N-Q 1 a13-24519_1nq.htm N-Q

 

 

 

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UNITED STATES

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SECURITIES AND EXCHANGE COMMISSION

 

 

Washington, D.C. 20549

 

 

FORM N-Q

 

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANY

 

Investment Company Act file number

811-09645

 

Columbia Funds Series Trust

(Exact name of registrant as specified in charter)

 

50606 Ameriprise Financial Center

Minneapolis, MN

 

 

55474

(Address of principal executive offices)

 

(Zip code)

 

Christopher O. Petersen, Esq.

c/o Columbia Management Investment Advisers, LLC

225 Franklin Street

Boston, MA 02110

(Name and address of agent for service)

 

Registrant’s telephone number, including area code:

(800) 345-6611

 

 

Date of fiscal year end:

January 31

 

 

Date of reporting period:

October 31, 2013

 

 



 

Item 1. Schedule of Investments.

 


 


 

Portfolio of Investments

Columbia Capital Allocation Moderate Aggressive Portfolio

October 31, 2013 (Unaudited)

(Percentages represent value of investments compared to net assets)


 

 

Shares

 

Value

 

 

 

 

 

 

 

Equity Funds 61.2%

 

 

 

 

 

 

 

 

 

 

 

Dividend Income 4.5%

 

 

 

 

 

Columbia Dividend Income Fund,
Class I Shares (a)

 

3,295,306

 

$

58,887,107

 

Columbia Dividend Opportunity Fund,
Class I Shares (a)

 

4,550,474

 

47,461,445

 

Total

 

 

 

106,348,552

 

International 12.7%

 

 

 

 

 

Columbia Acorn International, Class I
Shares (a)

 

248,163

 

11,921,763

 

Columbia Emerging Markets Fund,
Class I Shares (a)

 

8,916,974

 

92,023,166

 

Columbia European Equity Fund,
Class I Shares (a)

 

10,263,711

 

77,798,933

 

Columbia Overseas Value Fund, Class 
I Shares (a)

 

2,966,712

 

26,166,399

 

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

 

9,685,419

 

90,074,400

 

Total

 

 

 

297,984,661

 

Real Estate 0.5%

 

 

 

 

 

Columbia Real Estate Equity Fund,
Class I Shares (a)

 

796,801

 

11,800,619

 

U.S. Large Cap 29.5%

 

 

 

 

 

Columbia Contrarian Core Fund, Class 
I Shares (a)

 

7,803,764

 

161,225,769

 

Columbia Diversified Equity Income
Fund, Class I Shares (a)

 

2,235,772

 

28,841,461

 

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

 

2,390,215

 

36,020,537

 

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

 

2,225,747

 

75,675,411

 

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

 

17,599,204

 

144,489,462

 

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

 

6,222,844

 

61,917,295

 

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

 

1,907,743

 

17,169,689

 

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

 

4,867,362

 

91,117,017

 

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

 

3,647,249

 

76,300,438

 

Total

 

 

 

692,757,079

 

U.S. Mid Cap 9.9%

 

 

 

 

 

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

 

3,077,922

 

103,448,949

 

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

 

4,898,845

 

90,971,548

 

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

 

3,542,281

 

39,213,057

 

Total

 

 

 

233,633,554

 

 

 

 

Shares

 

Value

 

 

 

 

 

 

 

Equity Funds (continued)

 

 

 

 

 

U.S. Small Cap 4.1%

 

 

 

 

 

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

 

1,992,232

 

$

16,495,684

 

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

 

143,754

 

3,333,646

 

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

 

619,191

 

13,040,157

 

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

 

1,266,992

 

46,929,390

 

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

 

929,369

 

17,648,724

 

Total

 

 

 

97,447,601

 

Total Equity Funds
(Cost: $1,080,371,777)

 

 

$ 1,439,972,066

 

 

 

 

 

 

 

Fixed-Income Funds 29.3%

 

 

 

 

 

 

 

 

 

 

 

Convertible 2.0%

 

 

 

 

 

Columbia Convertible Securities Fund,
Class I Shares (a)

 

2,686,120

 

47,705,499

 

Emerging Markets 1.3%

 

 

 

 

 

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

 

2,600,392

 

30,138,547

 

High Yield 6.7%

 

 

 

 

 

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

 

7,849,579

 

23,470,242

 

Columbia Income Opportunities Fund,
Class I Shares (a)

 

13,322,204

 

134,287,818

 

Total

 

 

 

157,758,060

 

Inflation Protected Securities 1.6%

 

 

 

 

 

Columbia Inflation Protected
Securities Fund, Class I Shares (a)

 

3,808,883

 

37,250,872

 

International 0.9%

 

 

 

 

 

Columbia International Bond Fund,
Class I Shares (a)

 

1,847,341

 

20,487,009

 

Investment Grade 16.8%

 

 

 

 

 

Columbia Corporate Income Fund,
Class I Shares (a)

 

21,007,937

 

216,591,836

 

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

 

30,474,042

 

166,693,007

 

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

 

1,009,135

 

11,282,127

 

Total

 

 

 

394,566,970

 

Total Fixed-Income Funds
(Cost: $668,853,596)

 

 

 

$

687,906,957

 

 

 

 

 

 

 

Alternative Investment Funds 5.4%

 

 

 

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

 

1,818,761

 

18,187,607

 

Columbia Absolute Return
Emerging Markets Macro Fund,
Class I Shares(a)

 

2,238,766

 

23,081,684

 


 



 

 

Shares

 

Value

 

 

 

 

 

 

 

Alternative Investment Funds (continued)

 

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

 

3,365,075

 

$

33,987,257

 

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

 

3,073,118

 

31,038,489

 

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

 

1,777,290

 

14,787,049

 

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

 

529,982

 

6,518,782

 

Total Alternative Investment Funds
(Cost: $127,990,970)

 

 

 

$

127,600,868

 

 

 

 

 

 

 

Common Stocks —%

 

 

 

 

 

Consumer Staples —%

 

 

 

 

 

Food Products —%

 

 

 

 

 

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

 

322,000

 

10,369

 

 

 

 

Shares

 

Value

 

 

 

 

 

 

 

Common Stocks (continued)

 

 

 

 

 

Total Common Stocks
(Cost: $172,880)

 

 

 

$

10,369

 

 

 

 

 

 

 

Money Market Funds 3.9%

 

 

 

 

 

Columbia Short-Term Cash Fund,
0.093%(a)(e)

 

92,664,083

 

$

92,664,083

 

Total Money Market Funds
(Cost: $92,664,083)

 

 

 

$

92,664,083

 

Total Investments

 

 

 

 

 

(Cost: $1,970,053,306) (f)

 

 

 

$

2,348,154,343(g)

 

Other Assets and Liabilities

 

 

 

3,935,920

 

Net Assets

 

 

 

$

2,352,090,263

 


Investments in Derivatives
Futures Contracts Outstanding at October 31, 2013

 

 

At October 31, 2013, cash totaling $6,168,375 was pledged as collateral to cover initial margin requirements on open futures contracts.

 

Contract Description

 

Number of Contracts
Long (Short)

 

Trading
Currency

 

Notional Market
Value ($)

 

Expiration Date

 

Unrealized
Appreciation ($)

 

Unrealized
Depreciation ($)

E-Mini S&P 500 Index

 

545

 

USD

 

47,714,750

 

December 2013

 

1,630,939

 

E-Mini S&P Mid-Cap 400 Index

 

423

 

USD

 

54,414,720

 

December 2013

 

2,312,773

 

FTSE 100 Index

 

177

 

GBP

 

19,038,834

 

December 2013

 

366,338

 

TOPIX Index

 

156

 

JPY

 

19,030,001

 

December 2013

 

74,053

 

U.S. Treasury Note, 10-year

 

47

 

USD

 

5,985,891

 

December 2013

 

159,991

 

Total

 

 

 

 

 

 

 

 

 

4,544,094

 

 

Notes to Portfolio of Investments

 

(a)

 

As defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of its outstanding voting securities, or a company which is under common ownership or control with the Fund. Holdings and transactions in these affiliated companies during the period ended October 31, 2013, are as follows:

 

Issuer

 

Beginning
Cost ($)

 

Purchase Cost
($)

 

Proceeds from
Merger ($)

 

Proceeds from
Sales ($)

 

Realized Gain
(Loss) ($)

 

Ending Cost ($)

 

Capital Gain
Distributions
($)

 

Dividends -
Affiliated
Issuers ($)

 

Value ($)

 

Columbia Absolute Return Currency and Income Fund, Class I Shares

 

20,431,617

 

32,514

 

 

(2,067,756

)

(6,045

)

18,390,330

 

 

 

18,187,607

 

Columbia Absolute Return Emerging Markets Macro Fund, Class I Shares

 

 

897,842

 

22,096,487

 

(447,528

)

16,319

 

22,563,120

 

 

 

23,081,684

 

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

 

 

33,759,403

 

11,238,242

 

(11,002,924

)

301,720

 

34,296,441

 

 

 

33,987,257

 

Columbia Absolute Return Multi-Strategy Fund, Class I Shares

 

28,385,193

 

3,090,155

 

 

(833,986

)

16,299

 

30,657,661

 

 

 

31,038,489

 

Columbia Acorn International, Class I Shares

 

 

5,690,069

 

5,197,321

 

(705,518

)

147,229

 

10,329,101

 

 

62,612

 

11,921,763

 

Columbia Commodity Strategy Fund, Class I Shares

 

15,822,726

 

1,383,414

 

 

(356,218

)

(31,838

)

16,818,084

 

 

 

14,787,049

 

 


 

Issuer

 

Beginning
Cost ($)

 

Purchase Cost
($)

 

Proceeds from
Merger ($)

 

Proceeds from
Sales ($)

 

Realized Gain
(Loss) ($)

 

Ending Cost ($)

 

Capital Gain
Distributions
($)

 

Dividends -
Affiliated
Issuers ($)

 

Value ($)

 

Columbia Contrarian Core Fund, Class I Shares

 

61,074,118

 

5,644,938

 

58,361,771

 

(17,622,708

)

2,634,928

 

110,093,047

 

 

 

161,225,769

 

Columbia Convertible Securities Fund, Class I Shares

 

20,181,499

 

901,494

 

22,870,971

 

(4,488,464

)

920,211

 

40,385,711

 

 

901,492

 

47,705,499

 

Columbia Corporate Income Fund, Class I Shares

 

87,819,499

 

15,855,232

 

114,120,451

 

(8,802,709

)

604,981

 

209,597,454

 

 

4,626,941

 

216,591,836

 

Columbia Diversified Equity Income Fund, Class I Shares

 

 

373,058

 

18,294,184

 

(2,341,841

)

1,053,407

 

17,378,808

 

 

364,591

 

28,841,461

 

Columbia Dividend Income Fund, Class I Shares

 

28,016,458

 

1,061,108

 

21,066,396

 

(6,578,085

)

1,245,202

 

44,811,079

 

 

962,399

 

58,887,107

 

Columbia Dividend Opportunity Fund, Class I Shares

 

29,380,802

 

934,551

 

18,004,662

 

(20,132,165

)

9,021,972

 

37,209,822

 

 

918,513

 

47,461,445

 

Columbia Emerging Markets Bond Fund, Class I Shares

 

18,857,088

 

1,192,555

 

10,239,918

 

(773,234

)

64,197

 

29,580,524

 

 

1,155,794

 

30,138,547

 

Columbia Emerging Markets Fund, Class I Shares

 

59,828,969

 

122,504

 

37,874,525

 

(8,331,400

)

(1,144,779

)

88,349,819

 

 

 

92,023,166

 

Columbia European Equity Fund, Class I Shares

 

5,010,513

 

19,139

 

58,735,854

 

(8,361,402

)

1,515,514

 

56,919,618

 

 

 

77,798,933

 

Columbia Flexible Capital Income Fund, Class I Shares

 

 

176,575

 

5,371,536

 

(342,275

)

59,498

 

5,265,334

 

 

176,303

 

6,518,782

 

Columbia Greater China Fund, Class I Shares

 

10,697,282

 

51,277

 

21,604,692

 

(35,435,494

)

3,082,243

 

 

 

 

 

Columbia High Yield Bond Fund, Class I Shares

 

15,467,222

 

7,573,979

 

 

(528,731

)

42,511

 

22,554,981

 

 

809,695

 

23,470,242

 

Columbia Income Opportunities Fund, Class I Shares

 

29,961,446

 

52,516,486

 

48,243,744

 

(2,832,223

)

421,703

 

128,311,156

 

 

3,648,850

 

134,287,818

 

Columbia Inflation Protected Securities Fund, Class I Shares

 

 

26,243,943

 

11,015,504

 

(413,494

)

42,515

 

36,888,468

 

 

120,199

 

37,250,872

 

Columbia International Bond Fund, Class I Shares

 

19,948,943

 

1,381,259

 

 

(683,081

)

9,098

 

20,656,219

 

 

157,449

 

20,487,009

 

Columbia Large Cap Core Fund, Class I Shares

 

 

5,122,898

 

30,398,085

 

(3,163,321

)

336,251

 

32,693,913

 

5,027,968

 

62,207

 

36,020,537

 

Columbia Large Cap Growth Fund, Class I Shares

 

26,644,877

 

33,565

 

26,827,041

 

(7,464,454

)

1,512,774

 

47,553,803

 

 

 

75,675,411

 

Columbia Large Core Quantitative Fund, Class I Shares

 

73,178,103

 

66,077

 

39,425,893

 

(16,765,489

)

7,229,045

 

103,133,629

 

 

 

144,489,462

 

Columbia Large Growth Quantitative Fund, Class I Shares

 

21,908,974

 

44,461

 

32,754,615

 

(7,454,919

)

510,781

 

47,763,912

 

 

 

61,917,295

 

Columbia Large Value Quantitative Fund, Class I Shares

 

19,968,324

 

6,360

 

 

(7,726,095

)

1,263,872

 

13,512,461

 

 

 

17,169,689

 

Columbia Limited Duration Credit Fund, Class I Shares

 

31,001,809

 

971,749

 

 

(31,801,752

)

(171,806

)

 

 

316,143

 

 

Columbia Mid Cap Growth Fund, Class I Shares

 

45,997,749

 

41,585

 

55,114,532

 

(24,266,455

)

4,965,762

 

81,853,173

 

 

 

103,448,949

 

Columbia Mid Cap Value Fund, Class I Shares

 

43,114,554

 

857,519

 

31,775,546

 

(9,408,216

)

2,487,634

 

68,827,037

 

314,435

 

520,637

 

90,971,548

 

 


 

Issuer

 

Beginning
Cost ($)

 

Purchase Cost
($)

 

Proceeds from
Merger ($)

 

Proceeds from
Sales ($)

 

Realized Gain
(Loss) ($)

 

Ending Cost ($)

 

Capital Gain
Distributions
($)

 

Dividends-
Affiliated
Issuers ($)

 

Value ($)

 

Columbia Mid Cap Value Opportunity Fund, Class I Shares

 

 

9,237

 

21,073,866

 

(3,810,601

)

2,164,923

 

19,437,425

 

 

 

39,213,057

 

Columbia Multi-Advisor Small Cap Value Fund, Class I Shares

 

 

5,860

 

8,061,074

 

(1,445,321

)

885,084

 

7,506,697

 

 

 

16,495,684

 

Columbia Overseas Value Fund, Class I Shares

 

24,626,781

 

14,793

 

 

(2,039,953

)

135,505

 

22,737,126

 

 

8,738

 

26,166,399

 

Columbia Pacific/Asia Fund, Class I Shares

 

25,666,223

 

1,070,053

 

54,979,552

 

(6,471,159

)

533,788

 

75,778,457

 

 

961,577

 

90,074,400

 

Columbia Real Estate Equity Fund, Class I Shares

 

 

729,339

 

8,978,990

 

(815,669

)

301,452

 

9,194,112

 

73,100

 

189,048

 

11,800,619

 

Columbia Select Large Cap Growth Fund, Class I Shares

 

38,937,654

 

1,132

 

35,656,369

 

(14,916,785

)

3,817,049

 

63,495,419

 

 

 

91,117,017

 

Columbia Select Large-Cap Value Fund, Class I Shares

 

10,015,392

 

22,101,929

 

31,223,593

 

(8,316,662

)

2,455,199

 

57,479,451

 

 

 

76,300,438

 

Columbia Select Smaller-Cap Value Fund, Class I Shares

 

 

333

 

2,916,104

 

(530,844

)

77,160

 

2,462,753

 

 

 

3,333,646

 

Columbia Short-Term Cash Fund

 

21,553,489

 

212,815,147

 

9,599,712

 

(151,304,265

)

 

92,664,083

 

 

40,071

 

92,664,083

 

Columbia Small Cap Core Fund, Class I Shares

 

 

8,878

 

11,542,641

 

(1,555,101

)

240,982

 

10,237,400

 

 

 

13,040,157

 

Columbia Small Cap Growth Fund I, Class I Shares

 

39,223,375

 

58,699

 

18,921,537

 

(22,112,140

)

1,749,573

 

37,841,044

 

 

 

46,929,390

 

Columbia Small Cap Value Fund I, Class I Shares

 

15,919,496

 

71

 

 

(16,664,777

)

745,210

 

 

 

 

 

Columbia Small Cap Value Fund II, Class I Shares

 

20,426,189

 

664,496

 

 

(8,776,895

)

1,458,881

 

13,772,671

 

634,048

 

22,652

 

17,648,724

 

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

 

71,979,881

 

3,472,451

 

113,337,038

 

(20,223,595

)

495,549

 

169,061,324

 

 

3,194,707

 

166,693,007

 

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

 

 

520,748

 

11,635,389

 

(327,620

)

(10,758

)

11,817,759

 

 

99,594

 

11,282,127

 

Total

 

981,046,245

 

407,518,875

 

1,028,557,835

 

(500,443,324

)

53,200,795

 

1,969,880,426

 

6,049,551

 

19,320,212

 

2,348,143,974

 

 

(b)

 

Non-income producing.

(c)

 

Identifies issues considered to be illiquid as to their marketability. The aggregate value of such securities at October 31, 2013 was $10,369, representing less than 0.01% of net assets. Information concerning such security holdings at October 31, 2013 is as follows:

 

Security Description

 

Acquisition Dates

 

Cost ($)

China Milk Products Group Ltd.

 

11-17-10

 

172,880

 

(d)

 

Represents fair value as determined in good faith under procedures approved by the Board of Trustees. At October 31, 2013, the value of these securities amounted to $10,369, which represents less than 0.01% of net assets.

(e)

 

The rate shown is the seven-day current annualized yield at October 31, 2013.

(f)

 

At October 31, 2013, the cost of securities for federal income tax purposes was approximately $1,970,053,000 and the approximate aggregate gross unrealized appreciation and depreciation based on that cost was:

 

Unrealized Appreciation

 

$

383,880,000

 

Unrealized Depreciation

 

(5,779,000

)

Net Unrealized Appreciation

 

$

378,101,000

 

 

(g)

 

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

 

Currency Legend

 

 

GBP

 

British Pound

JPY

 

Japanese Yen

USD

 

US Dollar

 


 

Fair Value Measurements

 

 

Generally accepted accounting principles (GAAP) require disclosure regarding the inputs and valuation techniques used to measure fair value and any changes in valuation inputs or techniques. In addition, investments shall be disclosed by major category.

 

The Fund categorizes its fair value measurements according to a three-level hierarchy that maximizes the use of observable inputs and minimizes the use of unobservable inputs by prioritizing that the most observable input be used when available.  Observable inputs are those that market participants would use in pricing an investment based on market data obtained from sources independent of the reporting entity. Unobservable inputs are those that reflect the Fund’s assumptions about the information market participants would use in pricing an investment. An investment’s level within the fair value hierarchy is based on the lowest level of any input that is deemed significant to the asset or liability’s fair value measurement. The input levels are not necessarily an indication of the risk or liquidity associated with investments at that level. For example, certain U.S. government securities are generally high quality and liquid, however, they are reflected as Level 2 because the inputs used to determine fair value may not always be quoted prices in an active market.

 

Fair value inputs are summarized in the three broad levels listed below:

 

·                   Level 1 - Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date (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 may rely on one or more significant unobservable inputs and/or significant assumptions by the Investment Manager.  Inputs used in valuations may include, but are not limited to, financial statement analysis, capital account balances, discount rates and estimated cash flows, and comparable company data.

 

Under the direction of the Fund’s Board of Trustees (the Board), the Investment Manager’s Valuation Committee (the Committee) is responsible for 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 or are not readily available, including recommendations of third party pricing vendors and a determination of appropriate pricing methodologies; events that require specific valuation determinations and assessment of fair value techniques; securities with a potential for stale pricing, including those that are illiquid, restricted, or in default; and the effectiveness of third- party pricing vendors, including periodic reviews of vendors.  The Committee meets more frequently, as needed, to discuss additional valuation matters, which may include the need to review back-testing results, review time-sensitive information or approve related valuation actions.  The Committee reports to the Board, with members of the Committee meeting with the Board at each of its regularly scheduled meetings to discuss valuation matters and actions during the period, similar to those described earlier.

 


 

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

 

The following table is a summary of the inputs used to value the Fund’s investments at October 31, 2013:

 

Description

 

 

Level 1

 

 

Level 2

 

 

Level 3

 

 

 

 

 

 

 

Quoted Prices in

 

 

Other Significant

 

 

Significant

 

 

 

 

 

 

 

Active Markets for

 

 

Observable

 

 

Unobservable

 

 

 

 

 

 

 

Identical Assets ($)

 

 

Inputs ($)

 

 

Inputs ($)

 

 

Total ($)

 

Mutual Funds

 

 

 

 

 

 

 

 

 

 

 

 

 

Equity Funds

 

 

1,439,972,066

 

 

 

 

 

 

1,439,972,066

 

Fixed-Income Funds

 

 

687,906,957

 

 

 

 

 

 

687,906,957

 

Alternative Investment Funds

 

 

127,600,868

 

 

 

 

 

 

127,600,868

 

Money Market Funds

 

 

92,664,083

 

 

 

 

 

 

92,664,083

 

Total Mutual Funds

 

 

2,348,143,974

 

 

 

 

 

 

2,348,143,974

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Equity Securities

 

 

 

 

 

 

 

 

 

 

 

 

 

Common Stocks

 

 

 

 

 

 

 

 

 

 

 

 

 

Consumer Staples

 

 

 

 

 

 

10,369

 

 

10,369

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Equity Securities

 

 

 

 

 

 

10,369

 

 

10,369

 

Investments in Securities

 

 

2,348,143,974

 

 

 

 

10,369

 

 

2,348,154,343

 

Derivatives

 

 

 

 

 

 

 

 

 

 

 

 

 

Assets

 

 

 

 

 

 

 

 

 

 

 

 

 

Futures Contracts

 

 

4,544,094

 

 

 

 

 

 

4,544,094

 

Total

 

 

2,352,688,068

 

 

 

 

10,369

 

 

2,352,698,437

 

 

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

 

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

 

Derivative instruments are valued at unrealized appreciation (depreciation).

 

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

 

 

 

Common Stocks ($)

 

Balance as of January 31, 2013

 

10,407

 

Accrued discounts/premiums

 

 

Realized gain (loss)

 

 

Change in unrealized appreciation (depreciation)(a) 

 

(38

)

Sales

 

 

Purchases

 

 

Transfers into Level 3

 

 

Transfers out of Level 3

 

 

Balance as of October 31, 2013

 

10,369

 

 

(a)Change in unrealized appreciation (depreciation) relating to securities held at October 31, 2013 was $(38).

 

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

 

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

 


 

Portfolio of Investments

Columbia Capital Allocation Moderate Conservative Portfolio

October 31, 2013 (Unaudited)

(Percentages represent value of investments compared to net assets)


 

 

Shares

 

Value

 

 

 

 

 

 

 

Equity Funds 32.2%

 

 

 

 

 

Dividend Income 4.7%

 

 

 

 

 

Columbia Dividend Income Fund,
Class I Shares (a)

 

990,878

 

$

17,707,003

 

Columbia Dividend Opportunity Fund,
Class I Shares (a)

 

1,531,779

 

15,976,452

 

Total

 

 

 

33,683,455

 

International 7.1%

 

 

 

 

 

Columbia Acorn International, Class I
Shares (a)

 

36,972

 

1,776,123

 

Columbia Emerging Markets Fund,
Class I Shares (a)

 

635,409

 

6,557,424

 

Columbia European Equity Fund,
Class I Shares (a)

 

3,268,963

 

24,778,740

 

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

 

1,907,936

 

17,743,801

 

Total

 

 

 

50,856,088

 

U.S. Large Cap 14.3%

 

 

 

 

 

Columbia Contrarian Core Fund, Class 
I Shares (a)

 

1,448,773

 

29,931,644

 

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

 

470,973

 

7,097,568

 

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

 

557,982

 

18,971,382

 

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

 

2,591,316

 

21,274,707

 

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

 

2,504,113

 

24,915,924

 

Total

 

 

 

102,191,225

 

U.S. Mid Cap 4.4%

 

 

 

 

 

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

 

333,156

 

11,197,374

 

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

 

1,097,189

 

20,374,791

 

Total

 

 

 

31,572,165

 

U.S. Small Cap 1.7%

 

 

 

 

 

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

 

567,939

 

11,960,792

 

Total Equity Funds
(Cost: $174,937,934)

 

 

 

$

230,263,725

 

 

 

 

 

 

 

Fixed-Income Funds 55.4%

 

 

 

 

 

Convertible 1.4%

 

 

 

 

 

Columbia Convertible Securities Fund,
Class I Shares (a)

 

549,560

 

9,760,187

 

Emerging Markets 4.4%

 

 

 

 

 

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

 

2,734,360

 

31,691,235

 

 

 

 

Shares

 

Value

 

 

 

 

 

 

 

Fixed-Income Funds (continued)

 

 

 

High Yield 4.7%

 

 

 

 

 

Columbia Income Opportunities Fund,
Class I Shares (a)

 

3,345,011

 

$

33,717,710

 

Inflation Protected Securities 2.3%

 

 

 

 

 

Columbia Inflation Protected
Securities Fund, Class I Shares (a)

 

1,658,624

 

16,221,338

 

International 0.5%

 

 

 

 

 

Columbia International Bond Fund,
Class I Shares (a)

 

327,728

 

3,634,507

 

Investment Grade 42.1%

 

 

 

 

 

Columbia Corporate Income Fund,
Class I Shares (a)

 

10,948,579

 

112,879,848

 

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

 

4,875,482

 

48,998,592

 

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

 

23,340,533

 

127,672,718

 

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

 

1,024,223

 

11,450,817

 

Total

 

 

 

301,001,975

 

Total Fixed-Income Funds
(Cost: $389,674,322)

 

 

 

$

396,026,952

 

 

 

 

 

 

 

Alternative Investment Funds 8.2%

 

 

 

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

 

284,915

 

2,849,153

 

Columbia Absolute Return
Emerging Markets Macro Fund,
Class I Shares(a)

 

1,070,622

 

11,038,116

 

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

 

1,594,307

 

16,102,498

 

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

 

1,603,677

 

16,197,133

 

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

 

1,024,611

 

12,602,721

 

Total Alternative Investment Funds
(Cost: $56,199,615)

 

 

 

$

58,789,621

 

 

 

 

 

 

 

Money Market Funds 4.0%

 

 

 

Columbia Short-Term Cash Fund,
0.093%(a)(c)

 

28,468,130

 

28,468,130

 

Total Money Market Funds
(Cost: $28,468,130)

 

 

 

$

28,468,130

 

Total Investments
(Cost: $649,280,001) (d)

 

 

 

$

713,548,428(e)

 

Other Assets and Liabilities

 

 

 

1,665,818

 

Net Assets

 

 

 

$

715,214,246

 


 


 

Investments in Derivatives

 

Futures Contracts Outstanding at October 31, 2013

 

 

At October 31, 2013, cash totaling $1,980,827 was pledged as collateral to cover initial margin requirements on open futures contracts.

 

Contract Description

 

Number of Contracts
Long (Short)

 

Trading
Currency

 

Notional Market
Value ($)

 

Expiration Date

 

Unrealized
Appreciation ($)

 

Unrealized
Depreciation ($)

 

E-Mini S&P 500 Index

 

167

 

USD

 

14,620,850

 

December 2013

 

499,756

 

 

E-Mini S&P Mid-Cap 400 Index

 

116

 

USD

 

14,922,240

 

December 2013

 

634,236

 

 

FTSE 100 Index

 

36

 

GBP

 

3,872,305

 

December 2013

 

74,509

 

 

TOPIX Index

 

15

 

JPY

 

1,829,808

 

December 2013

 

7,120

 

 

U.S. Treasury Long Bond, 20-year

 

19

 

USD

 

2,561,438

 

December 2013

 

78,040

 

 

U.S. Treasury Note, 5-year

 

22

 

USD

 

2,677,125

 

December 2013

 

47,735

 

 

U.S. Treasury Note, 10-year

 

230

 

USD

 

29,292,657

 

December 2013

 

792,320

 

 

Total

 

 

 

 

 

 

 

 

 

2,133,716

 

 

 

Notes to Portfolio of Investments

 

 

(a)

As defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of its outstanding voting securities, or a company which is under common ownership or control with the Fund. Holdings and transactions in these affiliated companies during the period ended October 31, 2013, are as follows:

 

Issuer

 

Beginning
Cost ($)

 

Purchase
Cost ($)

 

Received in
Merger ($)

 

Proceeds from
Sales ($)

 

Realized
Gain (Loss)
($)

 

Ending Cost
($)

 

Capital Gain
Distributions
($)

 

Dividends -
Affiliated
 Issuers ($)

 

Value ($)

 

Columbia Absolute Return Currency and Income Fund, Class I Shares

 

3,093,113

 

146,711

 

 

(352,431

)

(188

)

2,887,205

 

 

 

2,849,153

 

Columbia Absolute Return Emerging Markets Macro Fund, Class I Shares

 

 

306,712

 

10,882,058

 

(396,608

)

10,184

 

10,802,346

 

 

 

11,038,116

 

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

 

 

11,811,573

 

5,957,741

 

(1,632,025

)

30,427

 

16,167,716

 

 

 

16,102,498

 

Columbia Absolute Return Multi-Strategy Fund, Class I Shares

 

3,103,010

 

7,797,167

 

5,888,265

 

(704,207

)

13,821

 

16,098,056

 

 

 

16,197,133

 

Columbia Acorn International, Class I Shares

 

 

271,969

 

1,383,674

 

(217,038

)

27,935

 

1,466,540

 

 

16,414

 

1,776,123

 

Columbia Contrarian Core Fund, Class I Shares

 

3,504,763

 

218,417

 

17,945,115

 

(4,187,030

)

2,090,625

 

19,571,890

 

 

 

29,931,644

 

Columbia Convertible Securities Fund, Class I Shares

 

3,266,840

 

318,417

 

5,797,364

 

(1,546,280

)

322,306

 

8,158,647

 

 

189,777

 

9,760,187

 

Columbia Corporate Income Fund, Class I Shares

 

21,542,055

 

4,440,128

 

95,557,887

 

(12,667,089

)

731,243

 

109,604,224

 

 

2,436,671

 

112,879,848

 

Columbia Dividend Income Fund, Class I Shares

 

3,744,144

 

1,740,681

 

11,344,409

 

(4,444,747

)

951,285

 

13,335,772

 

 

308,960

 

17,707,003

 

Columbia Dividend Opportunity Fund, Class I Shares

 

2,841,232

 

491,738

 

16,842,000

 

(10,742,372

)

2,797,853

 

12,230,451

 

 

323,015

 

15,976,452

 

Columbia Emerging Markets Bond Fund, Class I Shares

 

3,969,319

 

1,817,647

 

26,609,375

 

(1,784,541

)

85,125

 

30,696,925

 

 

1,147,403

 

31,691,235

 

Columbia Emerging Markets Fund, Class I Shares

 

2,593,605

 

405,501

 

8,732,958

 

(5,719,031

)

168,737

 

6,181,770

 

 

 

6,557,424

 

Columbia European Equity Fund, Class I Shares

 

 

6,146,285

 

15,826,456

 

(3,380,573

)

844,285

 

19,436,453

 

 

 

24,778,740

 

Columbia Flexible Capital Income Fund, Class I Shares

 

 

481,309

 

10,930,665

 

(1,426,520

)

258,837

 

10,244,291

 

 

351,651

 

12,602,721

 

Columbia Greater China Fund, Class I Shares

 

582,268

 

169,701

 

5,575,179

 

(6,561,240

)

234,092

 

 

 

 

 


 

Issuer

 

Beginning
Cost ($)

 

Purchase
Cost ($)

 

Received in
 Merger ($)

 

Proceeds from
Sales ($)

 

Realized
Gain (Loss)
($)

 

Ending Cost
($)

 

Capital Gain
Distributions
($)

 

Dividends -
Affiliated
Issuers ($)

 

Value ($)

 

Columbia Income Opportunities Fund, Class I Shares

 

9,479,006

 

1,746,295

 

22,881,690

 

(2,722,249

)

634,295

 

32,019,037

 

 

1,183,796

 

33,717,710

 

Columbia Inflation Protected Securities Fund, Class I Shares

 

 

5,495,493

 

11,762,583

 

(503,386

)

22,385

 

16,777,075

 

 

61,782

 

16,221,338

 

Columbia International Bond Fund, Class I Shares

 

3,611,295

 

280,081

 

 

(226,125

)

480

 

3,665,731

 

 

29,024

 

3,634,507

 

Columbia Large Cap Core Fund, Class I Shares

 

 

1,234,750

 

6,607,857

 

(1,752,879

)

155,785

 

6,245,513

 

1,109,930

 

13,817

 

7,097,568

 

Columbia Large Cap Growth Fund, Class I Shares

 

4,258,884

 

173,646

 

9,197,416

 

(2,460,001

)

899,341

 

12,069,286

 

 

 

18,971,382

 

Columbia Large Core Quantitative Fund, Class I Shares

 

3,932,314

 

110,572

 

13,826,319

 

(5,498,524

)

2,716,607

 

15,087,288

 

 

 

21,274,707

 

Columbia Large Growth Quantitative Fund, Class I Shares

 

3,843,757

 

57,547

 

19,893,556

 

(4,584,191

)

1,511,126

 

20,721,795

 

 

 

24,915,924

 

Columbia Large Value Quantitative Fund, Class I Shares

 

1,068,727

 

3,693

 

 

(1,305,929

)

233,509

 

 

 

 

 

Columbia Limited Duration Credit Fund, Class I Shares

 

8,479,987

 

2,060,146

 

39,536,830

 

(2,778,056

)

67,287

 

47,366,194

 

 

744,476

 

48,998,592

 

Columbia Mid Cap Growth Fund, Class I Shares

 

2,392,020

 

159,672

 

13,970,190

 

(9,160,673

)

1,515,029

 

8,876,238

 

 

 

11,197,374

 

Columbia Mid Cap Value Fund, Class I Shares

 

2,187,845

 

504,136

 

14,501,715

 

(2,576,107

)

644,466

 

15,262,055

 

71,422

 

118,456

 

20,374,791

 

Columbia Pacific/Asia Fund, Class I Shares

 

1,147,334

 

2,338,913

 

13,358,653

 

(2,167,963

)

360,695

 

15,037,632

 

 

176,513

 

17,743,801

 

Columbia Short-Term Cash Fund

 

2,975,445

 

70,209,448

 

3,512,660

 

(48,229,423

)

 

28,468,130

 

 

13,366

 

28,468,130

 

Columbia Small Cap Core Fund, Class I Shares

 

 

1,814,675

 

11,609,154

 

(4,760,672

)

752,093

 

9,415,250

 

 

 

11,960,792

 

Columbia Small Cap Growth Fund I, Class I Shares

 

775,229

 

5,036

 

 

(775,412

)

(4,853

)

 

 

 

 

Columbia Small Cap Value Fund I, Class I Shares

 

713,553

 

95,345

 

 

(848,779

)

39,881

 

 

 

 

 

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

 

18,762,330

 

5,352,510

 

116,983,046

 

(11,835,940

)

122,805

 

129,384,751

 

 

2,309,657

 

127,672,718

 

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

 

 

456,933

 

12,096,779

 

(527,243

)

(24,729

)

12,001,740

 

 

102,070

 

11,450,817

 

Total

 

111,868,075

 

128,662,847

 

549,011,594

 

(158,475,284

)

18,212,769

 

649,280,001

 

1,181,352

 

9,526,848

 

713,548,428

 

 

(b)

Non-income producing.

(c)

The rate shown is the seven-day current annualized yield at October 31, 2013.

(d)

At October 31, 2013, the cost of securities for federal income tax purposes was approximately $649,280,000 and the approximate aggregate gross unrealized appreciation and depreciation based on that cost was:

 

Unrealized Appreciation

 

$

67,221,000

 

Unrealized Depreciation

 

(2,953,000

)

Net Unrealized Appreciation

 

$

64,268,000

 

 

(e)

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

 

Currency Legend

 

 

GBP

British Pound

JPY

Japanese Yen

USD

US Dollar

 


 

Fair Value Measurements

 

 

Generally accepted accounting principles (GAAP) require disclosure regarding the inputs and valuation techniques used to measure fair value and any changes in valuation inputs or techniques. In addition, investments shall be disclosed by major category.

 

The Fund categorizes its fair value measurements according to a three-level hierarchy that maximizes the use of observable inputs and minimizes the use of unobservable inputs by prioritizing that the most observable input be used when available.  Observable inputs are those that market participants would use in pricing an investment based on market data obtained from sources independent of the reporting entity. Unobservable inputs are those that reflect the Fund’s assumptions about the information market participants would use in pricing an investment. An investment’s level within the fair value hierarchy is based on the lowest level of any input that is deemed significant to the asset or liability’s fair value measurement. The input levels are not necessarily an indication of the risk or liquidity associated with investments at that level. For example, certain U.S. government securities are generally high quality and liquid, however, they are reflected as Level 2 because the inputs used to determine fair value may not always be quoted prices in an active market.

 

Fair value inputs are summarized in the three broad levels listed below:

 

·                                           Level 1 - Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date (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 may rely on one or more significant unobservable inputs and/or significant assumptions by the Investment Manager.  Inputs used in valuations may include, but are not limited to, financial statement analysis, capital account balances, discount rates and estimated cash flows, and comparable company data.

 

Under the direction of the Fund’s Board of Trustees (the Board), the Investment Manager’s Valuation Committee (the Committee) is responsible for 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 or are not readily available, including recommendations of third party pricing vendors and a determination of appropriate pricing methodologies; events that require specific valuation determinations and assessment of fair value techniques; securities with a potential for stale pricing, including those that are illiquid, restricted, or in default; and the effectiveness of third party pricing vendors, including periodic reviews of vendors.  The Committee meets more frequently, as needed, to discuss additional valuation matters, which may include the need to review back-testing results, review time-sensitive information or approve related valuation actions.  The Committee reports to the Board, with members of the Committee meeting with the Board at each of its regularly scheduled meetings to discuss valuation matters and actions during the period, similar to those described earlier.

 


 

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

 

The following table is a summary of the inputs used to value the Fund’s investments at October 31, 2013:

 

Description

 

 

Level 1

 

 

Level 2

 

 

Level 3

 

 

 

 

 

 

 

Quoted Prices in

 

 

Other Significant

 

 

Significant

 

 

 

 

 

 

 

Active Markets for

 

 

Observable

 

 

Unobservable

 

 

 

 

 

 

 

Identical Assets ($)

 

 

Inputs ($)

 

 

Inputs ($)

 

 

Total ($)

 

Mutual Funds

 

 

 

 

 

 

 

 

 

 

 

 

 

Equity Funds

 

 

230,263,725

 

 

 

 

 

 

230,263,725

 

Fixed-Income Funds

 

 

396,026,952

 

 

 

 

 

 

396,026,952

 

Alternative Investment Funds

 

 

58,789,621

 

 

 

 

 

 

58,789,621

 

Money Market Funds

 

 

28,468,130

 

 

 

 

 

 

28,468,130

 

Total Mutual Funds

 

 

713,548,428

 

 

 

 

 

 

713,548,428

 

Investments in Securities

 

 

713,548,428

 

 

 

 

 

 

713,548,428

 

Derivatives

 

 

 

 

 

 

 

 

 

 

 

 

 

Assets

 

 

 

 

 

 

 

 

 

 

 

 

 

Futures Contracts

 

 

2,133,716

 

 

 

 

 

 

2,133,716

 

Total

 

 

715,682,144

 

 

 

 

 

 

715,682,144

 

 

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

 

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

 

Derivative instruments are valued at unrealized appreciation (depreciation).


 

Portfolio of Investments

Columbia LifeGoal® Growth Portfolio

October 31, 2013 (Unaudited)

(Percentages represent value of investments compared to net assets)

 


 

 

Shares

 

Value

 

 

 

 

 

 

 

Equity Funds 87.6%

 

 

 

 

 

DIVIDEND INCOME  30.2%

 

 

 

 

 

Columbia Dividend Income Fund,
Class I Shares (a)

 

5,480,104

 

$

97,929,457

 

Columbia Dividend Opportunity Fund,
Class I Shares (a)

 

7,858,314

 

81,962,212

 

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

 

3,091,779

 

65,360,217

 

Total

 

 

 

245,251,886

 

INTERNATIONAL  8.5%

 

 

 

 

 

Columbia Emerging Markets Fund,
Class I Shares (a)

 

3,687,442

 

38,054,403

 

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

 

3,370,306

 

31,343,842

 

Total

 

 

 

69,398,245

 

U.S. LARGE CAP  41.9%

 

 

 

 

 

Columbia Contrarian Core Fund, Class
I Shares (a)

 

2,386,196

 

49,298,799

 

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

 

2,099,319

 

48,074,400

 

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

 

2,712,533

 

40,877,874

 

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

 

2,173,071

 

73,884,400

 

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

 

2,010,767

 

16,508,401

 

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

 

3,767,444

 

37,486,069

 

 

 

 

Shares

 

Value

 

 

 

 

 

 

 

Equity Funds (continued)

 

 

 

 

 

U.S. LARGE CAP  (CONTINUED)

 

 

 

 

 

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

 

3,962,167

 

$

74,171,773

 

Total

 

 

 

340,301,716

 

U.S. MID CAP  5.0%

 

 

 

 

 

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

 

1,220,389

 

41,017,292

 

U.S. SMALL CAP  2.0%

 

 

 

 

 

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

 

440,929

 

16,331,992

 

Total Equity Funds
(Cost: $549,325,542)

 

 

 

$

712,301,131

 

 

 

 

 

 

 

Fixed-Income Funds 6.6%

 

 

 

CONVERTIBLE  6.6%

 

 

 

 

 

Columbia Convertible Securities Fund, Class I Shares (a)

 

3,012,678

 

53,505,158

 

Total Fixed-Income Funds
(Cost: $42,002,428)

 

 

 

$

53,505,158

 

 

 

 

 

 

 

Alternative Investment Funds 5.8%

 

 

 

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

 

3,870,376

 

47,605,629

 

Total Alternative Investment Funds
(Cost: $41,663,879)

 

 

 

$

47,605,629

 

Total Investments

 

 

 

 

 

(Cost: $632,991,849) (c)

 

 

 

$

813,411,918(d)

 

Other Assets and Liabilities

 

 

 

(245,227)

 

Net Assets

 

 

 

$

813,166,691

 


 

Notes to Portfolio of Investments

 

 

(a)                                     As defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of its outstanding voting securities, or a company which is under common ownership or control with the Fund. Holdings and transactions in these affiliated companies during the period ended October 31, 2013, are as follows:

 

Issuer

 

Beginning
Cost ($)

 

Purchase
Cost ($)

 

Proceeds
from Sales
($)

 

Realized
Gain (Loss)
($)

 

Ending Cost
($)

 

Capital Gain
Distributions
($)

 

Dividends -
Affiliated
Issuers ($)

 

Value ($)

 

Columbia Contrarian Core Fund, Class I Shares

 

30,681,411

 

 

(4,930,668

)

2,922,157

 

28,672,900

 

 

 

49,298,799

 

Columbia Convertible Securities Fund, Class I Shares

 

43,184,379

 

1,031,698

 

(2,420,069

)

206,420

 

42,002,428

 

 

988,903

 

53,505,158

 

Columbia Dividend Income Fund, Class I Shares

 

77,047,218

 

1,652,674

 

(7,883,264

)

1,398,236

 

72,214,864

 

 

1,560,783

 

97,929,457

 

Columbia Dividend Opportunity Fund, Class I Shares

 

64,142,398

 

1,469,819

 

(5,252,186

)

794,061

 

61,154,092

 

 

1,453,540

 

81,962,212

 

Columbia Emerging Markets Fund, Class I Shares

 

36,221,589

 

644,284

 

(35,019

)

(2,189

)

36,828,665

 

 

 

38,054,403

 

 


 

Issuer

 

Beginning
Cost ($)

 

Purchase
Cost ($)

 

Proceeds
from Sales
($)

 

Realized
Gain (Loss)
($)

 

Ending Cost
($)

 

Capital Gain
Distributions
($)

 

Dividends -
Affiliated
Issuers ($)

 

Value ($)

 

Columbia Flexible Capital Income Fund, Class I Shares

 

41,951,026

 

1,296,133

 

(1,736,076

)

152,796

 

41,663,879

 

 

1,273,073

 

47,605,629

 

Columbia Global Dividend Opportunity Fund, Class I Shares

 

61,156,264

 

1,599,916

 

(2,474,163

)

37,018

 

60,319,035

 

 

1,598,180

 

65,360,217

 

Columbia Global Energy and Natural Resources Fund, Class I Shares

 

43,940,945

 

274,257

 

(191,696

)

4,163

 

44,027,669

 

 

 

48,074,400

 

Columbia Large Cap Core Fund, Class I Shares

 

33,954,103

 

5,642,816

 

(3,474,056

)

376,796

 

36,499,659

 

5,571,806

 

68,935

 

40,877,874

 

Columbia Large Cap Growth Fund, Class I Shares

 

49,017,477

 

15,740

 

(5,619,220

)

1,157,663

 

44,571,660

 

 

 

73,884,400

 

Columbia Large Core Quantitative Fund, Class I Shares

 

12,789,441

 

 

(1,632,925

)

396,506

 

11,553,022

 

 

 

16,508,401

 

Columbia Large Growth Quantitative Fund, Class I Shares

 

32,079,867

 

2

 

(3,837,945

)

1,449,292

 

29,691,216

 

 

 

37,486,069

 

Columbia Mid Cap Growth Fund, Class I Shares

 

37,208,781

 

140

 

(3,935,287

)

351,516

 

33,625,150

 

 

 

41,017,292

 

Columbia Pacific/Asia Fund, Class I Shares

 

26,276,326

 

576,480

 

(1,701,160

)

366,611

 

25,518,257

 

 

326,749

 

31,343,842

 

Columbia Select Large Cap Growth Fund, Class I Shares

 

60,697,380

 

8,871

 

(10,620,157

)

1,764,753

 

51,850,847

 

 

 

74,171,773

 

Columbia Small Cap Growth Fund I, Class I Shares

 

15,416,233

 

4,574

 

(2,583,665

)

(38,636

)

12,798,506

 

 

 

16,331,992

 

Total

 

665,764,838

 

14,217,404

 

(58,327,556

)

11,337,163

 

632,991,849

 

5,571,806

 

7,270,163

 

813,411,918

 

 

(b)                                     Non-income producing.

(c)                                     At October 31, 2013, the cost of securities for federal income tax purposes was approximately $632,992,000 and the approximate aggregate gross unrealized appreciation and depreciation based on that cost was:

 

Unrealized Appreciation

 

$

180,420,000

 

Unrealized Depreciation

 

 

Net Unrealized Appreciation

 

$

180,420,000

 

 

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

 

Fair Value Measurements

 

 

Generally accepted accounting principles (GAAP) require disclosure regarding the inputs and valuation techniques used to measure fair value and any changes in valuation inputs or techniques. In addition, investments shall be disclosed by major category. 

 

The 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 may rely on one or more significant unobservable inputs and/or significant assumptions by the Investment Manager.  Inputs used in valuations may include, but are not limited to, financial statement analysis, capital account balances, discount rates and estimated cash flows, and comparable company data.

 

Under the direction of the Fund’s Board of Trustees (the Board), the Investment Manager’s Valuation Committee (the Committee) is responsible for 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 or are not readily available, including recommendations of third party pricing vendors and a determination of appropriate pricing methodologies; events that require specific valuation determinations and assessment of fair value techniques; securities with a potential for stale pricing, including those that are illiquid, restricted, or in default; and the effectiveness of third party pricing vendors, including periodic reviews of vendors.  The Committee meets more frequently, as needed, to discuss additional valuation matters, which may include the need to review back-testing results, review time-sensitive information or approve related valuation actions.  The Committee reports to the Board, with members of the Committee meeting with the Board at each of its regularly scheduled meetings to discuss valuation matters and actions during the period, similar to those described earlier.

 

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

 

The following table is a summary of the inputs used to value the Fund’s investments at October 31, 2013:

 

Description

 

Level 1

 

Level 2

 

Level 3

 

 

 

 

 

Quoted Prices in

 

Other Significant

 

Significant

 

 

 

 

 

Active Markets for

 

Observable

 

Unobservable

 

 

 

 

 

Identical Assets ($)

 

Inputs ($)

 

Inputs ($)

 

Total ($)

 

Mutual Funds

 

 

 

 

 

 

 

 

 

Equity Funds

 

712,301,131

 

 

 

712,301,131

 

Fixed-Income Funds

 

53,505,158

 

 

 

53,505,158

 

Alternative Investment Funds

 

47,605,629

 

 

 

47,605,629

 

Total Mutual Funds

 

813,411,918

 

 

 

813,411,918

 

Total

 

813,411,918

 

 

 

813,411,918

 

 

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

 

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

 


 

Portfolio of Investments

Columbia Masters International Equity Portfolio

October 31, 2013 (Unaudited)

(Percentages represent value of investments compared to net assets)

 


 

 

Shares

 

Value

 

 

 

 

 

 

 

Equity Funds 98.7%

 

 

 

 

 

International 98.7%

 

 

 

 

 

Columbia Acorn International, Class I
Shares (a)

 

45,521

 

$

2,186,817

 

Columbia Emerging Markets Fund,
Class I Shares (a)

 

209,779

 

2,164,921

 

Columbia European Equity Fund,
Class I Shares (a)

 

3,463,097

 

26,250,272

 

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

 

1,405,039

 

13,066,866

 

Total

 

 

 

43,668,876

 

Total Equity Funds
(Cost: $35,598,652)

 

 

 

$

43,668,876

 

 

 

Shares

 

Value

 

 

 

 

 

 

 

Money Market Funds 1.2%

 

 

 

 

 

Columbia Short-Term Cash
Fund, 0.093%(a)(b)

 

537,873

 

$

537,873

 

Total Money Market Funds
(Cost: $537,873)

 

 

 

$

537,873

 

Total Investments

 

 

 

 

 

(Cost: $36,136,525) (c)

 

 

 

$

44,206,749(d)

 

Other Assets and Liabilities

 

 

 

53,293

 

Net Assets

 

 

 

$

44,260,042

 


 

Investments in Derivatives

 

Forward Foreign Currency Exchange Contracts Open at October 31, 2013

 

 

Counterparty

 

Exchange Date

 

Currency to be
Delivered

 

 

 

Currency to be
Received

 

 

 

Unrealized
Appreciation ($)

 

Unrealized
Depreciation ($)

 

Goldman, Sachs & Co.

 

December 13, 2013

 

2,990,000

 

CHF

 

3,348,279

 

USD

 

51,885

 

 

HSBC Securities (USA), Inc.

 

December 13, 2013

 

4,035,000

 

EUR

 

5,559,796

 

USD

 

80,878

 

 

UBS Securities

 

December 13, 2013

 

1,383,000

 

GBP

 

2,235,052

 

USD

 

18,214

 

 

Barclays Bank PLC

 

December 13, 2013

 

2,234,394

 

USD

 

2,324,000

 

CAD

 

 

(7,707

)

Deutsche Bank

 

December 13, 2013

 

5,505,132

 

USD

 

32,632,000

 

NOK

 

 

(31,609

)

Morgan Stanley & Co.

 

December 13, 2013

 

3,372,041

 

USD

 

4,035,000

 

NZD

 

 

(48,227

)

Morgan Stanley & Co.

 

December 13, 2013

 

4,112

 

USD

 

5,000

 

NZD

 

7

 

 

J.P. Morgan Securities, Inc.

 

December 19, 2013

 

1,897,686,000

 

KRW

 

1,783,204

 

USD

 

9,190

 

 

J.P. Morgan Securities, Inc.

 

December 19, 2013

 

845,000

 

MYR

 

267,211

 

USD

 

2,431

 

 

J.P. Morgan Securities, Inc.

 

December 19, 2013

 

7,666,000

 

PHP

 

177,948

 

USD

 

635

 

 

J.P. Morgan Securities, Inc.

 

December 19, 2013

 

8,343,000

 

THB

 

267,266

 

USD

 

12

 

 

J.P. Morgan Securities, Inc.

 

December 19, 2013

 

39,268,000

 

TWD

 

1,338,150

 

USD

 

3,517

 

 

J.P. Morgan Securities, Inc.

 

December 19, 2013

 

1,476,651

 

USD

 

1,557,000

 

AUD

 

 

(9,636

)

J.P. Morgan Securities, Inc.

 

December 19, 2013

 

1,327,633

 

USD

 

1,200,000

 

CHF

 

 

(4,577

)

J.P. Morgan Securities, Inc.

 

December 19, 2013

 

221,083

 

USD

 

162,000

 

EUR

 

 

(1,110

)

J.P. Morgan Securities, Inc.

 

December 19, 2013

 

1,114,979

 

USD

 

695,000

 

GBP

 

 

(1,016

)

J.P. Morgan Securities, Inc.

 

December 19, 2013

 

2,229,451

 

USD

 

219,046,000

 

JPY

 

 

(1,112

)

J.P. Morgan Securities, Inc.

 

December 19, 2013

 

179,470

 

USD

 

217,000

 

NZD

 

 

(812

)

J.P. Morgan Securities, Inc.

 

December 19, 2013

 

441,700

 

USD

 

2,851,000

 

SEK

 

 

(2,242

)

J.P. Morgan Securities, Inc.

 

December 19, 2013

 

178,486

 

USD

 

221,000

 

SGD

 

 

(570

)

Total

 

 

 

 

 

 

 

 

 

 

 

166,769

 

(108,618

)

 

Futures Contracts Outstanding at October 31, 2013

 

At October 31, 2013, cash totaling $32,100 was pledged as collateral to cover initial margin requirements on open futures contracts.

 

Contract Description

 

Number of Contracts
Long (Short)

 

Trading
Currency

 

Notional Market
Value ($)

 

Expiration Date

 

Unrealized
Appreciation ($)

 

Unrealized
Depreciation ($)

 

E-Mini MSCI EAFE Index

 

6

 

USD

 

562,590

 

December 2013

 

29,090

 

 

 

Notes to Portfolio of Investments

 

(a)                                     As defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of its outstanding voting securities, or a company which is under common ownership or control with the Fund. Holdings and transactions in these affiliated companies during the period ended October 31, 2013, are as follows:

 


 

Issuer

 

Beginning
Cost ($)

 

Purchase
Cost ($)

 

Proceeds
from Sales ($)

 

Realized Gain
(Loss) ($)

 

Ending Cost
($)

 

Dividends -
Affiliated
Issuers ($)

 

Value ($)

 

Columbia Acorn International, Class I Shares

 

1,236,019

 

64,359

 

(599,463

)

266,824

 

967,739

 

24,514

 

2,186,817

 

Columbia Emerging Markets Fund, Class I Shares

 

5,041,461

 

457,253

 

(3,118,403

)

(272,682

)

2,107,629

 

 

2,164,921

 

Columbia European Equity Fund, Class I Shares

 

26,769,511

 

469,148

 

(7,772,537

)

962,342

 

20,428,464

 

 

26,250,272

 

Columbia Pacific/Asia Fund, Class I Shares

 

12,123,953

 

3,187,732

 

(3,203,728

)

(13,137

)

12,094,820

 

150,791

 

13,066,866

 

Columbia Short-Term Cash Fund

 

494,965

 

664,218

 

(621,310

)

 

537,873

 

427

 

537,873

 

Total

 

45,665,909

 

4,842,710

 

(15,315,441

)

943,347

 

36,136,525

 

175,732

 

44,206,749

 

 

(b)                                     The rate shown is the seven-day current annualized yield at October 31, 2013.

(c)                                     At October 31, 2013, the cost of securities for federal income tax purposes was approximately $36,137,000 and the approximate aggregate gross unrealized appreciation and depreciation based on that cost was:

 

Unrealized Appreciation

 

$

8,070,000

 

Unrealized Depreciation

 

 

Net Unrealized Appreciation

 

$

8,070,000

 

 

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

 

Currency Legend

 

 

AUD

Australian Dollar

CAD

Canadian Dollar

CHF

Swiss Franc

EUR

Euro

GBP

British Pound

JPY

Japanese Yen

KRW

Korean Won

MYR

Malaysia Ringgits

NOK

Norwegian Krone

NZD

New Zealand Dollar

PHP

Philippine Peso

SEK

Swedish Krona

SGD

Singapore Dollar

THB

Thailand Baht

TWD

Taiwan Dollar

USD

US Dollar

 

Fair Value Measurements

 

 

Generally accepted accounting principles (GAAP) require disclosure regarding the inputs and valuation techniques used to measure fair value and any changes in valuation inputs or techniques. In addition, investments shall be disclosed by major category. 

 

The Fund categorizes its fair value measurements according to a three-level hierarchy that maximizes the use of observable inputs and minimizes the use of unobservable inputs by prioritizing that the most observable input be used when available.  Observable inputs are those that market participants would use in pricing an investment based on market data obtained from sources independent of the reporting entity. Unobservable inputs are those that reflect the Fund’s assumptions about the information market participants would use in pricing an investment. An investment’s level within the fair value hierarchy is based on the lowest level of any input that is deemed significant to the asset or liability’s fair value measurement. The input levels are not necessarily an indication of the risk or liquidity associated with investments at that level. For example, certain U.S. government securities are generally high quality and liquid, however, they are reflected as Level 2 because the inputs used to determine fair value may not always be quoted prices in an active market.

 


 

Fair value inputs are summarized in the three broad levels listed below:

 

·                  Level 1 - Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date (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 may rely on one or more significant unobservable inputs and/or significant assumptions by the Investment Manager.  Inputs used in valuations may include, but are not limited to, financial statement analysis, capital account balances, discount rates and estimated cash flows, and comparable company data.

 

Under the direction of the Fund’s Board of Trustees (the Board), the Investment Manager’s Valuation Committee (the Committee) is responsible for 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 or are not readily available, including recommendations of third party pricing vendors and a determination of appropriate pricing methodologies; events that require specific valuation determinations and assessment of fair value techniques; securities with a potential for stale pricing, including those that are illiquid, restricted, or in default; and the effectiveness of third- party pricing vendors, including periodic reviews of vendors.  The Committee meets more frequently, as needed, to discuss additional valuation matters, which may include the need to review back-testing results, review time-sensitive information or approve related valuation actions.  The Committee reports to the Board, with members of the Committee meeting with the Board at each of its regularly scheduled meetings to discuss valuation matters and actions during the period, similar to those described earlier.

 

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

 

The following table is a summary of the inputs used to value the Fund’s investments at October 31, 2013:

 


 

Description

Level 1

Level 2

Level 3

 

 

Quoted Prices in

Other Significant

Significant

 

 

Active Markets for

Observable

Unobservable

 

 

Identical Assets ($)

Inputs ($)

Inputs ($)

Total ($)

Mutual Funds

 

 

 

 

Equity Funds

43,668,876

43,668,876

Money Market Funds

537,873

537,873

Total Mutual Funds

44,206,749

44,206,749

Derivatives

 

 

 

 

Assets

 

 

 

 

Forward Foreign Currency Exchange Contracts

166,769

166,769

Futures Contracts

29,090

29,090

Liabilities

 

 

 

 

Forward Foreign Currency Exchange Contracts

(108,618)

(108,618)

Total

44,235,839

58,151

44,293,990

 

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

 

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

 

Derivative instruments are valued at unrealized appreciation (depreciation).

 


 

Item  2. Controls and Procedures.

 

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

 

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

 

Item 3. Exhibits.

 

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

 


 


 

SIGNATURES

 

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

 

(registrant)

 

Columbia Funds Series Trust

 

 

 

 

 

 

 

 

 

By (Signature and Title)

 

/s/ J. Kevin Connaughton

 

 

 

J. Kevin Connaughton, President and Principal Executive Officer

 

 

 

 

 

 

 

 

 

Date

 

December 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

 

December 19, 2013

 

 

 

 

 

 

 

 

 

By (Signature and Title)

 

/s/ Michael G. Clarke

 

 

 

Michael G. Clarke, Treasurer and Chief Financial Officer

 

 

 

 

 

 

 

 

 

Date

 

December 19, 2013