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| Long futures contracts | ||||||
| Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
| U.S. Long Bond | 841 | 03/2022 | USD | 136,347,125 | 3,625,652 | — |
| U.S. Long Bond | 216 | 03/2022 | USD | 35,019,000 | 743,328 | — |
| U.S. Treasury 10-Year Note | 985 | 03/2022 | USD | 128,850,313 | 1,807,063 | — |
| 74 | Multi-Manager Total Return Bond Strategies Fund | First Quarter Report 2021 |
| Long futures contracts (continued) | ||||||
| Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
| U.S. Treasury 10-Year Note | 1,218 | 03/2022 | USD | 159,329,625 | 1,582,847 | — |
| U.S. Treasury 2-Year Note | 194 | 03/2022 | USD | 42,434,469 | 83,271 | — |
| U.S. Treasury 2-Year Note | 367 | 03/2022 | USD | 80,275,516 | 58,749 | — |
| U.S. Treasury 5-Year Note | 5,030 | 03/2022 | USD | 610,634,143 | 3,749,192 | — |
| U.S. Treasury 5-Year Note | 1,561 | 03/2022 | USD | 189,502,962 | 1,278,274 | — |
| U.S. Treasury Ultra 10-Year Note | 304 | 03/2022 | USD | 44,654,750 | 451,375 | — |
| U.S. Treasury Ultra 10-Year Note | 155 | 03/2022 | USD | 22,768,047 | 350,820 | — |
| U.S. Ultra Treasury Bond | 741 | 03/2022 | USD | 148,616,813 | 4,991,824 | — |
| U.S. Ultra Treasury Bond | 596 | 03/2022 | USD | 119,535,250 | 4,971,746 | — |
| U.S. Ultra Treasury Bond | 250 | 03/2022 | USD | 50,140,625 | 1,739,679 | — |
| Total | 25,433,820 | — | ||||
| Short futures contracts | ||||||
| Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
| U.S. Treasury 10-Year Note | (64) | 03/2022 | USD | (8,372,000) | — | (83,627) |
| U.S. Treasury 2-Year Note | (4,620) | 03/2022 | USD | (1,010,552,817) | — | (1,526,326) |
| U.S. Treasury 5-Year Note | (527) | 03/2022 | USD | (63,976,977) | — | (490,957) |
| U.S. Treasury Ultra 10-Year Note | (67) | 03/2022 | USD | (9,841,672) | — | (148,978) |
| U.S. Treasury Ultra 10-Year Note | (817) | 03/2022 | USD | (120,009,641) | — | (2,510,095) |
| Total | — | (4,759,983) | ||||
| Cleared interest rate swap contracts | |||||||||||
| Fund receives | Fund pays | Payment frequency | Counterparty | Maturity date | Notional currency | Notional amount | Value ($) | Upfront payments ($) | Upfront receipts ($) | Unrealized appreciation ($) | Unrealized depreciation ($) |
| Fixed rate of 1.390% | 3-Month USD LIBOR | Receives SemiAnnually, Pays Quarterly | Citi | 09/28/2025 | USD | 223,000,000 | (902,026) | — | — | — | (902,026) |
| 3-Month USD LIBOR | Fixed rate of 1.870% | Receives Quarterly, Pays SemiAnnually | Citi | 09/28/2053 | USD | 19,000,000 | (722,039) | — | — | — | (722,039) |
| Total | (1,624,065) | — | — | — | (1,624,065) | ||||||
| Cleared credit default swap contracts - sell protection | ||||||||||||
| Reference entity | Counterparty | Maturity date | Receive fixed rate (%) | Payment frequency | Implied credit spread (%)* | Notional currency | Notional amount | Value ($) | Upfront payments ($) | Upfront receipts ($) | Unrealized appreciation ($) | Unrealized depreciation ($) |
| Markit CDX North America High Yield Index, Series 37 | Morgan Stanley | 12/20/2026 | 5.000 | Quarterly | 3.301 | USD | 28,100,000 | 252,149 | — | — | 252,149 | — |
| * | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues as of period end serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
| Reference index and values for swap contracts as of period end | ||
| Reference index | Reference rate | |
| 3-Month USD LIBOR | London Interbank Offered Rate | 0.173% |
| Multi-Manager Total Return Bond Strategies Fund | First Quarter Report 2021 | 75 |
| (a) | Represents privately placed and other securities and instruments exempt from Securities and Exchange Commission registration (collectively, private placements), such as Section 4(a)(2) and Rule 144A eligible securities, which are often sold only to qualified institutional buyers. At November 30, 2021, the total value of these securities amounted to $3,406,802,001, which represents 30.51% of total net assets. |
| (b) | Variable rate security. The interest rate shown was the current rate as of November 30, 2021. |
| (c) | Represents a security purchased on a when-issued basis. |
| (d) | Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. The interest rate shown was the current rate as of November 30, 2021. |
| (e) | Represents interest only securities which have the right to receive the monthly interest payments on an underlying pool of mortgage loans. |
| (f) | Represents principal only securities which have the right to receive the principal portion only on an underlying pool of mortgage loans. |
| (g) | Zero coupon bond. |
| (h) | Represents fair value as determined in good faith under procedures approved by the Board of Trustees. At November 30, 2021, the total value of these securities amounted to $107,805,042, which represents 0.97% of total net assets. |
| (i) | Valuation based on significant unobservable inputs. |
| (j) | Non-income producing investment. |
| (k) | Represents a variable rate security with a step coupon where the rate adjusts according to a schedule for a series of periods, typically lower for an initial period and then increasing to a higher coupon rate thereafter. The interest rate shown was the current rate as of November 30, 2021. |
| (l) | Payment-in-kind security. Interest can be paid by issuing additional par of the security or in cash. |
| (m) | Represents securities that have defaulted on payment of interest. The Fund has stopped accruing interest on these securities. At November 30, 2021, the total value of these securities amounted to $4,661,388, which represents 0.04% of total net assets. |
| (n) | Principal amounts are denominated in United States Dollars unless otherwise noted. |
| (o) | Principal and interest may not be guaranteed by a governmental entity. |
| (p) | Municipal obligations include debt obligations issued by or on behalf of territories, possessions, or sovereign nations within the territorial boundaries of the United States. At November 30, 2021, the total value of these securities amounted to $3,138,827, which represents 0.03% of total net assets. |
| (q) | Represents a variable rate security where the coupon adjusts periodically through an auction process. |
| (r) | Represents a security purchased on a forward commitment basis. |
| (s) | The stated interest rate represents the weighted average interest rate at November 30, 2021 of contracts within the senior loan facility. Interest rates on contracts are primarily determined either weekly, monthly or quarterly by reference to the indicated base lending rate and spread and the reset period. These base lending rates are primarily the LIBOR and other short-term rates. Base lending rates may be subject to a floor or minimum rate. The interest rate for senior loans purchased on a when-issued or delayed delivery basis will be determined upon settlement, therefore no interest rate is disclosed. Senior loans often require prepayments from excess cash flows or permit the borrowers to repay at their election. The degree to which borrowers repay cannot be predicted with accuracy. As a result, remaining maturities of senior loans may be less than the stated maturities. Generally, the Fund is contractually obligated to receive approval from the agent bank and/or borrower prior to the disposition of a senior loan. |
| (t) | The borrower filed for protection under Chapter 11 of the U.S. Federal Bankruptcy Code. |
| (u) | At November 30, 2021, the Fund had unfunded senior loan commitments pursuant to the terms of the loan agreement. The Fund receives a stated coupon rate until the borrower draws on the loan commitment, at which time the rate will become the stated rate in the loan agreement. |
| Borrower | Unfunded Commitment ($) |
| Intelsat Jackson Holdings S.A. Debtor in Possession Term Loan 07/13/2022 5.392% | 340,833 |
| (v) | This security or a portion of this security has been pledged as collateral in connection with derivative contracts. |
| (w) | The rate shown is the seven-day current annualized yield at November 30, 2021. |
| (x) | As defined in the Investment Company Act of 1940, as amended, 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. The value of the holdings and transactions in these affiliated companies during the period ended November 30, 2021 are as follows: |
| Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Realized gain (loss)($) | Dividends($) | End of period shares |
| Columbia Short-Term Cash Fund, 0.078% | ||||||||
| 949,725,033 | 1,721,370,664 | (1,648,634,180) | — | 1,022,461,517 | — | 162,598 | 1,022,563,773 | |
| 76 | Multi-Manager Total Return Bond Strategies Fund | First Quarter Report 2021 |
| BAM | Build America Mutual Assurance Co. |
| CMO | Collateralized Mortgage Obligation |
| CMT | Constant Maturity Treasury |
| EURIBOR | Euro Interbank Offered Rate |
| FHLMC | Federal Home Loan Mortgage Corporation |
| LIBID | London Interbank Bid Rate |
| LIBOR | London Interbank Offered Rate |
| MTA | Monthly Treasury Average |
| SOFR | Secured Overnight Financing Rate |
| STRIPS | Separate Trading of Registered Interest and Principal Securities |
| TBA | To Be Announced |
| EUR | Euro |
| USD | US Dollar |
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