N-Q 1 a15-2258_2nq.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)

 

Ryan Larrenaga

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, 2014

 

 


 

Item 1. Schedule of Investments.

 


 

Portfolio of Investments

Columbia Short Term Bond Fund

 

December 31, 2014 (Unaudited)

 

(Percentages represent value of investments compared to net assets)


 

Issuer

 

Coupon
Rate

 

Principal
Amount

 

Value

 

 

 

 

 

 

 

 

 

Corporate Bonds & Notes 30.6%

 

Aerospace & Defense 0.3%

 

 

L-3 Communications Corp.

 

 

 

05/28/17

 

1.500%

 

$

8,000,000

 

$

7,921,304

 

Automotive 0.3%

 

 

 

 

 

 

 

Ford Motor Credit Co. LLC
Senior Unsecured

 

 

 

01/16/18

 

2.375%

 

8,200,000

 

8,247,519

 

Banking 8.8%

 

 

 

 

 

 

 

BB&T Corp.
Senior Unsecured (a)

 

 

12/01/16

 

0.664%

 

8,925,000

 

8,929,828

 

Bank of America Corp.
Senior Unsecured (a)

 

 

03/22/16

 

1.067%

 

20,500,000

 

20,592,058

 

Bank of Montreal
Senior Unsecured (a)

 

 

07/14/17

 

0.480%

 

8,500,000

 

8,493,557

 

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

 

 

10/23/15

 

0.461%

 

7,800,000

 

7,808,338

 

Barclays Bank PLC
Senior Unsecured (a)

 

 

 

02/17/17

 

0.812%

 

6,400,000

 

6,405,248

 

Canadian Imperial Bank of Commerce
Senior Unsecured (a)

 

 

 

07/18/16

 

0.751%

 

7,725,000

 

7,756,935

 

Capital One Financial Corp.
Senior Unsecured (a)

 

11/06/15

 

0.872%

 

8,000,000

 

8,025,056

 

Citigroup, Inc.
Senior Unsecured

 

 

 

 

 

 

 

06/15/16

 

3.953%

 

13,000,000

 

13,494,923

 

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

 

04/30/18

 

1.433%

 

12,750,000

 

12,899,596

 

HSBC USA, Inc
Senior Unsecured

 

 

 

 

 

 

 

06/23/17

 

1.300%

 

8,275,000

 

8,260,825

 

ING Bank NV
Senior Unsecured (a)(b)

 

 

 

09/25/15

 

1.895%

 

8,600,000

 

8,688,314

 

JPMorgan Chase & Co.
Senior Unsecured

 

07/05/16

 

3.150%

 

16,000,000

 

16,446,992

 

KeyCorp
Senior Unsecured

 

 

 

08/13/15

 

3.750%

 

6,000,000

 

6,103,919

 

 

Issuer

 

Coupon
Rate

 

Principal
Amount

 

Value

 

 

 

 

 

 

 

 

 

Corporate Bonds & Notes (continued)

 

Banking (continued)

 

 

 

 

 

 

 

Lloyds Bank PLC

 

 

 

 

 

 

 

03/28/17

 

4.200%

 

$

8,000,000

 

$

8,460,632

 

Morgan Stanley
Senior Unsecured

 

 

 

 

 

 

 

04/29/16

 

3.800%

 

10,650,000

 

11,001,652

 

PNC Bank National Association
Senior Unsecured (a)

 

01/28/16

 

0.543%

 

9,525,000

 

9,536,382

 

Royal Bank of Canada
Senior Unsecured (a)

 

09/09/16

 

0.696%

 

9,000,000

 

9,033,138

 

Royal Bank of Scotland Group PLC
Senior Unsecured

 

09/18/15

 

2.550%

 

7,600,000

 

7,676,091

 

Toronto-Dominion Bank (The)
Senior Unsecured

 

09/09/16

 

1.500%

 

7,000,000

 

7,062,377

 

U.S. Bank
Subordinated Notes (a)

 

 

04/29/20

 

3.778%

 

8,500,000

 

8,576,296

 

Wells Fargo & Co.
Senior Unsecured (a)

 

04/23/18

 

0.861%

 

15,000,000

 

15,024,570

 

Westpac Banking Corp.
Senior Unsecured (a)

 

 

12/01/17

 

0.604%

 

8,000,000

 

7,969,824

 

Total

 

 

 

 

 

218,246,551

 

Cable and Satellite 1.1%

 

 

DIRECTV Holdings LLC/Financing Co., Inc.
Senior Unsecured

 

 

 

02/15/16

 

3.125%

 

8,300,000

 

8,488,393

 

NBCUniversal Enterprise, Inc.
Senior Unsecured (a)(b)

 

04/15/16

 

0.768%

 

8,995,000

 

9,008,465

 

Time Warner Cable, Inc.

 

 

02/01/20

 

5.000%

 

8,600,000

 

9,477,773

 

Total

 

 

 

 

 

26,974,631

 

Chemicals 0.5%

 

 

 

 

 

 

 

Eastman Chemical Co.
Senior Unsecured

 

 

 

06/01/17

 

2.400%

 

5,000,000

 

5,078,055

 

LyondellBasell Industries NV
Senior Unsecured

 

 

 

04/15/19

 

5.000%

 

7,000,000

 

7,635,348

 

Total

 

 

 

 

 

12,713,403

 

 


 

Issuer

 

Coupon
Rate

 

Principal
Amount

 

Value

 

 

 

 

 

 

 

 

 

Corporate Bonds & Notes (continued)

 

Construction Machinery 0.5%

 

 

 

Caterpillar Financial Services Corp.
Senior Unsecured

 

 

 

05/29/15

 

1.100%

 

$

5,365,000

 

$

5,382,007

 

John Deere Capital Corp.
Senior Unsecured (a)

 

 

10/11/16

 

0.519%

 

6,500,000

 

6,509,139

 

Total

 

 

 

 

 

11,891,146

 

Diversified Manufacturing 0.3%

 

 

United Technologies Corp.
Senior Unsecured (a)

 

06/01/15

 

0.734%

 

6,875,000

 

6,887,038

 

Electric 1.7%

 

 

 

 

 

 

 

Dominion Resources, Inc.
Senior Unsecured

 

03/15/17

 

1.250%

 

7,885,000

 

7,860,284

 

Exelon Generation Co. LLC
Senior Unsecured

 

10/01/19

 

5.200%

 

6,633,000

 

7,329,598

 

National Rural Utilities Cooperative Finance Corp.

 

03/01/16

 

3.050%

 

1,000,000

 

1,027,885

 

Nevada Power Co.

 

 

 

 

 

 

 

03/15/16

 

5.950%

 

7,275,000

 

7,701,271

 

Ohio Power Co.
Senior Unsecured

 

 

 

 

 

 

 

06/01/16

 

6.000%

 

1,000,000

 

1,067,359

 

Progress Energy, Inc.
Senior Unsecured

 

 

 

 

 

 

 

01/15/16

 

5.625%

 

7,579,000

 

7,941,041

 

Sierra Pacific Power Co.

 

 

 

05/15/16

 

6.000%

 

327,000

 

349,118

 

TransAlta Corp.
Senior Unsecured

 

 

 

 

 

 

 

06/03/17

 

1.900%

 

8,000,000

 

7,966,120

 

Total

 

 

 

 

 

41,242,676

 

Finance Companies 0.8%

 

General Electric Capital Corp.
Senior Unsecured (a)

 

04/02/18

 

0.965%

 

19,500,000

 

19,681,174

 

Food and Beverage 1.9%

 

Anheuser-Busch InBev Finance, Inc.
Senior Unsecured (a)

 

01/27/17

 

0.424%

 

9,000,000

 

8,972,280

 

ConAgra Foods, Inc.

 

 

 

 

 

 

 

Senior Unsecured

 

 

 

 

 

 

 

06/15/17

 

5.819%

 

3,681,000

 

4,029,940

 

03/15/18

 

2.100%

 

2,722,000

 

2,713,173

 

 

 

Issuer

 

Coupon
Rate

 

Principal
Amount

 

Value

 

 

 

 

 

 

 

 

 

Corporate Bonds & Notes (continued)

 

Food and Beverage (continued)

 

Diageo Finance BV

 

 

 

 

 

 

 

01/15/15

 

3.250%

 

$

2,000,000

 

$

2,002,204

 

General Mills, Inc.
Senior Unsecured (a)

 

 

 

 

 

 

 

01/29/16

 

0.533%

 

7,000,000

 

7,001,715

 

PepsiCo, Inc.
Senior Unsecured (a)

 

 

02/26/16

 

0.444%

 

8,000,000

 

8,009,160

 

SABMiller Holdings, Inc. (b)

 

01/15/17

 

2.450%

 

7,332,000

 

7,480,605

 

Sysco Corp.

 

 

 

 

 

 

 

10/02/17

 

1.450%

 

6,095,000

 

6,088,296

 

Total

 

 

 

 

 

46,297,373

 

Health Care 1.2%

 

 

 

 

 

 

 

CareFusion Corp.
Senior Unsecured

 

 

 

 

 

 

 

05/15/17

 

1.450%

 

6,000,000

 

5,957,538

 

McKesson Corp.
Senior Unsecured

 

 

 

 

 

 

 

03/10/17

 

1.292%

 

9,000,000

 

8,954,028

 

Medco Health Solutions, Inc.

 

 

09/15/15

 

2.750%

 

6,350,000

 

6,431,890

 

Medtronic, Inc.
Senior Unsecured (b)

 

 

03/15/20

 

2.500%

 

7,000,000

 

7,018,361

 

Total

 

 

 

 

 

28,361,817

 

Healthcare Insurance 0.3%

 

UnitedHealth Group, Inc.
Senior Unsecured

 

12/15/17

 

1.400%

 

6,510,000

 

6,504,200

 

 

Independent Energy 1.3%

 

 

Anadarko Petroleum Corp.
Senior Unsecured

 

 

09/15/16

 

5.950%

 

6,000,000

 

6,416,280

 

 

Canadian Natural Resources Ltd.
Senior Unsecured

 

 

05/15/17

 

5.700%

 

6,668,000

 

7,228,412

 

 

Devon Energy Corp.
Senior Unsecured

 

 

 

 

 

 

 

 

12/15/18

 

2.250%

 

6,000,000

 

5,978,376

 

 

Southwestern Energy Co.
Senior Unsecured

 

 

02/01/18

 

7.500%

 

5,000,000

 

5,632,635

 

 

Woodside Finance Ltd. (b)

 

 

03/01/19

 

8.750%

 

5,826,000

 

7,217,663

 

 

Total

 

 

 

 

 

32,473,366

 

 

 


 

Issuer

 

Coupon
Rate

 

Principal
Amount

 

Value

 

 

 

 

 

 

 

 

 

Corporate Bonds & Notes (continued)

 

Integrated Energy 0.4%

 

BP Capital Markets PLC (a)

 

11/07/16

 

0.652%

 

$

9,500,000

 

$

9,534,138

 

Life Insurance 1.2%

 

 

 

 

 

 

 

American International Group, Inc.
Senior Unsecured

 

 

01/16/18

 

5.850%

 

7,955,000

 

8,894,485

 

Hartford Financial Services Group, Inc. (The)
Senior Unsecured

 

 

01/15/19

 

6.000%

 

5,500,000

 

6,237,572

 

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

 

 

04/10/17

 

0.632%

 

7,500,000

 

7,518,746

 

Prudential Covered Trust
Secured (b)

 

 

09/30/15

 

2.997%

 

7,365,000

 

7,468,449

 

Total

 

 

 

 

 

30,119,252

 

Media and Entertainment 0.8%

 

21st Century Fox America, Inc.

 

10/17/16

 

8.000%

 

895,000

 

999,428

 

British Sky Broadcasting Group PLC (b)

 

02/15/18

 

6.100%

 

5,800,000

 

6,454,924

 

Scripps Networks Interactive, Inc.
Senior Unsecured

 

 

11/15/19

 

2.750%

 

6,000,000

 

6,025,110

 

Thomson Reuters Corp.
Senior Unsecured

 

 

05/23/16

 

0.875%

 

7,500,000

 

7,461,135

 

Total

 

 

 

 

 

20,940,597

 

Metals 0.6%

 

 

Rio Tinto Finance USA PLC

 

 

08/21/17

 

1.625%

 

6,500,000

 

6,497,315

 

Vale Overseas Ltd.

 

 

 

 

 

 

 

01/23/17

 

6.250%

 

6,900,000

 

7,359,609

 

Total

 

 

 

 

 

13,856,924

 

Midstream 2.0%

 

 

 

Enterprise Products Operating LLC

 

 

 

02/01/16

 

3.200%

 

6,138,000

 

6,283,360

 

Kinder Morgan Energy Partners LP

 

 

 

03/01/21

 

3.500%

 

8,265,000

 

8,131,363

 

NiSource Finance Corp.

 

 

 

01/15/19

 

6.800%

 

6,144,000

 

7,213,062

 

Plains All American Pipeline LP/Finance Corp.
Senior Unsecured

 

 

 

08/15/16

 

5.875%

 

6,000,000

 

6,409,830

 

 

 

Issuer

 

Coupon
Rate

 

Principal
Amount

 

Value

 

 

 

 

 

 

 

 

 

Corporate Bonds & Notes (continued)

 

Midstream (continued)

 

Southern Natural Gas Co. LLC
Senior Unsecured (b)

 

04/01/17

 

5.900%

 

$

7,365,000

 

$

7,919,143

 

TransCanada PipeLines Ltd.
Senior Unsecured (a)

 

06/30/16

 

0.937%

 

7,000,000

 

7,033,110

 

Williams Partners LP/Finance Corp.
Senior Unsecured

 

 

 

02/01/17

 

7.250%

 

5,300,000

 

5,841,761

 

Total

 

 

 

 

 

48,831,629

 

Office REIT 0.3%

 

 

 

 

 

 

 

Boston Properties LP
Senior Unsecured

 

 

 

11/15/18

 

3.700%

 

5,888,000

 

6,216,356

 

Oil Field Services 0.3%

 

 

Halliburton Co.
Senior Unsecured

 

 

08/01/16

 

1.000%

 

8,500,000

 

8,491,542

 

Pharmaceuticals 0.7%

 

 

 

AbbVie, Inc.
Senior Unsecured

 

 

 

11/06/17

 

1.750%

 

6,500,000

 

6,514,124

 

Actavis Funding SCS

 

 

 

 

 

 

 

06/15/19

 

2.450%

 

2,684,000

 

2,638,230

 

Amgen, Inc.
Senior Unsecured

 

 

 

 

 

 

 

06/15/16

 

2.300%

 

8,375,000

 

8,507,241

 

Total

 

 

 

 

 

17,659,595

 

Property & Casualty 1.0%

 

Berkshire Hathaway Finance Corp.
Senior Unsecured (a)

 

08/14/17

 

0.358%

 

6,835,000

 

6,830,333

 

CNA Financial Corp.
Senior Unsecured

 

 

 

08/15/16

 

6.500%

 

5,500,000

 

5,948,992

 

Liberty Mutual Group, Inc. (b)

 

06/01/21

 

5.000%

 

8,000,000

 

8,714,416

 

Transatlantic Holdings, Inc.
Senior Unsecured

 

12/14/15

 

5.750%

 

3,090,000

 

3,203,672

 

Total

 

 

 

 

 

24,697,413

 

 


 

Issuer

 

Coupon
Rate

 

Principal
Amount

 

Value

 

 

 

 

 

 

 

 

 

Corporate Bonds & Notes (continued)

 

 

 

Refining 0.2%

 

 

 

Marathon Petroleum Corp.
Senior Unsecured

 

 

 

03/01/16

 

3.500%

 

$

6,000,000

 

$

6,148,464

 

Restaurants 0.3%

 

 

Yum! Brands, Inc.
Senior Unsecured

 

 

04/15/16

 

6.250%

 

6,690,000

 

7,098,960

 

Retail REIT 0.6%

 

 

 

 

 

 

 

Kimco Realty Corp.
Senior Unsecured

 

 

 

02/01/18

 

4.300%

 

6,000,000

 

6,423,888

 

Simon Property Group LP
Senior Unsecured

 

 

 

02/01/19

 

2.200%

 

7,800,000

 

7,841,083

 

Total

 

 

 

 

 

14,264,971

 

Technology 1.1%

 

 

 

Apple, Inc.
Senior Unsecured (a)

 

 

 

05/03/16

 

0.282%

 

7,000,000

 

7,000,084

 

Cisco Systems, Inc.
Senior Unsecured (a)

 

 

 

03/03/17

 

0.515%

 

7,500,000

 

7,501,305

 

Hewlett-Packard Co.
Senior Unsecured

 

 

 

 

 

 

 

06/01/16

 

2.650%

 

6,100,000

 

6,215,668

 

Oracle Corp.
Senior Unsecured (a)

 

 

 

07/07/17

 

0.454%

 

6,300,000

 

6,293,713

 

Total

 

 

 

 

 

27,010,770

 

Transportation Services 0.3%

 

 

 

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

 

 

 

10/15/17

 

6.375%

 

7,275,000

 

8,168,883

 

Wirelines 1.8%

 

 

 

 

 

 

 

AT&T, Inc.
Senior Unsecured (a)

 

 

 

02/12/16

 

0.618%

 

2,735,000

 

2,734,962

 

Deutsche Telekom International Finance BV (b)

 

 

 

04/11/16

 

3.125%

 

6,000,000

 

6,149,562

 

Orange SA
Senior Unsecured

 

 

 

09/14/16

 

2.750%

 

6,000,000

 

6,131,442

 

Southwestern Bell Telephone LP

 

 

 

07/01/15

 

7.000%

 

9,200,000

 

9,445,300

 

 

 

Issuer

 

Coupon
Rate

 

Principal
Amount

 

Value

 

 

 

 

 

 

 

 

 

Corporate Bonds & Notes (continued)

 

Wirelines (continued)

 

 

 

Telefonica Emisiones SAU

 

 

 

04/27/18

 

3.192%

 

$

5,000,000

 

$

5,141,695

 

Verizon Communications, Inc.
Senior Unsecured

 

 

03/15/21

 

3.450%

 

13,500,000

 

13,797,553

 

Total

 

 

 

 

 

43,400,514

 

Total Corporate Bonds & Notes
(Cost: $750,817,136)

 

$

753,882,206

 

 

 

 

 

 

 

 

 

Residential Mortgage-Backed Securities - Agency 3.7%

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

 

03/01/34

 

2.352%

 

383,796

 

408,805

 

04/01/35

 

2.065%

 

308,751

 

324,500

 

01/01/36

 

2.497%

 

886,323

 

948,802

 

07/01/36

 

2.235%

 

10,140

 

10,748

 

08/01/36

 

2.231%

 

186,769

 

199,050

 

12/01/36

 

6.058%

 

198,531

 

212,256

 

01/01/37

 

2.239%

 

464,414

 

493,952

 

09/01/37

 

2.423%

 

515,046

 

560,601

 

Federal Home Loan Mortgage Corp. (c)

 

03/01/17-
10/01/21

 

6.000%

 

598,980

 

651,141

 

04/01/17

 

6.500%

 

1,209,904

 

1,261,431

 

05/01/17-
02/01/24

 

5.500%

 

5,507,402

 

5,988,564

 

11/01/17-
07/01/25

 

5.000%

 

7,642,483

 

8,272,091

 

03/01/19-
10/01/24

 

4.500%

 

2,633,957

 

2,834,591

 

04/01/21-
10/01/26

 

3.500%

 

9,047,493

 

9,565,364

 

05/01/24-
07/01/26

 

4.000%

 

10,934,430

 

11,662,190

 

03/01/27

 

3.000%

 

221,664

 

230,657

 

CMO Series 2467 Class NB

 

 

07/15/17

 

5.000%

 

1,050,790

 

1,092,293

 

Federal National Mortgage Association (a)(c)

 

06/01/33

 

1.796%

 

771,660

 

801,198

 

07/01/33

 

1.787%

 

32,809

 

33,107

 

03/01/34

 

2.216%

 

482,730

 

513,915

 

04/01/34

 

2.061%

 

598,176

 

636,062

 

06/01/34

 

2.250%

 

503,112

 

534,104

 

07/01/34

 

2.005%

 

751,489

 

807,147

 

11/01/34

 

1.936%

 

231,366

 

243,828

 

01/01/35

 

1.990%

 

420,424

 

448,530

 

06/01/35

 

2.296%

 

496,571

 

529,392

 

07/01/35

 

2.412%

 

431,344

 

462,012

 

08/01/35

 

2.348%

 

547,221

 

585,294

 

10/01/35

 

2.405%

 

434,677

 

455,977

 

04/01/36

 

1.925%

 

168,980

 

180,125

 

04/01/36

 

2.162%

 

1,385,505

 

1,483,277

 

04/01/36

 

2.455%

 

97,908

 

104,811

 

08/01/36

 

2.396%

 

133,432

 

144,069

 

06/01/37

 

1.189%

 

1,038,182

 

1,081,825

 

 


 

Issuer

 

Coupon
Rate

 

Principal
Amount

 

Value

 

 

 

 

 

 

 

 

 

Residential Mortgage-Backed Securities - Agency (continued)

09/01/37

 

2.273%

 

$

215,969

 

$

232,408

 

09/01/37

 

2.283%

 

39,210

 

40,166

 

CMO Series 2003-W11 Class A1

 

06/25/33

 

3.291%

 

32,295

 

33,861

 

Federal National Mortgage Association (c)

 

 

06/01/17-
08/01/17

 

6.000%

 

2,504,317

 

2,609,373

 

11/01/17-
01/01/24

 

5.500%

 

9,276,519

 

10,101,560

 

07/01/22-
08/01/24

 

5.000%

 

2,666,166

 

2,878,075

 

03/01/24-
02/01/27

 

4.000%

 

17,098,703

 

18,262,360

 

12/01/25-
01/01/27

 

3.500%

 

2,511,033

 

2,656,371

 

Federal National Mortgage Association (c)(d)

 

CMO PO Series G-15 Class A

 

 

 

06/25/21

 

0.000%

 

6,199

 

6,023

 

Federal National Mortgage Association (c)(e)

 

 

10/01/24

 

5.500%

 

641,907

 

705,649

 

Government National Mortgage Association (a)(c)

 

 

07/20/18

 

3.000%

 

61,979

 

63,677

 

04/20/22-
03/20/30

 

1.625%

 

804,009

 

829,120

 

Government National Mortgage Association (c)

 

 

09/20/21

 

6.000%

 

110,748

 

117,741

 

Total Residential Mortgage-Backed Securities - Agency
(Cost: $89,313,216)

 

$

92,298,093

 

 

 

 

 

 

 

 

 

Residential Mortgage-Backed Securities - Non-Agency 2.1%

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

 

 

 

CMO Series 2010-RR2 Class 5A1

 

 

 

12/26/36

 

5.000%

 

1,713,541

 

1,722,878

 

CMO Series 2010-RR4 Class 32A1

 

 

 

01/26/37

 

4.000%

 

105,320

 

105,387

 

Credit Suisse Mortgage Capital Certificates
CMO Series 2009-9R Class 12A1 (a)(b)(c)

 

08/26/35

 

5.357%

 

5,061,947

 

5,179,961

 

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

 

 

 

CMO Series 2009-12 Class 9A1

 

 

 

05/26/36

 

2.662%

 

6,231,971

 

6,290,084

 

CMO Series 2010-4 Class 3A2

 

 

 

04/26/35

 

4.500%

 

5,544,850

 

5,696,143

 

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

 

05/26/47

 

0.300%

 

166,687

 

166,501

 

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

 

 

 

CMO Series 2012-3A Class A

 

 

 

12/25/59

 

1.570%

 

7,570,372

 

7,541,137

 

CMO Series 2013-1A Class A

 

 

 

06/25/58

 

1.270%

 

6,865,235

 

6,836,361

 

CMO Series 2013-2A Class A

 

 

 

12/25/65

 

1.780%

 

5,633,492

 

5,623,622

 

CMO Series 2013-3A Class A

 

 

 

 

Issuer

 

Coupon
Rate

 

Principal
Amount

 

Value

 

 

 

 

 

 

 

 

 

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

09/25/57

 

1.870%

 

$

10,555,964

 

$

10,510,478

 

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

 

12/27/46

 

2.654%

 

2,909,436

 

2,896,564

 

Total Residential Mortgage-Backed Securities - Non-Agency
(Cost: $52,854,883)

 

$

52,569,116

 

 

 

 

 

 

 

 

 

Commercial Mortgage-Backed Securities - Agency 14.2%

Government National Mortgage Association (a)(c)

 

Series 2013-50 Class AH

 

 

 

06/16/39

 

2.100%

 

12,046,234

 

12,042,319

 

Government National Mortgage Association (c)

 

Series 2010-141 Class A

 

 

 

08/16/31

 

1.864%

 

687,397

 

688,564

 

Series 2010-159 Class A

 

 

01/16/33

 

2.159%

 

163,586

 

163,557

 

Series 2010-49 Class A

 

 

 

03/16/51

 

2.870%

 

154,054

 

153,879

 

Series 2011-120 Class AB

 

 

 

08/16/33

 

2.400%

 

7,530,823

 

7,582,461

 

Series 2011-144 Class AB

 

 

 

07/16/35

 

2.012%

 

1,707,803

 

1,711,319

 

Series 2011-149 Class A

 

 

 

10/16/46

 

3.000%

 

1,760,724

 

1,793,171

 

Series 2011-16 Class A

 

 

 

11/16/34

 

2.210%

 

1,543,963

 

1,544,967

 

Series 2011-161 Class A

 

 

 

01/16/34

 

1.738%

 

10,111,775

 

10,114,657

 

Series 2011-20 Class A

 

 

 

04/16/32

 

1.883%

 

4,564,091

 

4,575,477

 

Series 2011-31 Class A

 

 

 

12/16/35

 

2.210%

 

1,829,923

 

1,837,951

 

Series 2011-78 Class A

 

 

 

08/16/34

 

2.250%

 

2,865,581

 

2,874,875

 

Series 2012-1 Class AB

 

 

 

09/16/33

 

1.999%

 

6,591,886

 

6,612,727

 

Series 2012-142 Class A

 

 

 

05/16/37

 

1.105%

 

8,164,152

 

8,046,474

 

Series 2012-22 Class AB

 

 

 

03/16/33

 

1.661%

 

3,398,543

 

3,396,005

 

Series 2012-4 Class A

 

 

 

05/16/40

 

2.120%

 

11,645,453

 

11,679,621

 

Series 2012-55 Class A

 

 

 

08/16/33

 

1.704%

 

9,355,690

 

9,315,308

 

Series 2012-58 Class A

 

 

 

01/16/40

 

2.500%

 

15,225,402

 

15,471,323

 

Series 2012-79 Class A

 

 

 

04/16/39

 

1.800%

 

12,333,078

 

12,170,601

 

Series 2012-9 Class A

 

 

 

05/16/39

 

3.220%

 

2,042,946

 

2,082,079

 

Series 2013-105 Class A

 

 

 

02/16/37

 

1.705%

 

23,127,421

 

22,974,364

 

Series 2013-118 Class AC

 

 

 

 


 


Issuer

 

Coupon
Rate

 

Principal
Amount

 

Value

 

 

 

 

 

 

 

 

 

Commercial Mortgage-Backed Securities - Agency (continued)

06/16/36

 

1.700%

 

$

5,169,994

 

$

5,141,445

 

Series 2013-12 Class A

 

 

 

10/16/42

 

1.410%

 

14,030,852

 

13,847,890

 

Series 2013-126 Class AB

 

 

 

04/16/38

 

1.540%

 

7,975,580

 

7,883,536

 

Series 2013-17 Class AF

 

 

 

11/16/43

 

1.210%

 

9,229,312

 

9,020,785

 

Series 2013-17 Class AH

 

 

 

10/16/43

 

1.558%

 

11,514,875

 

11,337,903

 

Series 2013-194 Class AB

 

 

 

05/16/38

 

2.250%

 

10,275,199

 

10,296,469

 

Series 2013-2 Class AB

 

 

 

12/16/42

 

1.600%

 

16,486,074

 

16,338,656

 

Series 2013-30 Class A

 

 

 

05/16/42

 

1.500%

 

19,182,369

 

18,701,735

 

Series 2013-32 Class AB

 

 

 

01/16/42

 

1.900%

 

6,332,241

 

6,279,949

 

Series 2013-33 Class A

 

 

 

07/16/38

 

1.061%

 

27,620,387

 

26,639,256

 

Series 2013-35 Class A

 

 

 

02/16/40

 

1.618%

 

7,871,052

 

7,698,834

 

Series 2013-40 Class A

 

 

 

10/16/41

 

1.511%

 

12,146,630

 

11,967,103

 

Series 2013-45 Class A

 

 

 

10/16/40

 

1.450%

 

6,589,645

 

6,447,190

 

Series 2013-57 Class A

 

 

 

06/16/37

 

1.350%

 

22,449,610

 

22,065,879

 

Series 2013-61 Class A

 

 

 

01/16/43

 

1.450%

 

13,562,329

 

13,280,531

 

Series 2014-109 Class A

 

 

 

01/16/46

 

2.325%

 

6,456,740

 

6,496,217

 

Series 2014-135 Class AD

 

 

 

08/16/45

 

2.400%

 

12,085,827

 

12,160,071

 

Series 2014-120 Class A

 

 

 

05/16/39

 

2.800%

 

6,858,900

 

6,967,202

 

Total Commercial Mortgage-Backed Securities - Agency
(Cost: $356,002,176)

 

$

349,402,350

 

 

 

 

 

 

 

 

 

Commercial Mortgage-Backed Securities - Non-Agency 7.9%

Bear Stearns Commercial Mortgage Securities Trust (a)(c)

 

Series 2005-PWR7 Class A3

 

 

 

02/11/41

 

5.116%

 

3,343,249

 

3,343,316

 

Bear Stearns Commercial Mortgage Securities Trust (c)

 

Series 2006-T24 Class A4

 

 

 

10/12/41

 

5.537%

 

5,744,557

 

6,059,140

 

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

 

07/15/44

 

5.226%

 

11,260,629

 

11,442,579

 

Colony Multifamily Mortgage Trust
Series 2014-1 Class A (b)(c)

 

04/20/50

 

2.543%

 

8,525,357

 

8,510,517

 

 

Issuer

 

Coupon
Rate

 

Principal
Amount

 

Value

 

 

 

 

 

 

 

 

 

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

Commercial Mortgage Trust
Series 2006-C8 Class A4 (c)

 

12/10/46

 

5.306%

 

$

1,425,076

 

$

1,509,620

 

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

 

Series 2005-C4 Class A5

 

 

 

08/15/38

 

5.104%

 

6,621,108

 

6,665,701

 

Series 2005-C6 Class A4

 

 

 

12/15/40

 

5.230%

 

3,578,733

 

3,646,303

 

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

 

11/10/39

 

5.560%

 

11,874,444

 

12,571,046

 

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

 

Series 2005-LDP4 Class A4

 

10/15/42

 

4.918%

 

11,098,800

 

11,248,378

 

Series 2005-LDP5 Class A4

 

12/15/44

 

5.236%

 

16,589,528

 

16,864,222

 

Series 2006-CB14 Class ASB

 

12/12/44

 

5.506%

 

1,028,478

 

1,037,405

 

Series 2006-LDP6 Class A4

 

04/15/43

 

5.475%

 

9,280,179

 

9,562,816

 

Series 2006-LDP7 Class ASB

 

04/15/45

 

5.865%

 

468,852

 

476,063

 

LB-UBS Commercial Mortgage Trust
Series 2006-C4 Class A4 (a)(c)

 

06/15/38

 

5.833%

 

8,877,040

 

9,324,514

 

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

 

11/12/37

 

5.288%

 

4,816,986

 

4,908,427

 

Morgan Stanley Capital I Trust (a)(c)

 

Series 2007-HQ11 Class A4

 

02/12/44

 

5.447%

 

11,920,000

 

12,713,908

 

Series 2007-T27 Class A4

 

06/11/42

 

5.651%

 

5,690,000

 

6,193,673

 

Morgan Stanley Re-Remic Trust
Series 2009-GG10 Class A4A (a)(b)(c)

 

08/12/45

 

5.796%

 

8,553,237

 

9,167,514

 

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

 

10/05/25

 

1.500%

 

2,137,573

 

2,136,797

 

Wachovia Bank Commercial Mortgage Trust (a)(c)

 

Series 2005-C21 Class A4

 

 

10/15/44

 

5.242%

 

10,503,515

 

10,699,500

 

Series 2005-C22 Class A4

 

 

12/15/44

 

5.269%

 

16,082,832

 

16,426,184

 

Series 2006-C24 Class A1A

 

 

03/15/45

 

5.557%

 

17,898,015

 

18,653,508

 

Series 2006-C24 Class A3

 

03/15/45

 

5.558%

 

11,736,413

 

12,149,300

 

Total Commercial Mortgage-Backed Securities - Non-Agency
(Cost: $203,977,475)

 

$

195,310,431

 

 


 


Issuer

 

Coupon
Rate

 

Principal
Amount

 

Value

 

 

 

 

 

 

 

 

 

Asset-Backed Securities - Non-Agency 16.8%

 

AMRESCO Residential Securities Corp. Mortgage Loan Trust
Series 1998-3 Class A7 (a)(f)

 

07/25/28

 

0.650%

 

$

14,774

 

$

13,187

 

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

 

03/15/20

 

0.711%

 

838,780

 

839,212

 

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

 

08/25/35

 

0.430%

 

4,182,716

 

4,163,551

 

Access Group, Inc. (a)

 

 

 

 

 

 

 

Series 2004A Class A2

 

 

 

04/25/29

 

0.494%

 

9,755,015

 

9,689,822

 

Series 2007A Class A2

 

 

 

 

 

 

 

08/25/26

 

0.363%

 

1,906,913

 

1,895,408

 

Ally Master Owner Trust (a)

 

 

 

Series 2013-1 Class A1

 

 

 

02/15/18

 

0.611%

 

7,475,000

 

7,479,200

 

Series 2014-1 Class A1

 

 

 

01/15/19

 

0.631%

 

6,125,000

 

6,121,239

 

Series 2014-2 Class A

 

 

 

01/16/18

 

0.531%

 

3,000,000

 

2,999,068

 

American Credit Acceptance Receivables Trust (b)

 

Series 2012-3 Class A

 

 

 

11/15/16

 

1.640%

 

281,563

 

281,843

 

Series 2013-1 Class A

 

 

 

04/16/18

 

1.450%

 

1,940,917

 

1,945,543

 

Series 2013-2 Class A

 

 

 

02/15/17

 

1.320%

 

1,274,779

 

1,276,036

 

Series 2014-1 Class A

 

 

 

03/12/18

 

1.140%

 

2,033,756

 

2,034,830

 

Series 2014-3 Class A

 

 

 

08/10/18

 

0.990%

 

7,276,023

 

7,268,466

 

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

 

 

 

08/20/16

 

2.054%

 

7,000,000

 

7,034,224

 

CCG Receivables Trust (b)

 

 

 

Series 2013-1 Class A2

 

 

 

08/14/20

 

1.050%

 

3,425,029

 

3,428,884

 

Series 2014-1 Class A2

 

 

 

11/15/21

 

1.060%

 

4,000,000

 

3,992,727

 

CIT Equipment Collateral
Series 2014-VT1 Class A2 (b)

 

 

 

05/22/17

 

0.860%

 

10,600,000

 

10,599,332

 

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

 

 

 

08/15/19

 

0.761%

 

14,150,000

 

14,175,235

 

California Republic Auto Receivables Trust
Series 2014-3 Class A3

 

 

 

11/15/18

 

1.090%

 

4,925,000

 

4,921,566

 

Capital Auto Receivables Asset Trust
Series 2014-3 Class A2

 

 

 

12/20/17

 

1.180%

 

8,080,000

 

8,070,699

 

CarFinance Capital Auto Trust (b)

 

 

 

Series 2013-2A Class A

 

 

 

11/15/17

 

1.750%

 

2,499,133

 

2,505,542

 

 

Issuer

 

Coupon
Rate

 

Principal
Amount

 

Value

 

 

 

 

 

 

 

 

 

Asset-Backed Securities - Non-Agency (continued)

 

Series 2014-1A Class A

 

12/17/18

 

1.460%

 

$

3,200,211

 

$

3,199,419

 

Chesapeake Funding LLC (a)(b)

 

 

 

Series 2011-2A Class A

 

 

 

04/07/24

 

1.407%

 

6,226,280

 

6,273,974

 

Series 2014-1A Class A

 

 

 

03/07/26

 

0.577%

 

12,000,000

 

12,000,024

 

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

 

12/25/33

 

0.580%

 

839,283

 

838,408

 

Cityscape Home Equity Loan Trust
Series 1997-C Class A3 (a)(f)(g)(h)

 

07/25/28

 

7.380%

 

607,537

 

1

 

DT Auto Owner Trust (b)

 

Series 2014-1A Class A

 

 

07/17/17

 

0.660%

 

2,344,027

 

2,344,002

 

Series 2014-3A Class A

 

 

 

04/16/18

 

0.980%

 

10,285,000

 

10,278,778

 

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

 

05/20/26

 

2.270%

 

5,688,608

 

5,716,420

 

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

 

10/26/26

 

1.084%

 

5,186,001

 

5,209,587

 

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

 

01/25/36

 

0.510%

 

4,693,078

 

4,667,125

 

Exeter Automobile Receivables Trust (b)

 

Series 2012-2A Class A

 

06/15/17

 

1.300%

 

764,607

 

765,000

 

Series 2014-2A Class A

 

 

 

08/15/18

 

1.060%

 

5,537,838

 

5,526,273

 

Series 2014-3A Class A

 

 

 

01/15/19

 

1.320%

 

11,569,381

 

11,555,745

 

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

 

06/25/25

 

6.680%

 

21,579

 

21,615

 

First Investors Auto Owner Trust (b)

 

 

 

Series 2013-2A Class A2

 

 

 

03/15/19

 

1.230%

 

2,278,786

 

2,284,105

 

Series 2013-3A Class A2

 

 

 

09/15/17

 

0.890%

 

2,437,887

 

2,439,358

 

Series 2014-1A Class A2

 

 

 

02/15/18

 

0.800%

 

3,164,016

 

3,161,703

 

Series 2014-3A Class A2

 

 

 

11/15/18

 

1.060%

 

8,400,000

 

8,384,526

 

GE Dealer Floorplan Master Note Trust
Series 2014-1 Class A (a)

 

07/20/19

 

0.545%

 

8,045,000

 

8,045,006

 

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

 

03/20/36

 

0.315%

 

7,386,142

 

7,328,331

 

Hertz Fleet Lease Funding LP (a)(b)

 

Series 2013-3 Class A

 

12/10/27

 

0.712%

 

12,980,000

 

12,995,663

 

Series 2014-1 Class A

 

 


 

 


Issuer

 

Coupon
Rate

 

Principal
Amount

 

Value

 

 

 

 

 

 

 

 

 

Asset-Backed Securities - Non-Agency (continued)

 

04/10/28

 

0.562%

 

$

13,000,000

 

$

13,000,026

 

Hilton Grand Vacations Trust (b)

 

Series 2013-A Class A

 

01/25/26

 

2.280%

 

10,225,707

 

10,279,961

 

Series 2014-AA Class A

 

11/25/26

 

1.770%

 

9,762,959

 

9,643,670

 

IMC Home Equity Loan Trust
Series 1997-3 Class A7

 

08/20/28

 

7.080%

 

66

 

66

 

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

 

12/27/29

 

0.585%

 

4,226,055

 

4,198,176

 

MVW Owner Trust
Series 2014-1A Class A (b)

 

09/20/31

 

2.250%

 

3,376,882

 

3,353,392

 

Macquarie Equipment Funding Trust
Series 2014-A Class A2 (b)

 

11/21/16

 

0.800%

 

8,440,000

 

8,421,753

 

Marriott Vacation Club Owner Trust
Series 2009-2A Class A (b)

 

07/20/31

 

4.809%

 

1,254,190

 

1,262,892

 

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

 

03/20/24

 

0.347%

 

3,836,467

 

3,812,933

 

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

 

11/20/16

 

1.697%

 

1,523,626

 

1,525,302

 

Navient Student Loan Trust
Series 2014-AA Class A1 (a)(b)

 

05/16/22

 

0.641%

 

6,216,022

 

6,216,035

 

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

 

11/15/16

 

1.950%

 

3,617,279

 

3,619,330

 

New York City Tax Liens Trust
Series 2014-A Class A (b)

 

11/10/27

 

1.030%

 

914,799

 

913,696

 

Nissan Auto Lease Trust
Series 2014-B Class A2A

 

04/17/17

 

0.730%

 

4,615,000

 

4,610,925

 

PFS Tax Lien Trust
Series 2014-1 Class NOTE (b)

 

05/15/29

 

1.440%

 

3,185,745

 

3,187,418

 

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

 

07/01/21

 

0.755%

 

1,243,082

 

1,243,982

 

Park Place Securities, Inc. Asset-Backed Pass-Through Certificates
Series 2004-WCW2 Class M1 (a)

 

10/25/34

 

1.100%

 

1,819,525

 

1,819,348

 

Prestige Auto Receivables Trust (b)

 

Series 2013-1A Class A2

 

02/15/18

 

1.090%

 

2,242,755

 

2,244,855

 

Series 2014-1A Class A2

 

 

Issuer

 

Coupon
Rate

 

Principal
Amount

 

Value

 

 

 

 

 

 

 

 

 

Asset-Backed Securities - Non-Agency (continued)

03/15/18

 

0.970%

 

$

4,021,395

 

$

4,018,046

 

Residential Funding Mortgage Securities II
Series 2003-HS3 Class A2B (NPFGC) (a)(f)

 

08/25/33

 

0.460%

 

3,501

 

3,230

 

SLM Private Credit Student Loan Trust (a)

 

Series 2003-A Class A2

 

09/15/20

 

0.681%

 

4,021,557

 

4,002,996

 

Series 2004-B Class A2

 

06/15/21

 

0.441%

 

7,895,132

 

7,839,598

 

Series 2005-A Class A2

 

12/15/20

 

0.381%

 

656,573

 

657,967

 

SLM Private Education Loan Trust (a)(b)

 

Series 2011-A Class A1

 

 

 

10/15/24

 

1.161%

 

924,476

 

928,925

 

Series 2012-A Class A1

 

08/15/25

 

1.561%

 

2,197,415

 

2,219,579

 

Series 2012-B Class A1

 

12/15/21

 

1.261%

 

1,833,456

 

1,838,999

 

Series 2013-A Class A1

 

 

 

08/15/22

 

0.761%

 

4,512,848

 

4,516,490

 

Series 2013-B Class A1

 

 

 

07/15/22

 

0.811%

 

12,286,770

 

12,303,857

 

Series 2013-C Class A1

 

 

 

02/15/22

 

1.011%

 

2,256,743

 

2,266,164

 

Series 2014-A Class A1

 

 

 

07/15/22

 

0.761%

 

4,073,133

 

4,076,622

 

SLM Student Loan Trust
Series 2003-12 Class A5 (a)(b)

 

 

 

09/15/22

 

0.521%

 

582,331

 

582,180

 

SMART Trust (a)

 

 

 

 

 

 

 

Series 2013-1US Class A3B

 

 

 

09/14/16

 

0.611%

 

7,767,290

 

7,763,058

 

Series 2013-2US Class A3B

 

 

 

01/14/17

 

0.591%

 

6,392,404

 

6,382,869

 

Series 2014-1US Class A3B

 

 

 

02/14/18

 

0.561%

 

7,000,000

 

6,973,854

 

SMART Trust (a)(b)

 

 

 

 

 

 

 

Series 2012-1USA Class A3B

 

 

 

05/14/16

 

1.061%

 

203,393

 

203,530

 

Series 2012-2USA Class A3B

 

 

 

10/14/16

 

1.111%

 

1,775,272

 

1,777,757

 

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

 

 

 

09/20/29

 

2.000%

 

2,009,429

 

1,997,473

 

Santander Drive Auto Receivables Trust

 

 

 

Series 2014-4 Class A3

 

 

 

09/17/18

 

1.080%

 

9,635,000

 

9,636,950

 

Series 2014-5 Class A2A

 

 

 

04/16/18

 

0.720%

 

4,405,000

 

4,399,645

 

Sierra Timeshare Receivables Funding Co. LLC (b)

 

 

 

Series 2011-1A Class A

 

 

 

04/20/26

 

3.350%

 

1,500,690

 

1,533,077

 

Series 2011-2A Class A

 

 

 

05/20/28

 

3.260%

 

1,270,285

 

1,290,265

 

Series 2011-3A Class A

 

 

 

07/20/28

 

3.370%

 

2,057,636

 

2,102,442

 

Series 2012-1A Class A

 

 

 

11/20/28

 

2.840%

 

3,417,852

 

3,472,075

 

 


 


Issuer

 

Coupon
Rate

 

Principal
Amount

 

Value

 

 

 

 

 

 

 

 

 

Asset-Backed Securities - Non-Agency (continued)

 

Series 2012-3A Class A

 

08/20/29

 

1.870%

 

$

1,289,421

 

$

1,295,960

 

Series 2013-1A Class A

 

 

11/20/29

 

1.590%

 

2,161,488

 

2,164,953

 

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

 

10/01/20

 

0.755%

 

3,429,271

 

3,427,420

 

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

 

 

06/25/36

 

0.620%

 

954,334

 

955,036

 

TAL Advantage V LLC
Series 2014-2A Class A1 (b)

 

05/20/39

 

1.700%

 

6,468,427

 

6,418,534

 

Westlake Automobile Receivables Trust (b)

 

 

Series 2013-1A Class A2

 

 

 

01/15/18

 

1.120%

 

4,134,547

 

4,139,968

 

Series 2014-1A Class A2

 

 

05/15/17

 

0.700%

 

4,370,000

 

4,368,577

 

Series 2014-2A Class A2

 

 

 

10/16/17

 

0.970%

 

4,840,000

 

4,836,966

 

Total Asset-Backed Securities - Non-Agency
(Cost: $412,231,857)

 

$

413,519,499

 

 

 

 

 

 

 

 

 

Inflation-Indexed Bonds 2.0%

 

United States 2.0%

 

 

 

 

 

 

 

U.S. Treasury Inflation-Indexed Bond

 

 

04/15/16

 

0.125%

 

49,626,035

 

49,474,825

 

Total Inflation-Indexed Bonds
(Cost: $50,290,428)

 

$

49,474,825

 

 

 

 

 

 

 

 

 

U.S. Treasury Obligations 14.1%

 

U.S. Treasury

 

 

 

 

 

 

 

10/31/16

 

1.000%

 

95,255,000

 

95,939,693

 

08/31/17

 

0.625%

 

238,975,000

 

236,697,329

 

12/31/18

 

1.500%

 

14,000,000

 

14,018,592

 

Total U.S. Treasury Obligations
(Cost: $346,104,392)

 

$

346,655,614

 

 

 

 

 

 

 

 

 

U.S. Government & Agency Obligations 6.0%

 

Federal Farm Credit Banks (a)

 

 

 

12/06/16

 

0.263%

 

25,000,000

 

25,051,025

 

Federal Home Loan Banks

 

 

 

05/24/17

 

0.875%

 

27,500,000

 

27,449,318

 

Federal National Mortgage Association

 

 

 

08/28/17

 

0.875%

 

72,975,000

 

72,720,098

 

09/27/17

 

1.000%

 

23,000,000

 

22,953,678

 

 

Issuer

 

Coupon
Rate

 

Principal
Amount

 

Value

 

 

 

 

 

 

 

U.S. Government & Agency Obligations (continued)

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

05/01/23

 

0.383%

 

$

722,500

 

$

691,071

Total U.S. Government & Agency Obligations
(Cost: $148,801,172)

 

$

148,865,190

 

 

 

 

 

 

 

Foreign Government Obligations(i)  0.9%

Canada 0.6%

 

 

 

 

 

 

Province of Ontario
Senior Unsecured

 

 

05/26/15

 

0.950%

 

8,500,000

 

8,521,106

Province of Quebec

 

 

 

 

 

 

03/01/16

 

5.000%

 

5,806,000

 

6,102,454

Total

 

 

 

 

 

14,623,560

Mexico 0.3%

 

 

 

 

 

 

Petroleos Mexicanos

 

 

 

 

 

 

03/01/18

 

5.750%

 

8,000,000

 

8,640,000

Total Foreign Government Obligations
(Cost: $23,331,573)

 

$

23,263,560

 

 

 

 

 

 

 

Issue
Description

 

Coupon
Rate

 

Principal
Amount

 

Value

 

 

 

 

 

 

 

Municipal Bonds 0.5%

Illinois 0.5%

 

 

 

 

 

 

State of Illinois
Unlimited General Obligation Bonds
Taxable
Series 2011

03/01/17

 

5.365%

 

11,550,000

 

12,388,877

Total Municipal Bonds
(Cost: $12,267,139)

 

$

12,388,877

 

 

 

 

 

 

 

 

 

 

 

Shares

 

Value

 

 

 

 

 

 

 

Money Market Funds 1.2%

Columbia Short-Term Cash Fund, 0.115% (j)(k)

 

28,871,424

 

$

28,871,424

Total Money Market Funds
(Cost: $28,871,424)

 

$

28,871,424

Total Investments

 

 

(Cost: $2,474,862,871) (l)

 

$

2,466,501,185(m)

Other Assets & Liabilities, Net

 

305,051

Net Assets

 

 

 

 

 

$

2,466,806,236

 

 


 

Investments in Derivatives

 

Futures Contracts Outstanding at December 31, 2014

 

 

At December 31, 2014, securities totaling $467,937 were pledged as collateral to cover initial margin requirements on open futures contracts.

 

Long Futures Contracts Outstanding

 

Contract Description

 

Number of
Contracts

 

Trading
Currency

 

Notional Market
Value ($)

 

Expiration
Date

 

Unrealized
Appreciation ($)

 

Unrealized
Depreciation ($)

 

US 2YR NOTE

 

1,200

 

USD

 

262,312,500

 

03/2015

 

—

 

(260,299

)

 

Short Futures Contracts Outstanding

 

Contract Description

 

Number of
Contracts

 

Trading
Currency

 

Notional Market
Value ($)

 

Expiration
Date

 

Unrealized
Appreciation ($)

 

Unrealized
Depreciation ($)

 

US 5YR NOTE

 

(450

)

USD

 

(53,518,361

)

03/2015

 

—

 

(60,711

)

 

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, 2014, the value of these securities amounted to $448,730,654 or 18.19% 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)

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

(e)

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.

(f)

Identifies securities considered by the Investment Manager to be illiquid as to their marketability. The aggregate value of such securities at December 31, 2014 was $38,033, which represents less than 0.01% of net assets. Information concerning such security holdings at December 31, 2014 is as follows:

 

Security Description

 

Acquisition Dates

 

Cost ($)

 

AMRESCO Residential Securities Corp. Mortgage Loan Trust

 

 

 

 

 

Series 1998-3 Class A7

 

 

 

 

 

07/25/28 0.650%

 

12-19-2003

 

14,671

 

Cityscape Home Equity Loan Trust

 

 

 

 

 

Series 1997-C Class A3

 

 

 

 

 

07/25/28 7.380%

 

11-25-2003 - 06-29-2009

 

572,589

 

First Alliance Mortgage Loan Trust

 

 

 

 

 

Series 1994-2 Class A2 (NPFGC)

 

 

 

 

 

06/25/25 6.680%

 

06-24-2004

 

21,597

 

Residential Funding Mortgage Securities II

 

 

 

 

 

Series 2003-HS3 Class A2B (NPFGC)

 

 

 

 

 

08/25/33 0.460%

 

09-15-2003

 

3,501

 

 

(g)

Represents securities that have defaulted on payment of interest. The Fund has stopped accruing interest on these securities. At December 31, 2014, the value of these securities amounted to $1, which represents less than 0.01% of net assets.

(h)

Represents fair value as determined in good faith under procedures approved by the Board of Trustees. At December 31, 2014, the value of these securities amounted to $691,072, which represents 0.03% of net assets.

(i)

Principal and interest may not be guaranteed by the government.

(j)

The rate shown is the seven-day current annualized yield at December 31, 2014.

(k)

As defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company’s 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, 2014, are as follows:

 

Issuer

 

Beginning
Cost ($)

 

Purchase
Cost ($)

 

Proceeds From
Sales ($)

 

Ending Cost ($)

 

Dividends —
Affiliated Issuers ($)

 

Value ($)

 

Columbia Short-Term Cash Fund

 

22,720,143

 

657,042,683

 

(650,891,402

)

28,871,424

 

36,593

 

28,871,424

 

 

(l)

At December 31, 2014, the cost of securities for federal income tax purposes was approximately $2,474,863,000 and the approximate aggregate gross unrealized appreciation and depreciation based on that cost was:

 

Unrealized Appreciation

 

$

10,539,000

 

Unrealized Depreciation

 

(18,901,000

)

Net Unrealized Depreciation

 

$

(8,362,000

)

 


 

(m)

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

 

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, 2014:

 

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

 

—

 

753,882,206

 

—

 

753,882,206

 

Residential Mortgage-Backed Securities - Agency

 

—

 

92,298,093

 

—

 

92,298,093

 

Residential Mortgage-Backed Securities - Non-Agency

 

—

 

52,569,116

 

—

 

52,569,116

 

Commercial Mortgage-Backed Securities - Agency

 

—

 

349,402,350

 

—

 

349,402,350

 

Commercial Mortgage-Backed Securities - Non-Agency

 

—

 

195,310,431

 

—

 

195,310,431

 

Asset-Backed Securities - Non-Agency

 

—

 

411,994,196

 

1,525,303

 

413,519,499

 

Inflation-Indexed Bonds

 

—

 

49,474,825

 

—

 

49,474,825

 

U.S. Treasury Obligations

 

346,655,614

 

—

 

—

 

346,655,614

 

U.S. Government & Agency Obligations

 

—

 

148,174,119

 

691,071

 

148,865,190

 

Foreign Government Obligations

 

—

 

23,263,560

 

—

 

23,263,560

 

Municipal Bonds

 

—

 

12,388,877

 

—

 

12,388,877

 

Total Bonds

 

346,655,614

 

2,088,757,773

 

2,216,374

 

2,437,629,761

 

Mutual Funds

 

 

 

 

 

 

 

 

 

Money Market Funds

 

28,871,424

 

—

 

—

 

28,871,424

 

Investments in Securities

 

375,527,038

 

2,088,757,773

 

2,216,374

 

2,466,501,185

 

Derivatives

 

 

 

 

 

 

 

 

 

Liabilities

 

 

 

 

 

 

 

 

 

Futures Contracts

 

(321,010

)

—

 

—

 

(321,010

)

Total

 

375,206,028

 

2,088,757,773

 

2,216,374

 

2,466,180,175

 

 

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 during the period.

 

Derivative instruments are valued at unrealized appreciation (depreciation).

 

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 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, observable transactions for identical or similar assets in the market and the distressed nature of the security.  The appropriateness of fair values for these securities is monitored on an ongoing basis which may include results of back testing, manual price reviews and other control procedures.  Significant increases (decreases) to any of these inputs would result in a significantly lower (higher) fair value measurement.

 

Certain 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.

 


 

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/ Christopher O. Petersen

 

 

Christopher O. Petersen, President and Principal Executive Officer

 

 

 

 

 

 

 

 

 

Date

 

February 23, 2015

 

 

 

 

 

 

 

 

 

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/ Christopher O. Petersen

 

 

Christopher O. Petersen, President and Principal Executive Officer

 

 

 

 

 

 

 

 

 

Date

 

February 23, 2015

 

 

 

 

 

 

 

 

 

By (Signature and Title)

 

/s/ Michael G. Clarke

 

 

 

Michael G. Clarke, Treasurer and Chief Financial Officer

 

 

 

 

 

 

 

 

 

Date

 

February 23, 2015