N-Q 1 a14-3189_2nq.htm N-Q

 

 

 

OMB APPROVAL

 

 

OMB Number:

3235-0578

 

 

Expires:

January 31, 2016

 

UNITED STATES

Estimated average burden hours per response. . . . . . . . . . . . . 10.5

 

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:

March 31

 

 

Date of reporting period:

December 31, 2013

 

 


 

Item 1. Schedule of Investments.

 

 


 

Portfolio of Investments

Columbia Short Term Bond Fund

December 31, 2013 (Unaudited)

(Percentages represent value of investments compared to net assets)

 


 

Issuer

 

Coupon
Rate

 

Principal
Amount

 

Value

 

 

 

 

 

 

 

 

 

Corporate Bonds & Notes 30.3%

 

Aerospace & Defense 0.3%

 

 

 

 

 

 

 

L-3 Communications Corp.

 

 

 

 

 

 

 

11/15/16

 

3.950%

 

$

8,000,000

 

$

8,488,832

 

Automotive 0.3%

 

 

 

 

 

 

 

Ford Motor Credit Co. LLC
Senior Unsecured

 

 

 

 

 

 

 

01/16/18

 

2.375%

 

9,200,000

 

9,291,632

 

Banking 8.9%

 

 

 

 

 

 

 

BNP Paribas SA
Senior Unsecured (a)

 

 

 

 

 

 

 

12/12/16

 

0.832%

 

9,550,000

 

9,563,943

 

Bank of America Corp.
Senior Unsecured (a)

 

 

 

 

 

 

 

03/22/16

 

1.066%

 

17,500,000

 

17,596,943

 

Bank of Montreal
Senior Unsecured (a)

 

 

 

 

 

 

 

07/15/16

 

0.764%

 

9,580,000

 

9,618,588

 

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

 

 

 

 

 

10/23/15

 

0.469%

 

10,000,000

 

10,005,780

 

Branch Banking & Trust Co.
Senior Unsecured (a)

 

 

 

 

 

 

 

12/01/16

 

0.667%

 

10,125,000

 

10,118,947

 

Canadian Imperial Bank of Commerce
Senior Unsecured (a)

 

 

 

 

 

07/18/16

 

0.766%

 

7,725,000

 

7,756,224

 

Capital One Financial Corp.
Senior Unsecured (a)

 

 

 

 

 

 

 

11/06/15

 

0.878%

 

10,000,000

 

10,026,160

 

Citigroup, Inc.
Senior Unsecured

 

 

 

 

 

 

 

06/15/16

 

3.953%

 

16,840,000

 

17,916,110

 

Goldman Sachs Group, Inc. (The)
Senior Unsecured

 

 

 

 

 

02/07/16

 

3.625%

 

14,500,000

 

15,217,460

 

HSBC USA, Inc.
Senior Unsecured

 

 

 

 

 

 

 

02/13/15

 

2.375%

 

9,000,000

 

9,183,303

 

ING Bank NV
Senior Unsecured (a)(b)

 

 

 

 

 

 

 

09/25/15

 

1.886%

 

9,600,000

 

9,807,072

 

JPMorgan Chase & Co.
Senior Unsecured

 

 

 

 

 

 

 

07/05/16

 

3.150%

 

19,220,000

 

20,149,902

 

KeyCorp
Senior Unsecured

 

 

 

 

 

 

 

08/13/15

 

3.750%

 

6,500,000

 

6,798,674

 

 

Issuer

 

Coupon
Rate

 

Principal
Amount

 

Value

 

 

 

 

 

 

 

 

 

Corporate Bonds & Notes (continued)

 

Banking (continued)

 

 

 

 

 

 

 

Lloyds Bank PLC
Bank Guaranteed

 

 

 

 

 

 

 

03/28/17

 

4.200%

 

$

8,500,000

 

$

9,172,520

 

Morgan Stanley
Senior Unsecured

 

 

 

 

 

 

 

04/29/16

 

3.800%

 

10,650,000

 

11,265,889

 

PNC Bank National Association
Senior Unsecured (a)

 

 

 

 

 

01/28/16

 

0.548%

 

9,130,000

 

9,141,613

 

Royal Bank of Canada
Senior Unsecured (a)

 

 

 

 

 

 

 

09/09/16

 

0.702%

 

9,100,000

 

9,138,994

 

Royal Bank of Scotland Group PLC
Senior Unsecured

 

 

 

 

 

09/18/15

 

2.550%

 

7,600,000

 

7,772,953

 

Toronto-Dominion Bank (The)
Senior Unsecured

 

 

 

 

 

09/09/16

 

1.500%

 

9,500,000

 

9,616,698

 

U.S. Bank
Subordinated Notes (a)

 

 

 

 

 

 

 

04/29/20

 

3.778%

 

12,000,000

 

12,418,320

 

Wachovia Corp.
Senior Unsecured (a)

 

 

 

 

 

 

 

06/15/17

 

0.513%

 

16,435,000

 

16,307,481

 

Total

 

 

 

 

 

238,593,574

 

Chemicals 0.3%

 

 

 

 

 

 

 

Eastman Chemical Co.
Senior Unsecured

 

 

 

 

 

 

 

06/01/17

 

2.400%

 

7,100,000

 

7,176,084

 

Construction Machinery 0.5%

 

 

 

 

 

Caterpillar Financial Services Corp.
Senior Unsecured

 

 

 

 

 

05/29/15

 

1.100%

 

7,865,000

 

7,928,368

 

John Deere Capital Corp.
Senior Unsecured (a)

 

 

 

 

 

 

 

10/11/16

 

0.536%

 

5,430,000

 

5,435,979

 

Total

 

 

 

 

 

13,364,347

 

Diversified Manufacturing 0.3%

 

 

 

 

 

United Technologies Corp.
Senior Unsecured (a)

 

 

 

 

 

 

 

06/01/15

 

0.739%

 

7,875,000

 

7,924,384

 

Electric 0.9%

 

 

 

 

 

 

 

National Rural Utilities Cooperative Finance Corp.

 

 

 

03/01/16

 

3.050%

 

1,000,000

 

1,040,769

 

 


 

 


 


 

Issuer

 

Coupon
Rate

 

Principal
Amount

 

Value

 

 

 

 

 

 

 

 

 

Corporate Bonds & Notes (continued)

 

Electric (continued)

 

 

 

 

 

 

 

Nevada Power Co.

 

 

 

 

 

 

 

03/15/16

 

5.950%

 

$

7,275,000

 

$

8,037,275

 

Progress Energy, Inc.
Senior Unsecured

 

 

 

 

 

 

 

01/15/16

 

5.625%

 

5,579,000

 

6,072,875

 

Sierra Pacific Power Co.

 

 

 

 

 

 

 

05/15/16

 

6.000%

 

327,000

 

365,023

 

Southern California Edison Co.
1st Refunding Mortgage (a)

 

 

 

 

 

09/15/14

 

0.693%

 

845,000

 

846,981

 

TransAlta Corp.
Senior Unsecured

 

 

 

 

 

 

 

01/15/15

 

4.750%

 

6,795,000

 

7,040,178

 

Total

 

 

 

 

 

23,403,101

 

Food and Beverage 1.9%

 

 

 

 

 

 

 

Anheuser-Busch InBev Worldwide, Inc. (a)

 

 

 

07/14/14

 

0.603%

 

8,375,000

 

8,391,432

 

Bacardi Ltd. (b)

 

 

 

 

 

 

 

04/01/14

 

7.450%

 

6,200,000

 

6,303,490

 

ConAgra Foods, Inc.
Senior Unsecured

 

 

 

 

 

 

 

06/15/17

 

5.819%

 

7,533,000

 

8,489,646

 

Diageo Finance BV

 

 

 

 

 

 

 

01/15/15

 

3.250%

 

2,000,000

 

2,057,374

 

FBG Finance Pty Ltd. (b)

 

 

 

 

 

 

 

06/15/15

 

5.125%

 

5,750,000

 

6,100,554

 

General Mills, Inc.
Senior Unsecured (a)

 

 

 

 

 

 

 

01/29/16

 

0.537%

 

7,000,000

 

7,006,062

 

Kraft Foods Group, Inc.
Senior Unsecured

 

 

 

 

 

 

 

06/04/15

 

1.625%

 

7,200,000

 

7,291,447

 

PepsiCo, Inc.
Senior Notes (a)

 

 

 

 

 

 

 

02/26/16

 

0.447%

 

4,960,000

 

4,963,279

 

Total

 

 

 

 

 

50,603,284

 

Gas Pipelines 2.1%

 

 

 

 

 

 

 

Enterprise Products Operating LLC

 

 

 

 

 

02/01/16

 

3.200%

 

7,638,000

 

7,967,442

 

NiSource Finance Corp.

 

 

 

 

 

 

 

01/15/19

 

6.800%

 

6,144,000

 

7,150,338

 

Plains All American Pipeline LP/Finance Corp.
Senior Unsecured

 

 

 

08/15/16

 

5.875%

 

6,000,000

 

6,611,610

 

Southern Natural Gas Co. LLC
Senior Unsecured (b)

 

 

 

 

 

04/01/17

 

5.900%

 

8,365,000

 

9,374,488

 

 

Issuer

 

Coupon
Rate

 

Principal
Amount

 

Value

 

 

 

 

 

 

 

 

 

Corporate Bonds & Notes (continued)

 

Gas Pipelines (continued)

 

 

 

 

 

 

 

Tennessee Gas Pipeline Co. LLC
Senior Unsecured

 

 

 

 

 

04/01/17

 

7.500%

 

$

5,500,000

 

$

6,400,911

 

TransCanada PipeLines Ltd.
Senior Unsecured (a)

 

 

 

 

 

 

 

06/30/16

 

0.927%

 

11,000,000

 

11,103,378

 

Williams Partners LP/Finance Corp.
Senior Unsecured

 

 

 

 

 

02/01/17

 

7.250%

 

7,000,000

 

8,071,987

 

Total

 

 

 

 

 

56,680,154

 

Health Care 0.8%

 

 

 

 

 

 

 

Cardinal Health, Inc.
Senior Unsecured

 

 

 

 

 

 

 

06/15/15

 

4.000%

 

6,770,000

 

7,085,306

 

McKesson Corp.
Senior Unsecured

 

 

 

 

 

 

 

12/04/15

 

0.950%

 

7,000,000

 

6,995,499

 

Medco Health Solutions, Inc.

 

 

 

 

 

 

 

09/15/15

 

2.750%

 

7,000,000

 

7,207,689

 

Total

 

 

 

 

 

21,288,494

 

Independent Energy 1.5%

 

 

 

 

 

 

 

Anadarko Petroleum Corp.
Senior Unsecured

 

 

 

 

 

 

 

09/15/16

 

5.950%

 

6,000,000

 

6,684,390

 

Devon Energy Corp.
Senior Unsecured

 

 

 

 

 

 

 

05/15/17

 

1.875%

 

6,896,000

 

6,946,230

 

EnCana Corp.
Senior Unsecured

 

 

 

 

 

 

 

12/01/17

 

5.900%

 

6,200,000

 

7,036,082

 

Pioneer Natural Resources Co.
Senior Unsecured

 

 

 

 

 

03/15/17

 

6.650%

 

5,588,000

 

6,371,399

 

Southwestern Energy Co.

 

 

 

 

 

 

 

02/01/18

 

7.500%

 

6,100,000

 

7,226,829

 

Woodside Finance Ltd. (b)

 

 

 

 

 

 

 

11/10/14

 

4.500%

 

7,225,000

 

7,440,756

 

Total

 

 

 

 

 

41,705,686

 

Integrated Energy 0.3%

 

 

 

 

 

 

 

BP Capital Markets PLC (a)

 

 

 

 

 

 

 

11/07/16

 

0.658%

 

9,500,000

 

9,524,309

 

Life Insurance 1.1%

 

 

 

 

 

 

 

Hartford Financial Services Group, Inc.
Senior Unsecured

 

 

 

 

 

01/15/19

 

6.000%

 

5,500,000

 

6,308,038

 

 


 

 


 


 

Issuer

 

Coupon
Rate

 

Principal
Amount

 

Value

 

 

 

 

 

 

 

 

 

Corporate Bonds & Notes (continued)

 

Life Insurance (continued)

 

 

 

 

 

 

 

Lincoln National Corp.
Senior Unsecured

 

 

 

 

 

 

 

02/15/14

 

4.750%

 

$

5,285,000

 

$

5,311,033

 

Metropolitan Life Global Funding I
Secured (a)(b)

 

 

 

 

 

07/15/16

 

0.774%

 

9,250,000

 

9,301,235

 

Prudential Covered Trust
Secured (b)

 

 

 

 

 

 

 

09/30/15

 

2.997%

 

8,772,000

 

9,043,748

 

Total

 

 

 

 

 

29,964,054

 

Media Cable 1.1%

 

 

 

 

 

 

 

DIRECTV Holdings LLC/Financing Co., Inc.

 

 

 

02/15/16

 

3.125%

 

9,500,000

 

9,882,119

 

NBCUniversal Enterprise, Inc. (a)(b)

 

 

 

 

 

04/15/16

 

0.781%

 

10,875,000

 

10,909,057

 

Time Warner Cable, Inc.

 

 

 

 

 

 

 

02/01/20

 

5.000%

 

7,600,000

 

7,724,638

 

Total

 

 

 

 

 

28,515,814

 

Media Non-Cable 0.7%

 

 

 

 

 

 

 

21st Century Fox America, Inc.

 

 

 

 

 

12/15/14

 

5.300%

 

6,500,000

 

6,787,430

 

TCM Sub LLC (b)

 

 

 

 

 

 

 

01/15/15

 

3.550%

 

6,605,000

 

6,791,598

 

Thomson Reuters Corp.
Senior Unsecured

 

 

 

 

 

 

 

05/23/16

 

0.875%

 

4,695,000

 

4,661,961

 

Total

 

 

 

 

 

18,240,989

 

Metals 0.2%

 

 

 

 

 

 

 

Vale Overseas Ltd.

 

 

 

 

 

 

 

01/23/17

 

6.250%

 

2,900,000

 

3,216,497

 

Vale Overseas Ltd

 

 

 

 

 

 

 

01/11/16

 

6.250%

 

3,100,000

 

3,375,125

 

Total

 

 

 

 

 

6,591,622

 

Non-Captive Diversified 0.8%

 

 

 

 

 

General Electric Capital Corp. (a)

 

 

 

 

 

Senior Secured

 

 

 

 

 

 

 

12/11/15

 

0.843%

 

16,955,000

 

17,084,638

 

Senior Unsecured

 

 

 

 

 

 

 

01/08/16

 

0.440%

 

5,254,000

 

5,228,839

 

Total

 

 

 

 

 

22,313,477

 

Oil Field Services 0.8%

 

 

 

 

 

 

 

Halliburton Co.
Senior Unsecured

 

 

 

 

 

 

 

08/01/16

 

1.000%

 

11,200,000

 

11,218,626

 

 

Issuer

 

Coupon
Rate

 

Principal
Amount

 

Value

 

 

 

 

 

 

 

 

 

Corporate Bonds & Notes (continued)

 

Oil Field Services (continued)

 

 

 

 

 

Weatherford International Ltd.

 

 

 

 

 

03/15/18

 

6.000%

 

$

8,245,000

 

$

9,253,256

 

Total

 

 

 

 

 

20,471,882

 

Pharmaceuticals 0.6%

 

 

 

 

 

 

 

AbbVie, Inc.
Senior Unsecured

 

 

 

 

 

 

 

11/06/15

 

1.200%

 

6,500,000

 

6,566,066

 

Amgen, Inc.
Senior Unsecured

 

 

 

 

 

 

 

06/15/16

 

2.300%

 

8,375,000

 

8,634,851

 

Total

 

 

 

 

 

15,200,917

 

Property & Casualty 1.2%

 

 

 

 

 

 

 

Berkshire Hathaway, Inc.
Senior Unsecured (a)

 

 

 

 

 

 

 

08/15/14

 

0.941%

 

8,000,000

 

8,034,760

 

CNA Financial Corp.
Senior Unsecured

 

 

 

 

 

 

 

08/15/16

 

6.500%

 

6,950,000

 

7,816,380

 

Liberty Mutual Group, Inc.
Senior Unsecured (b)

 

 

 

 

 

 

 

08/15/16

 

6.700%

 

7,175,000

 

8,106,049

 

Transatlantic Holdings, Inc.
Senior Unsecured

 

 

 

 

 

 

 

12/14/15

 

5.750%

 

6,622,000

 

7,178,202

 

Total

 

 

 

 

 

31,135,391

 

Refining 0.3%

 

 

 

 

 

 

 

Marathon Petroleum Corp.
Senior Unsecured

 

 

 

 

 

 

 

03/01/16

 

3.500%

 

6,903,000

 

7,208,258

 

REITs 1.0%

 

 

 

 

 

 

 

Boston Properties LP
Senior Unsecured

 

 

 

 

 

 

 

11/15/18

 

3.700%

 

5,888,000

 

6,213,019

 

Duke Realty LP

 

 

 

 

 

 

 

02/15/15

 

7.375%

 

5,679,000

 

6,074,389

 

Kimco Realty Corp.
Senior Unsecured

 

 

 

 

 

 

 

02/01/18

 

4.300%

 

6,000,000

 

6,455,688

 

Simon Property Group LP
Senior Unsecured

 

 

 

 

 

 

 

03/01/17

 

5.875%

 

8,500,000

 

9,533,150

 

Total

 

 

 

 

 

28,276,246

 

 


 

 


 


 

Issuer

 

Coupon
Rate

 

Principal
Amount

 

Value

 

 

 

 

 

 

 

 

 

Corporate Bonds & Notes (continued)

 

Restaurants 0.3%

 

 

 

 

 

 

 

Yum! Brands, Inc.
Senior Unsecured

 

 

 

 

 

 

 

04/15/16

 

6.250%

 

$

6,605,000

 

$

7,324,687

 

Technology 1.6%

 

 

 

 

 

 

 

Apple, Inc.
Senior Unsecured (a)

 

 

 

 

 

 

 

05/03/16

 

0.292%

 

10,710,000

 

10,707,730

 

Cisco Systems, Inc.
Senior Unsecured (a)

 

 

 

 

 

 

 

03/14/14

 

0.493%

 

6,600,000

 

6,604,264

 

Hewlett-Packard Co.
Senior Unsecured

 

 

 

 

 

 

 

06/01/16

 

2.650%

 

7,700,000

 

7,933,941

 

International Business Machines Corp.
Senior Unsecured

 

 

 

 

 

07/22/16

 

1.950%

 

9,300,000

 

9,554,327

 

Oracle Corp.
Senior Unsecured

 

 

 

 

 

 

 

07/08/14

 

3.750%

 

9,000,000

 

9,155,376

 

Total

 

 

 

 

 

43,955,638

 

Transportation Services 0.4%

 

 

 

 

 

ERAC U.S.A. Finance LLC (b)

 

 

 

 

 

10/15/17

 

6.375%

 

8,275,000

 

9,592,501

 

Wireless 0.2%

 

 

 

 

 

 

 

America Movil SAB de CV

 

 

 

 

 

 

 

03/01/14

 

5.500%

 

5,670,000

 

5,711,828

 

Wirelines 1.9%

 

 

 

 

 

 

 

AT&T, Inc.
Senior Unsecured (a)

 

 

 

 

 

 

 

02/12/16

 

0.624%

 

2,735,000

 

2,729,713

 

Deutsche Telekom International Finance BV (b)

 

 

 

04/11/16

 

3.125%

 

6,650,000

 

6,926,188

 

Orange SA
Senior Unsecured

 

 

 

 

 

 

 

09/14/16

 

2.750%

 

6,995,000

 

7,263,944

 

Southwestern Bell Telephone LP

 

 

 

 

 

07/01/15

 

7.000%

 

10,200,000

 

11,104,934

 

Telefonica Emisiones SAU

 

 

 

 

 

 

 

04/27/18

 

3.192%

 

9,000,000

 

9,165,753

 

 

Issuer

 

Coupon
Rate

 

Principal
Amount

 

Value

 

 

 

 

 

 

 

 

 

Corporate Bonds & Notes (continued)

 

Wirelines (continued)

 

 

 

 

 

 

 

Verizon Communications, Inc.
Senior Unsecured

 

 

 

 

 

11/02/15

 

0.700%

 

$

13,204,000

 

$

13,180,784

 

Total

 

 

 

 

 

50,371,316

 

Total Corporate Bonds & Notes
(Cost: $803,991,710)

 

 

 

$

812,918,501

 

 

 

 

 

 

 

 

 

Residential Mortgage-Backed Securities - Agency 8.1%

 

Federal Home Loan Mortgage Corp. (a)(c)

 

 

 

 

 

04/01/35

 

2.254%

 

343,637

 

363,292

 

03/01/34

 

2.354%

 

410,325

 

434,440

 

01/01/37

 

2.399%

 

494,946

 

526,561

 

08/01/36

 

2.445%

 

204,838

 

217,187

 

07/01/36

 

2.485%

 

10,677

 

11,181

 

09/01/37

 

2.633%

 

518,981

 

549,518

 

01/01/36

 

2.747%

 

916,169

 

968,440

 

12/01/36

 

6.084%

 

224,990

 

237,728

 

Federal Home Loan Mortgage Corp. (c)

 

 

 

 

 

11/01/25-03/01/27

 

3.000%

 

3,224,584

 

3,287,148

 

04/01/21-08/01/27

 

3.500%

 

44,661,779

 

46,649,269

 

05/01/24-07/01/26

 

4.000%

 

13,968,538

 

14,750,144

 

03/01/19-10/01/24

 

4.500%

 

3,549,107

 

3,806,802

 

11/01/17-07/01/25

 

5.000%

 

10,601,234

 

11,431,624

 

05/01/17-02/01/24

 

5.500%

 

7,325,397

 

7,949,740

 

03/01/17-10/01/21

 

6.000%

 

740,733

 

800,421

 

04/01/17

 

6.500%

 

2,129,916

 

2,253,858

 

09/01/15

 

7.500%

 

3,195

 

3,226

 

CMO Series 2467 Class NB

 

 

 

 

 

07/15/17

 

5.000%

 

1,853,156

 

1,953,152

 

Federal Home Loan Mortgage Corp. (c)(d)

 

 

 

 

 

CMO IO Series 11 Class B

 

 

 

 

 

01/01/20

 

10.000%

 

2,897

 

676

 

Federal National Mortgage Association (a)(c)

 

 

 

 

06/01/37

 

1.189%

 

1,039,945

 

1,075,829

 

07/01/33

 

1.787%

 

93,707

 

96,603

 

06/01/33

 

1.796%

 

945,688

 

983,360

 

04/01/36

 

1.925%

 

202,347

 

214,646

 

11/01/34

 

1.977%

 

250,967

 

267,430

 

04/01/36

 

2.162%

 

1,390,704

 

1,483,303

 

01/01/35

 

2.229%

 

508,604

 

541,663

 

07/01/34

 

2.255%

 

780,441

 

833,901

 

04/01/34

 

2.323%

 

677,270

 

718,801

 

08/01/35

 

2.347%

 

615,668

 

654,963

 

10/01/35

 

2.405%

 

450,932

 

470,166

 

09/01/37

 

2.407%

 

234,267

 

248,213

 

03/01/34

 

2.473%

 

578,460

 

619,446

 

06/01/34

 

2.500%

 

524,500

 

554,097

 

 


 

 


 


 

Issuer

 

Coupon
Rate

 

Principal
Amount

 

Value

 

 

 

 

 

 

 

 

 

Residential Mortgage-Backed Securities - Agency (continued)

 

06/01/35

 

2.535%

 

$

628,375

 

$

670,337

 

08/01/36

 

2.564%

 

146,504

 

156,529

 

07/01/35

 

2.662%

 

659,689

 

703,280

 

04/01/36

 

2.704%

 

164,326

 

174,337

 

09/01/37

 

6.165%

 

56,767

 

60,463

 

CMO Series 2003-W11 Class A1

 

 

 

 

 

06/25/33

 

3.293%

 

36,597

 

36,165

 

Federal National Mortgage Association (c)

 

 

 

 

 

10/01/20-01/01/27

 

3.500%

 

7,733,586

 

8,095,653

 

03/01/20-02/01/27

 

4.000%

 

30,164,409

 

31,978,539

 

07/01/22-03/01/25

 

5.000%

 

6,769,041

 

7,327,318

 

08/01/17-01/01/25

 

5.500%

 

23,722,909

 

25,862,138

 

06/01/17-11/01/17

 

6.000%

 

4,643,839

 

4,897,293

 

08/01/14

 

6.500%

 

24,423

 

24,553

 

06/01/17-08/01/17

 

7.000%

 

162,464

 

171,926

 

08/01/15

 

7.500%

 

4,647

 

4,790

 

Federal National Mortgage Association (c)(d)

 

 

 

CMO IO STRIPS Series 163 Class 2

 

 

 

 

 

07/25/22

 

8.500%

 

112,876

 

12,698

 

CMO IO STRIPS Series 36 Class 2

 

 

 

 

 

08/01/18

 

9.500%

 

1,208

 

204

 

Federal National Mortgage Association (c)(e)

 

 

 

CMO PO Series G-15 Class A

 

 

 

 

 

06/25/21

 

0.000%

 

8,086

 

7,837

 

Federal National Mortgage Association (c)(f)

 

 

 

01/16/29

 

3.000%

 

13,000,000

 

13,266,601

 

01/16/29

 

4.000%

 

17,480,000

 

18,521,972

 

Government National Mortgage Association (a)(c)

 

 

 

04/20/22-03/20/30

 

1.625%

 

942,979

 

976,430

 

07/20/18

 

3.000%

 

90,406

 

93,860

 

Government National Mortgage Association (c)

 

 

 

09/15/14-09/20/21

 

6.000%

 

204,175

 

218,544

 

03/15/32-11/15/33

 

6.500%

 

159,609

 

178,173

 

04/15/29-08/15/29

 

7.000%

 

30,671

 

31,542

 

Total Residential Mortgage-Backed Securities - Agency
(Cost: $215,400,508)

 

$

218,428,010

 

 

 

 

 

 

 

 

 

Residential Mortgage-Backed Securities - Non-Agency 3.1%

 

BCAP LLC Trust (a)(b)(c)

 

 

 

 

 

 

 

CMO Series 2010-RR2 Class 5A1

 

 

 

 

 

12/26/36

 

5.000%

 

4,152,938

 

4,209,272

 

CMO Series 2010-RR4 Class 32A1

 

 

 

 

 

01/26/37

 

4.000%

 

2,581,851

 

2,597,708

 

 

Issuer

 

Coupon
Rate

 

Principal
Amount

 

Value

 

 

 

 

 

 

 

 

 

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

 

Banc of America Funding Corp.
CMO Series 2010-R4 Class 4A1 (a)(b)(c)

 

 

 

06/26/37

 

0.375%

 

$

29,292

 

$

29,259

 

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

 

 

 

07/28/32

 

3.475%

 

1,320,751

 

1,324,431

 

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

 

 

 

 

03/25/34

 

0.565%

 

25,288

 

24,986

 

Credit Suisse Mortgage Capital Certificates (a)(b)(c)

 

 

 

CMO Series 2009-12R Class 25A1

 

 

 

 

 

10/27/37

 

3.289%

 

927,687

 

927,424

 

CMO Series 2009-9R Class 12A1

 

 

 

 

 

08/26/35

 

5.330%

 

6,976,743

 

7,375,420

 

JPMorgan Resecuritization Trust (a)(b)(c)

 

 

 

CMO Series 2010-2 Class 2A1

 

 

 

 

 

03/21/37

 

2.615%

 

406,286

 

405,362

 

CMO Series 2010-4 Class 3A2

 

 

 

 

 

04/26/35

 

4.500%

 

7,887,392

 

8,188,434

 

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

 

 

 

05/26/47

 

0.295%

 

2,142,377

 

2,122,570

 

Residential Asset Mortgage Products, Inc.
Series 2005-RS2 Class M1 (a)(c)

 

 

 

 

 

02/25/35

 

0.615%

 

5,039,302

 

5,025,767

 

Springleaf Mortgage Loan Trust (a)(b)(c)

 

 

 

 

 

CMO Series 2012-1A Class A

 

 

 

 

 

09/25/57

 

2.667%

 

5,162,027

 

5,274,621

 

CMO Series 2012-2A Class A

 

 

 

 

 

10/25/57

 

2.220%

 

2,976,104

 

2,972,702

 

CMO Series 2012-3A Class A

 

 

 

 

 

12/25/59

 

1.570%

 

11,386,366

 

11,253,026

 

CMO Series 2013-1A Class A

 

 

 

 

 

06/25/58

 

1.270%

 

9,438,428

 

9,391,113

 

CMO Series 2013-2A Class A

 

 

 

 

 

12/25/65

 

1.780%

 

7,066,305

 

7,046,462

 

CMO Series 2013-3A Class A

 

 

 

 

 

09/25/57

 

1.870%

 

12,467,885

 

12,433,210

 

Wells Fargo Mortgage Loan Trust
CMO Series 2010-RR4 Class 1A1 (a)(b)(c)

 

 

 

12/27/46

 

2.684%

 

3,271,377

 

3,262,020

 

Total Residential Mortgage-Backed Securities - Non-Agency
(Cost: $83,550,988)

 

$

83,863,787

 

 

 

 

 

 

 

 

 

Commercial Mortgage-Backed Securities - Agency 14.0%

 

Federal Home Loan Mortgage Corp.
Multifamily Structured Pass-Through Certificates
Series K001 Class A2 (a)(c)

 

 

 

04/25/16

 

5.651%

 

2,393,292

 

2,600,968

 

 


 

 


 


 

Issuer

 

Coupon
Rate

 

Principal
Amount

 

Value

 

 

 

 

 

 

 

 

 

Commercial Mortgage-Backed Securities - Agency (continued)

 

Federal National Mortgage Association
Series 2010-M4 Class A1 (c)

 

 

 

 

 

06/25/20

 

2.520%

 

$

676,174

 

$

689,799

 

Government National Mortgage Association (a)(c)

 

 

 

Series 2013-50 Class AH

 

 

 

 

 

06/16/39

 

2.100%

 

12,523,677

 

12,578,743

 

Government National Mortgage Association (c)

 

 

 

Series 2009-114 Class A

 

 

 

 

 

 

 

12/16/38

 

3.103%

 

602,344

 

606,015

 

Series 2009-71 Class A

 

 

 

 

 

 

 

04/16/38

 

3.304%

 

538,490

 

539,983

 

Series 2010-141 Class A

 

 

 

 

 

 

 

08/16/31

 

1.864%

 

1,384,470

 

1,389,656

 

Series 2010-159 Class A

 

 

 

 

 

 

 

01/16/33

 

2.159%

 

1,231,966

 

1,236,975

 

Series 2010-18 Class A

 

 

 

 

 

 

 

12/16/50

 

3.100%

 

114,193

 

114,305

 

Series 2010-49 Class A

 

 

 

 

 

 

 

03/16/51

 

2.870%

 

219,840

 

219,496

 

Series 2011-1 Class A

 

 

 

 

 

 

 

12/16/31

 

2.239%

 

1,462,213

 

1,466,280

 

Series 2011-120 Class AB

 

 

 

 

 

08/16/33

 

2.400%

 

10,575,735

 

10,675,729

 

Series 2011-144 Class AB

 

 

 

 

 

07/16/35

 

2.012%

 

4,043,278

 

4,061,566

 

Series 2011-149 Class A

 

 

 

 

 

 

 

10/16/46

 

3.000%

 

3,887,596

 

3,997,739

 

Series 2011-16 Class A

 

 

 

 

 

 

 

11/16/34

 

2.210%

 

3,334,841

 

3,349,184

 

Series 2011-161 Class A

 

 

 

 

 

 

 

01/16/34

 

1.738%

 

11,572,598

 

11,610,336

 

Series 2011-20 Class A

 

 

 

 

 

 

 

04/16/32

 

1.883%

 

4,809,626

 

4,825,916

 

Series 2011-31 Class A

 

 

 

 

 

 

 

12/16/35

 

2.210%

 

3,360,731

 

3,384,915

 

Series 2011-78 Class A

 

 

 

 

 

 

 

08/16/34

 

2.250%

 

7,726,105

 

7,781,402

 

Series 2012-1 Class AB

 

 

 

 

 

 

 

09/16/33

 

1.999%

 

8,584,324

 

8,637,437

 

Series 2012-142 Class A

 

 

 

 

 

 

 

05/16/37

 

1.105%

 

8,440,814

 

8,329,893

 

Series 2012-22 Class AB

 

 

 

 

 

 

 

03/16/33

 

1.661%

 

5,035,033

 

5,037,394

 

Series 2012-4 Class A

 

 

 

 

 

 

 

05/16/40

 

2.120%

 

17,525,617

 

17,640,288

 

Series 2012-55 Class A

 

 

 

 

 

 

 

08/16/33

 

1.704%

 

10,939,070

 

10,929,799

 

Series 2012-58 Class A

 

 

 

 

 

 

 

01/16/40

 

2.500%

 

16,260,743

 

16,659,115

 

Series 2012-79 Class A

 

 

 

 

 

 

 

04/16/39

 

1.800%

 

13,318,241

 

13,231,433

 

Series 2012-9 Class A

 

 

 

 

 

 

 

05/16/39

 

3.220%

 

2,343,365

 

2,406,249

 

Series 2013-105 Class A

 

 

 

 

 

 

 

02/16/37

 

1.705%

 

27,132,284

 

26,972,801

 

Series 2013-12 Class A

 

 

 

 

 

 

 

10/16/42

 

1.410%

 

15,739,699

 

15,524,097

 

Series 2013-126 Class AB

 

 

 

 

 

 

Issuer

 

Coupon
Rate

 

Principal
Amount

 

Value

 

 

 

 

 

 

 

 

 

Commercial Mortgage-Backed Securities - Agency (continued)

 

04/16/38

 

1.540%

 

$

8,220,140

 

$

8,184,775

 

Series 2013-17 Class AF

 

 

 

 

 

 

 

11/16/43

 

1.210%

 

9,576,797

 

9,396,868

 

Series 2013-17 Class AH

 

 

 

 

 

 

 

10/16/43

 

1.558%

 

11,950,329

 

11,823,201

 

Series 2013-194 Class AB

 

 

 

 

 

05/16/38

 

2.250%

 

10,650,000

 

10,709,075

 

Series 2013-2 Class AB

 

 

 

 

 

 

 

12/16/42

 

1.600%

 

16,999,385

 

16,865,770

 

Series 2013-30 Class A

 

 

 

 

 

 

 

05/16/42

 

1.500%

 

19,710,311

 

19,428,789

 

Series 2013-32 Class AB

 

 

 

 

 

 

 

01/16/42

 

1.900%

 

7,124,616

 

7,079,959

 

Series 2013-33 Class A

 

 

 

 

 

 

 

07/16/38

 

1.061%

 

28,755,225

 

28,187,309

 

Series 2013-35 Class A

 

 

 

 

 

 

 

02/16/40

 

1.618%

 

8,298,901

 

8,241,730

 

Series 2013-40 Class A

 

 

 

 

 

 

 

10/16/41

 

1.511%

 

12,504,138

 

12,372,007

 

Series 2013-45 Class A

 

 

 

 

 

 

 

10/16/40

 

1.450%

 

7,011,149

 

6,921,329

 

Series 2013-57 Class A

 

 

 

 

 

 

 

06/16/37

 

1.350%

 

26,354,426

 

26,003,464

 

Series 2013-61 Class A

 

 

 

 

 

 

 

01/16/43

 

1.450%

 

14,170,102

 

13,935,416

 

Total Commercial Mortgage-Backed Securities - Agency
(Cost: $380,982,724)

 

$

375,647,205

 

 

 

 

 

 

 

 

 

Commercial Mortgage-Backed Securities - Non-Agency 8.0%

 

Bear Stearns Commercial Mortgage Securities Trust
Series 2005-PWR7 Class A3 (a)(c)

 

 

 

02/11/41

 

5.116%

 

8,867,447

 

9,183,155

 

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

 

 

 

10/12/42

 

5.122%

 

3,923,746

 

3,982,060

 

Citigroup Commercial Mortgage Trust
Series 2005-C3 Class ASB (c)

 

 

 

 

 

05/15/43

 

4.755%

 

2,304,325

 

2,329,437

 

Citigroup/Deutsche Bank Commercial Mortgage Trust
Series 2005-CD1 Class A4 (a)(c)

 

 

 

07/15/44

 

5.218%

 

12,031,660

 

12,756,748

 

Credit Suisse First Boston Mortgage Securities Corp. (a)(c)

 

Series 2005-C4 Class A5

 

 

 

 

 

08/15/38

 

5.104%

 

10,299,482

 

10,767,150

 

Series 2005-C5 Class AAB

 

 

 

 

 

08/15/38

 

5.100%

 

717,062

 

716,841

 

Series 2005-C6 Class A4

 

 

 

 

 

12/15/40

 

5.230%

 

4,021,423

 

4,253,531

 

Credit Suisse First Boston Mortgage Securities Corp. (c)

 

 

 

Series 2005-C2 Class AAB

 

 

 

 

 

04/15/37

 

4.681%

 

1,543,438

 

1,551,823

 

DBRR Trust (b)(c)

 

 

 

 

 

 

 

Series 2012-EZ1 Class A

 

 

 

 

 

 


 

 

 

 


 


 

Issuer

 

Coupon
Rate

 

Principal
Amount

 

Value

 

 

 

 

 

 

 

 

 

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

 

09/25/45

 

1.393%

 

$

3,405,000

 

$

3,398,950

 

09/25/45

 

2.062%

 

15,055,205

 

15,074,814

 

GE Capital Commercial Mortgage Corp.
Series 2005-C1 Class AAB (c)

 

 

 

 

 

06/10/48

 

4.599%

 

448,041

 

451,750

 

GMAC Commercial Mortgage Securities, Inc.
Series 2004-C1 Class A4 (c)

 

 

 

03/10/38

 

4.908%

 

3,116,739

 

3,116,581

 

GS Mortgage Securities Corp. II
Series 2011-GC3 Class A1 (b)(c)

 

 

 

 

 

03/10/44

 

2.331%

 

5,807,883

 

5,868,486

 

GS Mortgage Securities Trust
Series 2006-GG8 Class A4 (c)

 

 

 

 

 

11/10/39

 

5.560%

 

12,075,000

 

13,240,020

 

JP Morgan Chase Commercial Mortgage Securities Trust
Series 2006-LDP6 Class A4 (a)(c)

 

 

 

04/15/43

 

5.475%

 

9,285,867

 

10,044,819

 

JPMorgan Chase Commercial Mortgage Securities Corp. (a)(c)

 

Series 2005-LDP4 Class A4

 

 

 

 

 

10/15/42

 

4.918%

 

12,645,738

 

13,313,775

 

Series 2006-CB14 Class ASB

 

 

 

 

 

12/12/44

 

5.506%

 

3,124,373

 

3,232,457

 

Series 2006-LDP7 Class ASB

 

 

 

 

 

04/15/45

 

5.863%

 

1,156,128

 

1,203,950

 

JPMorgan Chase Commercial Mortgage Securities Trust (a)(c)

 

Series 2005-CB11 Class ASB

 

 

 

 

 

08/12/37

 

5.201%

 

2,005,058

 

2,023,741

 

Series 2005-LDP5 Class A4

 

 

 

 

 

12/15/44

 

5.200%

 

26,099,000

 

27,801,764

 

JPMorgan Chase Commercial Mortgage Securities Trust (c)

 

Series 2005-LDP2 Class ASB

 

 

 

 

 

07/15/42

 

4.659%

 

2,668,275

 

2,708,630

 

LB-UBS Commercial Mortgage Trust (c)

 

 

 

 

 

Series 2005-C2 Class AAB

 

 

 

 

 

04/15/30

 

5.007%

 

546,329

 

552,067

 

Series 2007-C1 Class AAB

 

 

 

 

 

02/15/40

 

5.403%

 

513,547

 

513,785

 

Merrill Lynch Mortgage Trust
Series 2005-CKI1 Class A6 (a)(c)

 

 

 

11/12/37

 

5.280%

 

5,506,601

 

5,843,566

 

Morgan Stanley Capital I
Series 2006-IQ11 Class A4 (a)(c)

 

 

 

 

 

10/15/42

 

5.668%

 

8,711,325

 

9,341,642

 

Motel 6 Trust
Series 2012-MTL6 Class A1 (b)(c)

 

 

 

 

 

10/05/25

 

1.500%

 

2,648,094

 

2,612,957

 

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

 

 

 

 

 

01/22/26

 

7.104%

 

1,610,734

 

1,651,883

 

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

 

 

 

 

 

04/15/25

 

4.500%

 

16,395

 

16,395

 

 

Issuer

 

Coupon
Rate

 

Principal
Amount

 

Value

 

 

 

 

 

 

 

 

 

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

 

VFC LLC
Series 2013-1 Class A (b)(c)

 

 

 

 

 

03/20/26

 

3.130%

 

$

3,189,170

 

$

3,208,041

 

Wachovia Bank Commercial Mortgage Trust (a)(c)

 

 

 

Series 2005-C17 Class A4

 

 

 

 

 

03/15/42

 

5.083%

 

7,570,000

 

7,826,146

 

Series 2005-C21 Class A4

 

 

 

 

 

10/15/44

 

5.239%

 

11,111,490

 

11,778,736

 

Series 2005-C22 Class A4

 

 

 

 

 

12/15/44

 

5.289%

 

15,000,000

 

15,967,515

 

Series 2006-C24 Class A1A

 

 

 

 

 

03/15/45

 

5.557%

 

7,407,328

 

8,005,455

 

Total Commercial Mortgage-Backed Securities - Non-Agency
(Cost: $219,169,544)

 

$

214,338,670

 

 

 

 

 

 

 

 

 

Asset-Backed Securities - Agency —%

 

Small Business Administration Pools (a)

 

 

 

 

 

06/25/22

 

0.875%

 

112,165

 

112,393

 

Total Asset-Backed Securities - Agency
(Cost: $112,103)

 

$

112,393

 

 

 

 

 

 

 

 

 

Asset-Backed Securities - Non-Agency 14.7%

 

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

 

 

 

 

 

03/15/20

 

0.717%

 

1,809,541

 

1,809,902

 

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

 

 

 

 

 

08/25/35

 

0.425%

 

8,714,455

 

8,536,271

 

Access Group, Inc. (a)

 

 

 

 

 

 

 

Series 2004A Class A2

 

 

 

 

 

 

 

04/25/29

 

0.498%

 

13,172,215

 

12,931,413

 

Series 2007A Class A2

 

 

 

 

 

 

 

08/25/26

 

0.368%

 

3,771,040

 

3,734,024

 

Ally Master Owner Trust (a)

 

 

 

 

 

 

 

Series 2012-1 Class A1

 

 

 

 

 

 

 

02/15/17

 

0.967%

 

10,000,000

 

10,044,275

 

Series 2013-1 Class A1

 

 

 

 

 

 

 

02/15/18

 

0.617%

 

7,475,000

 

7,479,294

 

AmeriCredit Automobile Receivables Trust
Series 2013-5 Class A2A

 

 

 

03/08/17

 

0.650%

 

1,250,000

 

1,249,940

 

American Credit Acceptance Receivables Trust (b)

 

 

 

Series 2012-1 Class A2

 

 

 

 

 

 

 

10/15/15

 

3.040%

 

735,947

 

737,456

 

Series 2012-2 Class A

 

 

 

 

 

 

 

07/15/16

 

1.890%

 

2,255,864

 

2,261,570

 

Series 2012-3 Class A

 

 

 

 

 

 

 

11/15/16

 

1.640%

 

1,480,598

 

1,480,572

 

Series 2013-1 Class A

 

 

 

 

 

 

 

04/16/18

 

1.450%

 

5,056,178

 

5,054,147

 

Series 2013-2 Class A

 

 

 

 

 

 

 

 


 

 


 

Issuer

 

Coupon
Rate

 

Principal
Amount

 

Value

 

 

 

 

 

 

 

 

 

Asset-Backed Securities - Non-Agency (continued)

 

02/15/17

 

1.320%

 

$

4,818,532

 

$

4,818,908

 

Amresco Residential Securities Mortgage Loan Trust
Series 1998-3 Class A7 (a)(g)

 

 

 

07/25/28

 

0.645%

 

14,774

 

12,578

 

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

 

 

 

08/20/16

 

2.054%

 

14,200,000

 

14,418,670

 

CCG Receivables Trust
Series 2013-1 Class A2 (b)

 

 

 

 

 

08/14/20

 

1.050%

 

4,500,000

 

4,497,044

 

CNH Wholesale Master Note Trust
Series 2013-2A Class A (a)(b)

 

 

 

 

 

08/15/19

 

0.767%

 

13,750,000

 

13,771,997

 

CarFinance Capital Auto Trust
Series 2013-2A Class A (b)

 

 

 

 

 

11/15/17

 

1.750%

 

5,806,649

 

5,805,687

 

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

 

 

 

 

 

04/07/24

 

1.418%

 

10,477,953

 

10,544,269

 

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

 

 

 

 

 

12/25/33

 

0.575%

 

2,655,785

 

2,643,404

 

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%

 

2,702

 

—

 

Countrywide Asset-Backed Certificates
Series 2004-8 Class M1 (a)

 

 

 

 

 

01/25/35

 

0.865%

 

7,309,833

 

7,179,630

 

DT Auto Owner Trust (b)

 

 

 

 

 

 

 

Series 2012-2A Class A

 

 

 

 

 

 

 

11/16/15

 

0.910%

 

65,797

 

65,806

 

Series 2013-1A Class A

 

 

 

 

 

 

 

05/16/16

 

0.750%

 

1,097,995

 

1,098,151

 

Diamond Resorts Owner Trust
Series 2013-2 Class A (b)

 

 

 

 

 

05/20/26

 

2.270%

 

9,408,349

 

9,407,267

 

EFS Volunteer LLC
Series 2010-1 Class A1 (a)(b)

 

 

 

 

 

10/26/26

 

1.088%

 

7,831,011

 

7,866,071

 

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

 

 

 

 

 

10/25/21

 

0.788%

 

1,149,921

 

1,151,182

 

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

 

 

 

 

 

01/25/36

 

0.505%

 

12,303,383

 

12,125,525

 

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

 

 

 

 

 

06/15/17

 

1.300%

 

3,587,496

 

3,593,775

 

 

 

Issuer

 

Coupon
Rate

 

Principal
Amount

 

Value

 

 

 

 

 

 

 

 

 

Asset-Backed Securities - Non-Agency (continued)

 

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

 

 

 

 

 

06/25/25

 

6.680%

 

$

25,307

 

$

25,377

 

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

 

 

 

10/25/35

 

0.445%

 

405,446

 

405,330

 

First Investors Auto Owner Trust (b)

 

 

 

 

 

Series 2011-2A Class A2

 

 

 

 

 

 

 

08/15/17

 

2.600%

 

1,269,915

 

1,272,447

 

Series 2012-1A Class A2

 

 

 

 

 

 

 

11/15/17

 

1.960%

 

1,478,015

 

1,483,008

 

Series 2013-2A Class A2

 

 

 

 

 

 

 

03/15/19

 

1.230%

 

4,352,709

 

4,353,043

 

Series 2013-3A Class A2

 

 

 

 

 

 

 

09/15/17

 

0.890%

 

5,710,000

 

5,709,945

 

GE Dealer Floorplan Master Note Trust
Series 2012-4 Class A (a)

 

 

 

 

 

10/20/17

 

0.607%

 

6,775,000

 

6,777,806

 

HSBC Home Equity Loan Trust
Series 2006-2 Class A1 (a)

 

 

 

 

 

03/20/36

 

0.317%

 

10,442,978

 

10,204,115

 

Hertz Fleet Lease Funding LP
Series 2013-3 Class A (a)(b)

 

 

 

 

 

12/10/27

 

0.716%

 

8,800,000

 

8,800,211

 

Hilton Grand Vacations Trust
Series 2013-A Class A (b)

 

 

 

 

 

01/25/26

 

2.280%

 

13,322,981

 

13,318,378

 

IMC Home Equity Loan Trust
Series 1997-3 Class A7

 

 

 

 

 

08/20/28

 

7.080%

 

95

 

95

 

KeyCorp Student Loan Trust
Series 1999-A Class A2 (a)

 

 

 

 

 

12/27/29

 

0.576%

 

6,802,493

 

6,849,131

 

MMAF Equipment Finance LLC
Series 2013-AA Class A2 (b)

 

 

 

 

 

05/09/16

 

0.690%

 

4,775,000

 

4,776,306

 

Marriott Vacation Club Owner Trust (b)

 

 

 

 

 

Series 2007-1A Class A

 

 

 

 

 

 

 

05/20/29

 

5.518%

 

1,095,959

 

1,104,301

 

Series 2009-2A Class A

 

 

 

 

 

 

 

07/20/31

 

4.809%

 

2,362,571

 

2,430,759

 

Miramax LLC
Series 2011-1A Class A (b)

 

 

 

 

 

10/20/21

 

6.250%

 

3,211,078

 

3,321,401

 

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

 

 

 

03/20/24

 

0.345%

 

5,105,331

 

5,047,209

 

Nations Equipment Finance Funding I LLC
Series 2013-1A Class A (b)

 

 

 

11/20/16

 

1.697%

 

6,749,949

 

6,749,949

 

Navitas Equipment Receivables LLC
Series 2013-1 Class A (b)

 

 

 

 

 

11/15/16

 

1.950%

 

7,123,006

 

7,120,620

 

 


 

 


 


 

Issuer

 

Coupon
Rate

 

Principal
Amount

 

Value

 

 

 

 

 

 

 

 

 

Asset-Backed Securities - Non-Agency (continued)

 

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

 

 

 

07/01/21

 

0.747%

 

$

1,427,664

 

$

1,428,375

 

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

 

 

 

 

 

10/25/34

 

0.785%

 

9,745,374

 

9,743,221

 

Prestige Auto Receivables Trust (b)

 

 

 

 

 

Series 2012-1A Class A2

 

 

 

 

 

 

 

12/15/15

 

1.230%

 

831,220

 

831,756

 

Series 2013-1A Class A2

 

 

 

 

 

 

 

02/15/18

 

1.090%

 

5,964,298

 

5,971,038

 

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

 

08/25/33

 

0.455%

 

4,750

 

4,279

 

SLM Private Education Loan Trust (a)(b)

 

 

 

 

 

Series 2013-A Class A1

 

 

 

 

 

 

 

08/15/22

 

0.767%

 

5,988,035

 

5,960,570

 

Series 2013-B Class A1

 

 

 

 

 

 

 

07/15/22

 

0.817%

 

15,718,039

 

15,671,910

 

SLM Student Loan Trust (a)

 

 

 

 

 

 

 

Series 2003-A Class A2

 

 

 

 

 

 

 

09/15/20

 

0.683%

 

5,781,845

 

5,648,591

 

Series 2004-B Class A2

 

 

 

 

 

 

 

06/15/21

 

0.443%

 

11,425,609

 

11,290,672

 

Series 2005-A Class A2

 

 

 

 

 

 

 

12/15/20

 

0.383%

 

3,240,438

 

3,225,681

 

SLM Student Loan Trust (a)(b)

 

 

 

 

 

Series 2003-12 Class A5

 

 

 

 

 

 

 

09/15/22

 

0.523%

 

764,616

 

762,362

 

Series 2011-A Class A1

 

 

 

 

 

 

 

10/15/24

 

1.167%

 

1,450,958

 

1,454,052

 

Series 2012-A Class A1

 

 

 

 

 

 

 

08/15/25

 

1.567%

 

3,117,671

 

3,143,610

 

Series 2012-B Class A1

 

 

 

 

 

 

 

12/15/21

 

1.267%

 

3,735,440

 

3,745,950

 

Series 2013-C Class A1

 

 

 

 

 

 

 

02/15/22

 

1.017%

 

3,031,504

 

3,032,284

 

SMART Trust (a)

 

 

 

 

 

 

 

Series 2013-1US Class A3B

 

 

 

 

 

09/14/16

 

0.617%

 

11,500,000

 

11,481,629

 

Series 2013-2US Class A3B

 

 

 

 

 

01/14/17

 

0.594%

 

7,000,000

 

6,980,774

 

SMART Trust (a)(b)

 

 

 

 

 

 

 

Series 2011-2USA Class A3B

 

 

 

 

 

03/14/15

 

1.017%

 

2,521,157

 

2,522,701

 

Series 2012-1USA Class A3B

 

 

 

 

 

05/14/16

 

1.067%

 

956,363

 

958,659

 

Series 2012-2USA Class A3B

 

 

 

 

 

10/14/16

 

1.117%

 

3,250,000

 

3,263,653

 

SVO VOI Mortgage Corp.
Series 2012-AA Class A (b)

 

 

 

 

 

09/20/29

 

2.000%

 

2,715,864

 

2,710,936

 

Santander Drive Auto Receivables Trust
Series 2012-1 Class B

 

 

 

 

 

05/16/16

 

2.720%

 

5,500,000

 

5,557,070

 

Sierra Receivables Funding Co. LLC (b)

 

 

 

 

 

 

Issuer

 

Coupon
Rate

 

Principal
Amount

 

Value

 

 

 

 

 

 

 

 

 

Asset-Backed Securities - Non-Agency (continued)

 

Series 2010-2A Class A

 

 

 

 

 

 

 

11/20/25

 

3.840%

 

$

499,455

 

$

504,416

 

Series 2011-1A Class A

 

 

 

 

 

 

 

04/20/26

 

3.350%

 

2,581,157

 

2,640,694

 

Series 2011-2A Class A

 

 

 

 

 

 

 

05/20/28

 

3.260%

 

1,958,002

 

1,995,071

 

Series 2011-3A Class A

 

 

 

 

 

 

 

07/20/28

 

3.370%

 

3,135,577

 

3,218,388

 

Series 2012-1A Class A

 

 

 

 

 

 

 

11/20/28

 

2.840%

 

5,318,131

 

5,413,131

 

Series 2012-3A Class A

 

 

 

 

 

 

 

08/20/29

 

1.870%

 

2,047,813

 

2,053,180

 

Series 2013-1A Class A

 

 

 

 

 

 

 

11/20/29

 

1.590%

 

3,623,956

 

3,609,668

 

South Texas Higher Education Authority, Inc.
Series 2012-1 Class A1 (a)

 

 

 

10/01/20

 

0.747%

 

4,939,992

 

4,940,042

 

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

 

 

 

06/25/36

 

0.615%

 

1,357,072

 

1,350,890

 

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

 

 

 

 

 

05/25/38

 

0.285%

 

710,913

 

699,068

 

Westlake Automobile Receivables Trust (b)

 

 

 

Series 2012-1A Class A2

 

 

 

 

 

 

 

03/15/16

 

1.030%

 

983,670

 

983,620

 

Series 2013-1A Class A2

 

 

 

 

 

 

 

01/15/18

 

1.120%

 

8,300,000

 

8,302,082

 

World Omni Master Owner Trust
Series 2013-1 Class A (a)(b)

 

 

 

 

 

02/15/18

 

0.517%

 

8,910,000

 

8,909,079

 

Total Asset-Backed Securities - Non-Agency
(Cost: $391,235,716)

 

$

394,077,362

 

 

 

 

 

 

 

 

 

Inflation-Indexed Bonds 2.0%

 

United States 2.0%

 

 

 

 

 

 

 

U.S. Treasury Inflation-Indexed Bond

 

 

 

 

 

04/15/16

 

0.125%

 

52,744,291

 

54,157,680

 

Total Inflation-Indexed Bonds
(Cost: $54,034,222)

 

 

 

$

54,157,680

 

 

 

 

 

 

 

 

 

U.S. Treasury Obligations 14.0%

 

U.S. Treasury

 

 

 

 

 

 

 

08/15/16

 

0.625%

 

130,000,000

 

130,020,312

 

10/31/16

 

1.000%

 

159,500,000

 

160,708,691

 

U.S. Treasury (k)

 

 

 

 

 

 

 

03/31/15

 

2.500%

 

82,000,000

 

84,328,636

 

Total U.S. Treasury Obligations
(Cost: $375,137,788)

 

$

375,057,639

 

 


 

 

 


 


 

Issuer

 

Coupon
Rate

 

Principal
Amount

 

Value

 

 

 

 

 

 

 

 

 

U.S. Government & Agency Obligations 3.0%

 

Federal Farm Credit Banks (a)

 

 

 

 

 

10/26/15

 

0.215%

 

$

13,000,000

 

$

13,011,466

 

12/10/15

 

0.220%

 

34,500,000

 

34,528,497

 

12/06/16

 

0.263%

 

31,800,000

 

31,827,189

 

Morocco Government AID Bond
U.S. Government Guaranty (a)(i)

 

 

 

 

 

05/01/23

 

0.383%

 

807,500

 

767,125

 

Total U.S. Government & Agency Obligations
(Cost: $80,158,436)

 

$

80,134,277

 

 

 

 

 

 

 

 

 

Foreign Government Obligations (l) 0.9%

 

CANADA 0.6%

 

 

 

 

 

 

 

Province of Ontario
Senior Unsecured

 

 

 

 

 

 

 

05/26/15

 

0.950%

 

14,725,000

 

14,838,191

 

MEXICO 0.3%

 

 

 

 

 

 

 

Petroleos Mexicanos

 

 

 

 

 

 

 

03/15/15

 

4.875%

 

8,500,000

 

8,899,500

 

Total Foreign Government Obligations
(Cost: $23,362,586)

 

$

23,737,691

 

 

Issue
Description

 

Coupon Rate

 

Principal Amount

 

Value

 

 

 

 

 

 

 

 

 

Municipal Bonds 0.5%

 

Illinois 0.5%

 

 

 

 

 

 

 

State of Illinois
Unlimited General Obligation Taxable Notes
Series 2011

 

 

 

03/01/17

 

5.365%

 

$

12,900,000

 

$

13,905,168

 

Total Municipal Bonds
(Cost: $14,059,013)

 

 

 

 

 

$

13,905,168

 

 

 

 

 

 

 

 

 

Issue
Description

 

 

 

Shares

 

Value

 

 

 

 

 

 

 

 

 

Money Market Funds 2.3%

 

Columbia Short-Term Cash Fund, 0.096% (m)(n)

 

62,569,088

 

$

62,569,088

 

Total Money Market Funds
(Cost: $62,569,088)

 

 

 

$

62,569,088

 

Total Investments

 

 

 

 

 

 

 

(Cost: $2,703,764,426) (o)

 

 

 

 

 

$

2,708,947,471(p)

 

Other Assets & Liabilities, Net

 

 

 

(24,223,130)

 

Net Assets

 

 

 

 

 

$

2,684,724,341

 

 


 

Investments in Derivatives

 

Futures Contracts Outstanding at December 31, 2013

 

 

At December 31, 2013, securities totaling $642,749 were 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 ($)

 

U.S. Treasury Note, 2-year

 

714

 

USD

 

156,946,125

 

April 2014

 

—

 

(325,031

)

U.S. Treasury Note, 5-year

 

(550

)

USD

 

(65,621,875

)

March 2014

 

785,173

 

—

 

Total

 

 

 

 

 

 

 

 

 

785,173

 

(325,031

)

 

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, 2013, the value of these securities amounted to $455,898,626 or 16.98% 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)

Principal Only (PO) security issued with a zero coupon. Income is recognized through the accretion of discount.

(f)

Represents a security purchased on a when-issued or delayed delivery basis.

(g)

Identifies issues considered by the Investment Manager to be illiquid as to their marketability. The aggregate value of such securities at December 31, 2013 was $42,235, representing less than 0.01% of net assets. Information concerning such security holdings at December 31, 2013 is as follows:

 

 

 


 

Security Description

 

Acquisition Dates

 

Cost ($)

Amresco Residential Securities Mortgage Loan Trust

 

 

 

 

Series 1998-3 Class A7

 

 

 

 

07/25/28 0.645%

 

12-19-03

 

14,671

Cityscape Home Equity Loan Trust

 

 

 

 

Series 1997-B Class A7

 

 

 

 

05/25/28 7.410%

 

12-25-10 - 05-26-11

 

1,709

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

 

25,329

Residential Funding Mortgage Securities II Home Loan Trust

 

 

 

 

Series 2003-HS3 Class A2B (NPFGC)

 

 

 

 

08/25/33 0.455%

 

09-15-03

 

4,750

 

(h)

Represents securities that have defaulted on payment of interest. The Fund has stopped accruing interest on these securities. At December 31, 2013, the value of these securities amounted to $1, which represents less than 0.01% of net assets.

(i)

Represents fair value as determined in good faith under procedures approved by the Board of Trustees. At December 31, 2013, the value of these securities amounted to $767,126, which represents 0.03% of net assets.

(j)

Negligible market value.

(k)

This security, or a portion of this security, has been pledged as collateral in connection with open futures contracts. These values are denoted within the Investments in Derivatives section of the Portfolio of Investments.

(l)

Principal and interest may not be guaranteed by the government.

(m)

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

(n)

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, 2013, are as follows:

 

Issuer

 

Beginning
Cost ($)

 

Purchase
Cost ($)

 

Proceeds from
Sales ($)

 

Ending Cost ($)

 

Dividends — Affiliated
Issuers ($)

 

Value ($)

 

Columbia Short-Term Cash Fund

 

107,698,071

 

763,095,689

 

(808,224,672

)

62,569,088

 

68,791

 

62,569,088

 

 

(o)

At December 31, 2013, the cost of securities for federal income tax purposes was approximately $2,703,764,000 and the approximate aggregate gross unrealized appreciation and depreciation based on that cost was:

 

Unrealized Appreciation

 

$

18,431,000

 

Unrealized Depreciation

 

(13,248,000

)

Net Unrealized Appreciation

 

$

5,183,000

 

 

(p)

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

NPFGC

National Public Finance Guarantee Corporation

STRIPS

Separate Trading of Registered Interest and Principal Securities

 

Currency Legend

 

 

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 overseeing the valuation procedures approved by the Board. The Committee consists of voting and non-voting members from various groups within the Investment Manager’s organization, including operations and accounting, trading and investments, compliance, risk management and legal.

 

The Committee meets at least monthly to review and approve valuation matters, which may include a description of specific valuation determinations, data regarding pricing information received from approved pricing vendors and brokers and the results of Board-approved valuation control policies and procedures (the Policies).  The Policies address, among other things, instances when market quotations are or are not readily available, including recommendations of third party pricing vendors and a determination of appropriate pricing methodologies; events that require specific valuation determinations and assessment of fair value techniques; securities with a potential for stale pricing, including those that are illiquid, restricted, or in default; and the effectiveness of third party pricing vendors, including periodic reviews of vendors.  The Committee meets more frequently, as needed, to discuss additional valuation matters, which may include the need to review back-testing results, review time-sensitive information or approve related valuation actions.  The Committee reports to the Board, with members of the Committee meeting with the Board at each of its regularly scheduled meetings to discuss valuation matters and actions during the period, similar to those described earlier.

 

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, 2013:

 


 

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

 

 

—

 

 

812,918,501

 

 

—

 

 

812,918,501

 

Residential Mortgage-Backed Securities - Agency

 

 

—

 

 

218,428,010

 

 

—

 

 

218,428,010

 

Residential Mortgage-Backed Securities - Non-Agency

 

 

—

 

 

83,863,787

 

 

—

 

 

83,863,787

 

Commercial Mortgage-Backed Securities - Agency

 

 

—

 

 

375,647,205

 

 

—

 

 

375,647,205

 

Commercial Mortgage-Backed Securities - Non-Agency

 

 

—

 

 

195,864,906

 

 

18,473,764

 

 

214,338,670

 

Asset-Backed Securities - Agency

 

 

—

 

 

112,393

 

 

—

 

 

112,393

 

Asset-Backed Securities - Non-Agency

 

 

—

 

 

387,327,412

 

 

6,749,950

 

 

394,077,362

 

Inflation-Indexed Bonds

 

 

—

 

 

54,157,680

 

 

—

 

 

54,157,680

 

U.S. Treasury Obligations

 

 

375,057,639

 

 

—

 

 

—

 

 

375,057,639

 

U.S. Government & Agency Obligations

 

 

—

 

 

79,367,152

 

 

767,125

 

 

80,134,277

 

Foreign Government Obligations

 

 

—

 

 

23,737,691

 

 

—

 

 

23,737,691

 

Municipal Bonds

 

 

—

 

 

13,905,168

 

 

—

 

 

13,905,168

 

Total Bonds

 

 

375,057,639

 

 

2,245,329,905

 

 

25,990,839

 

 

2,646,378,383

 

Mutual Funds

 

 

 

 

 

 

 

 

 

 

 

 

 

Money Market Funds

 

 

62,569,088

 

 

—

 

 

—

 

 

62,569,088

 

Total Mutual Funds

 

 

62,569,088

 

 

—

 

 

—

 

 

62,569,088

 

Investments in Securities

 

 

437,626,727

 

 

2,245,329,905

 

 

25,990,839

 

 

2,708,947,471

 

Derivatives

 

 

 

 

 

 

 

 

 

 

 

 

 

Assets

 

 

 

 

 

 

 

 

 

 

 

 

 

Futures Contracts

 

 

785,173

 

 

—

 

 

—

 

 

785,173

 

Liabilities

 

 

 

 

 

 

 

 

 

 

 

 

 

Futures Contracts

 

 

(325,031

)

 

—

 

 

—

 

 

(325,031

)

Total

 

 

438,086,869

 

 

2,245,329,905

 

 

25,990,839

 

 

2,709,407,613

 

 

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
Mortgage-
Backed
Securities - Non-
Agency ($)

 

 

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

 

 

Asset-Backed
Securities -
Non-Agency ($)

 

 

U.S.
Government &
Agency
Obligations ($)

 

 

Total ($)

 

Balance as of March 31, 2013

 

3,029,151

 

 

24,689,252

 

 

1,472,183

 

 

847,875

 

 

30,038,461

 

Accrued discounts/premiums

 

—

 

 

(102,079

)

 

7,473

 

 

923

 

 

(93,683

)

Realized gain (loss)

 

—

 

 

0

 

 

(976

)

 

823

 

 

(153

)

Change in unrealized appreciation (depreciation)(a) 

 

—

 

 

(25,283

)

 

(3,287

)

 

2,504

 

 

(26,066

)

Sales

 

—

 

 

(6,088,126

)

 

(6,475,443

)

 

(85,000

)

 

(12,648,569

)

Purchases

 

—

 

 

—

 

 

11,750,000

 

 

—

 

 

11,750,000

 

Transfers into Level 3

 

—

 

 

—

 

 

—

 

 

—

 

 

—

 

Transfers out of Level 3

 

(3,029,151

)

 

—

 

 

—

 

 

—

 

 

(3,029,151

)

Balance as of December 31, 2013

 

—

 

 

18,473,764

 

 

6,749,950

 

 

767,125

 

 

25,990,839

 

 

(a) Change in unrealized appreciation (depreciation) relating to securities held at December 31, 2013 was ($26,066), which is comprised of Commercial Mortgage-Backed Securities - Non-Agency of ($25,283), Asset-Backed Securities - Non-Agency of ($3,287) and U. S. Government & Agency Obligation of $2,504.

 


 

The Fund’s assets assigned to the Level 3 category are valued utilizing the valuation technique deemed the most appropriate in the circumstances.

 

Certain 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 asset backed and U.S. 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.

 

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)         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

 

February 19, 2014

 

 

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, 2014

 

 

 

 

 

 

 

By (Signature and Title)

 

/s/ Michael G. Clarke

 

 

Michael G. Clarke, Treasurer and Chief Financial Officer

 

 

 

 

 

 

 

Date

 

February 19, 2014