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UNITED STATES
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 811-04367
Columbia Funds Series Trust I
(Exact name of registrant as specified in charter)
| 225 Franklin Street, Boston, MA | 02110 | |
| (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: October 31
Date of reporting period: January 31, 2017
Item 1. Schedule of Investments.
| Columbia
AMT-Free Connecticut Intermediate Muni Bond Fund | Quarterly Report 2017 |
1 |
| 2 | Columbia AMT-Free Connecticut Intermediate Muni Bond Fund | Quarterly Report 2017 |
| Columbia
AMT-Free Connecticut Intermediate Muni Bond Fund | Quarterly Report 2017 |
3 |
| (a) | 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 January 31, 2017, the value of these securities amounted to $1,976,122 or 1.44% of net assets. |
| (b) | Represents privately placed and other securities and instruments exempt from SEC registration (collectively, private placements), such as Section 4(a)(2) and Rule 144A eligible securities, which are often sold only to qualified institutional buyers. The Fund may invest in private placements determined to be liquid as well as those determined to be illiquid. Private placements may be determined to be liquid under guidelines established by the Fund’s Board of Trustees. At January 31, 2017, the value of these securities amounted to $938,110 or 0.69% of net assets. |
| (c) | The rate shown is the seven-day current annualized yield at January 31, 2017. |
| AGM | Assured Guaranty Municipal Corporation |
| AMBAC | Ambac Assurance Corporation |
| BAM | Build America Mutual Assurance Co. |
| 4 | Columbia AMT-Free Connecticut Intermediate Muni Bond Fund | Quarterly Report 2017 |
| NPFGC | National Public Finance Guarantee Corporation |
| Federal
tax cost ($) |
Gross
unrealized appreciation ($) |
Gross
unrealized (depreciation) ($) |
Net
unrealized appreciation ($) |
| 129,985,000 | 5,273,000 | (1,196,000) | 4,077,000 |
| • | Level 1 – Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date (including NAV for open-end mutual funds). Valuation adjustments are not applied to Level 1 investments. |
| • | Level 2 – Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
| • | Level 3 – Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
| Columbia
AMT-Free Connecticut Intermediate Muni Bond Fund | Quarterly Report 2017 |
5 |
| Level
1 quoted prices in active markets for identical assets ($) |
Level
2 other significant observable inputs ($) |
Level
3 significant unobservable inputs ($) |
Total ($) | |
| Investments | ||||
| Municipal Bonds | — | 133,459,989 | — | 133,459,989 |
| Money Market Funds | 601,637 | — | — | 601,637 |
| Total Investments | 601,637 | 133,459,989 | — | 134,061,626 |
| 6 | Columbia AMT-Free Connecticut Intermediate Muni Bond Fund | Quarterly Report 2017 |
| Columbia
AMT-Free Intermediate Muni Bond Fund | Quarterly Report 2017 |
1 |
| 2 | Columbia AMT-Free Intermediate Muni Bond Fund | Quarterly Report 2017 |
| Columbia
AMT-Free Intermediate Muni Bond Fund | Quarterly Report 2017 |
3 |
| 4 | Columbia AMT-Free Intermediate Muni Bond Fund | Quarterly Report 2017 |
| Columbia
AMT-Free Intermediate Muni Bond Fund | Quarterly Report 2017 |
5 |
| 6 | Columbia AMT-Free Intermediate Muni Bond Fund | Quarterly Report 2017 |
| Columbia
AMT-Free Intermediate Muni Bond Fund | Quarterly Report 2017 |
7 |
| 8 | Columbia AMT-Free Intermediate Muni Bond Fund | Quarterly Report 2017 |
| Columbia
AMT-Free Intermediate Muni Bond Fund | Quarterly Report 2017 |
9 |
| 10 | Columbia AMT-Free Intermediate Muni Bond Fund | Quarterly Report 2017 |
| Columbia
AMT-Free Intermediate Muni Bond Fund | Quarterly Report 2017 |
11 |
| 12 | Columbia AMT-Free Intermediate Muni Bond Fund | Quarterly Report 2017 |
| Columbia
AMT-Free Intermediate Muni Bond Fund | Quarterly Report 2017 |
13 |
| 14 | Columbia AMT-Free Intermediate Muni Bond Fund | Quarterly Report 2017 |
| Columbia
AMT-Free Intermediate Muni Bond Fund | Quarterly Report 2017 |
15 |
| 16 | Columbia AMT-Free Intermediate Muni Bond Fund | Quarterly Report 2017 |
| Columbia
AMT-Free Intermediate Muni Bond Fund | Quarterly Report 2017 |
17 |
| 18 | Columbia AMT-Free Intermediate Muni Bond Fund | Quarterly Report 2017 |
| Columbia
AMT-Free Intermediate Muni Bond Fund | Quarterly Report 2017 |
19 |
| 20 | Columbia AMT-Free Intermediate Muni Bond Fund | Quarterly Report 2017 |
| (a) | Variable rate security. |
| (b) | The Fund is entitled to receive principal and interest from the guarantor after a day or a week’s notice or upon maturity. The maturity date disclosed represents the final maturity. |
| (c) | Represents privately placed and other securities and instruments exempt from SEC registration (collectively, private placements), such as Section 4(a)(2) and Rule 144A eligible securities, which are often sold only to qualified institutional buyers. The Fund may invest in private placements determined to be liquid as well as those determined to be illiquid. Private placements may be determined to be liquid under guidelines established by the Fund’s Board of Trustees. At January 31, 2017, the value of these securities amounted to $23,380,039 or 1.12% of net assets. |
| (d) | Zero coupon bond. |
| (e) | Represents a security purchased on a when-issued or delayed delivery basis. |
| (f) | Represents securities that have defaulted on payment of interest. The Fund has stopped accruing interest on these securities. At January 31, 2017, the value of these securities amounted to $1,018,755 which represents 0.05% of net assets. |
| (g) | 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 January 31, 2017, the value of these securities amounted to $18,029,663 or 0.86% of net assets. |
| (h) | The rate shown is the seven-day current annualized yield at January 31, 2017. |
| AGM | Assured Guaranty Municipal Corporation |
| AMBAC | Ambac Assurance Corporation |
| BAN | Bond Anticipation Note |
| BHAC | Berkshire Hathaway Assurance Corporation |
| BNY | Bank of New York |
| NPFGC | National Public Finance Guarantee Corporation |
| TCRS | Transferable Custody Receipts |
| VRDN | Variable Rate Demand Note |
| Federal
tax cost ($) |
Gross
unrealized appreciation ($) |
Gross
unrealized (depreciation) ($) |
Net
unrealized appreciation ($) |
| 1,983,748,000 | 100,663,000 | (17,236,000) | 83,427,000 |
| • | Level 1 - Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date (including NAV for open-end mutual funds). Valuation adjustments are not applied to Level 1 investments. |
| • | Level 2 – Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
| • | Level 3 – Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
| Columbia
AMT-Free Intermediate Muni Bond Fund | Quarterly Report 2017 |
21 |
| Level
1 quoted prices in active markets for identical assets ($) |
Level
2 other significant observable inputs ($) |
Level
3 significant unobservable inputs ($) |
Total ($) | |
| Investments | ||||
| Floating Rate Notes | — | 27,240,000 | — | 27,240,000 |
| Municipal Bonds | — | 2,038,193,448 | — | 2,038,193,448 |
| Money Market Funds | 1,741,696 | — | — | 1,741,696 |
| Total Investments | 1,741,696 | 2,065,433,448 | — | 2,067,175,144 |
| 22 | Columbia AMT-Free Intermediate Muni Bond Fund | Quarterly Report 2017 |
| Columbia
AMT-Free Massachusetts Intermediate Muni Bond Fund | Quarterly Report 2017 |
1 |
| 2 | Columbia AMT-Free Massachusetts Intermediate Muni Bond Fund | Quarterly Report 2017 |
| Columbia
AMT-Free Massachusetts Intermediate Muni Bond Fund | Quarterly Report 2017 |
3 |
| 4 | Columbia AMT-Free Massachusetts Intermediate Muni Bond Fund | Quarterly Report 2017 |
| Columbia
AMT-Free Massachusetts Intermediate Muni Bond Fund | Quarterly Report 2017 |
5 |
| (a) | Variable rate security. |
| (b) | 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 January 31, 2017, the value of these securities amounted to $4,458,409 or 1.72 % of net assets. |
| (c) | Zero coupon bond. |
| (d) | The rate shown is the seven-day current annualized yield at January 31, 2017. |
| AGM | Assured Guaranty Municipal Corporation |
| AMBAC | Ambac Assurance Corporation |
| NPFGC | National Public Finance Guarantee Corporation |
| TCRS | Transferable Custody Receipts |
| VRDN | Variable Rate Demand Note |
| Federal
tax cost ($) |
Gross
unrealized appreciation ($) |
Gross
unrealized (depreciation) ($) |
Net
unrealized appreciation ($) |
| 246,090,000 | 12,732,000 | (2,938,000) | 9,794,000 |
| 6 | Columbia AMT-Free Massachusetts Intermediate Muni Bond Fund | Quarterly Report 2017 |
| • | Level 1 – Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date (including NAV for open-end mutual funds). Valuation adjustments are not applied to Level 1 investments. |
| • | Level 2 – Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
| • | Level 3 – Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
| Level
1 quoted prices in active markets for identical assets ($) |
Level
2 other significant observable inputs ($) |
Level
3 significant unobservable inputs ($) |
Total ($) | |
| Investments | ||||
| Floating Rate Notes | — | 3,000,000 | — | 3,000,000 |
| Municipal Bonds | — | 252,405,008 | — | 252,405,008 |
| Money Market Funds | 479,261 | — | — | 479,261 |
| Total Investments | 479,261 | 255,405,008 | — | 255,884,269 |
| Columbia
AMT-Free Massachusetts Intermediate Muni Bond Fund | Quarterly Report 2017 |
7 |
| Columbia
AMT-Free New York Intermediate Muni Bond Fund | Quarterly Report 2017 |
1 |
| 2 | Columbia AMT-Free New York Intermediate Muni Bond Fund | Quarterly Report 2017 |
| Columbia
AMT-Free New York Intermediate Muni Bond Fund | Quarterly Report 2017 |
3 |
| 4 | Columbia AMT-Free New York Intermediate Muni Bond Fund | Quarterly Report 2017 |
| Columbia
AMT-Free New York Intermediate Muni Bond Fund | Quarterly Report 2017 |
5 |
| 6 | Columbia AMT-Free New York Intermediate Muni Bond Fund | Quarterly Report 2017 |
| Columbia
AMT-Free New York Intermediate Muni Bond Fund | Quarterly Report 2017 |
7 |
| (a) | Variable rate security. |
| (b) | Represents privately placed and other securities and instruments exempt from SEC registration (collectively, private placements), such as Section 4(a)(2) and Rule 144A eligible securities, which are often sold only to qualified institutional buyers. The Fund may invest in private placements determined to be liquid as well as those determined to be illiquid. Private placements may be determined to be liquid under guidelines established by the Fund’s Board of Trustees. At January 31, 2017, the value of these securities amounted to $375,673 or 0.15% of net assets. |
| (c) | Zero coupon bond. |
| (d) | 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 January 31, 2017, the value of these securities amounted to $2,541,904 or 1.00% of net assets. |
| (e) | The rate shown is the seven-day current annualized yield at January 31, 2017. |
| AGM | Assured Guaranty Municipal Corporation |
| AMBAC | Ambac Assurance Corporation |
| BAM | Build America Mutual Assurance Co. |
| NPFGC | National Public Finance Guarantee Corporation |
| VRDN | Variable Rate Demand Note |
| Federal
tax cost ($) |
Gross
unrealized appreciation ($) |
Gross
unrealized (depreciation) ($) |
Net
unrealized appreciation ($) |
| 243,733,000 | 8,882,000 | (2,450,000) | 6,432,000 |
| 8 | Columbia AMT-Free New York Intermediate Muni Bond Fund | Quarterly Report 2017 |
| • | Level 1 – Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date (including NAV for open-end mutual funds). Valuation adjustments are not applied to Level 1 investments. |
| • | Level 2 – Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
| • | Level 3 – Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
| Level
1 quoted prices in active markets for identical assets ($) |
Level
2 other significant observable inputs ($) |
Level
3 significant unobservable inputs ($) |
Total ($) | |
| Investments | ||||
| Floating Rate Notes | — | 7,190,000 | — | 7,190,000 |
| Municipal Bonds | — | 241,939,067 | — | 241,939,067 |
| Money Market Funds | 1,036,331 | — | — | 1,036,331 |
| Total Investments | 1,036,331 | 249,129,067 | — | 250,165,398 |
| Columbia
AMT-Free New York Intermediate Muni Bond Fund | Quarterly Report 2017 |
9 |
| Columbia
California Tax-Exempt Fund | Quarterly Report 2017 |
1 |
| 2 | Columbia California Tax-Exempt Fund | Quarterly Report 2017 |
| Columbia
California Tax-Exempt Fund | Quarterly Report 2017 |
3 |
| 4 | Columbia California Tax-Exempt Fund | Quarterly Report 2017 |
| Columbia
California Tax-Exempt Fund | Quarterly Report 2017 |
5 |
| 6 | Columbia California Tax-Exempt Fund | Quarterly Report 2017 |
| Columbia
California Tax-Exempt Fund | Quarterly Report 2017 |
7 |
| 8 | Columbia California Tax-Exempt Fund | Quarterly Report 2017 |
| Columbia
California Tax-Exempt Fund | Quarterly Report 2017 |
9 |
| (a) | The Fund is entitled to receive principal and interest from the guarantor after a day or a week’s notice or upon maturity. The maturity date disclosed represents the final maturity. |
| (b) | Variable rate security. |
| (c) | Income from this security may be subject to alternative minimum tax. |
| (d) | Represents privately placed and other securities and instruments exempt from SEC registration (collectively, private placements), such as Section 4(a)(2) and Rule 144A eligible securities, which are often sold only to qualified institutional buyers. The Fund may invest in private placements determined to be liquid as well as those determined to be illiquid. Private placements may be determined to be liquid under guidelines established by the Fund’s Board of Trustees. At January 31, 2017, the value of these securities amounted to $22,281,780 or 4.32% of net assets. |
| (e) | Represents a security purchased on a when-issued or delayed delivery basis. |
| (f) | Zero coupon bond. |
| (g) | The rate shown is the seven-day current annualized yield at January 31, 2017. |
| AGM | Assured Guaranty Municipal Corporation |
| AMBAC | Ambac Assurance Corporation |
| AMT | Alternative Minimum Tax |
| BAM | Build America Mutual Assurance Co. |
| GNMA | Government National Mortgage Association |
| NPFGC | National Public Finance Guarantee Corporation |
| VRDN | Variable Rate Demand Note |
| Federal
tax cost ($) |
Gross
unrealized appreciation ($) |
Gross
unrealized (depreciation) ($) |
Net
unrealized appreciation ($) |
| 482,014,000 | 32,601,000 | (5,746,000) | 26,855,000 |
| 10 | Columbia California Tax-Exempt Fund | Quarterly Report 2017 |
| • | Level 1 – Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date (including NAV for open-end mutual funds). Valuation adjustments are not applied to Level 1 investments. |
| • | Level 2 – Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
| • | Level 3 – Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
| Level
1 quoted prices in active markets for identical assets ($) |
Level
2 other significant observable inputs ($) |
Level
3 significant unobservable inputs ($) |
Total ($) | |
| Investments | ||||
| Floating Rate Notes | — | 7,000,000 | — | 7,000,000 |
| Municipal Bonds | — | 501,069,058 | — | 501,069,058 |
| Money Market Funds | 800,000 | — | — | 800,000 |
| Total Investments | 800,000 | 508,069,058 | — | 508,869,058 |
| Columbia
California Tax-Exempt Fund | Quarterly Report 2017 |
11 |
| Columbia
New York Tax-Exempt Fund | Quarterly Report 2017 |
1 |
| 2 | Columbia New York Tax-Exempt Fund | Quarterly Report 2017 |
| Columbia
New York Tax-Exempt Fund | Quarterly Report 2017 |
3 |
| 4 | Columbia New York Tax-Exempt Fund | Quarterly Report 2017 |
| Columbia
New York Tax-Exempt Fund | Quarterly Report 2017 |
5 |
| 6 | Columbia New York Tax-Exempt Fund | Quarterly Report 2017 |
| Columbia
New York Tax-Exempt Fund | Quarterly Report 2017 |
7 |
| 8 | Columbia New York Tax-Exempt Fund | Quarterly Report 2017 |
| Total
Investments (Cost: $208,590,217) |
216,352,510 | |
| Other Assets & Liabilities, Net | 2,690,333 | |
| Net Assets | 219,042,843 | |
| (a) | The Fund is entitled to receive principal and interest from the guarantor after a day or a week’s notice or upon maturity. The maturity date disclosed represents the final maturity. |
| (b) | Variable rate security. |
| (c) | Income from this security may be subject to alternative minimum tax. |
| (d) | Represents privately placed and other securities and instruments exempt from SEC registration (collectively, private placements), such as Section 4(a)(2) and Rule 144A eligible securities, which are often sold only to qualified institutional buyers. The Fund may invest in private placements determined to be liquid as well as those determined to be illiquid. Private placements may be determined to be liquid under guidelines established by the Fund’s Board of Trustees. At January 31, 2017, the value of these securities amounted to $1,994,038 or 0.91% of net assets. |
| (e) | Zero coupon bond. |
| AGM | Assured Guaranty Municipal Corporation |
| AMBAC | Ambac Assurance Corporation |
| AMT | Alternative Minimum Tax |
| BAN | Bond Anticipation Note |
| FHA | Federal Housing Authority |
| NPFGC | National Public Finance Guarantee Corporation |
| VRDN | Variable Rate Demand Note |
| Federal
tax cost ($) |
Gross
unrealized appreciation ($) |
Gross
unrealized (depreciation) ($) |
Net
unrealized appreciation ($) |
| 208,590,000 | 10,720,000 | (2,957,000) | 7,763,000 |
| • | Level 1 – Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date (including NAV for open-end mutual funds). Valuation adjustments are not applied to Level 1 investments. |
| • | Level 2 – Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
| • | Level 3 – Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
| Columbia
New York Tax-Exempt Fund | Quarterly Report 2017 |
9 |
| Level
1 quoted prices in active markets for identical assets ($) |
Level
2 other significant observable inputs ($) |
Level
3 significant unobservable inputs ($) |
Total ($) | |
| Investments | ||||
| Floating Rate Notes | — | 4,800,000 | — | 4,800,000 |
| Municipal Bonds | — | 211,552,510 | — | 211,552,510 |
| Total Investments | — | 216,352,510 | — | 216,352,510 |
| 10 | Columbia New York Tax-Exempt Fund | Quarterly Report 2017 |
| Columbia
Strategic Income Fund | Quarterly Report 2017 |
1 |
| 2 | Columbia Strategic Income Fund | Quarterly Report 2017 |
| Columbia
Strategic Income Fund | Quarterly Report 2017 |
3 |
| 4 | Columbia Strategic Income Fund | Quarterly Report 2017 |
| Columbia
Strategic Income Fund | Quarterly Report 2017 |
5 |
| 6 | Columbia Strategic Income Fund | Quarterly Report 2017 |
| Columbia
Strategic Income Fund | Quarterly Report 2017 |
7 |
| 8 | Columbia Strategic Income Fund | Quarterly Report 2017 |
| Columbia
Strategic Income Fund | Quarterly Report 2017 |
9 |
| 10 | Columbia Strategic Income Fund | Quarterly Report 2017 |
| Columbia
Strategic Income Fund | Quarterly Report 2017 |
11 |
| 12 | Columbia Strategic Income Fund | Quarterly Report 2017 |
| Columbia
Strategic Income Fund | Quarterly Report 2017 |
13 |
| 14 | Columbia Strategic Income Fund | Quarterly Report 2017 |
| Columbia
Strategic Income Fund | Quarterly Report 2017 |
15 |
| 16 | Columbia Strategic Income Fund | Quarterly Report 2017 |
| Columbia
Strategic Income Fund | Quarterly Report 2017 |
17 |
| 18 | Columbia Strategic Income Fund | Quarterly Report 2017 |
| Columbia
Strategic Income Fund | Quarterly Report 2017 |
19 |
| 20 | Columbia Strategic Income Fund | Quarterly Report 2017 |
| Columbia
Strategic Income Fund | Quarterly Report 2017 |
21 |
| 22 | Columbia Strategic Income Fund | Quarterly Report 2017 |
| Columbia
Strategic Income Fund | Quarterly Report 2017 |
23 |
| 24 | Columbia Strategic Income Fund | Quarterly Report 2017 |
| Columbia
Strategic Income Fund | Quarterly Report 2017 |
25 |
| 26 | Columbia Strategic Income Fund | Quarterly Report 2017 |
| Forward foreign currency exchange contracts open at January 31, 2017 | |||||
| Counterparty | Exchange
date |
Currency
to be delivered |
Currency
to be received |
Unrealized
appreciation ($) |
Unrealized
depreciation ($) |
| Barclays | 02/22/2017 | 4,336,000,000 HUF | 14,877,184 USD | — | (229,878) |
| Barclays | 02/22/2017 | 398,592,000 MXN | 18,563,494 USD | — | (499,631) |
| BNP Paribas | 02/22/2017 | 55,987,000 ILS | 14,587,546 USD | — | (271,409) |
| BNP Paribas | 02/22/2017 | 1,700,000,000 JPY | 14,665,286 USD | — | (398,431) |
| Citi | 02/22/2017 | 920,281,000 COP | 311,854 USD | — | (1,729) |
| HSBC | 02/17/2017 | 40,050,000,000 KRW | 33,422,348 USD | — | (1,200,516) |
| HSBC | 02/22/2017 | 31,000,000,000 COP | 10,510,256 USD | — | (52,901) |
| Standard Chartered | 02/22/2017 | 55,761,000 BRL | 17,252,251 USD | — | (359,651) |
| Standard Chartered | 02/22/2017 | 225,005,000,000 IDR | 16,812,748 USD | — | (17,851) |
| Standard Chartered | 02/22/2017 | 6,749,531 USD | 90,005,000,000 IDR | — | (67,782) |
| UBS | 02/17/2017 | 18,160,000,000 KRW | 15,089,323 USD | — | (609,834) |
| Total | — | (3,709,613) | |||
| Long futures contracts outstanding | ||||||
| Contract description | Number
of contracts |
Trading
currency |
Notional
market value ($) |
Expiration date | Unrealized
appreciation ($) |
Unrealized
depreciation ($) |
| Australian 10-Year Bond | 2,253 | AUD | 219,216,824 | 03/2017 | 1,864,761 | — |
| U.S. Treasury 2-Year Note | 1,028 | USD | 222,867,188 | 03/2017 | — | (97,469) |
| U.S. Treasury 5-Year Note | 5,061 | USD | 596,525,838 | 03/2017 | 1,160,389 | — |
| Total | 1,038,609,850 | 3,025,150 | (97,469) | |||
| Columbia
Strategic Income Fund | Quarterly Report 2017 |
27 |
| Short futures contracts outstanding | ||||||
| Contract description | Number
of contracts |
Trading
currency |
Notional
market value ($) |
Expiration date | Unrealized
appreciation ($) |
Unrealized
depreciation ($) |
| Euro-BTP | (724) | EUR | (102,313,735) | 03/2017 | 1,303,295 | — |
| Euro-Buxl 30-Year | (298) | EUR | (53,786,723) | 03/2017 | 1,346,260 | — |
| U.S. Treasury 10-Year Note | (1,968) | USD | (244,954,500) | 03/2017 | — | (2,833,297) |
| U.S. Ultra Bond | (579) | USD | (93,038,063) | 03/2017 | — | (914,491) |
| Total | (494,093,021) | 2,649,555 | (3,747,788) | |||
| Open options contracts written at January 31, 2017 | |||||||
| Issuer | Puts/Calls | Notional
currency |
Number
of contracts |
Exercise
price |
Premium
received ($) |
Expiration
date |
Value ($) |
| 10-Year OTC interest rate swap with Citi to receive 3-Month USD LIBOR BBA and pay exercise rate. | CALL | USD | (47,500,000) | 2.00 | (285,000) | 04/2017 | (88,298) |
| 5-Year OTC interest rate swap with Morgan Stanley to receive exercise rate and pay 3-Month USD LIBOR BBA. | PUT | USD | (100,000,000) | 2.00 | (560,000) | 02/2017 | (392,050) |
| Total | (845,000) | (480,348) | |||||
| Cleared interest rate swaps contracts outstanding at January 31, 2017 | |||||||
| Counterparty | Fund receives | Fund pays | Expiration
date |
Notional
currency |
Notional
amount ($) |
Unrealized
appreciation ($) |
Unrealized
depreciation ($) |
| Morgan Stanley | Fixed rate of 1.261% | 3-Month USD LIBOR-BBA | 10/21/2021 | USD | 164,000,000 | — | (4,672,889) |
| Morgan Stanley | Fixed rate of 1.377% | 3-Month USD LIBOR-BBA | 11/1/2021 | USD | 160,000,000 | — | (4,089,120) |
| Morgan Stanley | Fixed rate of 1.335% | 3-Month USD LIBOR-BBA | 11/9/2021 | USD | 150,000,000 | — | (4,183,309) |
| Morgan Stanley | Fixed rate of 1.728% | 3-Month USD LIBOR-BBA | 11/17/2021 | USD | 166,000,000 | — | (1,549,016) |
| Morgan Stanley | 3-Month USD LIBOR-BBA | Fixed rate of 2.090% | 2/11/2025 | USD | 183,000,000 | 1,005,539 | — |
| Morgan Stanley | Fixed rate of 6.318% | 28-Day MXN TIIE-Banxico | 1/9/2026 | MXN | 580,000,000 | — | (2,959,747) |
| Morgan Stanley | Fixed rate of 5.985% | 28-Day MXN TIIE-Banxico | 1/21/2026 | MXN | 211,000,000 | — | (1,250,673) |
| Morgan Stanley | 3-Month USD LIBOR-BBA | Fixed rate of 1.783% | 2/4/2026 | USD | 19,000,000 | 741,674 | — |
| Morgan Stanley | 3-Month USD LIBOR-BBA | Fixed rate of 1.980% | 10/21/2046 | USD | 32,513,120 | 4,788,537 | — |
| Morgan Stanley | 3-Month USD LIBOR-BBA | Fixed rate of 2.113% | 11/1/2046 | USD | 32,382,090 | 3,909,421 | — |
| Morgan Stanley | 3-Month USD LIBOR-BBA | Fixed rate of 2.086% | 11/9/2046 | USD | 30,286,624 | 3,842,610 | — |
| Morgan Stanley | 3-Month USD LIBOR-BBA | Fixed rate of 2.431% | 11/17/2046 | USD | 38,000,000 | 1,957,377 | — |
| Total | 16,245,158 | (18,704,754) | |||||
| Buy protection | |||||||||||
| Counterparty | Reference
entity |
Expiration
date |
Pay
fixed rate (%) |
Notional
currency |
Notional
amount ($) |
Market
value ($) |
Periodic
payments receivable (payable) ($) |
Premium
paid ($) |
Premium
received ($) |
Unrealized
appreciation ($) |
Unrealized
depreciation ($) |
| Barclays | People’s Republic of China | 12/20/21 | 1.000 | USD | 27,500,000 | 160,293 | (32,847) | 88,188 | — | 39,258 | — |
| Buy protection | |||||||
| Counterparty | Reference
entity |
Expiration
date |
Pay
fixed rate (%) |
Notional
currency |
Notional
amount ($) |
Unrealized
appreciation ($) |
Unrealized
depreciation ($) |
| Morgan Stanley | Markit CDX North America High Yield Index, Series 27 | 12/20/2021 | 5.000 | USD | 103,800,000 | — | (3,641,230) |
| Morgan Stanley | Markit iTraxx Europe Crossover Index, Series 26 | 12/20/2021 | 5.000 | EUR | 46,000,000 | — | (796,014) |
| Total | — | (4,437,244) | |||||
| 28 | Columbia Strategic Income Fund | Quarterly Report 2017 |
| Sell protection | ||||||||||||
| Counterparty | Reference
entity |
Expiration
date |
Receive
fixed rate (%) |
Implied
credit spread (%)* |
Notional
currency |
Notional
amount ($) |
Market
value ($) |
Periodic
payments receivable (payable) ($) |
Premium
paid ($) |
Premium
received ($) |
Unrealized
appreciation ($) |
Unrealized
depreciation ($) |
| Credit Suisse | Markit CMBX North America Index, Series 6 BBB- | 5/11/63 | 3.000 | 4.294 | USD | (5,000,000) | (306,934) | 2,917 | — | (637,470) | 333,453 | — |
| Credit Suisse | Markit CMBX North America Index, Series 7 BBB- | 1/17/47 | 3.000 | 3.966 | USD | (12,000,000) | (646,580) | 7,000 | — | (1,095,773) | 456,193 | — |
| Credit Suisse | Markit CMBX North America Index, Series 7 BBB- | 1/17/47 | 3.000 | 3.966 | USD | (10,000,000) | (538,817) | 5,833 | — | (1,641,484) | 1,108,500 | — |
| Morgan Stanley | Markit CMBX North America Index, Series 6 BBB- | 5/11/63 | 3.000 | 4.294 | USD | (5,500,000) | (337,627) | 3,208 | — | (335,087) | 668 | — |
| Total | — | (3,709,814) | 1,898,814 | — | ||||||||
| * | 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. |
| (a) | Represents privately placed and other securities and instruments exempt from SEC registration (collectively, private placements), such as Section 4(a)(2) and Rule 144A eligible securities, which are often sold only to qualified institutional buyers. The Fund may invest in private placements determined to be liquid as well as those determined to be illiquid. Private placements may be determined to be liquid under guidelines established by the Fund’s Board of Trustees. At January 31, 2017, the value of these securities amounted to $1,584,665,352 or 48.65% of net assets. |
| (b) | Variable rate security. |
| (c) | Represents fair value as determined in good faith under procedures approved by the Board of Trustees. At January 31, 2017, the value of these securities amounted to $36,865,442, which represents 1.13% of net assets. |
| (d) | Zero coupon bond. |
| (e) | Non-income producing investment. |
| (f) | Principal amounts are denominated in United States Dollars unless otherwise noted. |
| (g) | Represents a security purchased on a when-issued or delayed delivery basis. |
| (h) | Represents securities that have defaulted on payment of interest. The Fund has stopped accruing interest on these securities. At January 31, 2017, the value of these securities amounted to $1,382,201 which represents 0.04% of net assets. |
| (i) | Principal and interest may not be guaranteed by the government. |
| (j) | This security or a portion of this security has been pledged as collateral in connection with derivative contracts. |
| (k) | Interest Only (IO) represents the right to receive the monthly interest payments on an underlying pool of mortgage loans. |
| (l) | Senior loans have interest rates that float periodically based primarily on the London Interbank Offered Rate (“LIBOR”) and other short-term rates. The interest rate shown reflects the weighted average coupon as of January 31, 2017. The interest rate shown for senior loans purchased on a when-issued or delayed delivery basis, if any, reflects an estimated average coupon. Remaining maturities of senior loans may be less than the stated maturities shown as a result of contractual or optional prepayments by the borrower. Such prepayments cannot be predicted. |
| (m) | Negligible market value. |
| Columbia
Strategic Income Fund | Quarterly Report 2017 |
29 |
| (n) | At January 31, 2017, the Fund had unfunded senior loan commitments pursuant to the terms of the loan agreement. The Fund receives a stated coupon rate until the borrower draws on the loan commitment, at which time the rate will become the stated rate in the loan agreement. |
| Borrower | Unfunded Commitment ($) |
| Tricorbraun
Holdings, Inc. Delayed Draw 1st Lien Term Loan 11/30/23 0.000% |
40,909 |
| Oberthur
Technologies Holding SAS Tranche B2 Term Loan 01/10/24 0.500% |
216,447 |
| (o) | The rate shown is the seven-day current annualized yield at January 31, 2017. |
| (p) | 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 January 31, 2017 are as follows: |
| Issuer | Beginning
shares |
Shares
purchased |
Shares
sold |
Ending
shares |
Realized
gain (loss) ($) |
Dividends
— affiliated issuers($) |
Value ($) |
| Columbia Short-Term Cash Fund, 0.662% | 170,028,454 | 246,421,386 | (205,615,689) | 210,834,151 | 304 | 237,504 | 210,834,151 |
| CMO | Collateralized Mortgage Obligation |
| FGIC | Financial Guaranty Insurance Corporation |
| NPFGC | National Public Finance Guarantee Corporation |
| PIK | Payment In Kind |
| STRIPS | Separate Trading of Registered Interest and Principal Securities |
| AUD | Australian Dollar |
| BRL | Brazilian Real |
| COP | Colombian Peso |
| DOP | Dominican Republic Peso |
| EUR | Euro |
| HUF | Hungarian Forint |
| IDR | Indonesian Rupiah |
| ILS | New Israeli Sheqel |
| JPY | Japanese Yen |
| KRW | South Korean Won |
| MXN | Mexican Peso |
| PEN | Peruvian New Sol |
| USD | US Dollar |
| Federal
tax cost ($) |
Gross
unrealized appreciation ($) |
Gross
unrealized (depreciation) ($) |
Net
unrealized appreciation ($) |
| 3,518,138,000 | 84,348,000 | (62,900,000) | 21,448,000 |
| 30 | Columbia Strategic Income Fund | Quarterly Report 2017 |
| • | Level 1 – Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date (including NAV for open-end mutual funds). Valuation adjustments are not applied to Level 1 investments. |
| • | Level 2 – Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
| • | Level 3 – Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
| Level
1 quoted prices in active markets for identical assets ($) |
Level
2 other significant observable inputs ($) |
Level
3 significant unobservable inputs ($) |
Investments
measured at net asset value ($) |
Total ($) | |
| Investments | |||||
| Asset-Backed Securities — Non-Agency | — | 137,601,676 | 38,681,363 | — | 176,283,039 |
| Commercial Mortgage-Backed Securities - Non-Agency | — | 119,169,978 | — | — | 119,169,978 |
| Common Stocks | |||||
| Consumer Discretionary | 133,342 | 447,186 | 87,802 | — | 668,330 |
| Financials | — | — | 83,082 | — | 83,082 |
| Materials | 354,985 | 115,351 | — | — | 470,336 |
| Telecommunication Services | 11,869 | — | — | — | 11,869 |
| Utilities | 354,856 | 191,064 | — | — | 545,920 |
| Total Common Stocks | 855,052 | 753,601 | 170,884 | — | 1,779,537 |
| Columbia
Strategic Income Fund | Quarterly Report 2017 |
31 |
| Level
1 quoted prices in active markets for identical assets ($) |
Level
2 other significant observable inputs ($) |
Level
3 significant unobservable inputs ($) |
Investments
measured at net asset value ($) |
Total ($) | |
| Corporate Bonds & Notes | — | 1,337,784,204 | 577,696 | — | 1,338,361,900 |
| Foreign Government Obligations | — | 303,745,183 | — | — | 303,745,183 |
| Inflation-Indexed Bonds | — | 101,452,111 | — | — | 101,452,111 |
| Residential Mortgage-Backed Securities - Agency | — | 444,603,163 | — | — | 444,603,163 |
| Residential Mortgage-Backed Securities - Non-Agency | — | 497,044,835 | 59,295,945 | — | 556,340,780 |
| Senior Loans | — | 242,889,595 | 12,136,899 | — | 255,026,494 |
| U.S. Treasury Obligations | 31,990,016 | — | — | — | 31,990,016 |
| Money Market Funds | — | — | — | 210,834,151 | 210,834,151 |
| Total Investments | 32,845,068 | 3,185,044,346 | 110,862,787 | 210,834,151 | 3,539,586,352 |
| Derivatives | |||||
| Asset | |||||
| Futures Contracts | 5,674,705 | — | — | — | 5,674,705 |
| Swap Contracts | — | 18,183,230 | — | — | 18,183,230 |
| Liability | |||||
| Forward Foreign Currency Exchange Contracts | — | (3,709,613) | — | — | (3,709,613) |
| Futures Contracts | (3,845,257) | — | — | — | (3,845,257) |
| Options Contracts Written | — | (480,348) | — | — | (480,348) |
| Swap Contracts | — | (23,141,998) | — | — | (23,141,998) |
| Total | 34,674,516 | 3,175,895,617 | 110,862,787 | 210,834,151 | 3,532,267,071 |
| Investments in Securities | Balance
as of 10/31/2016 ($) |
Increase
(decrease) in accrued discounts/ premiums ($) |
Realized
gain (loss) ($) |
Change
in unrealized appreciation (depreciation)(a) ($) |
Purchases
($) |
Sales
($) |
Transfers
into Level 3 ($) |
Transfers
out of Level 3 ($) |
Balance
as of 01/31/2017 ($) |
| Asset-Backed Securities — Non-Agency | 38,542,897 | — | 30 | 876,572 | 9,813,400 | (705,682) | — | (9,845,854) | 38,681,363 |
| Common Stocks | 197,643 | — | — | (35,603) | — | — | 206,487 | (197,643) | 170,884 |
| Corporate Bonds & Notes | 573,807 | 136 | — | 2,639 | — | — | 1,114 | — | 577,696 |
| Foreign Government Obligations | 4,987,010 | — | — | — | — | — | — | (4,987,010) | — |
| Residential Mortgage-Backed Securities — Non-Agency | 130,338,169 | 83,290 | 9,032 | 296,354 | 6,119,868 | (6,877,509) | — | (70,673,259) | 59,295,945 |
| Senior Loans | 13,263,050 | 5,471 | 49,204 | 160,914 | 1,302,555 | (4,533,183) | 6,174,356 | (4,285,468) | 12,136,899 |
| Total | 187,902,576 | 88,897 | 58,266 | 1,300,876 | 17,235,823 | (12,116,374) | 6,381,957 | (89,989,234) | 110,862,787 |
| 32 | Columbia Strategic Income Fund | Quarterly Report 2017 |
| Columbia
Strategic Income Fund | Quarterly Report 2017 |
33 |
Item 2. Controls and Procedures.
| (a) | The registrant’s principal executive officer and principal financial officer, 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 I | ||
| By (Signature and Title) | /s/ Christopher O. Petersen | |
| Christopher O. Petersen, President and Principal Executive Officer | ||
Date March 24, 2017
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 March 24, 2017 | ||
| By (Signature and Title) | /s/ Michael G. Clarke | |
| Michael G. Clarke, Treasurer and Chief Financial Officer | ||
| Date March 24, 2017 | ||
I, Michael G. Clarke, certify that:
| 1. | I have reviewed this report on Form N-Q of Columbia Funds Series Trust I; |
| 2. | Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; |
| 3. | Based on my knowledge, the schedules of investments included in this report fairly present in all material respects the investments of the registrant as of the end of the fiscal quarter for which the report is filed; |
| 4. | The registrant’s other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have: |
| (a) | designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; |
| (b) | designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; |
| (c) | evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and |
| (d) | disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and |
| 5. | The registrant’s other certifying officer(s) and I have disclosed to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions): |
| (a) | all significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize, and report financial information; and |
| (b) | any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting. |
| Date: March 24, 2017 | /s/ Michael G. Clarke | |||||
| Michael G. Clarke, Treasurer and Chief Financial Officer |
I, Christopher O. Petersen, certify that:
| 1. | I have reviewed this report on Form N-Q of Columbia Funds Series Trust I; |
| 2. | Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; |
| 3. | Based on my knowledge, the schedules of investments included in this report fairly present in all material respects the investments of the registrant as of the end of the fiscal quarter for which the report is filed; |
| 4. | The registrant’s other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have: |
| (a) | designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; |
| (b) | designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; |
| (c) | evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and |
| (d) | disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and |
| 5. | The registrant’s other certifying officer(s) and I have disclosed to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions): |
| (a) | all significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize, and report financial information; and |
| (b) | any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting. |
| Date: March 24, 2017 | /s/ Christopher O. Petersen | |||||
| Christopher O. Petersen, President and Principal Executive Officer |