Value Fund, Class I Shares

 

1,650,005

 

958,135

 

(330,431

)

146,846

 

 

2,424,555

 

23,211

 

2,695,892

 

Columbia Multi-Advisor International Equity Fund

 

5,606,084

 

26,852

 

(5,473,563

)

(159,373

)

 

 

 

 

Columbia Pacific/Asia Fund, Class I Shares

 

 

1,393,709

 

(103,688

)

(1,087

)

 

1,288,934

 

8,807

 

1,283,702

 

Columbia Select Large Cap Growth Fund, Class I Shares

 

2,801,995

 

 

(3,375,630

)

573,635

 

 

 

 

 

Columbia Select Large-Cap Value Fund, Class I Shares

 

1,267,559

 

1,891

 

(1,277,053

)

7,603

 

 

 

 

 

Columbia Short Term Bond Fund, Class I Shares

 

2,551,887

 

2,009

 

(2,551,003

)

(2,893

)

 

 

478

 

 

Columbia Short-Term Cash Fund

 

3,179,380

 

5,340,653

 

(5,521,911

)

 

 

2,998,122

 

3,825

 

2,998,122

 

Columbia Small Cap Growth Fund I, Class I Shares

 

 

790,412

 

(19,930

)

613

 

 

771,095

 

 

754,712

 

 


 

Columbia Small Cap Value Fund I, Class I Shares

 

 

789,891

 

(10,206

)

190

 

 

779,875

 

 

767,365

 

Columbia U.S. Government Mortgage Fund, Class I Shares

 

8,396,607

 

11,080,302

 

(933,211

)

54,831

 

 

18,598,529

 

291,444

 

19,302,948

 

Mortgage- and Asset-Backed Portfolio

 

9,062,949

 

673,668

 

(9,711,704

)

(24,913

)

361,044

 

 

136,346

 

 

Total

 

118,158,534

 

49,795,965

 

(56,947,635

)

3,100,048

 

481,449

 

114,106,912

 

2,253,036

 

121,782,228

 

 

(b)

Non-income producing.

(c)

The rate shown is the seven-day current annualized yield at October 31, 2012.

(d)

At October 31, 2012, the cost of securities for federal income tax purposes was approximately $120,218,000 and the approximate aggregate gross unrealized appreciation and depreciation based on that cost was:

 

Unrealized Appreciation

 

$

8,549,000

 

Unrealized Depreciation

 

(220,000

)

Net Unrealized Appreciation

 

$

8,329,000

 

 

(e)

Investments are valued using policies described in the notes to financial statements in the most recent shareholder report.

 

Fair Value Measurements

 

 

Generally accepted accounting principles (GAAP) require 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.

 

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 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 (to include NAV for open-end mutual funds).  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 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 carrying out 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 readily available, including recommendation of third party pricing vendors and a determination of appropriate pricing methodologies; events that require specific valuation determinations and assessment of fair value techniques; securities with a potential for stale pricing, including those that are illiquid, restricted, or in default; and the effectiveness of third-party pricing vendors, including periodic reviews of vendors.  The Committee meets more frequently, as needed, to discuss

additional valuation matters, which may include the need to review back-testing results, review time-sensitive information or approve related valuation actions.  The Committee reports to the Board, with members of the Committee meeting with the Board at each of its regularly scheduled meetings to discuss valuation matters and actions during the period, similar to those described earlier.

 

For investments categorized as Level 3, the Committee monitors information similar to that described above, which may include: (i) data specific to the issuer or comparable issuers, (ii) general market or specific sector news and (iii) quoted prices and specific or similar security transactions.  The Committee considers this data and any changes from prior periods in order to assess the reasonableness of observable and unobservable inputs, any assumptions or internal models used to value those securities and changes in fair value.  This data is also used to corroborate, when available, information received from approved pricing vendors and brokers.  Various factors impact the frequency of monitoring this information (which may occur as often as daily). However, the Committee may determine that changes to inputs, assumptions and models are not required as a result of the monitoring procedures performed.

 

The following table is a summary of the inputs used to value the Fund’s investments at October 31, 2012:

 


 

Description

 

 

Level 1

 

 

Level 2

 

 

Level 3

 

 

 

 

 

 

 

Quoted Prices in

 

 

Other Significant

 

 

Significant

 

 

 

 

 

 

 

Active Markets for

 

 

Observable

 

 

Unobservable

 

 

 

 

 

 

 

Identical Assets ($)

 

 

Inputs ($)

 

 

Inputs ($)

 

 

Total ($)

 

Mutual Funds

 

 

 

 

 

 

 

 

 

 

 

 

 

Investments in Affiliated Fund

 

 

121,782,228

 

 

 

 

 

 

121,782,228

 

Unaffiliated Money Market Fund

 

 

1,283,641

 

 

 

 

 

 

1,283,641

 

Total Mutual Funds

 

 

123,065,869

 

 

 

 

 

 

123,065,869

 

Bonds

 

 

 

 

 

 

 

 

 

 

 

 

 

Inflation-Indexed Bonds

 

 

 

 

5,480,817

 

 

 

 

5,480,817

 

Total Bonds

 

 

 

 

5,480,817

 

 

 

 

5,480,817

 

Investments in Securities

 

 

123,065,869

 

 

5,480,817

 

 

 

 

 

128,546,686

 

Derivatives

 

 

 

 

 

 

 

 

 

 

 

 

 

Assets

 

 

 

 

 

 

 

 

 

 

 

 

 

Futures Contracts

 

 

8,523

 

 

 

 

 

 

8,523

 

Total

 

 

123,074,392

 

 

5,480,817

 

 

 

 

128,555,209

 

 

See the Portfolio of Investments for all investment classifications not indicated in the table.

 

The Portfolio’s assets assigned to the Level 2 input category are generally valued using the market approach, in which a security’s value is determined through reference to prices and information from market transactions for similar or identical assets.

 

There were no significant transfers between Levels 1 and 2 during the period.

 

Derivative instruments are valued at unrealized appreciation (depreciation).

 


 

Portfolio of Investments

Columbia LifeGoal Income Portfolio

 

October 31, 2012 (Unaudited)

 

(Percentages represent value of investments compared to net assets)

 


 

 

Shares

 

Value

 

 

 

 

 

 

 

Fixed-Income Funds 84.2%

 

 

 

 

 

CONVERTIBLE 5.0%

 

 

 

 

 

Columbia Convertible Securities Fund, Class I Shares (a)

 

94,599

 

$

1,398,171

 

EMERGING MARKETS 4.5%

 

 

 

 

 

Columbia Emerging Markets Bond Fund, Class I Shares (a)

 

100,597

 

1,258,471

 

HIGH YIELD 10.1%

 

 

 

 

 

Columbia Income Opportunities Fund, Class I Shares (a)

 

282,930

 

2,809,497

 

INTERNATIONAL 4.5%

 

 

 

 

 

Columbia International Bond Fund, Class I Shares (a)

 

108,366

 

1,259,212

 

INVESTMENT GRADE 60.1%

 

 

 

 

 

Columbia Corporate Income Fund, Class I Shares (a)

 

129,710

 

1,403,463

 

Columbia Limited Duration Credit Fund, Class I Shares (a)

 

543,937

 

5,602,552

 

Columbia Short Term Bond Fund, Class I Shares (a)

 

279,638

 

2,799,179

 

Columbia U.S. Government Mortgage Fund, Class I Shares (a)

 

730,297

 

4,206,508

 

Columbia U.S. Treasury Index Fund, Class I Shares (a)

 

240,458

 

2,801,339

 

Total

 

 

 

16,813,041

 

Total Fixed-Income Funds
(Cost: $21,782,406)

 

 

 

$

23,538,392

 

 

 

 

 

 

 

Alternative Investments 6.0%

 

 

 

 

 

Columbia Absolute Return Currency and Income Fund, Class I Shares(a)(b)

 

80,501

 

838,819

 

 

 

 

Shares

 

Value

 

 

 

 

 

 

 

Alternative Investments (continued)

 

Columbia Absolute Return Multi-Strategy Fund, Class I Shares(a)(b)

 

84,227

 

$

838,907

 

 

 

 

 

 

 

Total Alternative Investments
(Cost: $1,655,288)

 

 

 

$

1,677,726

 

 

Issuer

 

Coupon
Rate

 

Principal
Amount

 

Value

 

 

 

 

 

 

 

 

 

Inflation-Indexed Bonds 4.5%

 

 

 

U.S. Treasury Inflation-Indexed Bond

 

 

 

 

 

07/15/13

 

1.875%

 

81,533

 

83,393

 

01/15/14

 

2.000%

 

99,745

 

103,470

 

01/15/15

 

1.625%

 

132,717

 

141,282

 

01/15/16

 

2.000%

 

92,858

 

103,290

 

07/15/17

 

2.625%

 

72,252

 

86,787

 

01/15/19

 

2.125%

 

107,303

 

131,161

 

01/15/21

 

1.125%

 

36,860

 

43,587

 

01/15/25

 

2.375%

 

183,329

 

250,659

 

04/15/29

 

3.875%

 

140,139

 

235,291

 

02/15/40

 

2.125%

 

63,953

 

95,130

 

 

 

 

 

 

 

 

 

Total Inflation-Indexed Bonds
(Cost: $1,109,996)

 

$

1,274,050

 

 

 

 

Shares

 

Value

 

 

 

 

 

 

 

Money Market Funds  5.4%

 

 

 

 

 

BofA Cash Reserves, Capital Class,
0.150% (c)

 

1,398,275

 

$

1,398,275

 

Columbia Short-Term Cash Fund,
0.149% (a)(c)

 

104,230

 

104,230

 

 

 

 

 

 

 

Total Money Market Funds
(Cost: $1,502,505)

 

 

 

$

1,502,505

 

 

 

 

 

 

 

Total Investments

 

 

 

 

 

(Cost: $26,050,195) (d)

 

 

 

$

27,992,673(e)

 

Other Assets and Liabilities

 

 

 

(30,609)

 

Net Assets

 

 

 

$

27,962,064

 


 

Notes to Portfolio of Investments

 

 

 

(a)  

As defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of its outstanding voting securities, or a company which is under common ownership or control with the Fund. Holdings and transactions in these affiliated companies during the period ended October 31, 2012, are as follows:

 


 

Issuer

 

Beginning
Cost ($)

 

Purchase
Cost ($)

 

Proceeds
from Sales
($)

 

Realized
Gain/Loss
($)

 

Ending Cost ($)

 

Capital Gain
Distributions
($)

 

Dividends or
Interest
Income ($)

 

Value ($)

 

Columbia Absolute Return Currency and Income Fund, Class I Shares

 

780,460

 

121,768

 

(86,255

)

 

815,973

 

 

 

838,819

 

Columbia Absolute Return Multi-Strategy Fund, Class I Shares

 

791,207

 

120,791

 

(72,481

)

(202

)

839,315

 

 

 

838,907

 

Columbia Convertible Securities Fund, Class I Shares

 

969,212

 

315,831

 

(262,708

)

958

 

1,023,293

 

 

34,033

 

1,398,171

 

Columbia Corporate Income Fund, Class I Shares

 

3,599,292

 

180,202

 

(2,636,420

)

115,540

 

1,258,614

 

 

37,754

 

1,403,463

 

Columbia Emerging Markets Bond Fund, Class I Shares

 

1,044,901

 

330,558

 

(239,675

)

3,246

 

1,139,030

 

 

51,283

 

1,258,471

 

Columbia Income Opportunities Fund, Class I Shares

 

2,205,712

 

471,320

 

(436,450

)

2,256

 

2,242,838

 

 

119,757

 

2,809,497

 

Columbia International Bond Fund, Class I Shares

 

1,178,689

 

214,749

 

(186,012

)

110

 

1,207,536

 

 

12,992

 

1,259,212

 

Columbia Limited Duration Credit Fund, Class I Shares

 

2,913,015

 

3,107,541

 

(571,175

)

319

 

5,449,700

 

 

100,606

 

5,602,552

 

Columbia Short Term Bond Fund, Class I Shares

 

2,574,908

 

376,987

 

(253,116

)

(30

)

2,698,749

 

 

32,185

 

2,799,179

 

Columbia Short-Term Cash Fund

 

17,826

 

163,491

 

(77,087

)

 

104,230

 

 

64

 

104,230

 

Columbia U.S. Government Mortgage Fund, Class I Shares

 

2,950,620

 

1,471,427

 

(472,161

)

1,817

 

3,951,703

 

 

85,129

 

4,206,508

 

Columbia U.S. Treasury Index Fund, Class I Shares

 

124,693

 

2,993,603

 

(307,334

)

(19

)

2,810,943

 

45,224

 

29,068

 

2,801,339

 

Mortgage- and Asset-Backed Portfolio

 

3,497,244

 

 

(3,637,126

)

139,882

 

 

 

 

 

Total

 

22,647,779

 

9,868,268

 

(9,238,000

)

263,877

 

23,541,924

 

45,224

 

502,871

 

25,320,348

 

 

(b)  

Non-income producing.

(c)  

The rate shown is the seven-day current annualized yield at October 31, 2012.

(d)  

At October 31, 2012, the cost of securities for federal income tax purposes was approximately $26,050,000 and the approximate aggregate gross unrealized appreciation and depreciation based on that cost was:

 

Unrealized Appreciation

 

$

1,953,000

 

Unrealized Depreciation

 

(10,000

)

Net Unrealized Appreciation

 

$

1,943,000

 

 

(e)

Investments are valued using policies described in the notes to financial statements in the most recent shareholder report.

 

Fair Value Measurements

 

 

 

Generally accepted accounting principles (GAAP) require 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.

 


 

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 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 (to include NAV for open-end mutual funds).  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 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 carrying out 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 readily available, including recommendation of third party pricing vendors and a determination of appropriate pricing methodologies; events that require specific valuation determinations and assessment of fair value techniques; securities with a potential for stale pricing, including those that are illiquid, restricted, or in default; and the effectiveness of third-party pricing vendors, including periodic reviews of vendors.  The Committee meets more frequently, as needed, to discuss additional valuation matters, which may include the need to review back-testing results, review time-sensitive information or approve related valuation actions.  The Committee reports to the Board, with members of the Committee meeting with the Board at each of its regularly scheduled meetings to discuss valuation matters and actions during the period, similar to those described earlier.

 


 

For investments categorized as Level 3, the Committee monitors information similar to that described above, which may include: (i) data specific to the issuer or comparable issuers, (ii) general market or specific sector news and (iii) quoted prices and specific or similar security transactions.  The Committee considers this data and any changes from prior periods in order to assess the reasonableness of observable and unobservable inputs, any assumptions or internal models used to value those securities and changes in fair value.  This data is also used to corroborate, when available, information received from approved pricing vendors and brokers.  Various factors impact the frequency of monitoring this information (which may occur as often as daily). However, the Committee may determine that changes to inputs, assumptions and models are not required as a result of the monitoring procedures performed.

 

The following table is a summary of the inputs used to value the Portfolio’s investments as of October 31, 2012:

 

Description

 

 

Level 1

 

 

Level 2

 

 

Level 3

 

 

 

 

 

 

 

Quoted Prices in

 

 

Other Significant

 

 

Significant

 

 

 

 

 

 

 

Active Markets for

 

 

Observable

 

 

Unobservable

 

 

 

 

 

 

 

Identical Assets ($)

 

 

Inputs ($)

 

 

Inputs ($)

 

 

Total ($)

 

Mutual Funds

 

 

 

 

 

 

 

 

 

 

 

 

 

Investments in Affiliated Funds

 

 

25,320,348

 

 

 

 

 

 

25,320,348

 

Investments in Unaffiliated Fund

 

 

1,398,275

 

 

 

 

 

 

1,398,275

 

Total Mutual Funds

 

 

26,718,623

 

 

 

 

 

 

26,718,623

 

Bonds

 

 

 

 

 

 

 

 

 

 

 

 

 

Inflation-Indexed Bonds

 

 

 

 

1,274,050

 

 

 

 

1,274,050

 

Total Bonds

 

 

 

 

1,274,050

 

 

 

 

1,274,050

 

Total

 

 

26,718,623

 

 

1,274,050

 

 

 

 

27,992,673

 

 

See the Portfolio of Investments for all investment classifications not indicated in the table.

 

The Portfolio’s assets assigned to the Level 2 input category are generally valued using the market approach, in which a security’s value is determined through reference to prices and information from market transactions for similar or identical assets.

 

There were no transfers of financial assets between Levels 1 and 2 during the period.

 


 

Portfolio of Investments

Columbia Masters International Equity Portfolio

October 31, 2012 (Unaudited)

(Percentages represent value of investments compared to net assets)


 

 

 

Shares

 

Value

 

 

 

 

 

 

 

Equity Funds 98.6%

 

 

 

 

 

International 98.6%

 

 

 

 

 

Columbia Acorn International, Class I Shares (a)

 

61,565

 

$

2,463,811

 

Columbia Emerging Markets Fund, Class I Shares (a)(b)

 

505,916

 

4,927,622

 

Columbia European Equity Fund, Class I Shares (a)

 

4,960,693

 

29,565,731

 

Columbia Pacific/Asia Fund, Class I Shares (a)

 

1,530,317

 

12,319,055

 

Total

 

 

 

49,276,219

 

Total Equity Funds
(Cost: $49,407,689)

 

 

 

$

49,276,219

 

 

 

Shares

 

Value

 

 

 

 

 

 

 

Money Market Funds 1.6%

 

 

 

 

 

Columbia Short-Term Cash Fund, 0.149%(a)(c)

 

796,452

 

$

796,452

 

Total Money Market Funds
(Cost: $796,452)

 

 

 

$

796,452

 

Total Investments

 

 

 

 

 

(Cost: $50,204,141) (d)

 

 

 

$

50,072,671 (e)

 

Other Assets and Liabilities

 

 

 

(84,432)

 

Net Assets

 

 

 

$

49,988,239

 

 


 

Investments in Derivatives
Futures Contracts Outstanding at October 31, 2012

 

 

At October 31, 2012, $39,500 was held in a margin deposit account as collateral to cover initial margin requirements on open futures contracts.

 

 

 

Number of Contracts

 

Notional Market

 

Expiration

 

Unrealized

 

Unrealized

 

Contract Description

 

Long (Short)

 

Value ($)

 

Date

 

Appreciation ($)

 

Depreciation ($)

 

E-Mini MCSI EAFE Index

 

10

 

759,200

 

December 2012

 

 

(21,925

)

 

Forward Foreign Currency Exchange Contracts Open at October 31, 2012

 

 

Counterparty

 

Exchange Date

 

Currency to be
Delivered

 

Currency to be
Received

 

Unrealized
Appreciation ($)

 

Unrealized
Depreciation ($)

 

Goldman, Sachs & Co.

 

November 30, 2012

 

3,498,000

 

3,751,327

 

 

(6,331

)

 

 

 

 

(CHF)

 

(USD)

 

 

 

 

 

HSBC Securities (USA), Inc.

 

November 30, 2012

 

4,830,000

 

6,265,404

 

3,419

 

 

 

 

 

 

(EUR)

 

(USD)

 

 

 

 

 

Deutsche Bank

 

November 30, 2012

 

200,466,000

 

2,511,853

 

120

 

 

 

 

 

 

(JPY)

 

(USD)

 

 

 

 

 

Barclays Bank PLC

 

November 30, 2012

 

2,493,890

 

2,420,000

 

12,454

 

 

 

 

 

 

(USD)

 

(AUD)

 

 

 

 

 

JPMorgan Chase Bank

 

November 30, 2012

 

3,766,340

 

3,737,000

 

 

(26,899

)

 

 

 

 

(USD)

 

(CAD)

 

 

 

 

 

JPMorgan Chase Bank

 

November 30, 2012

 

2,539,493

 

2,540,000

 

2,057

 

 

 

 

 

 

 

(USD)

 

(CAD)

 

 

 

 

 

Citigroup Global Markets Inc.

 

November 30, 2012

 

3,736,225

 

21,439,000

 

20,162

 

 

 

 

 

 

(USD)

 

(NOK)

 

 

 

 

 

Citigroup Global Markets Inc.

 

December 4, 2012

 

630,000

 

307,169

 

 

(1,641

)

 

 

 

 

(BRL)

 

(USD)

 

 

 

 

 

Citigroup Global Markets Inc.

 

December 4, 2012

 

150,000

 

151,096

 

1,011

 

 

 

 

 

 

(CAD)

 

(USD)

 

 

 

 

 

Citigroup Global Markets Inc.

 

December 4, 2012

 

2,955,000

 

512,494

 

 

(1,229

)

 

 

 

 

(DKK)

 

(USD)

 

 

 

 

 

 


 

Citigroup Global Markets Inc.

 

December 4, 2012

 

497,000

 

645,828

 

1,451

 

 

 

 

 

 

(EUR)

 

(USD)

 

 

 

 

 

Citigroup Global Markets Inc.

 

December 4, 2012

 

2,977,970,000

 

306,719

 

 

(2,025

)

 

 

 

 

(IDR)

 

(USD)

 

 

 

 

 

Citigroup Global Markets Inc.

 

December 4, 2012

 

16,401,000

 

309,418

 

6,532

 

 

 

 

 

 

(INR)

 

(USD)

 

 

 

 

 

Citigroup Global Markets Inc.

 

December 4, 2012

 

2,169,198,000

 

1,944,931

 

 

(40,406

)

 

 

 

 

(KRW)

 

(USD)

 

 

 

 

 

Citigroup Global Markets Inc.

 

December 4, 2012

 

947,000

 

308,118

 

 

(2,006

)

 

 

 

 

(MYR)

 

(USD)

 

 

 

 

 

Citigroup Global Markets Inc.

 

December 4, 2012

 

581,000

 

101,005

 

 

(782

)

 

 

 

 

(NOK)

 

(USD)

 

 

 

 

 

Citigroup Global Markets Inc.

 

December 4, 2012

 

14,846,000

 

357,425

 

 

(2,815

)

 

 

 

 

(PHP)

 

(USD)

 

 

 

 

 

Citigroup Global Markets Inc.

 

December 4, 2012

 

20,459,000

 

664,438

 

 

(1,657

)

 

 

 

 

(THB)

 

(USD)

 

 

 

 

 

Citigroup Global Markets Inc.

 

December 4, 2012

 

44,901,000

 

1,535,696

 

 

(1,249

)

 

 

 

 

(TWD)

 

(USD)

 

 

 

 

 

Citigroup Global Markets Inc.

 

December 4, 2012

 

2,056,214

 

2,009,000

 

23,777

 

 

 

 

 

 

(USD)

 

(AUD)

 

 

 

 

 

Citigroup Global Markets Inc.

 

December 4, 2012

 

108,010

 

100,000

 

 

(579

)

 

 

 

 

(USD)

 

(CHF)

 

 

 

 

 

Citigroup Global Markets Inc.

 

December 4, 2012

 

2,521,597

 

1,572,000

 

14,937

 

 

 

 

 

 

(USD)

 

(GBP)

 

 

 

 

 

Citigroup Global Markets Inc.

 

December 4, 2012

 

5,153,424

 

404,683,000

 

 

(82,725

)

 

 

 

 

(USD)

 

(JPY)

 

 

 

 

 

Citigroup Global Markets Inc.

 

December 4, 2012

 

510,883

 

3,428,000

 

5,434

 

 

 

 

 

 

(USD)

 

(SEK)

 

 

 

 

 

Citigroup Global Markets Inc.

 

December 4, 2012

 

110,801

 

136,000

 

689

 

 

 

 

 

 

(USD)

 

(SGD)

 

 

 

 

 

Total

 

 

 

 

 

 

 

92,043

 

(170,344

)

 

Notes to Portfolio of Investments

 

 

 

 

(a)

As defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of its outstanding voting securities, or a company which is under common ownership or control with the Fund. Holdings and transactions in these affiliated companies during the period ended October 31, 2012, are as follows:

 

Issuer

 

Beginning
Cost ($)

 

Purchase
Cost ($)

 

Proceeds
from Sales ($)

 

Realized
Gain/ Loss
($)

 

Ending Cost
($)

 

Capital Gain
Distributions
($)

 

Dividends
or Interest
Income ($)

 

Value ($)

 

Columbia Acorn International, Class I Shares

 

1,925,337

 

67,092

 

(1,100,243

)

430,315

 

1,322,501

 

 

15,357

 

2,463,811

 

Columbia Emerging Markets Fund, Class I Shares

 

7,572,173

 

403,750

 

(2,022,250

)

(385,737

)

5,567,936

 

236,575

 

 

4,927,622

 

Columbia European Equity Fund, Class I Shares

 

42,235,125

 

658,475

 

(12,894,668

)

(657,857

)

29,341,075

 

 

 

29,565,731

 

Columbia Pacific/Asia Fund, Class I Shares

 

17,968,287

 

486,305

 

(4,772,444

)

(505,971

)

13,176,177

 

 

91,516

 

12,319,055

 

Columbia Short-Term Cash Fund

 

7

 

2,258,600

 

(1,462,155

)

 

 

796,452

 

 

583

 

796,452

 

Total

 

69,700,929

 

3,874,222

 

(22,251,760

)

(1,119,250

)

50,204,141

 

236,575

 

107,456

 

50,072,671

 

 

(b)

Non-income producing.

(c)

The rate shown is the seven-day current annualized yield at October 31, 2012.

 


 

(d)

At October 31, 2012, the cost of securities for federal income tax purposes was approximately $50,204,000 and the approximate aggregate gross unrealized appreciation and depreciation based on that cost was:

 

 

 

 

 

Unrealized Appreciation

 

$

1,366,000.

 

Unrealized Depreciation

 

(1,497,000)

 

Net Unrealized Depreciation

 

$

(131,000)

 

 

(e)

Investments are valued using policies described in the notes to financial statements in the most recent shareholder report.

 

Currency Legend

 

 

AUD

Australian Dollar

BRL

Brazilian Real

CAD

Canadian Dollar

CHF

Swiss Franc

DKK

Danish Krone

EUR

Euro

GBP

British Pound

IDR

Indonesian Rupiah

INR

Indian Rupee

JPY

Japanese Yen

KRW

Korean Won

MYR

Malaysia Ringgits

NOK

Norwegian Krone

PHP

Philippine Peso

SEK

Swedish Krona

SGD

Singapore Dollar

THB

Thailand Baht

TWD

Taiwan Dollar

USD

US Dollar

 

Fair Value Measurements

 

 

Generally accepted accounting principles (GAAP) require 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.

 

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 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 (to include NAV for open-end mutual funds). 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 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 carrying out 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 readily available, including recommendations of third party pricing vendors and a determination of appropriate pricing methodologies; events that require specific valuation determinations and assessment of fair value techniques; securities with a potential for stale pricing, including those that are illiquid, restricted, or in default; and the effectiveness of third-party pricing vendors, including periodic reviews of vendors.  The Committee meets more frequently, as needed, to discuss additional valuation matters, which may include the need to review back-testing results, review time-sensitive information or approve related valuation actions.  The Committee reports to the Board, with members of the Committee meeting with the Board at each of its regularly scheduled meetings to discuss valuation matters and actions during the period, similar to those described earlier.

 

For investments categorized as Level 3, the Committee monitors information similar to that described above, which may include: (i) data specific to the issuer or comparable issuers, (ii) general market or specific sector news and (iii) quoted prices and specific or similar security transactions.  The Committee considers this data and any changes from prior periods in order to assess the reasonableness of observable and unobservable inputs, any assumptions or internal models used to value those securities and changes in fair value.  This data is also used to corroborate, when available, information received from approved pricing vendors and brokers.  Various factors impact the frequency of monitoring this information (which may occur as often as daily). However, the Committee may determine that changes to inputs, assumptions and models are not required as a result of the monitoring procedures performed.

 


 

The following table is a summary of the inputs used to value the Fund’s investments at October 31, 2012:

 

Description

 

 

Level 1

 

 

Level 2

 

 

Level 3

 

 

 

 

 

 

 

Quoted Prices in

 

 

Other Significant

 

 

Significant

 

 

 

 

 

 

 

Active Markets for

 

 

Observable

 

 

Unobservable

 

 

 

 

 

 

 

Identical Assets ($)

 

 

Inputs ($)

 

 

Inputs ($)

 

 

Total ($)

 

Investments in Affiliated Funds

 

50,072,671

 

 

 

50,072,671

 

Total Investments in Affiliated Funds

 

50,072,671

 

 

 

50,072,671

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Derivatives

 

 

 

 

 

 

 

 

 

Assets

 

 

 

 

 

 

 

 

 

Forward Foreign Currency Exchange Contracts

 

 

92,043

 

 

92,043

 

Liabilities

 

 

 

 

 

 

 

 

 

Futures Contracts

 

(21,925

)

 

 

(21,925

)

Forward Foreign Currency Exchange Contracts

 

 

(170,344

)

 

(170,344

)

Total

 

50,050,746

 

(78,301

)

 

49,972,445

 

 

The Portfolio’s assets assigned to the Level 2 input category are generally valued using the market approach, in which a security’s value is determined through reference to prices and information from market transactions for similar or identical assets.

 

There were no transfers of financial assets between Levels 1 and 2 during the period.

 

Derivative instruments are valued at the unrealized appreciation (depreciation).

 


 

Item  2.  Controls and Procedures.

 

(a)         The registrant’s principal executive officer and principal financial officers, based on their evaluation of the registrant’s disclosure controls and procedures as of a date within 90 days of the filing of this report, have concluded that such controls and procedures are adequately designed to ensure that information required to be disclosed by the registrant in Form N-Q is accumulated and communicated to the registrant’s management, including the principal executive officer and principal financial officer, or persons performing similar functions, as appropriate to allow timely decisions regarding required disclosure.

 

(b)         There was no change in the registrant’s internal control over financial reporting that occurred during the registrant’s last fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.

 

Item 3. Exhibits.

 

Certifications pursuant to Rule 30a-2(a) under the Investment Company Act of 1940 (17 CFR 270.30a-2(a)) attached hereto as Exhibit 99.CERT.

 



 

SIGNATURES

 

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

 

(registrant)

 

Columbia Funds Series Trust

 

 

 

 

 

 

 

 

 

By (Signature and Title)

 

/s/ J. Kevin Connaughton

 

 

 

J. Kevin Connaughton, President and Principal Executive Officer

 

 

 

 

 

 

 

Date

 

December 21, 2012

 

 

 

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

 

 

By (Signature and Title)

 

/s/ J. Kevin Connaughton

 

 

 

J. Kevin Connaughton, President and Principal Executive Officer

 

 

 

 

 

 

 

Date

 

December 21, 2012

 

 

 

By (Signature and Title)

 

/s/ Michael G. Clarke

 

 

 

Michael G. Clarke, Treasurer and Chief Financial Officer

 

 

 

 

 

 

 

Date

 

December 21, 2012