N-Q 1 a13-2472_2nq.htm N-Q

 

 

 

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Expires:

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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:

March 31

 

 

Date of reporting period:

December 31, 2012

 

 


 

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
Rate

 

Principal
Amount

 

Value

 

 

 

 

 

 

 

 

 

Corporate Bonds & Notes 28.4%

 

Aerospace & Defense 0.3%

 

 

 

 

 

 

 

L-3 Communications Corp.

 

 

 

 

 

 

 

11/15/16

 

3.950%

 

$

8,000,000

 

$

8,650,128

 

Banking 7.4%

 

 

 

 

 

 

 

BB&T Corp.
Senior Unsecured (a)

 

 

 

 

 

 

 

04/28/14

 

1.013%

 

10,237,000

 

10,301,319

 

BNP Paribas SA
Bank Guaranteed (a)

 

 

 

 

 

 

 

01/10/14

 

1.250%

 

5,690,000

 

5,698,776

 

Bank of Montreal
Senior Unsecured (a)

 

 

 

 

 

 

 

09/11/15

 

0.780%

 

11,055,000

 

11,101,099

 

Bank of New York Mellon Corp. (The)
Senior Unsecured (a)

 

 

 

 

 

10/23/15

 

0.545%

 

14,000,000

 

13,992,230

 

Capital One Financial Corp.
Senior Unsecured (a)

 

 

 

 

 

 

 

11/06/15

 

0.953%

 

10,000,000

 

10,025,250

 

Citigroup, Inc.
Senior Unsecured

 

 

 

 

 

 

 

06/15/16

 

3.953%

 

15,840,000

 

17,049,558

 

Goldman Sachs Group, Inc. (The)
Senior Unsecured (a)

 

 

 

 

 

03/22/16

 

0.760%

 

12,175,000

 

11,817,847

 

HSBC USA, Inc.
Senior Unsecured

 

 

 

 

 

 

 

02/13/15

 

2.375%

 

11,045,000

 

11,361,174

 

ING Bank NV
Senior Unsecured (a)(b)

 

 

 

 

 

 

 

09/25/15

 

1.950%

 

10,600,000

 

10,717,363

 

JPMorgan Chase & Co.
Senior Unsecured

 

 

 

 

 

 

 

07/05/16

 

3.150%

 

15,685,000

 

16,617,473

 

KeyCorp
Senior Unsecured

 

 

 

 

 

 

 

08/13/15

 

3.750%

 

8,000,000

 

8,553,993

 

Lloyds TSB Bank PLC
Bank Guaranteed

 

 

 

 

 

 

 

01/21/16

 

4.875%

 

8,840,000

 

9,749,548

 

Merrill Lynch & Co., Inc.
Senior Unsecured

 

 

 

 

 

 

 

01/15/15

 

5.000%

 

12,900,000

 

13,781,096

 

Morgan Stanley
Senior Unsecured

 

 

 

 

 

 

 

04/29/16

 

3.800%

 

16,000,000

 

16,796,560

 

Toronto-Dominion Bank (The)
Senior Unsecured (a)

 

 

 

 

 

 

 

07/14/14

 

0.640%

 

9,765,000

 

9,798,201

 

 

Issuer

 

Coupon
Rate

 

Principal
Amount

 

Value

 

 

 

 

 

 

 

 

 

Corporate Bonds & Notes (continued)

 

Banking (continued)

 

 

 

 

 

 

 

U.S. Bank
Subordinated Notes (a)

 

 

 

 

 

 

 

04/29/20

 

3.778%

 

$

14,000,000

 

$

14,843,598

 

Wells Fargo & Co.
Senior Unsecured (a)

 

 

 

 

 

 

 

10/28/15

 

0.513%

 

16,470,000

 

16,323,219

 

Total

 

 

 

 

 

208,528,304

 

Chemicals 0.3%

 

 

 

 

 

 

 

Eastman Chemical Co.
Senior Unsecured

 

 

 

 

 

 

 

06/01/17

 

2.400%

 

8,100,000

 

8,369,268

 

Construction Machinery 0.7%

 

 

 

 

 

 

 

Caterpillar Financial Services Corp.
Senior Unsecured

 

 

 

 

 

05/29/15

 

1.100%

 

10,865,000

 

10,955,212

 

John Deere Capital Corp.
Senior Unsecured (a)

 

 

 

 

 

 

 

03/03/14

 

0.531%

 

7,483,000

 

7,493,454

 

Total

 

 

 

 

 

18,448,666

 

Diversified Manufacturing 0.3%

 

 

 

 

 

United Technologies Corp.
Senior Unsecured (a)

 

 

 

 

 

 

 

06/01/15

 

0.811%

 

7,875,000

 

7,952,592

 

Electric 1.3%

 

 

 

 

 

 

 

DTE Energy Co.
Senior Unsecured (a)

 

 

 

 

 

 

 

06/03/13

 

1.011%

 

7,095,000

 

7,110,005

 

Jersey Central Power & Light Co.
Senior Unsecured

 

 

 

 

 

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.
Senior Unsecured

 

 

 

 

 

 

 

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.
Senior Unsecured

 

 

 

 

 

 

 

01/15/15

 

4.750%

 

6,795,000

 

7,192,231

 

Total

 

 

 

 

 

36,080,838

 

 


 


Issuer

 

Coupon
Rate

 

Principal
Amount

 

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.
Senior Unsecured

 

 

 

 

 

 

 

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.
Senior Unsecured (a)

 

 

 

 

 

 

 

05/16/14

 

0.660%

 

8,465,000

 

8,483,039

 

Kraft Foods Group, Inc.
Senior Unsecured (b)

 

 

 

 

 

 

 

06/04/15

 

1.625%

 

8,200,000

 

8,345,706

 

SABMiller PLC
Senior Unsecured (b)

 

 

 

 

 

 

 

01/15/14

 

5.700%

 

7,360,000

 

7,739,481

 

Total

 

 

 

 

 

50,212,126

 

Gas Distributors 0.3%

 

 

 

 

 

 

 

Atmos Energy Corp.
Senior Unsecured

 

 

 

 

 

 

 

06/15/17

 

6.350%

 

1,525,000

 

1,844,712

 

Sempra Energy
Senior Unsecured

 

 

 

 

 

 

 

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.
Senior Unsecured

 

 

 

08/15/16

 

5.875%

 

6,000,000

 

6,705,600

 

Southern Natural Gas Co. LLC
Senior Unsecured (b)

 

 

 

 

 

04/01/17

 

5.900%

 

7,530,000

 

8,847,931

 

TransCanada PipeLines Ltd.
Senior Unsecured

 

 

 

 

 

 

 

06/01/15

 

3.400%

 

7,350,000

 

7,789,532

 

Williams Partners LP/Finance Corp.
Senior Unsecured

 

 

 

 

 

02/01/17

 

7.250%

 

7,000,000

 

8,503,803

 

Total

 

 

 

 

 

42,045,994

 

 

Issuer

 

Coupon
Rate

 

Principal
Amount

 

Value

 

 

 

 

 

 

 

 

 

Corporate Bonds & Notes (continued)

 

Health Care 0.8%

 

 

 

 

 

 

 

Cardinal Health, Inc.
Senior Unsecured

 

 

 

 

 

 

 

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.
Senior Unsecured

 

 

 

 

 

 

 

12/04/15

 

0.950%

 

9,000,000

 

9,012,663

 

Total

 

 

 

 

 

23,089,548

 

Healthcare Insurance 0.3%

 

 

 

 

 

 

 

WellPoint, Inc.
Senior Unsecured

 

 

 

 

 

 

 

02/15/17

 

2.375%

 

8,000,000

 

8,282,920

 

Independent Energy 1.3%

 

 

 

 

 

 

 

Anadarko Petroleum Corp.
Senior Unsecured

 

 

 

 

 

 

 

03/15/14

 

7.625%

 

6,084,000

 

6,539,704

 

EnCana Corp.
Senior Unsecured

 

 

 

 

 

 

 

12/01/17

 

5.900%

 

6,495,000

 

7,735,792

 

Pioneer Natural Resources Co.
Senior Unsecured

 

 

 

 

 

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.
Senior Unsecured

 

 

 

03/15/18

 

6.300%

 

6,000,000

 

7,148,268

 

Lincoln National Corp.
Senior Unsecured

 

 

 

 

 

 

 

02/15/14

 

4.750%

 

5,285,000

 

5,506,833

 

MetLife Institutional Funding II
Secured (a)(b)

 

 

 

 

 

04/04/14

 

1.205%

 

8,000,000

 

8,067,976

 

Prudential Covered Trust
Secured (b)

 

 

 

 

 

09/30/15

 

2.997%

 

8,854,000

 

9,181,704

 

Total

 

 

 

 

 

29,904,781

 

 


 


Issuer

 

Coupon
Rate

 

Principal
Amount

 

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
Senior Unsecured

 

 

 

 

 

 

 

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.
Senior Unsecured (a)

 

 

 

 

 

 

 

08/15/14

 

1.010%

 

12,500,000

 

12,629,038

 

CNA Financial Corp.
Senior Unsecured

 

 

 

 

 

 

 

12/15/14

 

5.850%

 

5,933,000

 

6,441,351

 

 

Issuer

 

Coupon
Rate

 

Principal
Amount

 

Value

 

 

 

 

 

 

 

 

 

Corporate Bonds & Notes (continued)

 

Property & Casualty (continued)

 

 

 

 

 

Liberty Mutual Group, Inc.
Senior Unsecured (b)

 

 

 

 

 

 

 

08/15/16

 

6.700%

 

$

7,175,000

 

$

8,198,327

 

Transatlantic Holdings, Inc.
Senior Unsecured

 

 

 

 

 

 

 

12/14/15

 

5.750%

 

7,240,000

 

7,999,462

 

Total

 

 

 

 

 

35,268,178

 

Refining 0.3%

 

 

 

 

 

 

 

Marathon Petroleum Corp.
Senior Unsecured

 

 

 

 

 

 

 

03/01/16

 

3.500%

 

6,903,000

 

7,348,306

 

REITs 1.0%

 

 

 

 

 

 

 

Boston Properties LP
Senior Unsecured

 

 

 

 

 

 

 

11/15/18

 

3.700%

 

5,888,000

 

6,399,949

 

Duke Realty LP
Senior Unsecured

 

 

 

 

 

 

 

02/15/15

 

7.375%

 

5,840,000

 

6,512,914

 

Kimco Realty Corp.
Senior Unsecured

 

 

 

 

 

 

 

02/01/18

 

4.300%

 

6,000,000

 

6,597,294

 

Simon Property Group LP
Senior Unsecured

 

 

 

 

 

 

 

03/01/17

 

5.875%

 

8,500,000

 

10,063,957

 

Total

 

 

 

 

 

29,574,114

 

Supermarkets 0.2%

 

 

 

 

 

 

 

Safeway, Inc.
Senior Unsecured

 

 

 

 

 

 

 

08/15/17

 

6.350%

 

6,285,000

 

7,137,981

 

Technology 1.4%

 

 

 

 

 

 

 

Cisco Systems, Inc.
Senior Unsecured (a)

 

 

 

 

 

 

 

03/14/14

 

0.560%

 

6,600,000

 

6,617,978

 

Hewlett-Packard Co.
Senior Unsecured (a)

 

 

 

 

 

 

 

05/30/14

 

0.711%

 

11,775,000

 

11,540,972

 

International Business Machines Corp.
Senior Unsecured

 

 

 

 

 

07/22/16

 

1.950%

 

10,860,000

 

11,286,483

 

Oracle Corp.
Senior Unsecured

 

 

 

 

 

 

 

07/08/14

 

3.750%

 

8,924,000

 

9,369,058

 

Total

 

 

 

 

 

38,814,491

 

 


 


Issuer

 

Coupon
Rate

 

Principal
Amount

 

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.
Senior Unsecured

 

 

 

 

 

 

 

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.
Senior Unsecured

 

 

 

 

 

 

 

11/02/15

 

0.700%

 

11,200,000

 

11,201,655

 

Total

 

 

 

 

 

67,347,551

 

Total Corporate Bonds & Notes
(Cost: $778,021,824)

 

$

796,860,359

 

 

 

Residential Mortgage-Backed Securities - Agency 11.1%

 

FDIC Structured Sale Guaranteed Notes
CMO Series 2010-S1 Class 1A (a)(b)(c)

 

 

 

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
Rate

 

Principal
Amount

 

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
Rate

 

Principal
Amount

 

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
Rate

 

Principal
Amount

 

Value

 

 

 

 

 

 

 

 

 

Residential Mortgage-Backed Securities - Agency (continued)

 

05/20/39

 

4.500%

 

$

2,382,565

 

$

2,568,497

 

Total Residential Mortgage-Backed Securities - Agency
(Cost: $307,129,016)

 

$

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.
CMO Series 2010-R4 Class 4A1 (a)(b)(c)

 

 

 

06/26/37

 

0.420%

 

276,545

 

273,359

 

Bayview Opportunity Master Fund Trust IIB LP
Series 2012-4NPL Class A (a)(b)(c)

 

 

 

07/28/32

 

3.475%

 

3,475,408

 

3,520,885

 

Countrywide Alternative Loan Trust
CMO Series 2004-2CB Class 1A4 (a)(c)

 

 

 

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
CMO Series 2010-2 Class 2A1 (a)(b)(c)

 

 

 

03/21/37

 

2.724%

 

2,127,797

 

2,104,353

 

RAMP Trust
Series 2005-RS2 Class M1 (a)(c)

 

 

 

 

 

02/25/35

 

0.660%

 

6,650,556

 

6,426,718

 

RBSSP Resecuritization Trust
CMO Series 2012-2 Class 1A5 (a)(b)(c)

 

 

 

 

 

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
Rate

 

Principal
Amount

 

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
CMO Series 2010-RR4 Class 1A1 (a)(b)(c)

 

 

 

12/27/46

 

5.098%

 

4,138,388

 

4,190,775

 

Total Residential Mortgage-Backed Securities - Non-Agency
(Cost: $68,619,574)

 

$

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
CMO Series 2010-M4 Class A1 (c)

 

 

 

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
Rate

 

Principal
Amount

 

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
(Cost: $254,469,424)

 

$

256,753,913

 

 

 

 

 

 

 

 

 

Commercial Mortgage-Backed Securities - Non-Agency 6.5%

 

Bear Stearns Commercial Mortgage Securities
Series 2005-T20 Class AAB (a)(c)

 

 

 

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
Series 2005-CD1 Class A4 (a)(c)

 

 

 

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
Rate

 

Principal
Amount

 

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.
Series 2005-C1 Class AAB (c)

 

 

 

 

 

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.
Series 2005-GG3 Class AAB (c)

 

 

 

08/10/42

 

4.619%

 

7,797,996

 

7,949,449

 

JP Morgan Chase Commercial Mortgage Securities Corp.
Series 2011-FL1 Class A (a)(b)(c)

 

 

 

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
Series 2012-MTL6 Class A1 (b)(c)

 

 

10/05/25

 

1.500%

 

2,760,000

 

2,760,922

 

Nationslink Funding Corp.
Series 1999-LTL1 Class A3 (c)

 

 

 

01/22/26

 

7.104%

 

4,382,769

 

4,608,993

 

ORES NPL LLC
Series 2012-LV1 Class A (b)(c)

 

 

 

09/25/44

 

4.000%

 

1,935,666

 

1,949,459

 

 

 

Issuer

 

Coupon
Rate

 

Principal
Amount

 

Value

 

 

 

 

 

 

 

 

 

Commercial Mortgage-Backed Securities - Non-Agency (continued)

 

S2 Hospitality LLC
Series 2012-LV1 Class A (b)(c)

 

 

 

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
(Cost: $183,879,301)

 

$

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
(Cost: $124,878)

 

$

125,903

 

 

 

 

 

 

 

 

 

Asset-Backed Securities - Non-Agency 12.9%

 

ARI Fleet Lease Trust
Series 2012-A Class A (a)(b)

 

 

 

03/15/20

 

0.759%

 

3,535,850

 

3,536,437

 

Aames Mortgage Investment Trust
Series 2005-3 Class A2 (a)(b)

 

 

 

 

 

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
Series 2008-2 Class A3 (a)

 

 

 

 

 

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
Series 1998-3 Class A7 (a)(h)

 

 

 

07/25/28

 

0.690%

 

14,774

 

11,468

 

 


 

Issuer

 

Coupon
Rate

 

Principal
Amount

 

Value

 

 

 

 

 

 

 

 

 

Asset-Backed Securities - Non-Agency (continued)

 

Arizona Educational Loan Marketing Corp.
Series 2004A Class A2 (a)

 

 

 

12/01/23

 

0.531%

 

$

7,452,632

 

$

7,314,162

 

Avis Budget Rental Car Funding AESOP LLC
Series 2012-1A Class A (b)

 

 

 

08/20/16

 

2.054%

 

14,200,000

 

14,549,042

 

CIT Education Loan Trust
Series 2005-1 Class A2 (a)

 

 

 

 

 

 

 

03/15/22

 

0.398%

 

572,661

 

571,835

 

Carrington Mortgage Loan Trust
Series 2006-RFC1 Class A2 (a)

 

 

 

05/25/36

 

0.310%

 

212,468

 

211,887

 

Chesapeake Funding LLC
Series 2011-2A Class A (a)(b)

 

 

 

04/07/24

 

1.463%

 

11,360,000

 

11,523,732

 

Citigroup Mortgage Loan Trust, Inc.
Series 2003-HE4 Class A (a)(b)

 

 

 

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
CMO Series 2012-AA Class A (a)(b)

 

 

 

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
Series 2010-1 Class A1 (a)(b)

 

 

 

 

 

10/26/26

 

1.165%

 

9,810,978

 

9,792,111

 

Educational Funding of the South, Inc.
Series 2011-1 Class A1 (a)

 

 

 

 

 

10/25/21

 

0.865%

 

2,233,825

 

2,239,902

 

Encore Credit Receivables Trust
Series 2005-4 Class 2A4 (a)

 

 

 

 

 

01/25/36

 

0.550%

 

19,062,271

 

18,728,548

 

Exeter Automobile Receivables Trust
Series 2012-2A Class A (b)

 

 

 

 

 

06/15/17

 

1.300%

 

7,182,550

 

7,197,350

 

First Alliance Mortgage Loan Trust
Series 1994-2 Class A2 (NPFGC) (h)

 

 

 

06/25/25

 

6.680%

 

29,789

 

28,898

 

 

 

Issuer

 

Coupon
Rate

 

Principal
Amount

 

Value

 

 

 

 

 

 

 

 

 

Asset-Backed Securities - Non-Agency (continued)

 

First Franklin Mortgage Loan Asset-Backed Certificates
Series 2005-FF9 Class A3 (a)

 

 

 

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
Series 2006-2 Class A1 (a)

 

 

 

03/20/36

 

0.361%

 

13,332,367

 

13,144,354

 

IMC Home Equity Loan Trust
Series 1997-3 Class A7

 

 

 

 

 

 

 

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
Series 2011-1A Class A (b)

 

 

 

 

 

 

 

10/20/21

 

6.250%

 

4,971,429

 

5,229,103

 

Montana Higher Education Student Assistance Corp.
Series 2006-1 Class A (a)

 

 

 

03/20/24

 

0.409%

 

6,448,485

 

6,393,835

 

Panhandle-Plains Higher Education Authority, Inc.
Series 2011-2 Class A1 (a)

 

 

 

07/01/21

 

0.808%

 

2,022,731

 

2,024,439

 

Park Place Securities, Inc.
Series 2004-WCW2 Class M1 (a)

 

 

 

 

 

10/25/34

 

0.830%

 

9,745,374

 

9,724,899

 

Prestige Auto Receivables Trust
Series 2012-1A Class A2 (b)

 

 

 

 

 

12/15/15

 

1.230%

 

4,185,323

 

4,195,100

 

RAMP Trust
Series 2004-RS8 Class AI4 (a)

 

 

 

 

 

06/25/32

 

5.060%

 

447,541

 

453,849

 

Residential Funding Mortgage Securities II Home Loan Trust
Series 2003-HS3 Class A2B (NPFGC) (a)(h)

 

 

 

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
Rate

 

Principal
Amount

 

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.
Series 2012-AA Class A (b)

 

 

 

09/20/29

 

2.000%

 

3,741,163

 

3,742,047

 

Santander Drive Auto Receivables Trust
Series 2012-1 Class B

 

 

 

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.
Series 2012-1 Class A1 (a)

 

 

 

10/01/20

 

0.808%

 

6,749,044

 

6,690,193

 

Specialty Underwriting & Residential Finance
Series 2005-BC3 Class M1 (a)

 

 

 

06/25/36

 

0.660%

 

2,605,818

 

2,586,905

 

Terwin Mortgage Trust
Series 2007-4HE Class A1 (a)(b)

 

 

 

05/25/38

 

0.330%

 

2,638,304

 

2,501,210

 

Westlake Automobile Receivables Trust
Series 2012-1A Class A2 (b)

 

 

 

03/15/16

 

1.030%

 

2,350,000

 

2,352,128

 

Total Asset-Backed Securities - Non-Agency
(Cost: $356,863,769)

 

$

361,402,391

 

 

 

Issuer

 

Coupon
Rate

 

Principal
Amount

 

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
(Cost: $55,807,950)

 

 

 

$

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
(Cost: $544,427,160)

 

 

 

$

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
(Cost: $83,255,180)

 

$

83,256,784

 

 

 

 

 

 

 

 

 

Foreign Government Obligations 1.0%

 

CANADA 0.7%

 

 

 

 

 

 

 

Province of Ontario
Senior Unsecured

 

 

 

 

 

 

 

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
U.S. Government Guaranty (a)(g)

 

 

 

05/01/23

 

0.500%

 

892,500

 

847,875

 

Total Foreign Government Obligations
(Cost: $28,345,298)

 

$

28,972,260

 

 

 


 

Issue
Description

 

Coupon
Rate

 

Principal
Amount

 

Value

 

 

 

 

 

 

 

 

 

Municipal Bonds 0.5%

 

State of Illinois
Unlimited General Obligation Bonds
Taxable
Series 2011

 

 

 

03/01/15

 

4.511%

 

$

14,175,000

 

$

15,068,734

 

Total Municipal Bonds
(Cost: $14,234,577)

 

 

 

 

 

$

15,068,734

 

 

 

 

 

 

 

Shares

 

Value

 

 

 

 

 

 

 

 

 

Money Market Funds 4.7%

 

Columbia Short-Term Cash Fund,
0.142% (l)(m)

 

131,355,822

 

$

131,355,822

 

Total Money Market Funds
(Cost: $131,355,822)

 

 

 

 

 

$

131,355,822

 

 

 

 

 

 

 

 

 

Total Investments
(Cost: $2,806,533,773) (n)

 

 

 

 

 

$

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
Cost ($)

 

Purchase Cost ($)

 

Proceeds from
Sales ($)

 

Ending Cost ($)

 

Dividends or
Interest Income ($)

 

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