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OMB APPROVAL | ||
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OMB Number: |
3235-0578 | |
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Expires: |
April 30, 2013 | |
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UNITED STATES |
Estimated average burden hours per response. . . . . . . . . . . . . . 5.6 | ||
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SECURITIES AND EXCHANGE COMMISSION |
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Washington, D.C. 20549 |
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FORM N-Q
QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANY
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Investment Company Act file number |
811-09645 | |||||||
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Columbia Funds Series Trust | ||||||||
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(Exact name of registrant as specified in charter) | ||||||||
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225 Franklin Street, Boston, Massachusetts |
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02110 | ||||||
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(Address of principal executive offices) |
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(Zip code) | ||||||
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Scott R. Plummer | ||||||||
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(Name and address of agent for service) | ||||||||
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Registrant’s telephone number, including area code: |
1-612-671-1947 |
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Date of fiscal year end: |
March 31 |
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Date of reporting period: |
December 31, 2012 |
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Item 1. Schedule of Investments.
Portfolio of Investments
Columbia Short Term Bond Fund
December 31, 2012 (Unaudited)
(Percentages represent value of investments compared to net assets)
|
Issuer |
|
Coupon |
|
Principal |
|
Value |
| ||
|
|
|
|
|
|
|
|
| ||
|
Corporate Bonds & Notes 28.4% |
| ||||||||
|
Aerospace & Defense 0.3% |
|
|
|
|
|
|
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L-3 Communications Corp. |
|
|
|
|
|
|
| ||
|
11/15/16 |
|
3.950% |
|
$ |
8,000,000 |
|
$ |
8,650,128 |
|
|
Banking 7.4% |
|
|
|
|
|
|
| ||
|
BB&T Corp. |
|
|
|
|
|
|
| ||
|
04/28/14 |
|
1.013% |
|
10,237,000 |
|
10,301,319 |
| ||
|
BNP Paribas SA |
|
|
|
|
|
|
| ||
|
01/10/14 |
|
1.250% |
|
5,690,000 |
|
5,698,776 |
| ||
|
Bank of Montreal |
|
|
|
|
|
|
| ||
|
09/11/15 |
|
0.780% |
|
11,055,000 |
|
11,101,099 |
| ||
|
Bank of New York Mellon Corp. (The) |
|
|
|
|
| ||||
|
10/23/15 |
|
0.545% |
|
14,000,000 |
|
13,992,230 |
| ||
|
Capital One Financial Corp. |
|
|
|
|
|
|
| ||
|
11/06/15 |
|
0.953% |
|
10,000,000 |
|
10,025,250 |
| ||
|
Citigroup, Inc. |
|
|
|
|
|
|
| ||
|
06/15/16 |
|
3.953% |
|
15,840,000 |
|
17,049,558 |
| ||
|
Goldman Sachs Group, Inc. (The) |
|
|
|
|
| ||||
|
03/22/16 |
|
0.760% |
|
12,175,000 |
|
11,817,847 |
| ||
|
HSBC USA, Inc. |
|
|
|
|
|
|
| ||
|
02/13/15 |
|
2.375% |
|
11,045,000 |
|
11,361,174 |
| ||
|
ING Bank NV |
|
|
|
|
|
|
| ||
|
09/25/15 |
|
1.950% |
|
10,600,000 |
|
10,717,363 |
| ||
|
JPMorgan Chase & Co. |
|
|
|
|
|
|
| ||
|
07/05/16 |
|
3.150% |
|
15,685,000 |
|
16,617,473 |
| ||
|
KeyCorp |
|
|
|
|
|
|
| ||
|
08/13/15 |
|
3.750% |
|
8,000,000 |
|
8,553,993 |
| ||
|
Lloyds TSB Bank PLC |
|
|
|
|
|
|
| ||
|
01/21/16 |
|
4.875% |
|
8,840,000 |
|
9,749,548 |
| ||
|
Merrill Lynch & Co., Inc. |
|
|
|
|
|
|
| ||
|
01/15/15 |
|
5.000% |
|
12,900,000 |
|
13,781,096 |
| ||
|
Morgan Stanley |
|
|
|
|
|
|
| ||
|
04/29/16 |
|
3.800% |
|
16,000,000 |
|
16,796,560 |
| ||
|
Toronto-Dominion Bank (The) |
|
|
|
|
|
|
| ||
|
07/14/14 |
|
0.640% |
|
9,765,000 |
|
9,798,201 |
| ||
|
Issuer |
|
Coupon |
|
Principal |
|
Value |
| ||
|
|
|
|
|
|
|
|
| ||
|
Corporate Bonds & Notes (continued) |
| ||||||||
|
Banking (continued) |
|
|
|
|
|
|
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U.S. Bank |
|
|
|
|
|
|
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|
04/29/20 |
|
3.778% |
|
$ |
14,000,000 |
|
$ |
14,843,598 |
|
|
Wells Fargo & Co. |
|
|
|
|
|
|
| ||
|
10/28/15 |
|
0.513% |
|
16,470,000 |
|
16,323,219 |
| ||
|
Total |
|
|
|
|
|
208,528,304 |
| ||
|
Chemicals 0.3% |
|
|
|
|
|
|
| ||
|
Eastman Chemical Co. |
|
|
|
|
|
|
| ||
|
06/01/17 |
|
2.400% |
|
8,100,000 |
|
8,369,268 |
| ||
|
Construction Machinery 0.7% |
|
|
|
|
|
|
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|
Caterpillar Financial Services Corp. |
|
|
|
|
| ||||
|
05/29/15 |
|
1.100% |
|
10,865,000 |
|
10,955,212 |
| ||
|
John Deere Capital Corp. |
|
|
|
|
|
|
| ||
|
03/03/14 |
|
0.531% |
|
7,483,000 |
|
7,493,454 |
| ||
|
Total |
|
|
|
|
|
18,448,666 |
| ||
|
Diversified Manufacturing 0.3% |
|
|
|
|
| ||||
|
United Technologies Corp. |
|
|
|
|
|
|
| ||
|
06/01/15 |
|
0.811% |
|
7,875,000 |
|
7,952,592 |
| ||
|
Electric 1.3% |
|
|
|
|
|
|
| ||
|
DTE Energy Co. |
|
|
|
|
|
|
| ||
|
06/03/13 |
|
1.011% |
|
7,095,000 |
|
7,110,005 |
| ||
|
Jersey Central Power & Light Co. |
|
|
|
|
| ||||
|
05/01/16 |
|
5.625% |
|
2,000,000 |
|
2,269,154 |
| ||
|
National Rural Utilities Cooperative Finance Corp. |
|
|
| ||||||
|
07/01/13 |
|
5.500% |
|
6,525,000 |
|
6,688,947 |
| ||
|
Nevada Power Co. |
|
|
|
|
|
|
| ||
|
03/15/16 |
|
5.950% |
|
1,175,000 |
|
1,347,039 |
| ||
|
Ohio Power Co. |
|
|
|
|
|
|
| ||
|
09/01/13 |
|
5.750% |
|
5,870,000 |
|
6,072,785 |
| ||
|
Progress Energy, Inc. |
|
|
|
|
|
|
| ||
|
Senior Unsecured |
|
|
|
|
|
|
| ||
|
03/15/14 |
|
6.050% |
|
2,715,000 |
|
2,881,435 |
| ||
|
01/15/16 |
|
5.625% |
|
2,227,000 |
|
2,519,242 |
| ||
|
TransAlta Corp. |
|
|
|
|
|
|
| ||
|
01/15/15 |
|
4.750% |
|
6,795,000 |
|
7,192,231 |
| ||
|
Total |
|
|
|
|
|
36,080,838 |
| ||
|
Issuer |
|
Coupon |
|
Principal |
|
Value |
| ||
|
|
|
|
|
|
|
|
| ||
|
Corporate Bonds & Notes (continued) |
| ||||||||
|
Food and Beverage 1.8% |
|
|
|
|
|
|
| ||
|
Anheuser-Busch InBev Worldwide, Inc. (a) |
|
|
| ||||||
|
07/14/14 |
|
0.700% |
|
$ |
10,375,000 |
|
$ |
10,414,363 |
|
|
Bacardi Ltd. (b) |
|
|
|
|
|
|
| ||
|
04/01/14 |
|
7.450% |
|
6,200,000 |
|
6,689,075 |
| ||
|
ConAgra Foods, Inc. |
|
|
|
|
|
|
| ||
|
09/10/15 |
|
1.350% |
|
6,440,000 |
|
6,439,800 |
| ||
|
Diageo Finance BV |
|
|
|
|
|
|
| ||
|
01/15/15 |
|
3.250% |
|
2,000,000 |
|
2,100,662 |
| ||
|
General Mills, Inc. |
|
|
|
|
|
|
| ||
|
05/16/14 |
|
0.660% |
|
8,465,000 |
|
8,483,039 |
| ||
|
Kraft Foods Group, Inc. |
|
|
|
|
|
|
| ||
|
06/04/15 |
|
1.625% |
|
8,200,000 |
|
8,345,706 |
| ||
|
SABMiller PLC |
|
|
|
|
|
|
| ||
|
01/15/14 |
|
5.700% |
|
7,360,000 |
|
7,739,481 |
| ||
|
Total |
|
|
|
|
|
50,212,126 |
| ||
|
Gas Distributors 0.3% |
|
|
|
|
|
|
| ||
|
Atmos Energy Corp. |
|
|
|
|
|
|
| ||
|
06/15/17 |
|
6.350% |
|
1,525,000 |
|
1,844,712 |
| ||
|
Sempra Energy |
|
|
|
|
|
|
| ||
|
11/15/13 |
|
8.900% |
|
5,230,000 |
|
5,594,201 |
| ||
|
Total |
|
|
|
|
|
7,438,913 |
| ||
|
Gas Pipelines 1.5% |
|
|
|
|
|
|
| ||
|
Enterprise Products Operating LLC |
|
|
|
|
| ||||
|
02/01/16 |
|
3.200% |
|
2,138,000 |
|
2,259,090 |
| ||
|
NiSource Finance Corp. |
|
|
|
|
|
|
| ||
|
03/01/13 |
|
6.150% |
|
4,288,000 |
|
4,323,589 |
| ||
|
03/15/18 |
|
6.400% |
|
3,000,000 |
|
3,616,449 |
| ||
|
Plains All American Pipeline LP/Finance Corp. |
|
|
| ||||||
|
08/15/16 |
|
5.875% |
|
6,000,000 |
|
6,705,600 |
| ||
|
Southern Natural Gas Co. LLC |
|
|
|
|
| ||||
|
04/01/17 |
|
5.900% |
|
7,530,000 |
|
8,847,931 |
| ||
|
TransCanada PipeLines Ltd. |
|
|
|
|
|
|
| ||
|
06/01/15 |
|
3.400% |
|
7,350,000 |
|
7,789,532 |
| ||
|
Williams Partners LP/Finance Corp. |
|
|
|
|
| ||||
|
02/01/17 |
|
7.250% |
|
7,000,000 |
|
8,503,803 |
| ||
|
Total |
|
|
|
|
|
42,045,994 |
| ||
|
Issuer |
|
Coupon |
|
Principal |
|
Value |
| ||
|
|
|
|
|
|
|
|
| ||
|
Corporate Bonds & Notes (continued) |
| ||||||||
|
Health Care 0.8% |
|
|
|
|
|
|
| ||
|
Cardinal Health, Inc. |
|
|
|
|
|
|
| ||
|
06/15/15 |
|
4.000% |
|
$ |
6,770,000 |
|
$ |
7,275,516 |
|
|
Express Scripts Holding Co. |
|
|
|
|
|
|
| ||
|
06/15/14 |
|
6.250% |
|
6,315,000 |
|
6,801,369 |
| ||
|
McKesson Corp. |
|
|
|
|
|
|
| ||
|
12/04/15 |
|
0.950% |
|
9,000,000 |
|
9,012,663 |
| ||
|
Total |
|
|
|
|
|
23,089,548 |
| ||
|
Healthcare Insurance 0.3% |
|
|
|
|
|
|
| ||
|
WellPoint, Inc. |
|
|
|
|
|
|
| ||
|
02/15/17 |
|
2.375% |
|
8,000,000 |
|
8,282,920 |
| ||
|
Independent Energy 1.3% |
|
|
|
|
|
|
| ||
|
Anadarko Petroleum Corp. |
|
|
|
|
|
|
| ||
|
03/15/14 |
|
7.625% |
|
6,084,000 |
|
6,539,704 |
| ||
|
EnCana Corp. |
|
|
|
|
|
|
| ||
|
12/01/17 |
|
5.900% |
|
6,495,000 |
|
7,735,792 |
| ||
|
Pioneer Natural Resources Co. |
|
|
|
|
| ||||
|
03/15/17 |
|
6.650% |
|
5,588,000 |
|
6,583,597 |
| ||
|
Southwestern Energy Co. |
|
|
|
|
|
|
| ||
|
02/01/18 |
|
7.500% |
|
6,100,000 |
|
7,475,282 |
| ||
|
Woodside Finance Ltd. (b) |
|
|
|
|
|
|
| ||
|
11/10/14 |
|
4.500% |
|
7,225,000 |
|
7,641,957 |
| ||
|
Total |
|
|
|
|
|
35,976,332 |
| ||
|
Integrated Energy 0.3% |
|
|
|
|
|
|
| ||
|
BP Capital Markets PLC |
|
|
|
|
|
|
| ||
|
03/11/16 |
|
3.200% |
|
9,122,000 |
|
9,730,647 |
| ||
|
Life Insurance 1.1% |
|
|
|
|
|
|
| ||
|
Hartford Financial Services Group, Inc. |
|
|
| ||||||
|
03/15/18 |
|
6.300% |
|
6,000,000 |
|
7,148,268 |
| ||
|
Lincoln National Corp. |
|
|
|
|
|
|
| ||
|
02/15/14 |
|
4.750% |
|
5,285,000 |
|
5,506,833 |
| ||
|
MetLife Institutional Funding II |
|
|
|
|
| ||||
|
04/04/14 |
|
1.205% |
|
8,000,000 |
|
8,067,976 |
| ||
|
Prudential Covered Trust |
|
|
|
|
| ||||
|
09/30/15 |
|
2.997% |
|
8,854,000 |
|
9,181,704 |
| ||
|
Total |
|
|
|
|
|
29,904,781 |
| ||
|
Issuer |
|
Coupon |
|
Principal |
|
Value |
| ||
|
|
|
|
|
|
|
|
| ||
|
Corporate Bonds & Notes (continued) |
| ||||||||
|
Media Cable 0.7% |
|
|
|
|
|
|
| ||
|
Comcast Corp. |
|
|
|
|
|
|
| ||
|
03/15/16 |
|
5.900% |
|
$ |
8,771,000 |
|
$ |
10,077,300 |
|
|
DIRECTV Holdings LLC/Financing Co., Inc. |
|
|
|
|
| ||||
|
02/15/16 |
|
3.125% |
|
9,065,000 |
|
9,493,149 |
| ||
|
Total |
|
|
|
|
|
19,570,449 |
| ||
|
Media Non-Cable 0.6% |
|
|
|
|
|
|
| ||
|
News America, Inc. |
|
|
|
|
|
|
| ||
|
12/15/14 |
|
5.300% |
|
7,060,000 |
|
7,673,316 |
| ||
|
05/18/18 |
|
7.250% |
|
375,000 |
|
472,099 |
| ||
|
TCM Sub LLC (b) |
|
|
|
|
|
|
| ||
|
01/15/15 |
|
3.550% |
|
8,605,000 |
|
9,030,350 |
| ||
|
Total |
|
|
|
|
|
17,175,765 |
| ||
|
Metals 0.5% |
|
|
|
|
|
|
| ||
|
ArcelorMittal |
|
|
|
|
|
|
| ||
|
02/25/17 |
|
5.000% |
|
6,860,000 |
|
6,912,065 |
| ||
|
Vale Overseas Ltd. |
|
|
|
|
|
|
| ||
|
01/23/17 |
|
6.250% |
|
2,900,000 |
|
3,336,717 |
| ||
|
Vale Overseas Ltd |
|
|
|
|
|
|
| ||
|
01/11/16 |
|
6.250% |
|
3,100,000 |
|
3,487,804 |
| ||
|
Total |
|
|
|
|
|
13,736,586 |
| ||
|
Non-Captive Diversified 0.9% |
|
|
|
|
|
|
| ||
|
General Electric Capital Corp. (a) |
|
|
|
|
| ||||
|
Senior Secured |
|
|
|
|
|
|
| ||
|
12/11/15 |
|
0.911% |
|
20,955,000 |
|
20,979,371 |
| ||
|
Senior Unsecured |
|
|
|
|
|
|
| ||
|
01/08/16 |
|
0.505% |
|
5,254,000 |
|
5,193,122 |
| ||
|
Total |
|
|
|
|
|
26,172,493 |
| ||
|
Oil Field Services 0.3% |
|
|
|
|
|
|
| ||
|
Weatherford International Ltd. |
|
|
|
|
|
|
| ||
|
03/15/18 |
|
6.000% |
|
8,245,000 |
|
9,420,473 |
| ||
|
Pharmaceuticals 0.5% |
|
|
|
|
|
|
| ||
|
AbbVie, Inc. (a)(b) |
|
|
|
|
|
|
| ||
|
11/06/15 |
|
1.072% |
|
9,000,000 |
|
9,103,815 |
| ||
|
Roche Holdings, Inc. (b) |
|
|
|
|
|
|
| ||
|
03/01/14 |
|
5.000% |
|
3,945,000 |
|
4,144,049 |
| ||
|
Total |
|
|
|
|
|
13,247,864 |
| ||
|
Property & Casualty 1.3% |
|
|
|
|
|
|
| ||
|
Berkshire Hathaway, Inc. |
|
|
|
|
|
|
| ||
|
08/15/14 |
|
1.010% |
|
12,500,000 |
|
12,629,038 |
| ||
|
CNA Financial Corp. |
|
|
|
|
|
|
| ||
|
12/15/14 |
|
5.850% |
|
5,933,000 |
|
6,441,351 |
| ||
|
Issuer |
|
Coupon |
|
Principal |
|
Value |
| ||
|
|
|
|
|
|
|
|
| ||
|
Corporate Bonds & Notes (continued) |
| ||||||||
|
Property & Casualty (continued) |
|
|
|
|
| ||||
|
Liberty Mutual Group, Inc. |
|
|
|
|
|
|
| ||
|
08/15/16 |
|
6.700% |
|
$ |
7,175,000 |
|
$ |
8,198,327 |
|
|
Transatlantic Holdings, Inc. |
|
|
|
|
|
|
| ||
|
12/14/15 |
|
5.750% |
|
7,240,000 |
|
7,999,462 |
| ||
|
Total |
|
|
|
|
|
35,268,178 |
| ||
|
Refining 0.3% |
|
|
|
|
|
|
| ||
|
Marathon Petroleum Corp. |
|
|
|
|
|
|
| ||
|
03/01/16 |
|
3.500% |
|
6,903,000 |
|
7,348,306 |
| ||
|
REITs 1.0% |
|
|
|
|
|
|
| ||
|
Boston Properties LP |
|
|
|
|
|
|
| ||
|
11/15/18 |
|
3.700% |
|
5,888,000 |
|
6,399,949 |
| ||
|
Duke Realty LP |
|
|
|
|
|
|
| ||
|
02/15/15 |
|
7.375% |
|
5,840,000 |
|
6,512,914 |
| ||
|
Kimco Realty Corp. |
|
|
|
|
|
|
| ||
|
02/01/18 |
|
4.300% |
|
6,000,000 |
|
6,597,294 |
| ||
|
Simon Property Group LP |
|
|
|
|
|
|
| ||
|
03/01/17 |
|
5.875% |
|
8,500,000 |
|
10,063,957 |
| ||
|
Total |
|
|
|
|
|
29,574,114 |
| ||
|
Supermarkets 0.2% |
|
|
|
|
|
|
| ||
|
Safeway, Inc. |
|
|
|
|
|
|
| ||
|
08/15/17 |
|
6.350% |
|
6,285,000 |
|
7,137,981 |
| ||
|
Technology 1.4% |
|
|
|
|
|
|
| ||
|
Cisco Systems, Inc. |
|
|
|
|
|
|
| ||
|
03/14/14 |
|
0.560% |
|
6,600,000 |
|
6,617,978 |
| ||
|
Hewlett-Packard Co. |
|
|
|
|
|
|
| ||
|
05/30/14 |
|
0.711% |
|
11,775,000 |
|
11,540,972 |
| ||
|
International Business Machines Corp. |
|
|
|
|
| ||||
|
07/22/16 |
|
1.950% |
|
10,860,000 |
|
11,286,483 |
| ||
|
Oracle Corp. |
|
|
|
|
|
|
| ||
|
07/08/14 |
|
3.750% |
|
8,924,000 |
|
9,369,058 |
| ||
|
Total |
|
|
|
|
|
38,814,491 |
| ||
|
Issuer |
|
Coupon |
|
Principal |
|
Value |
| ||
|
|
|
|
|
|
|
|
| ||
|
Corporate Bonds & Notes (continued) |
| ||||||||
|
Transportation Services 0.3% |
|
|
|
|
|
|
| ||
|
ERAC U.S.A. Finance LLC (b) |
|
|
|
|
|
|
| ||
|
05/01/15 |
|
5.600% |
|
$ |
8,450,000 |
|
$ |
9,249,429 |
|
|
Wireless 0.3% |
|
|
|
|
|
|
| ||
|
America Movil SAB de CV |
|
|
|
|
|
|
| ||
|
03/01/14 |
|
5.500% |
|
7,670,000 |
|
8,085,622 |
| ||
|
Wirelines 2.4% |
|
|
|
|
|
|
| ||
|
CenturyLink, Inc. |
|
|
|
|
|
|
| ||
|
06/15/17 |
|
5.150% |
|
7,500,000 |
|
8,080,695 |
| ||
|
Deutsche Telekom International Finance BV (b) |
|
|
| ||||||
|
04/11/16 |
|
3.125% |
|
8,150,000 |
|
8,620,581 |
| ||
|
France Telecom SA |
|
|
|
|
|
|
| ||
|
Senior Unsecured |
|
|
|
|
|
|
| ||
|
09/16/15 |
|
2.125% |
|
2,315,000 |
|
2,381,068 |
| ||
|
09/14/16 |
|
2.750% |
|
5,335,000 |
|
5,600,267 |
| ||
|
Southwestern Bell Telephone LP |
|
|
|
|
| ||||
|
07/01/15 |
|
7.000% |
|
10,200,000 |
|
11,717,383 |
| ||
|
Telecom Italia Capital SA |
|
|
|
|
|
|
| ||
|
10/01/15 |
|
5.250% |
|
8,285,000 |
|
8,815,240 |
| ||
|
Telefonica Emisiones SAU |
|
|
|
|
|
|
| ||
|
01/15/15 |
|
4.949% |
|
10,435,000 |
|
10,930,662 |
| ||
|
Verizon Communications, Inc. |
|
|
|
|
|
|
| ||
|
11/02/15 |
|
0.700% |
|
11,200,000 |
|
11,201,655 |
| ||
|
Total |
|
|
|
|
|
67,347,551 |
| ||
|
Total Corporate Bonds & Notes |
|
$ |
796,860,359 |
| |||||
|
|
| ||||||||
|
Residential Mortgage-Backed Securities - Agency 11.1% |
| ||||||||
|
FDIC Structured Sale Guaranteed Notes |
|
|
| ||||||
|
02/25/48 |
|
0.759% |
|
9,432,398 |
|
9,451,272 |
| ||
|
Federal Home Loan Mortgage Corp. (a)(c) |
|
|
|
|
| ||||
|
03/01/34 |
|
2.359% |
|
558,675 |
|
590,375 |
| ||
|
01/01/37 |
|
2.536% |
|
612,195 |
|
652,559 |
| ||
|
04/01/35 |
|
2.556% |
|
358,594 |
|
377,740 |
| ||
|
08/01/36 |
|
2.793% |
|
232,112 |
|
247,641 |
| ||
|
01/01/36 |
|
2.833% |
|
943,507 |
|
995,965 |
| ||
|
09/01/37 |
|
3.006% |
|
599,295 |
|
627,503 |
| ||
|
07/01/36 |
|
5.860% |
|
19,086 |
|
20,543 |
| ||
|
12/01/36 |
|
6.053% |
|
373,165 |
|
404,366 |
| ||
|
Federal Home Loan Mortgage Corp. (a)(c)(d) |
|
|
| ||||||
|
CMO IO Series 3630 Class AI |
|
|
|
|
| ||||
|
03/15/17 |
|
1.931% |
|
3,831,599 |
|
143,286 |
| ||
|
Federal Home Loan Mortgage Corp. (c) |
|
|
|
|
| ||||
|
11/01/25- 03/01/27 |
|
3.000% |
|
4,323,144 |
|
4,544,538 |
| ||
|
Issuer |
|
Coupon |
|
Principal |
|
Value |
| ||
|
|
|
|
|
|
|
|
| ||
|
Residential Mortgage-Backed Securities - Agency (continued) |
| ||||||||
|
04/01/21- 10/01/27 |
|
3.500% |
|
$ |
61,419,723 |
|
$ |
64,534,000 |
|
|
05/01/24- 07/01/25 |
|
4.000% |
|
11,837,206 |
|
12,516,673 |
| ||
|
02/01/13- 05/01/25 |
|
4.500% |
|
8,693,493 |
|
9,244,367 |
| ||
|
11/01/17- 07/01/25 |
|
5.000% |
|
18,675,015 |
|
20,055,080 |
| ||
|
05/01/17- 02/01/24 |
|
5.500% |
|
11,265,349 |
|
12,189,911 |
| ||
|
03/01/17- 10/01/21 |
|
6.000% |
|
1,299,257 |
|
1,430,627 |
| ||
|
04/01/17 |
|
6.500% |
|
3,224,139 |
|
3,492,058 |
| ||
|
09/01/15 |
|
7.500% |
|
10,703 |
|
11,065 |
| ||
|
CMO Series 2467 Class NB |
|
|
|
|
|
|
| ||
|
07/15/17 |
|
5.000% |
|
2,998,649 |
|
3,184,106 |
| ||
|
CMO Series 2535 Class TE |
|
|
|
|
|
|
| ||
|
12/15/31 |
|
5.500% |
|
207,710 |
|
208,274 |
| ||
|
CMO Series 2899 Class KC |
|
|
|
|
|
|
| ||
|
03/15/19 |
|
4.500% |
|
2,225,864 |
|
2,272,264 |
| ||
|
CMO Series 3414 Class A |
|
|
|
|
|
|
| ||
|
07/15/22 |
|
4.500% |
|
4,329,465 |
|
4,487,954 |
| ||
|
CMO Series 3455 Class KA |
|
|
|
|
|
|
| ||
|
10/15/34 |
|
5.000% |
|
145,828 |
|
146,108 |
| ||
|
CMO Series 3531 Class CE |
|
|
|
|
|
|
| ||
|
01/15/39 |
|
3.000% |
|
1,205,836 |
|
1,254,741 |
| ||
|
CMO Series 3556 Class MA |
|
|
|
|
|
|
| ||
|
07/15/37 |
|
5.000% |
|
4,234,557 |
|
4,433,657 |
| ||
|
CMO Series 3561 Class AJ |
|
|
|
|
|
|
| ||
|
08/15/19 |
|
3.100% |
|
1,349,614 |
|
1,367,066 |
| ||
|
CMO Series 3565 Class KA |
|
|
|
|
|
|
| ||
|
12/15/35 |
|
5.000% |
|
1,483,855 |
|
1,496,746 |
| ||
|
CMO Series 3832 Class AC |
|
|
|
|
|
|
| ||
|
10/15/18 |
|
3.000% |
|
8,607,917 |
|
8,930,722 |
| ||
|
CMO Series 3862 Class LA |
|
|
|
|
|
|
| ||
|
11/15/18 |
|
2.500% |
|
2,708,334 |
|
2,784,113 |
| ||
|
CMO Series R010 Class AB |
|
|
|
|
|
|
| ||
|
12/15/19 |
|
5.500% |
|
506,240 |
|
507,844 |
| ||
|
Federal Home Loan Mortgage Corp. (c)(d) |
|
|
| ||||||
|
CMO IO Series 11 Class B |
|
|
|
|
|
|
| ||
|
01/01/20 |
|
10.000% |
|
3,322 |
|
782 |
| ||
|
Federal Home Loan Mortgage Corp. (c)(e) |
|
|
| ||||||
|
01/01/28 |
|
3.000% |
|
44,886,000 |
|
47,130,300 |
| ||
|
Federal National Mortgage Association (a)(c) |
|
|
| ||||||
|
06/01/37 |
|
1.495% |
|
1,110,877 |
|
1,148,274 |
| ||
|
06/01/33 |
|
1.796% |
|
1,003,083 |
|
1,043,457 |
| ||
|
04/01/36 |
|
2.162% |
|
1,399,364 |
|
1,489,724 |
| ||
|
04/01/36 |
|
2.300% |
|
287,486 |
|
304,729 |
| ||
|
01/01/35 |
|
2.307% |
|
646,449 |
|
685,049 |
| ||
|
11/01/34 |
|
2.336% |
|
353,582 |
|
374,527 |
| ||
|
08/01/35 |
|
2.347% |
|
652,188 |
|
695,062 |
| ||
|
10/01/35 |
|
2.406% |
|
466,599 |
|
497,426 |
| ||
|
04/01/34 |
|
2.592% |
|
736,128 |
|
783,027 |
| ||
|
07/01/34 |
|
2.628% |
|
939,426 |
|
998,502 |
| ||
|
06/01/34 |
|
2.750% |
|
677,716 |
|
719,661 |
| ||
|
03/01/34 |
|
2.752% |
|
909,556 |
|
963,665 |
| ||
|
06/01/35 |
|
2.799% |
|
870,510 |
|
927,693 |
| ||
|
09/01/37 |
|
2.893% |
|
266,537 |
|
285,110 |
| ||
|
Issuer |
|
Coupon |
|
Principal |
|
Value |
| ||
|
|
|
|
|
|
|
|
| ||
|
Residential Mortgage-Backed Securities - Agency (continued) |
| ||||||||
|
07/01/35 |
|
2.988% |
|
$ |
741,128 |
|
$ |
792,951 |
|
|
08/01/36 |
|
3.020% |
|
204,326 |
|
218,274 |
| ||
|
07/01/33 |
|
4.960% |
|
1,519,113 |
|
1,615,418 |
| ||
|
04/01/36 |
|
5.365% |
|
183,920 |
|
197,022 |
| ||
|
07/01/36 |
|
5.667% |
|
8,475 |
|
9,155 |
| ||
|
09/01/37 |
|
6.144% |
|
274,465 |
|
298,217 |
| ||
|
CMO Series 2003-W11 Class A1 |
|
|
|
|
| ||||
|
06/25/33 |
|
3.316% |
|
58,064 |
|
58,061 |
| ||
|
Federal National Mortgage Association (c) |
|
|
|
|
| ||||
|
10/01/20 |
|
3.500% |
|
944,543 |
|
1,001,732 |
| ||
|
03/01/20 |
|
4.000% |
|
1,747,990 |
|
1,872,298 |
| ||
|
10/01/13-11/01/17 |
|
4.500% |
|
649,241 |
|
690,895 |
| ||
|
08/01/13-03/01/25 |
|
5.000% |
|
11,794,101 |
|
12,773,949 |
| ||
|
08/01/17-01/01/25 |
|
5.500% |
|
39,398,049 |
|
42,631,378 |
| ||
|
06/01/17-11/01/17 |
|
6.000% |
|
6,974,134 |
|
7,491,020 |
| ||
|
08/01/14 |
|
6.500% |
|
62,170 |
|
64,356 |
| ||
|
06/01/17-08/01/17 |
|
7.000% |
|
281,842 |
|
305,555 |
| ||
|
08/01/15 |
|
7.500% |
|
9,094 |
|
9,638 |
| ||
|
CMO Series 2002-95 Class EB |
|
|
|
|
| ||||
|
04/25/31 |
|
5.000% |
|
40,050 |
|
40,024 |
| ||
|
CMO Series 2004-60 Class PA |
|
|
|
|
| ||||
|
04/25/34 |
|
5.500% |
|
1,311,814 |
|
1,411,033 |
| ||
|
CMO Series 2006-22 Class CB |
|
|
|
|
| ||||
|
11/25/21 |
|
4.500% |
|
574,808 |
|
582,590 |
| ||
|
CMO Series 2008-18 Class HD |
|
|
|
|
| ||||
|
12/25/18 |
|
4.000% |
|
2,980,801 |
|
3,139,058 |
| ||
|
CMO Series 2009-70 Class NL |
|
|
|
|
| ||||
|
08/25/19 |
|
3.000% |
|
542,820 |
|
563,213 |
| ||
|
CMO Series 2011-3 Class EK |
|
|
|
|
| ||||
|
05/25/20 |
|
2.750% |
|
900,277 |
|
931,430 |
| ||
|
Federal National Mortgage Association (c)(d) |
|
|
| ||||||
|
CMO IO STRIPS Series 163 Class 2 |
|
|
|
|
| ||||
|
07/25/22 |
|
8.500% |
|
174,687 |
|
22,216 |
| ||
|
CMO IO STRIPS Series 36 Class 2 |
|
|
|
|
| ||||
|
08/01/18 |
|
9.500% |
|
1,853 |
|
319 |
| ||
|
Federal National Mortgage Association (c)(f) |
|
|
| ||||||
|
CMO PO Series G-15 Class A |
|
|
|
|
| ||||
|
06/25/21 |
|
0.000% |
|
10,905 |
|
10,637 |
| ||
|
CMO PO Series 1993-92 Class C |
|
|
|
|
| ||||
|
05/25/23 |
|
0.000% |
|
482,867 |
|
443,570 |
| ||
|
Government National Mortgage Association (a)(c) |
|
|
| ||||||
|
03/20/30 |
|
1.625% |
|
40,498 |
|
42,071 |
| ||
|
04/20/22-06/20/29 |
|
1.750% |
|
1,055,410 |
|
1,104,865 |
| ||
|
07/20/18 |
|
3.000% |
|
121,586 |
|
126,818 |
| ||
|
Government National Mortgage Association (c) |
|
|
| ||||||
|
08/15/13-09/20/21 |
|
6.000% |
|
510,212 |
|
542,675 |
| ||
|
09/15/13-11/15/33 |
|
6.500% |
|
195,561 |
|
230,045 |
| ||
|
11/15/13-08/15/29 |
|
7.000% |
|
34,514 |
|
40,849 |
| ||
|
CMO Series 2009-33 Class NK |
|
|
|
|
| ||||
|
Issuer |
|
Coupon |
|
Principal |
|
Value |
| ||
|
|
|
|
|
|
|
|
| ||
|
Residential Mortgage-Backed Securities - Agency (continued) |
| ||||||||
|
05/20/39 |
|
4.500% |
|
$ |
2,382,565 |
|
$ |
2,568,497 |
|
|
Total Residential Mortgage-Backed Securities - Agency |
|
$ |
312,479,981 |
| |||||
|
|
|
|
|
|
|
|
| ||
|
Residential Mortgage-Backed Securities - Non-Agency 2.5% |
| ||||||||
|
BCAP LLC Trust (a)(b)(c) |
|
|
|
|
|
|
| ||
|
CMO Series 2010-RR2 Class 5A1 |
|
|
|
|
| ||||
|
12/26/36 |
|
5.000% |
|
7,800,221 |
|
7,973,645 |
| ||
|
CMO Series 2010-RR4 Class 32A1 |
|
|
|
|
| ||||
|
01/26/37 |
|
4.000% |
|
6,593,170 |
|
6,635,975 |
| ||
|
CMO Series 2010-RR6 Class 6A1 |
|
|
|
|
| ||||
|
07/26/37 |
|
4.000% |
|
215,553 |
|
216,284 |
| ||
|
Banc of America Funding Corp. |
|
|
| ||||||
|
06/26/37 |
|
0.420% |
|
276,545 |
|
273,359 |
| ||
|
Bayview Opportunity Master Fund Trust IIB LP |
|
|
| ||||||
|
07/28/32 |
|
3.475% |
|
3,475,408 |
|
3,520,885 |
| ||
|
Countrywide Alternative Loan Trust |
|
|
| ||||||
|
03/25/34 |
|
0.610% |
|
66,969 |
|
65,153 |
| ||
|
Credit Suisse Mortgage Capital Certificates (a)(b)(c) |
|
|
| ||||||
|
CMO Series 2009-12R Class 25A1 |
|
|
|
|
| ||||
|
10/27/37 |
|
2.957% |
|
2,586,616 |
|
2,592,580 |
| ||
|
CMO Series 2009-12R Class 27A1 |
|
|
|
|
| ||||
|
04/27/36 |
|
2.738% |
|
640,163 |
|
640,070 |
| ||
|
CMO Series 2009-12R Class 30A1 |
|
|
|
|
| ||||
|
12/27/36 |
|
5.508% |
|
6,663 |
|
6,654 |
| ||
|
CMO Series 2010-12R Class 12A1 |
|
|
|
|
| ||||
|
05/26/37 |
|
4.000% |
|
751,985 |
|
757,735 |
| ||
|
Credit Suisse Mortgage Capital Certificates (b)(c) |
|
|
| ||||||
|
CMO Series 2009-12R Class 14A1 |
|
|
|
|
| ||||
|
11/27/35 |
|
5.500% |
|
927,704 |
|
946,581 |
| ||
|
JPMorgan Resecuritization Trust |
|
|
| ||||||
|
03/21/37 |
|
2.724% |
|
2,127,797 |
|
2,104,353 |
| ||
|
RAMP Trust |
|
|
|
|
| ||||
|
02/25/35 |
|
0.660% |
|
6,650,556 |
|
6,426,718 |
| ||
|
RBSSP Resecuritization Trust |
|
|
|
|
| ||||
|
05/26/47 |
|
0.340% |
|
5,893,853 |
|
5,836,757 |
| ||
|
Springleaf Mortgage Loan Trust (a)(b)(c) |
|
|
|
|
| ||||
|
CMO Series 2012-1A Class A |
|
|
|
|
| ||||
|
09/25/57 |
|
2.667% |
|
7,283,642 |
|
7,352,875 |
| ||
|
CMO Series 2012-2A Class A |
|
|
|
|
| ||||
|
10/25/57 |
|
2.220% |
|
4,034,886 |
|
4,055,560 |
| ||
|
CMO Series 2012-3A Class A |
|
|
|
|
| ||||
|
12/25/59 |
|
1.570% |
|
15,245,137 |
|
15,335,012 |
| ||
|
Structured Asset Securities Corp. (c) |
|
|
|
|
| ||||
|
CMO Series 2003-14 Class 1A3 |
|
|
|
|
| ||||
|
05/25/33 |
|
5.500% |
|
61,877 |
|
63,900 |
| ||
|
Issuer |
|
Coupon |
|
Principal |
|
Value |
| ||
|
|
|
|
|
|
|
|
| ||
|
Residential Mortgage-Backed Securities - Non-Agency (continued) |
| ||||||||
|
CMO Series 2003-8 Class 2A7 |
|
|
|
|
| ||||
|
04/25/33 |
|
5.750% |
|
$ |
361,203 |
|
$ |
370,486 |
|
|
Wells Fargo Mortgage Loan Trust |
|
|
| ||||||
|
12/27/46 |
|
5.098% |
|
4,138,388 |
|
4,190,775 |
| ||
|
Total Residential Mortgage-Backed Securities - Non-Agency |
|
$ |
69,365,357 |
| |||||
|
|
|
|
|
|
|
|
| ||
|
Commercial Mortgage-Backed Securities - Agency 9.2% |
| ||||||||
|
Federal Home Loan Mortgage Corp. (a)(c) |
|
|
|
|
| ||||
|
Multifamily Structured Pass-Through Certificates |
|
|
| ||||||
|
CMO Series K001 Class A2 |
|
|
|
|
| ||||
|
04/25/16 |
|
5.651% |
|
2,835,773 |
|
3,164,615 |
| ||
|
Federal Home Loan Mortgage Corp. (c) |
|
|
|
|
| ||||
|
Multifamily Structured Pass-Through Certificates |
|
|
| ||||||
|
CMO Series K003 Class A1 |
|
|
|
|
| ||||
|
07/25/13 |
|
2.225% |
|
1,058,893 |
|
1,062,774 |
| ||
|
Federal National Mortgage Association |
|
|
| ||||||
|
06/25/20 |
|
2.520% |
|
2,265,552 |
|
2,375,596 |
| ||
|
Government National Mortgage Association (a)(c) |
|
|
| ||||||
|
Series 2007-77 Class C |
|
|
|
|
|
|
| ||
|
02/16/36 |
|
4.260% |
|
8,585,000 |
|
8,765,929 |
| ||
|
Government National Mortgage Association (c) |
|
|
| ||||||
|
CMO Series 2009-114 Class A |
|
|
|
|
| ||||
|
12/16/38 |
|
3.103% |
|
3,862,862 |
|
3,981,229 |
| ||
|
CMO Series 2009-63 Class A |
|
|
|
|
| ||||
|
01/16/38 |
|
3.400% |
|
2,685,727 |
|
2,782,110 |
| ||
|
CMO Series 2009-71 Class A |
|
|
|
|
| ||||
|
04/16/38 |
|
3.304% |
|
8,261,446 |
|
8,528,232 |
| ||
|
CMO Series 2009-90 Class AC |
|
|
|
|
| ||||
|
01/16/33 |
|
3.137% |
|
1,178,987 |
|
1,185,025 |
| ||
|
CMO Series 2010-102 Class AE |
|
|
|
|
| ||||
|
11/16/39 |
|
3.500% |
|
15,622,188 |
|
16,326,281 |
| ||
|
CMO Series 2010-13 Class A |
|
|
|
|
| ||||
|
08/16/22 |
|
2.461% |
|
3,101,318 |
|
3,119,231 |
| ||
|
CMO Series 2010-141 Class A |
|
|
|
|
| ||||
|
08/16/31 |
|
1.864% |
|
4,403,932 |
|
4,459,730 |
| ||
|
CMO Series 2010-159 Class A |
|
|
|
|
| ||||
|
01/16/33 |
|
2.159% |
|
5,483,795 |
|
5,579,839 |
| ||
|
CMO Series 2010-18 Class A |
|
|
|
|
| ||||
|
12/16/50 |
|
3.100% |
|
4,008,551 |
|
4,185,492 |
| ||
|
CMO Series 2010-22 Class AC |
|
|
|
|
| ||||
|
12/16/30 |
|
2.229% |
|
1,391,454 |
|
1,400,889 |
| ||
|
CMO Series 2010-49 Class A |
|
|
|
|
| ||||
|
03/16/51 |
|
2.870% |
|
827,277 |
|
846,326 |
| ||
|
CMO Series 2010-83 Class A |
|
|
|
|
| ||||
|
10/16/50 |
|
2.021% |
|
2,840,535 |
|
2,866,409 |
| ||
|
CMO Series 2011-1 Class A |
|
|
|
|
| ||||
|
12/16/31 |
|
2.239% |
|
5,190,013 |
|
5,280,796 |
| ||
|
CMO Series 2011-120 Class AB |
|
|
|
|
| ||||
|
08/16/33 |
|
2.400% |
|
12,666,405 |
|
12,987,752 |
| ||
|
CMO Series 2011-144 Class AB |
|
|
|
|
| ||||
|
Issuer |
|
Coupon |
|
Principal |
|
Value |
| ||
|
|
|
|
|
|
|
|
| ||
|
Commercial Mortgage-Backed Securities - Agency (continued) |
| ||||||||
|
07/16/35 |
|
2.012% |
|
$ |
5,048,051 |
|
$ |
5,156,413 |
|
|
CMO Series 2011-149 Class A |
|
|
|
|
| ||||
|
10/16/46 |
|
3.000% |
|
4,552,944 |
|
4,810,731 |
| ||
|
CMO Series 2011-16 Class A |
|
|
|
|
| ||||
|
11/16/34 |
|
2.210% |
|
8,067,305 |
|
8,210,841 |
| ||
|
CMO Series 2011-20 Class A |
|
|
|
|
| ||||
|
04/16/32 |
|
1.883% |
|
6,360,413 |
|
6,446,015 |
| ||
|
CMO Series 2011-31 Class A |
|
|
|
|
| ||||
|
12/16/35 |
|
2.210% |
|
5,682,778 |
|
5,802,855 |
| ||
|
CMO Series 2011-49 Class A |
|
|
|
|
| ||||
|
07/16/38 |
|
2.450% |
|
20,858,606 |
|
21,496,316 |
| ||
|
CMO Series 2011-78 Class A |
|
|
|
|
| ||||
|
08/16/34 |
|
2.250% |
|
10,555,495 |
|
10,759,574 |
| ||
|
CMO Series 2012-1 Class AB |
|
|
|
|
| ||||
|
09/16/33 |
|
1.999% |
|
9,593,436 |
|
9,795,983 |
| ||
|
CMO Series 2012-142 Class A |
|
|
|
|
| ||||
|
05/16/37 |
|
1.105% |
|
8,694,751 |
|
8,761,744 |
| ||
|
CMO Series 2012-22 Class AB |
|
|
|
|
| ||||
|
03/16/33 |
|
1.661% |
|
5,666,543 |
|
5,750,624 |
| ||
|
CMO Series 2012-4 Class A |
|
|
|
|
| ||||
|
05/16/40 |
|
2.120% |
|
20,164,437 |
|
20,834,643 |
| ||
|
CMO Series 2012-55 Class A |
|
|
|
|
| ||||
|
08/16/33 |
|
1.704% |
|
11,334,556 |
|
11,512,934 |
| ||
|
CMO Series 2012-58 Class A |
|
|
|
|
| ||||
|
01/16/40 |
|
2.500% |
|
16,683,671 |
|
17,313,096 |
| ||
|
CMO Series 2012-79 Class A |
|
|
|
|
| ||||
|
04/16/39 |
|
1.800% |
|
13,673,008 |
|
13,974,470 |
| ||
|
CMO Series 2012-89 Class A |
|
|
|
|
| ||||
|
01/16/36 |
|
1.537% |
|
1,798,690 |
|
1,825,742 |
| ||
|
CMO Series 2012-9 Class A |
|
|
|
|
| ||||
|
05/16/39 |
|
3.220% |
|
2,451,859 |
|
2,578,167 |
| ||
|
Series 2011-161 Class A |
|
|
|
|
|
|
| ||
|
01/16/34 |
|
1.738% |
|
12,603,549 |
|
12,825,510 |
| ||
|
Total Commercial Mortgage-Backed Securities - Agency |
|
$ |
256,753,913 |
| |||||
|
|
|
|
|
|
|
|
| ||
|
Commercial Mortgage-Backed Securities - Non-Agency 6.5% |
| ||||||||
|
Bear Stearns Commercial Mortgage Securities |
|
|
| ||||||
|
10/12/42 |
|
5.133% |
|
8,580,456 |
|
8,900,284 |
| ||
|
Citigroup Commercial Mortgage Trust (a)(c) |
|
|
|
|
| ||||
|
Series 2004-C1 Class A3 |
|
|
|
|
|
|
| ||
|
04/15/40 |
|
5.251% |
|
2,429,033 |
|
2,454,108 |
| ||
|
Citigroup Commercial Mortgage Trust (c) |
|
|
|
|
| ||||
|
Series 2005-C3 Class ASB |
|
|
|
|
|
|
| ||
|
05/15/43 |
|
4.755% |
|
5,023,587 |
|
5,187,286 |
| ||
|
Citigroup/Deutsche Bank Commercial Mortgage Trust |
|
|
| ||||||
|
07/15/44 |
|
5.219% |
|
6,385,000 |
|
7,085,843 |
| ||
|
Credit Suisse First Boston Mortgage Securities Corp. (a)(c) |
|
|
| ||||||
|
Series 2004-C1 Class A4 |
|
|
|
|
|
|
| ||
|
01/15/37 |
|
4.750% |
|
6,817,580 |
|
7,033,390 |
| ||
|
Series 2005-C5 Class AAB |
|
|
|
|
|
|
| ||
|
08/15/38 |
|
5.100% |
|
3,198,546 |
|
3,275,413 |
| ||
|
Issuer |
|
Coupon |
|
Principal |
|
Value |
| ||
|
|
|
|
|
|
|
|
| ||
|
Commercial Mortgage-Backed Securities - Non-Agency (continued) |
| ||||||||
|
Credit Suisse First Boston Mortgage Securities Corp. (c) |
|
|
| ||||||
|
Series 2005-C2 Class AAB |
|
|
|
|
|
|
| ||
|
04/15/37 |
|
4.681% |
|
$ |
5,261,339 |
|
$ |
5,395,130 |
|
|
DBRR Trust (b)(c) |
|
|
|
|
|
|
| ||
|
Series 2012-EZ1 Class A |
|
|
|
|
|
|
| ||
|
09/25/45 |
|
0.946% |
|
13,681,442 |
|
13,713,111 |
| ||
|
09/25/45 |
|
1.393% |
|
3,405,000 |
|
3,405,822 |
| ||
|
09/25/45 |
|
2.062% |
|
15,055,205 |
|
15,052,555 |
| ||
|
GE Capital Commercial Mortgage Corp. |
|
|
|
|
| ||||
|
06/10/48 |
|
4.599% |
|
1,192,660 |
|
1,222,643 |
| ||
|
GMAC Commercial Mortgage Securities, Inc. (c) |
|
|
| ||||||
|
Series 2003-C1 Class A2 |
|
|
|
|
|
|
| ||
|
05/10/36 |
|
4.079% |
|
2,383,858 |
|
2,390,988 |
| ||
|
Series 2004-C1 Class A4 |
|
|
|
|
|
|
| ||
|
03/10/38 |
|
4.908% |
|
8,095,000 |
|
8,418,501 |
| ||
|
GS Mortgage Securities Corp. II (b)(c) |
|
|
| ||||||
|
Series 2011-ALF Class A |
|
|
|
|
|
|
| ||
|
02/10/21 |
|
2.716% |
|
6,088,126 |
|
6,186,145 |
| ||
|
Series 2011-GC3 Class A1 |
|
|
|
|
|
|
| ||
|
03/10/44 |
|
2.331% |
|
11,142,610 |
|
11,418,451 |
| ||
|
Greenwich Capital Commercial Funding Corp. |
|
|
| ||||||
|
08/10/42 |
|
4.619% |
|
7,797,996 |
|
7,949,449 |
| ||
|
JP Morgan Chase Commercial Mortgage Securities Corp. |
|
|
| ||||||
|
11/15/28 |
|
2.109% |
|
13,455,059 |
|
13,581,779 |
| ||
|
JPMorgan Chase Commercial Mortgage Securities Corp. (a)(c) |
| ||||||||
|
Series 2005-CB11 Class ASB |
|
|
|
|
|
|
| ||
|
08/12/37 |
|
5.201% |
|
5,846,403 |
|
6,043,567 |
| ||
|
Series 2005-LDP4 Class A4 |
|
|
|
|
|
|
| ||
|
10/15/42 |
|
4.918% |
|
11,580,000 |
|
12,572,788 |
| ||
|
Series 2006-CB14 Class ASB |
|
|
|
|
|
|
| ||
|
12/12/44 |
|
5.506% |
|
5,212,178 |
|
5,520,750 |
| ||
|
Series 2006-LDP7 Class ASB |
|
|
|
|
|
|
| ||
|
04/15/45 |
|
5.871% |
|
1,789,518 |
|
1,907,495 |
| ||
|
JPMorgan Chase Commercial Mortgage Securities Corp. (c) |
|
|
| ||||||
|
Series 2005-LDP2 Class ASB |
|
|
|
|
|
|
| ||
|
07/15/42 |
|
4.659% |
|
5,475,252 |
|
5,671,524 |
| ||
|
LB-UBS Commercial Mortgage Trust (c) |
|
|
| ||||||
|
Series 2005-C2 Class AAB |
|
|
|
|
|
|
| ||
|
04/15/30 |
|
5.007% |
|
992,590 |
|
1,014,433 |
| ||
|
Series 2007-C1 Class AAB |
|
|
|
|
|
|
| ||
|
02/15/40 |
|
5.403% |
|
4,513,539 |
|
4,747,025 |
| ||
|
Motel 6 Trust |
|
| |||||||
|
10/05/25 |
|
1.500% |
|
2,760,000 |
|
2,760,922 |
| ||
|
Nationslink Funding Corp. |
|
|
| ||||||
|
01/22/26 |
|
7.104% |
|
4,382,769 |
|
4,608,993 |
| ||
|
ORES NPL LLC |
|
|
| ||||||
|
09/25/44 |
|
4.000% |
|
1,935,666 |
|
1,949,459 |
| ||
|
Issuer |
|
Coupon |
|
Principal |
|
Value |
| ||
|
|
|
|
|
|
|
|
| ||
|
Commercial Mortgage-Backed Securities - Non-Agency (continued) |
| ||||||||
|
S2 Hospitality LLC |
|
|
| ||||||
|
04/15/25 |
|
4.500% |
|
$ |
1,768,039 |
|
$ |
1,770,669 |
|
|
Wachovia Bank Commercial Mortgage Trust (a)(c) |
|
|
| ||||||
|
Series 2004-C12 Class A4 |
|
|
|
|
|
|
| ||
|
07/15/41 |
|
5.307% |
|
10,595,000 |
|
11,156,471 |
| ||
|
Wachovia Bank Commercial Mortgage Trust (c) |
|
|
| ||||||
|
Series 2005-C17 Class APB |
|
|
|
|
|
|
| ||
|
03/15/42 |
|
5.037% |
|
835,821 |
|
845,491 |
| ||
|
Total Commercial Mortgage-Backed Securities - Non-Agency |
|
$ |
183,240,485 |
| |||||
|
|
|
|
|
|
|
|
| ||
|
Asset-Backed Securities - Agency —% |
| ||||||||
|
Small Business Administration Pools (a) |
|
|
|
|
|
|
| ||
|
06/25/22 |
|
0.875% |
|
124,947 |
|
125,903 |
| ||
|
Total Asset-Backed Securities - Agency |
|
$ |
125,903 |
| |||||
|
|
|
|
|
|
|
|
| ||
|
Asset-Backed Securities - Non-Agency 12.9% |
| ||||||||
|
ARI Fleet Lease Trust |
|
|
| ||||||
|
03/15/20 |
|
0.759% |
|
3,535,850 |
|
3,536,437 |
| ||
|
Aames Mortgage Investment Trust |
|
|
|
|
| ||||
|
08/25/35 |
|
0.470% |
|
13,511,781 |
|
13,150,044 |
| ||
|
Access Group, Inc. (a) |
|
|
|
|
|
|
| ||
|
Series 2004A Class A2 |
|
|
|
|
|
|
| ||
|
04/25/29 |
|
0.575% |
|
16,800,380 |
|
16,188,477 |
| ||
|
Series 2007A Class A2 |
|
|
|
|
|
|
| ||
|
08/25/26 |
|
0.442% |
|
6,441,856 |
|
6,116,588 |
| ||
|
Ally Master Owner Trust (a) |
|
|
|
|
|
|
| ||
|
CMO Series 2011-3 Class A1 |
|
|
|
|
| ||||
|
05/15/16 |
|
0.839% |
|
2,035,000 |
|
2,044,218 |
| ||
|
Series 2011-4 Class A1 |
|
|
|
|
|
|
| ||
|
09/15/16 |
|
1.009% |
|
19,690,000 |
|
19,824,679 |
| ||
|
Series 2012-1 Class A1 |
|
|
|
|
|
|
| ||
|
02/15/17 |
|
1.009% |
|
10,000,000 |
|
10,042,612 |
| ||
|
AmeriCredit Automobile Receivables Trust |
|
|
|
|
| ||||
|
04/06/15 |
|
5.213% |
|
907,453 |
|
914,095 |
| ||
|
American Credit Acceptance Receivables Trust (b) |
|
|
| ||||||
|
Series 2012-1 Class A2 |
|
|
|
|
|
|
| ||
|
10/15/15 |
|
3.040% |
|
5,392,272 |
|
5,398,770 |
| ||
|
Series 2012-2 Class A |
|
|
|
|
|
|
| ||
|
07/15/16 |
|
1.890% |
|
6,172,054 |
|
6,217,962 |
| ||
|
Series 2012-3 Class A |
|
|
|
|
|
|
| ||
|
11/15/16 |
|
1.640% |
|
3,200,000 |
|
3,200,385 |
| ||
|
Amresco Residential Securities Mortgage Loan Trust |
|
|
| ||||||
|
07/25/28 |
|
0.690% |
|
14,774 |
|
11,468 |
| ||
|
Issuer |
|
Coupon |
|
Principal |
|
Value |
| ||
|
|
|
|
|
|
|
|
| ||
|
Asset-Backed Securities - Non-Agency (continued) |
| ||||||||
|
Arizona Educational Loan Marketing Corp. |
|
|
| ||||||
|
12/01/23 |
|
0.531% |
|
$ |
7,452,632 |
|
$ |
7,314,162 |
|
|
Avis Budget Rental Car Funding AESOP LLC |
|
|
| ||||||
|
08/20/16 |
|
2.054% |
|
14,200,000 |
|
14,549,042 |
| ||
|
CIT Education Loan Trust |
|
|
|
|
|
|
| ||
|
03/15/22 |
|
0.398% |
|
572,661 |
|
571,835 |
| ||
|
Carrington Mortgage Loan Trust |
|
|
| ||||||
|
05/25/36 |
|
0.310% |
|
212,468 |
|
211,887 |
| ||
|
Chesapeake Funding LLC |
|
|
| ||||||
|
04/07/24 |
|
1.463% |
|
11,360,000 |
|
11,523,732 |
| ||
|
Citigroup Mortgage Loan Trust, Inc. |
|
|
| ||||||
|
12/25/33 |
|
0.620% |
|
4,269,187 |
|
4,236,681 |
| ||
|
Cityscape Home Equity Loan Trust (a)(g)(h)(i) |
|
|
| ||||||
|
Series 1997-C Class A3 |
|
|
|
|
|
|
| ||
|
07/25/28 |
|
7.380% |
|
607,537 |
|
1 |
| ||
|
Cityscape Home Equity Loan Trust (g)(h)(i)(j) |
|
|
| ||||||
|
Series 1997-B Class A7 |
|
|
|
|
|
|
| ||
|
05/25/28 |
|
7.410% |
|
6,833 |
|
— |
| ||
|
Conn Funding II LP |
|
|
| ||||||
|
04/15/16 |
|
4.000% |
|
2,588,228 |
|
2,591,463 |
| ||
|
Countrywide Asset-Backed Certificates (a) |
|
|
| ||||||
|
Series 2004-8 Class M1 |
|
|
|
|
|
|
| ||
|
01/25/35 |
|
0.910% |
|
9,081,429 |
|
8,921,596 |
| ||
|
Series 2005-11 Class 3AV3 |
|
|
|
|
|
|
| ||
|
02/25/36 |
|
0.630% |
|
2,557,847 |
|
2,548,385 |
| ||
|
DT Auto Owner Trust (b) |
|
|
|
|
|
|
| ||
|
Series 2011-2A Class B |
|
|
|
|
|
|
| ||
|
02/16/16 |
|
2.120% |
|
1,888,759 |
|
1,889,159 |
| ||
|
Series 2011-3A Class B |
|
|
|
|
|
|
| ||
|
02/15/17 |
|
3.020% |
|
4,300,000 |
|
4,330,443 |
| ||
|
Series 2012-2A Class A |
|
|
|
|
|
|
| ||
|
11/16/15 |
|
0.910% |
|
728,398 |
|
728,773 |
| ||
|
EFS Volunteer LLC |
|
|
|
|
| ||||
|
10/26/26 |
|
1.165% |
|
9,810,978 |
|
9,792,111 |
| ||
|
Educational Funding of the South, Inc. |
|
|
|
|
| ||||
|
10/25/21 |
|
0.865% |
|
2,233,825 |
|
2,239,902 |
| ||
|
Encore Credit Receivables Trust |
|
|
|
|
| ||||
|
01/25/36 |
|
0.550% |
|
19,062,271 |
|
18,728,548 |
| ||
|
Exeter Automobile Receivables Trust |
|
|
|
|
| ||||
|
06/15/17 |
|
1.300% |
|
7,182,550 |
|
7,197,350 |
| ||
|
First Alliance Mortgage Loan Trust |
|
|
| ||||||
|
06/25/25 |
|
6.680% |
|
29,789 |
|
28,898 |
| ||
|
Issuer |
|
Coupon |
|
Principal |
|
Value |
| ||
|
|
|
|
|
|
|
|
| ||
|
Asset-Backed Securities - Non-Agency (continued) |
| ||||||||
|
First Franklin Mortgage Loan Asset-Backed Certificates |
|
|
| ||||||
|
10/25/35 |
|
0.490% |
|
$ |
5,566,833 |
|
$ |
5,556,690 |
|
|
First Investors Auto Owner Trust (b) |
|
|
|
|
| ||||
|
Series 2011-1 Class A2 |
|
|
|
|
|
|
| ||
|
03/16/15 |
|
1.470% |
|
955,482 |
|
956,291 |
| ||
|
Series 2011-2A Class A2 |
|
|
|
|
|
|
| ||
|
08/15/17 |
|
2.600% |
|
4,685,500 |
|
4,721,254 |
| ||
|
Series 2012-1A Class A2 |
|
|
|
|
|
|
| ||
|
11/15/17 |
|
1.960% |
|
4,296,297 |
|
4,327,392 |
| ||
|
HSBC Home Equity Loan Trust |
|
|
| ||||||
|
03/20/36 |
|
0.361% |
|
13,332,367 |
|
13,144,354 |
| ||
|
IMC Home Equity Loan Trust |
|
|
|
|
|
|
| ||
|
08/20/28 |
|
7.080% |
|
175 |
|
174 |
| ||
|
Keycorp Student Loan Trust (a) |
|
|
|
|
| ||||
|
Series 1999-A Class A2 |
|
|
|
|
|
|
| ||
|
12/27/29 |
|
0.640% |
|
9,641,050 |
|
9,469,584 |
| ||
|
Series 1999-B Class A2 |
|
|
|
|
|
|
| ||
|
08/25/27 |
|
0.742% |
|
3,011,811 |
|
3,004,748 |
| ||
|
Series 2006-A Class 2A2 |
|
|
|
|
|
|
| ||
|
06/27/25 |
|
0.390% |
|
1,804,320 |
|
1,795,334 |
| ||
|
Marriott Vacation Club Owner Trust (b) |
|
|
|
|
| ||||
|
Series 2007-1A Class A |
|
|
|
|
|
|
| ||
|
05/20/29 |
|
5.518% |
|
1,660,555 |
|
1,715,708 |
| ||
|
Series 2009-2A Class A |
|
|
|
|
|
|
| ||
|
07/20/31 |
|
4.809% |
|
3,672,415 |
|
3,824,218 |
| ||
|
Miramax LLC |
|
|
|
|
|
|
| ||
|
10/20/21 |
|
6.250% |
|
4,971,429 |
|
5,229,103 |
| ||
|
Montana Higher Education Student Assistance Corp. |
|
|
| ||||||
|
03/20/24 |
|
0.409% |
|
6,448,485 |
|
6,393,835 |
| ||
|
Panhandle-Plains Higher Education Authority, Inc. |
|
|
| ||||||
|
07/01/21 |
|
0.808% |
|
2,022,731 |
|
2,024,439 |
| ||
|
Park Place Securities, Inc. |
|
|
|
|
| ||||
|
10/25/34 |
|
0.830% |
|
9,745,374 |
|
9,724,899 |
| ||
|
Prestige Auto Receivables Trust |
|
|
|
|
| ||||
|
12/15/15 |
|
1.230% |
|
4,185,323 |
|
4,195,100 |
| ||
|
RAMP Trust |
|
|
|
|
| ||||
|
06/25/32 |
|
5.060% |
|
447,541 |
|
453,849 |
| ||
|
Residential Funding Mortgage Securities II Home Loan Trust |
|
|
| ||||||
|
08/25/33 |
|
0.500% |
|
6,570 |
|
5,539 |
| ||
|
SLM Student Loan Trust (a) |
|
|
|
|
|
|
| ||
|
Series 2003-A Class A2 |
|
|
|
|
|
|
| ||
|
09/15/20 |
|
0.748% |
|
7,743,981 |
|
7,569,926 |
| ||
|
Series 2004B Class A2 |
|
|
|
|
|
|
| ||
|
06/15/21 |
|
0.508% |
|
2,623,216 |
|
2,588,359 |
| ||
|
Issuer |
|
Coupon |
|
Principal |
|
Value |
| ||
|
|
|
|
|
|
|
|
| ||
|
Asset-Backed Securities - Non-Agency (continued) |
| ||||||||
|
Series 2005-A Class A2 |
|
|
|
|
|
|
| ||
|
12/15/20 |
|
0.448% |
|
$ |
6,160,387 |
|
$ |
6,094,656 |
|
|
SLM Student Loan Trust (a)(b) |
|
|
|
|
|
|
| ||
|
Series 2011-A Class A1 |
|
|
|
|
|
|
| ||
|
10/15/24 |
|
1.209% |
|
1,960,407 |
|
1,969,961 |
| ||
|
Series 2012-A Class A1 |
|
|
|
|
|
|
| ||
|
08/15/25 |
|
1.609% |
|
4,054,344 |
|
4,104,507 |
| ||
|
Series 2012-B Class A1 |
|
|
|
|
|
|
| ||
|
12/15/21 |
|
1.309% |
|
5,643,760 |
|
5,677,368 |
| ||
|
SMART Trust (a)(b) |
|
|
|
|
|
|
| ||
|
Series 2011-1USA Class A3B |
|
|
|
|
|
|
| ||
|
10/14/14 |
|
1.059% |
|
7,570,417 |
|
7,587,110 |
| ||
|
Series 2011-2USA Class A3B |
|
|
|
|
|
|
| ||
|
03/14/15 |
|
1.059% |
|
11,000,000 |
|
11,027,005 |
| ||
|
Series 2012-1USA Class A3B |
|
|
|
|
|
|
| ||
|
05/14/16 |
|
1.109% |
|
1,000,000 |
|
1,005,033 |
| ||
|
Series 2012-2USA Class A3B |
|
|
|
|
|
|
| ||
|
10/14/16 |
|
1.159% |
|
3,250,000 |
|
3,273,811 |
| ||
|
SVO VOI Mortgage Corp. |
|
|
| ||||||
|
09/20/29 |
|
2.000% |
|
3,741,163 |
|
3,742,047 |
| ||
|
Santander Drive Auto Receivables Trust |
|
|
| ||||||
|
05/16/16 |
|
2.720% |
|
5,500,000 |
|
5,615,327 |
| ||
|
Sierra Receivables Funding Co. LLC (b) |
|
|
| ||||||
|
Series 2010-2A Class A |
|
|
|
|
|
|
| ||
|
11/20/25 |
|
3.840% |
|
783,943 |
|
801,827 |
| ||
|
Series 2011-1A Class A |
|
|
|
|
|
|
| ||
|
04/20/26 |
|
3.350% |
|
4,648,400 |
|
4,819,461 |
| ||
|
Series 2011-2A Class A |
|
|
|
|
|
|
| ||
|
05/20/28 |
|
3.260% |
|
3,230,368 |
|
3,313,424 |
| ||
|
Series 2011-3A Class A |
|
|
|
|
|
|
| ||
|
07/20/28 |
|
3.370% |
|
4,848,028 |
|
4,929,634 |
| ||
|
Series 2012-1A Class A |
|
|
|
|
|
|
| ||
|
11/20/28 |
|
2.840% |
|
8,896,306 |
|
8,913,953 |
| ||
|
Series 2012-3A Class A |
|
|
|
|
|
|
| ||
|
08/20/29 |
|
1.870% |
|
3,687,617 |
|
3,646,332 |
| ||
|
South Texas Higher Education Authority, Inc. |
|
|
| ||||||
|
10/01/20 |
|
0.808% |
|
6,749,044 |
|
6,690,193 |
| ||
|
Specialty Underwriting & Residential Finance |
|
|
| ||||||
|
06/25/36 |
|
0.660% |
|
2,605,818 |
|
2,586,905 |
| ||
|
Terwin Mortgage Trust |
|
|
| ||||||
|
05/25/38 |
|
0.330% |
|
2,638,304 |
|
2,501,210 |
| ||
|
Westlake Automobile Receivables Trust |
|
|
| ||||||
|
03/15/16 |
|
1.030% |
|
2,350,000 |
|
2,352,128 |
| ||
|
Total Asset-Backed Securities - Non-Agency |
|
$ |
361,402,391 |
| |||||
|
Issuer |
|
Coupon |
|
Principal |
|
Value |
| ||
|
|
|
|
|
|
|
|
| ||
|
Inflation-Indexed Bonds 2.0% |
| ||||||||
|
UNITED STATES 2.0% |
|
|
|
|
|
|
| ||
|
U.S. Treasury Inflation-Indexed Bond |
|
|
| ||||||
|
04/15/14 |
|
1.250% |
|
$ |
54,262,482 |
|
$ |
55,941,254 |
|
|
Total Inflation-Indexed Bonds |
|
|
|
$ |
55,941,254 |
| |||
|
|
|
|
|
|
|
|
| ||
|
U.S. Treasury Obligations 19.5% |
|
|
| ||||||
|
U.S. Treasury |
|
|
|
|
|
|
| ||
|
04/15/14 |
|
1.250% |
|
88,000,000 |
|
89,155,000 |
| ||
|
03/31/15 |
|
2.500% |
|
151,000,000 |
|
158,502,888 |
| ||
|
11/30/15 |
|
1.375% |
|
85,000,000 |
|
87,496,875 |
| ||
|
U.S. Treasury (k) |
|
|
|
|
|
|
| ||
|
03/15/15 |
|
0.375% |
|
209,930,000 |
|
210,356,368 |
| ||
|
Total U.S. Treasury Obligations |
|
|
|
$ |
545,511,131 |
| |||
|
|
|
|
|
|
|
|
| ||
|
U.S. Government & Agency Obligations 3.0% |
| ||||||||
|
Federal Farm Credit Banks (a) |
|
|
|
|
|
|
| ||
|
10/26/15 |
|
0.260% |
|
15,420,000 |
|
15,419,630 |
| ||
|
12/10/15 |
|
0.263% |
|
34,500,000 |
|
34,492,928 |
| ||
|
Federal National Mortgage Association (a) |
|
|
|
|
|
|
| ||
|
03/04/14 |
|
0.286% |
|
33,329,000 |
|
33,344,226 |
| ||
|
Total U.S. Government & Agency Obligations |
|
$ |
83,256,784 |
| |||||
|
|
|
|
|
|
|
|
| ||
|
Foreign Government Obligations 1.0% |
| ||||||||
|
CANADA 0.7% |
|
|
|
|
|
|
| ||
|
Province of Ontario |
|
|
|
|
|
|
| ||
|
05/26/15 |
|
0.950% |
|
18,725,000 |
|
18,965,635 |
| ||
|
|
|
|
|
|
|
|
| ||
|
MEXICO 0.3% |
|
|
|
|
|
|
| ||
|
Petroleos Mexicanos |
|
|
|
|
|
|
| ||
|
03/15/15 |
|
4.875% |
|
8,500,000 |
|
9,158,750 |
| ||
|
|
|
|
|
|
|
|
| ||
|
MOROCCO —% |
|
|
|
|
|
|
| ||
|
Morocco Government AID Bond |
|
|
| ||||||
|
05/01/23 |
|
0.500% |
|
892,500 |
|
847,875 |
| ||
|
Total Foreign Government Obligations |
|
$ |
28,972,260 |
| |||||
|
Issue |
|
Coupon |
|
Principal |
|
Value |
| ||
|
|
|
|
|
|
|
|
| ||
|
Municipal Bonds 0.5% |
| ||||||||
|
State of Illinois |
|
|
| ||||||
|
03/01/15 |
|
4.511% |
|
$ |
14,175,000 |
|
$ |
15,068,734 |
|
|
Total Municipal Bonds |
|
|
|
|
|
$ |
15,068,734 |
| |
|
|
|
|
|
Shares |
|
Value |
| |
|
|
|
|
|
|
|
|
| |
|
Money Market Funds 4.7% |
| |||||||
|
Columbia Short-Term Cash Fund, |
|
131,355,822 |
|
$ |
131,355,822 |
| ||
|
Total Money Market Funds |
|
|
|
|
|
$ |
131,355,822 |
|
|
|
|
|
|
|
|
|
| |
|
Total Investments |
|
|
|
|
|
$ |
2,840,334,374(o) |
|
|
Other Assets & Liabilities, Net |
|
|
|
|
|
(37,678,651) |
| |
|
Net Assets |
|
|
|
|
|
$ |
2,802,655,723 |
|
|
Investments in Derivatives |
|
|
Futures Contracts Outstanding at December 31, 2012 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Number of Contracts |
|
Notional Market |
|
Expiration |
|
Unrealized |
|
Unrealized |
|
|
Contract Description |
|
Long (Short) |
|
Value ($) |
|
Date |
|
Appreciation ($) |
|
Depreciation ($) |
|
|
U.S. Treasury Note, 2-year |
|
1,364 |
|
300,719,375 |
|
March 2013 |
|
82,372 |
|
— |
|
|
U.S. Treasury Note, 5-year |
|
(1,592 |
) |
(198,067,184 |
) |
April 2013 |
|
303,275 |
|
— |
|
|
Total |
|
|
|
|
|
|
|
385,647 |
|
— |
|
|
Notes to Portfolio of Investments |
|
|
(a) |
Variable rate security. |
|
(b) |
Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933. This security may be resold in transactions exempt from registration, normally to qualified institutional buyers. At December 31, 2012, the value of these securities amounted to $440,283,258 or 15.71% of net assets. |
|
(c) |
The maturity dates shown represent the original maturity of the underlying obligation. Actual maturity may vary based upon prepayment activity on these obligations. Unless otherwise noted, the coupon rates presented are fixed rates. |
|
(d) |
Interest Only (IO) security. The actual effective yield of this security is different than the stated coupon rate. |
|
(e) |
Represents a security purchased on a when-issued or delayed delivery basis. |
|
(f) |
Principal Only (PO) security issued with a zero coupon. Income is recognized through the accretion of discount. |
|
(g) |
Represents fair value as determined in good faith under procedures approved by the Board of Trustees. At December 31, 2012, the value of these securities amounted to $847,876, which represents 0.03% of net assets. |
|
(h) |
Identifies issues considered to be illiquid as to their marketability. The aggregate value of such securities at December 31, 2012 was $45,906, representing less than 0.01% of net assets. Information concerning such security holdings at December 31, 2012 is as follows: |
|
Security Description |
|
Acquisition Dates |
|
Cost ($) |
|
|
Amresco Residential Securities Mortgage Loan Trust |
|
|
|
|
|
|
Series 1998-3 Class A7 |
|
|
|
|
|
|
07/25/28 0.690% |
|
12-19-03 |
|
14,671 |
|
|
Cityscape Home Equity Loan Trust |
|
|
|
|
|
|
Series 1997-B Class A7 |
|
|
|
|
|
|
05/25/28 7.410% |
|
06-18-04 - 05-26-11 |
|
6,618 |
|
|
Cityscape Home Equity Loan Trust |
|
|
|
|
|
|
Series 1997-C Class A3 |
|
|
|
|
|
|
07/25/28 7.380% |
|
11-25-03 - 06-29-09 |
|
572,589 |
|
|
First Alliance Mortgage Loan Trust |
|
|
|
|
|
|
Series 1994-2 Class A2 (NPFGC) |
|
|
|
|
|
|
06/25/25 6.680% |
|
06-24-04 |
|
29,817 |
|
|
Residential Funding Mortgage Securities II Home Loan Trust |
|
|
|
|
|
|
Series 2003-HS3 Class A2B (NPFGC) |
|
|
|
|
|
|
08/25/33 0.500% |
|
09-15-03 |
|
6,570 |
|
|
(i) |
Represents securities that have defaulted on payment of interest. The Fund has stopped accruing interest on these securities. At December 31, 2012, the value of these securities amounted to $1, which represents less than 0.01% of net assets. |
|
(j) |
Negligible market value. |
|
(k) |
At December 31, 2012, investments in securities included securities valued at $681,381 that were partially pledged as collateral to cover initial margin deposits on open interest rate futures contracts. |
|
(l) |
The rate shown is the seven-day current annualized yield at December 31, 2012. |
|
(m) |
As defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of its outstanding voting securities, or a company which is under common ownership or control with the Fund. Holdings and transactions in these affiliated companies during the period ended December 31, 2012, are as follows: |
|
Issuer |
|
Beginning |
|
Purchase Cost ($) |
|
Proceeds from |
|
Ending Cost ($) |
|
Dividends or |
|
Value ($) |
|
|
Columbia Short-Term Cash Fund |
|
120,157,982 |
|
1,178,345,751 |
|
(1,167,147,911 |
) |
131,355,822 |
|
137,606 |
|
131,355,822 |
|
|
(n) |
At December 31, 2012, the cost of securities for federal income tax purposes was approximately $2,806,534,000 and the approximate aggregate gross unrealized appreciation and depreciation based on that cost was: |
|
Unrealized Appreciation |
|
$ |
36,939,000 |
|
|
Unrealized Depreciation |
|
(3,139,000 |
) | |
|
Net Unrealized Appreciation |
|
$ |
33,800,000 |
|
|
(o) |
Investments are valued using policies described in the notes to financial statements in the most recent shareholder report. |
|
Abbreviation Legend |
|
|
AID |
Agency for International Development |
|
CMO |
Collateralized Mortgage Obligation |
|
FDIC |
Federal Deposit Insurance Corporation |
|
NPFGC |
National Public Finance Guarantee Corporation |
|
STRIPS |
Separate Trading of Registered Interest and Principal Securities |
|
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 (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 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 December 31, 2012:
|
Description |
|
Level 1 |
|
Level 2 |
|
Level 3 |
|
|
|
|
|
|
Quoted Prices in |
|
Other Significant |
|
Significant |
|
|
|
|
|
|
Active Markets for |
|
Observable |
|
Unobservable |
|
|
|
|
|
|
Identical Assets ($) |
|
Inputs ($) |
|
Inputs ($) |
|
Total ($) |
|
|
Bonds |
|
|
|
|
|
|
|
|
|
|
Corporate Bonds & Notes |
|
— |
|
796,860,359 |
|
— |
|
796,860,359 |
|
|
Residential Mortgage-Backed Securities - Agency |
|
— |
|
312,479,981 |
|
— |
|
312,479,981 |
|
|
Residential Mortgage-Backed Securities - Non-Agency |
|
— |
|
60,007,715 |
|
9,357,642 |
|
69,365,357 |
|
|
Commercial Mortgage-Backed Securities - Agency |
|
— |
|
256,753,913 |
|
— |
|
256,753,913 |
|
|
Commercial Mortgage-Backed Securities - Non-Agency |
|
— |
|
144,882,852 |
|
38,357,633 |
|
183,240,485 |
|
|
Asset-Backed Securities - Agency |
|
— |
|
125,903 |
|
— |
|
125,903 |
|
|
Asset-Backed Securities - Non-Agency |
|
— |
|
358,810,927 |
|
2,591,464 |
|
361,402,391 |
|
|
Inflation-Indexed Bonds |
|
— |
|
55,941,254 |
|
— |
|
55,941,254 |
|
|
U.S. Treasury Obligations |
|
545,511,131 |
|
— |
|
— |
|
545,511,131 |
|
|
U.S. Government & Agency Obligations |
|
— |
|
83,256,784 |
|
— |
|
83,256,784 |
|
|
Foreign Government Obligations |
|
— |
|
28,124,385 |
|
847,875 |
|
28,972,260 |
|
|
Municipal Bonds |
|
— |
|
15,068,734 |
|
— |
|
15,068,734 |
|
|
Total Bonds |
|
545,511,131 |
|
2,112,312,807 |
|
51,154,614 |
|
2,708,978,552 |
|
|
Other |
|
|
|
|
|
|
|
|
|
|
Money Market Funds |
|
131,355,822 |
|
— |
|
— |
|
131,355,822 |
|
|
Total Other |
|
131,355,822 |
|
— |
|
— |
|
131,355,822 |
|
|
Investments in Securities |
|
676,866,953 |
|
2,112,312,807 |
|
51,154,614 |
|
2,840,334,374 |
|
|
Derivatives |
|
|
|
|
|
|
|
|
|
|
Assets |
|
|
|
|
|
|
|
|
|
|
Futures Contracts |
|
385,647 |
|
— |
|
— |
|
385,647 |
|
|
Total |
|
677,252,600 |
|
2,112,312,807 |
|
51,154,614 |
|
2,840,720,021 |
|
See the Portfolio of Investments for all investment classifications not indicated in the table.
The Fund’s assets assigned to the Level 2 input category are generally valued using the market approach, in which a security’s value is determined through reference to prices and information from market transactions for similar or identical assets.
There were no transfers of financial assets between Levels 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.
|
|
|
|
Residential |
|
|
Commercial |
|
|
Commercial |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Mortgage-Backed |
|
|
Mortgage-Backed |
|
|
Mortgage-Backed |
|
|
Asset-Backed |
|
|
Foreign |
|
|
|
|
|
|
|
|
Securities - |
|
|
Securities - |
|
|
Securities - |
|
|
Securities - |
|
|
Government |
|
|
|
|
|
|
|
|
Non-Agency ($) |
|
|
Agency ($) |
|
|
Non-Agency ($) |
|
|
Non-Agency ($) |
|
|
Obligations ($) |
|
|
Total ($) |
|
|
Balance as of March 31, 2012 |
|
— |
|
|
— |
|
|
— |
|
|
5,998,380 |
|
|
928,625 |
|
|
6,927,005 |
| |
|
Accrued discounts/premiums |
|
— |
|
|
— |
|
|
(6,793 |
) |
|
30,795 |
|
|
911 |
|
|
24,913 |
| |
|
Realized gain (loss) |
|
56,352 |
|
|
— |
|
|
— |
|
|
— |
|
|
823 |
|
|
57,175 |
| |
|
Change in unrealized appreciation (depreciation)(a) |
|
106,259 |
|
|
— |
|
|
12,544 |
|
|
(573,892 |
) |
|
2,516 |
|
|
(452,573 |
) | |
|
Sales |
|
(3,342,227 |
) |
|
(1,838,200 |
) |
|
(118,558 |
) |
|
(4,411,772 |
) |
|
(85,000 |
) |
|
(9,795,757 |
) | |
|
Purchases |
|
12,537,258 |
|
|
1,838,200 |
|
|
38,470,440 |
|
|
6,955,838 |
|
|
— |
|
|
59,801,736 |
| |
|
Transfers into Level 3 |
|
— |
|
|
— |
|
|
— |
|
|
590,495 |
|
|
— |
|
|
590,495 |
| |
|
Transfers out of Level 3 |
|
— |
|
|
— |
|
|
— |
|
|
(5,998,380 |
) |
|
— |
|
|
(5,998,380 |
) | |
|
Balance as of December 31, 2012 |
|
9,357,642 |
|
|
— |
|
|
38,357,633 |
|
|
2,591,464 |
|
|
847,875 |
|
|
51,154,614 |
| |
(a) Change in unrealized appreciation (depreciation) relating to securities held at December 31, 2012 was $(452,573) which is comprised of Residential Mortgage-Backed Securities — Non-Agency of $106,259, Commercial Mortgage-Backed Securities — Non-Agency of $12,544, Asset Backed Securities — Non-Agency of $(573,892) and Foreign Government Obligations of $2,516.
The Fund does not hold any significant investments with unobservable inputs which are categorized as Level 3.
The Fund’s assets assigned to the Level 3 category are valued utilizing the valuation technique deemed the most appropriate in the circumstances. Certain residential, commercial 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 not limited to, the distressed nature of the security and observable transactions for similar assets in the market. Significant increases (decreases) to any of these inputs would result in a significantly lower (higher) fair value measurement.
Certain foreign government obligations 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, estimated cash flows of the securities, discount rates observed in the market for similar assets as well as observed yields on securities management deemed comparable. Significant increases (decreases) to any of these inputs would result in a significantly lower (higher) fair value measurement. Generally, a change in observable yields on comparable securities would result in a directionally similar change to discount rates.
Financial assets were transferred from Level 3 to Level 2 as observable market inputs were utilized and management’s determination that there was sufficient, reliable and observable market data to value these assets as of period end, December 31, 2012.
Financial Assets were transferred from Level 2 to Level 3 due to utilizing a single market quotation from a broker dealer. As a result, as of period end, management determined to value the security(s) under consistently applied procedures established by and under the general supervision of the Board of Trustees.
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.
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) During November 2012, the registrant enhanced internal controls over financial reporting relating to the recording of certain last day trades. These controls include (i) additional analysis of last day security purchase prices, (ii) comparisons of cost and market value for last day trades and (iii) analytical review of per share changes resulting from financial statement adjustments.
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 |
|
February 19, 2013 |
| ||||
|
| |||||||
|
| |||||||
|
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 |
|
February 19, 2013 |
| ||||
|
|
|
|
| ||||
|
|
|
|
| ||||
|
By (Signature and Title) |
|
/s/ Michael G. Clarke |
| ||||
|
|
|
Michael G. Clarke, Treasurer and Chief Financial Officer |
| ||||
|
|
|
|
| ||||
|
|
|
|
| ||||
|
Date |
|
February 19, 2013 |
| ||||
Exhibit 99.CERT
I, Michael G. Clarke, certify that:
1. I have reviewed this report on Form N-Q of Columbia Funds Series Trust;
2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;
3. Based on my knowledge, the schedules of investments included in this report fairly present in all material respects the investments of the registrant as of the end of the fiscal quarter for which the report is filed;
4. The registrant’s other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:
(a) designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;
(b) designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;
(c) evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and
(d) disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and
5. The registrant’s other certifying officer(s) and I have disclosed to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):
(a) all significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize, and report financial information; and
(b) any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.
|
Date: February 19, 2013 |
/s/ Michael G. Clarke |
|
|
Michael G. Clarke, Treasurer and Chief Financial Officer |
I, J. Kevin Connaughton, certify that:
1. I have reviewed this report on Form N-Q of Columbia Funds Series Trust;
2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;
3. Based on my knowledge, the schedules of investments included in this report fairly present in all material respects the investments of the registrant as of the end of the fiscal quarter for which the report is filed;
4. The registrant’s other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:
(a) designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;
(b) designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;
(c) evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and
(d) disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and
5. The registrant’s other certifying officer(s) and I have disclosed to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):
(a) all significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize, and report financial information; and
(b) any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.
|
Date: February 19, 2013 |
/s/ J. Kevin Connaughton |
|
|
J. Kevin Connaughton, President and Principal Executive Officer |