UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number811-04367
Columbia Funds Series Trust I
(Exact name of registrant as specified in charter)
225 Franklin Street
Boston, Massachusetts 02110
(Address of principal executive offices) (Zip code)
Christopher O. Petersen, Esq.
c/o Columbia Management Investment Advisers, LLC
225 Franklin Street
Boston, Massachusetts 02110
Ryan C. Larrenaga, Esq.
c/o Columbia Management Investment Advisers, LLC
225 Franklin Street
Boston, MA 02110
(Name and address of agent for service)
Registrant's telephone number, including area code: (800) 345-6611
Date of fiscal year end: April 30
Date of reporting period: October 31, 2020
Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget ("OMB") control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 100 F Street, NE, Washington, DC 20549. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.
Item 1. Reports to Stockholders.
Columbia Bond
Fund
Beginning on January 1, 2021, as
permitted by regulations adopted by the Securities and Exchange Commission, paper copies of the Fund’s annual and semiannual shareholder reports like this one will no longer be sent by mail, unless you
specifically request paper copies of the reports. Instead, the reports will be made available on the Fund’s website (columbiathreadneedleus.com/investor/), and each time a report is posted you will be notified
by mail and provided with a website address to access the report.
If you have already elected to
receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You may elect to receive shareholder reports and other communications from the Fund electronically
at any time by contacting your financial intermediary (such as a broker-dealer or bank) or, for Fund shares held directly with the Fund, by calling 800.345.6611 or by enrolling in “eDelivery” by logging
into your account at columbiathreadneedleus.com/investor/.
You may elect to receive all future
shareholder reports in paper free of charge. If you invest through a financial intermediary, you can contact your financial intermediary to request that you continue receiving paper copies of your shareholder reports.
If you invest directly with the Fund, you can call 800.345.6611 to let the Fund know you wish to continue receiving paper copies of your shareholder reports. Your election to receive paper reports will apply to all
Columbia Funds held in your account if you invest through a financial intermediary or all Columbia Funds held with the fund complex if you invest directly with the Fund.
Not Federally Insured • No
Financial Institution Guarantee • May Lose Value
Table of Contents
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Columbia Bond Fund (the Fund) mails
one shareholder report to each shareholder address, unless such shareholder elected to receive shareholder reports from the Fund electronically. If you would like more than one report, please call shareholder services
at 800.345.6611 and additional reports will be sent to you.
Proxy voting policies and
procedures
The policy of the Board of Trustees
is to vote the proxies of the companies in which the Fund holds investments consistent with the procedures as stated in the Statement of Additional Information (SAI). You may obtain a copy of the SAI without charge by
calling 800.345.6611; contacting your financial intermediary; visiting columbiathreadneedleus.com/investor/; or searching the website of the Securities and Exchange Commission (SEC) at sec.gov. Information regarding
how the Fund voted proxies relating to portfolio securities is filed with the SEC by August 31st for the most recent 12-month period ending June 30th of that year, and is available without charge by visiting
columbiathreadneedleus.com/investor/, or searching the website of the SEC at sec.gov.
Quarterly schedule of
investments
The Fund files a complete schedule
of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-PORT. The Fund’s Form N-PORT filings are available on the SEC’s website at sec.gov. The Fund’s
complete schedule of portfolio holdings, as filed on Form N-PORT, can also be obtained without charge, upon request, by calling 800.345.6611.
Additional Fund information
For more information about the
Fund, please visit columbiathreadneedleus.com/investor/ or call 800.345.6611. Customer Service Representatives are available to answer your questions Monday through Friday from 8 a.m. to 7 p.m. Eastern time.
Fund investment manager
Columbia Management Investment Advisers, LLC (the
Investment Manager)
225 Franklin Street
Boston, MA 02110
Fund distributor
Columbia Management Investment Distributors,
Inc.
225 Franklin Street
Boston, MA 02110
Fund transfer agent
Columbia Management Investment Services Corp.
P.O. Box 219104
Kansas City, MO 64121-9104
Columbia Bond Fund | Semiannual Report
2020
Fund at a Glance
(Unaudited)
(Unaudited)
Investment objective
The Fund
seeks current income, consistent with minimal fluctuation of principal.
Portfolio management
Jason Callan
Lead Portfolio Manager
Managed Fund since 2016
Gene Tannuzzo, CFA
Portfolio Manager
Managed Fund since 2017
| Columbia Bond Fund | Semiannual Report 2020 | 3 |
Understanding Your Fund’s
Expenses
(Unaudited)
(Unaudited)
As an investor, you incur two types
of costs. There are shareholder transaction costs, which generally include sales charges on purchases and may include redemption fees. There are also ongoing fund costs, which generally include management fees,
distribution and/or service fees, and other fund expenses. The following information is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to help you compare these costs with
the ongoing costs of investing in other mutual funds.
Analyzing your Fund’s
expenses
To illustrate these ongoing
costs, we have provided examples and calculated the expenses paid by investors in each share class of the Fund during the period. The actual and hypothetical information in the table is based on an initial investment
of $1,000 at the beginning of the period indicated and held for the entire period. Expense information is calculated two ways and each method provides you with different information. The amount listed in the
“Actual” column is calculated using the Fund’s actual operating expenses and total return for the period. You may use the Actual information, together with the amount invested, to estimate the
expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the results by the expenses paid during the period under
the “Actual” column. The amount listed in the “Hypothetical” column assumes a 5% annual rate of return before expenses (which is not the Fund’s actual return) and then applies the
Fund’s actual expense ratio for the period to the hypothetical return. You should not use the hypothetical account values and expenses to estimate either your actual account balance at the end of the period or
the expenses you paid during the period. See “Compare with other funds” below for details on how to use the hypothetical data.
Compare with other funds
Since all mutual funds are
required to include the same hypothetical calculations about expenses in shareholder reports, you can use this information to compare the ongoing cost of investing in the Fund with other funds. To do so, compare the
hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds. As you compare hypothetical examples of other funds, it is important to note that hypothetical examples are
meant to highlight the ongoing costs of investing in a fund only and do not reflect any transaction costs, such as sales charges, or redemption or exchange fees. Therefore, the hypothetical calculations are useful in
comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. If transaction costs were included in these calculations, your costs would be higher.
| May 1, 2020 — October 31, 2020 | |||||||
| Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | ||||
| Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | |
| Class A | 1,000.00 | 1,000.00 | 1,052.70 | 1,021.21 | 3.96 | 3.90 | 0.77 |
| Advisor Class | 1,000.00 | 1,000.00 | 1,053.80 | 1,022.46 | 2.68 | 2.64 | 0.52 |
| Class C | 1,000.00 | 1,000.00 | 1,048.50 | 1,017.45 | 7.81 | 7.69 | 1.52 |
| Institutional Class | 1,000.00 | 1,000.00 | 1,054.00 | 1,022.46 | 2.68 | 2.64 | 0.52 |
| Institutional 2 Class | 1,000.00 | 1,000.00 | 1,053.90 | 1,022.81 | 2.32 | 2.28 | 0.45 |
| Institutional 3 Class | 1,000.00 | 1,000.00 | 1,054.30 | 1,023.06 | 2.06 | 2.03 | 0.40 |
| Class R | 1,000.00 | 1,000.00 | 1,051.40 | 1,019.95 | 5.25 | 5.16 | 1.02 |
| Class V | 1,000.00 | 1,000.00 | 1,053.60 | 1,021.71 | 3.45 | 3.40 | 0.67 |
Expenses paid during the period
are equal to the annualized expense ratio for each class as indicated above, multiplied by the average account value over the period and then multiplied by the number of days in the Fund’s most recent fiscal
half year and divided by 365.
Expenses do not include fees and
expenses incurred indirectly by the Fund from its investment in underlying funds, including affiliated and non-affiliated pooled investment vehicles, such as mutual funds and exchange-traded funds.
Had Columbia Management Investment
Advisers, LLC and/or certain of its affiliates not waived/reimbursed certain fees and expenses, account value at the end of the period would have been reduced.
| Columbia Bond Fund | Semiannual Report 2020 | 5 |
Portfolio of Investments
October 31, 2020 (Unaudited)
October 31, 2020 (Unaudited)
(Percentages represent value of
investments compared to net assets)
Investments in securities
The accompanying Notes to Financial
Statements are an integral part of this statement.
| 6 | Columbia Bond Fund | Semiannual Report 2020 |
Portfolio of Investments (continued)
October 31, 2020 (Unaudited)
October 31, 2020 (Unaudited)
The accompanying Notes to Financial
Statements are an integral part of this statement.
| Columbia Bond Fund | Semiannual Report 2020 | 7 |
Portfolio of Investments (continued)
October 31, 2020 (Unaudited)
October 31, 2020 (Unaudited)
The accompanying Notes to Financial
Statements are an integral part of this statement.
| 8 | Columbia Bond Fund | Semiannual Report 2020 |
Portfolio of Investments (continued)
October 31, 2020 (Unaudited)
October 31, 2020 (Unaudited)
The accompanying Notes to Financial
Statements are an integral part of this statement.
| Columbia Bond Fund | Semiannual Report 2020 | 9 |
Portfolio of Investments (continued)
October 31, 2020 (Unaudited)
October 31, 2020 (Unaudited)
The accompanying Notes to Financial
Statements are an integral part of this statement.
| 10 | Columbia Bond Fund | Semiannual Report 2020 |
Portfolio of Investments (continued)
October 31, 2020 (Unaudited)
October 31, 2020 (Unaudited)
The accompanying Notes to Financial
Statements are an integral part of this statement.
| Columbia Bond Fund | Semiannual Report 2020 | 11 |
Portfolio of Investments (continued)
October 31, 2020 (Unaudited)
October 31, 2020 (Unaudited)
The accompanying Notes to Financial
Statements are an integral part of this statement.
| 12 | Columbia Bond Fund | Semiannual Report 2020 |
Portfolio of Investments (continued)
October 31, 2020 (Unaudited)
October 31, 2020 (Unaudited)
The accompanying Notes to Financial
Statements are an integral part of this statement.
| Columbia Bond Fund | Semiannual Report 2020 | 13 |
Portfolio of Investments (continued)
October 31, 2020 (Unaudited)
October 31, 2020 (Unaudited)
The accompanying Notes to Financial
Statements are an integral part of this statement.
| 14 | Columbia Bond Fund | Semiannual Report 2020 |
Portfolio of Investments (continued)
October 31, 2020 (Unaudited)
October 31, 2020 (Unaudited)
The accompanying Notes to Financial
Statements are an integral part of this statement.
| Columbia Bond Fund | Semiannual Report 2020 | 15 |
Portfolio of Investments (continued)
October 31, 2020 (Unaudited)
October 31, 2020 (Unaudited)
The accompanying Notes to Financial
Statements are an integral part of this statement.
| 16 | Columbia Bond Fund | Semiannual Report 2020 |
Portfolio of Investments (continued)
October 31, 2020 (Unaudited)
October 31, 2020 (Unaudited)
The accompanying Notes to Financial
Statements are an integral part of this statement.
| Columbia Bond Fund | Semiannual Report 2020 | 17 |
Portfolio of Investments (continued)
October 31, 2020 (Unaudited)
October 31, 2020 (Unaudited)
At October 31, 2020,
securities and/or cash totaling $2,655,225 were pledged as collateral.
Investments in
derivatives
| Long futures contracts | ||||||
| Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
| U.S. Treasury 10-Year Note | 698 | 12/2020 | USD | 96,476,688 | — | (819,228) |
| U.S. Treasury 5-Year Note | 444 | 12/2020 | USD | 55,767,094 | — | (149,415) |
| U.S. Ultra Treasury Bond | 72 | 12/2020 | USD | 15,480,000 | — | (737,019) |
| Total | — | (1,705,662) | ||||
| Put option contracts purchased | ||||||||
| Description | Counterparty | Trading currency | Notional amount | Number of contracts | Exercise price/Rate | Expiration date | Cost ($) | Value ($) |
| 10-Year OTC interest rate swap with Citi to receive 3-Month USD LIBOR BBA and pay exercise rate | Citi | USD | 40,000,000 | 40,000,000 | 1.00 | 09/30/2021 | 696,000 | 930,012 |
The accompanying Notes to Financial
Statements are an integral part of this statement.
| 18 | Columbia Bond Fund | Semiannual Report 2020 |
Portfolio of Investments (continued)
October 31, 2020 (Unaudited)
October 31, 2020 (Unaudited)
Notes to Portfolio of
Investments
| (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 October 31, 2020, the total value of these securities amounted to $470,866,156, which represents 67.65% of total net assets. |
| (b) | Variable rate security. The interest rate shown was the current rate as of October 31, 2020. |
| (c) | Represents a security purchased on a when-issued basis. |
| (d) | Valuation based on significant unobservable inputs. |
| (e) | 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 October 31, 2020. |
| (f) | Represents interest only securities which have the right to receive the monthly interest payments on an underlying pool of mortgage loans. |
| (g) | Non-income producing investment. |
| (h) | 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 October 31, 2020. |
| (i) | This security or a portion of this security has been pledged as collateral in connection with derivative contracts. |
| (j) | Represents fair value as determined in good faith under procedures approved by the Board of Trustees. At October 31, 2020, the total value of these securities amounted to $6,237,599, which represents 0.90% of total net assets. |
| (k) | Zero coupon bond. |
| (l) | The rate shown is the seven-day current annualized yield at October 31, 2020. |
| (m) | As defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended October 31, 2020 are as follows: |
| Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Realized gain (loss)($) | Dividends($) | End of period shares |
| Columbia Short-Term Cash Fund, 0.128% | ||||||||
| 28,606,621 | 304,557,497 | (300,619,387) | (10,560) | 32,534,171 | 2,446 | 29,337 | 32,537,425 | |
Abbreviation Legend
| CMO | Collateralized Mortgage Obligation |
| CMT | Constant Maturity Treasury |
| LIBOR | London Interbank Offered Rate |
| STRIPS | Separate Trading of Registered Interest and Principal Securities |
| TBA | To Be Announced |
Currency Legend
| USD | US Dollar |
Fair value measurements
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’s 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. 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). |
The accompanying Notes to Financial Statements are
an integral part of this statement.
| Columbia Bond Fund | Semiannual Report 2020 | 19 |
Portfolio of Investments (continued)
October 31, 2020 (Unaudited)
October 31, 2020 (Unaudited)
Fair value measurements (continued)
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.
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.
The following table is a summary of
the inputs used to value the Fund’s investments at October 31, 2020:
| Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | |
| Investments in Securities | ||||
| Asset-Backed Securities — Non-Agency | — | 146,824,419 | 2,481,000 | 149,305,419 |
| Commercial Mortgage-Backed Securities - Agency | — | 6,974,509 | — | 6,974,509 |
| Commercial Mortgage-Backed Securities - Non-Agency | — | 106,373,711 | — | 106,373,711 |
| Common Stocks | ||||
| Consumer Staples | — | 14 | — | 14 |
| Financials | 761 | — | — | 761 |
| Total Common Stocks | 761 | 14 | — | 775 |
| Corporate Bonds & Notes | — | 133,947,841 | — | 133,947,841 |
| Municipal Bonds | — | 1,206,753 | — | 1,206,753 |
| Residential Mortgage-Backed Securities - Agency | — | 190,758,858 | — | 190,758,858 |
| Residential Mortgage-Backed Securities - Non-Agency | — | 207,470,659 | 6,237,599 | 213,708,258 |
| U.S. Treasury Obligations | 699,352 | 2,588,990 | — | 3,288,342 |
| Options Purchased Puts | — | 930,012 | — | 930,012 |
| Money Market Funds | 32,534,171 | — | — | 32,534,171 |
| Total Investments in Securities | 33,234,284 | 797,075,766 | 8,718,599 | 839,028,649 |
| Investments in Derivatives | ||||
| Liability | ||||
| Futures Contracts | (1,705,662) | — | — | (1,705,662) |
| Total | 31,528,622 | 797,075,766 | 8,718,599 | 837,322,987 |
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.
Futures contracts are valued at
unrealized appreciation (depreciation).
The accompanying Notes to Financial Statements are
an integral part of this statement.
| 20 | Columbia Bond Fund | Semiannual Report 2020 |
Portfolio of Investments (continued)
October 31, 2020 (Unaudited)
October 31, 2020 (Unaudited)
Fair value measurements (continued)
The following table is a reconciliation of Level 3 assets for which significant observable and unobservable inputs were used to determine fair value:
The following table is a reconciliation of Level 3 assets for which significant observable and unobservable inputs were used to determine fair value:
| Balance as of 04/30/2020 ($) | Increase (decrease) in accrued discounts/ premiums ($) | Realized gain (loss) ($) | Change in unrealized appreciation (depreciation)(a) ($) | Purchases ($) | Sales ($) | Transfers into Level 3 ($) | Transfers out of Level 3 ($) | Balance as of 10/31/2020 ($) | |
| Asset-Backed Securities — Non-Agency | — | — | — | — | 2,481,000 | — | — | — | 2,481,000 |
| Residential Mortgage-Backed Securities — Non-Agency | 2,878,774 | 174 | — | 187 | 6,774,181 | (537,666) | — | (2,878,051) | 6,237,599 |
| Total | 2,878,774 | 174 | — | 187 | 9,255,181 | (537,666) | — | (2,878,051) | 8,718,599 |
(a) Change in unrealized
appreciation (depreciation) relating to securities held at October 31, 2020 was $187, which is comprised of Residential Mortgage-Backed Securities — Non-Agency of $187.
The Fund’s assets assigned to
the Level 3 category are valued utilizing the valuation technique deemed the most appropriate in the circumstances. Certain residential mortgage backed and asset backed securities classified as Level 3 securities are
valued using the market approach and utilize single market quotations from broker dealers which may have included, but not limited to, the distressed nature of the security and observable transactions for similar
assets in the market. Significant increases (decreases) to any of these inputs would have resulted in a significantly higher (lower) fair value measurement.
Financial assets were transferred
from Level 3 to Level 2 as observable market inputs were utilized and management determined that there was sufficient, reliable and observable market data to value these assets as of period end.
The accompanying Notes to Financial Statements are
an integral part of this statement.
| Columbia Bond Fund | Semiannual Report 2020 | 21 |
Statement of Assets and Liabilities
October 31, 2020 (Unaudited)
October 31, 2020 (Unaudited)
| Assets | |
| Investments in securities, at value | |
| Unaffiliated issuers (cost $792,245,072) | $805,564,466 |
| Affiliated issuers (cost $32,531,900) | 32,534,171 |
| Options purchased (cost $696,000) | 930,012 |
| Cash | 260 |
| Cash collateral held at broker for: | |
| TBA | 134,000 |
| Receivable for: | |
| Investments sold on a delayed delivery basis | 113,311,471 |
| Capital shares sold | 1,348,278 |
| Dividends | 3,411 |
| Interest | 2,242,288 |
| Foreign tax reclaims | 21,525 |
| Expense reimbursement due from Investment Manager | 2,857 |
| Prepaid expenses | 2,230 |
| Trustees’ deferred compensation plan | 219,309 |
| Other assets | 9,853 |
| Total assets | 956,324,131 |
| Liabilities | |
| Payable for: | |
| Investments purchased on a delayed delivery basis | 257,414,596 |
| Capital shares purchased | 995,037 |
| Distributions to shareholders | 1,310,191 |
| Variation margin for futures contracts | 189,938 |
| Management services fees | 9,484 |
| Distribution and/or service fees | 939 |
| Transfer agent fees | 19,549 |
| Compensation of board members | 57,671 |
| Compensation of chief compliance officer | 22 |
| Other expenses | 37,364 |
| Trustees’ deferred compensation plan | 219,309 |
| Total liabilities | 260,254,100 |
| Net assets applicable to outstanding capital stock | $696,070,031 |
| Represented by | |
| Paid in capital | 665,716,921 |
| Total distributable earnings (loss) | 30,353,110 |
| Total - representing net assets applicable to outstanding capital stock | $696,070,031 |
The accompanying Notes to Financial Statements are
an integral part of this statement.
| 22 | Columbia Bond Fund | Semiannual Report 2020 |
Statement of Assets and Liabilities (continued)
October 31, 2020 (Unaudited)
October 31, 2020 (Unaudited)
| Class A | |
| Net assets | $92,546,957 |
| Shares outstanding | 2,547,335 |
| Net asset value per share | $36.33 |
| Maximum sales charge | 4.75% |
| Maximum offering price per share (calculated by dividing the net asset value per share by 1.0 minus the maximum sales charge for Class A shares) | $38.14 |
| Advisor Class | |
| Net assets | $2,033,090 |
| Shares outstanding | 56,036 |
| Net asset value per share | $36.28 |
| Class C | |
| Net assets | $9,502,036 |
| Shares outstanding | 261,896 |
| Net asset value per share | $36.28 |
| Institutional Class | |
| Net assets | $79,597,323 |
| Shares outstanding | 2,191,145 |
| Net asset value per share | $36.33 |
| Institutional 2 Class | |
| Net assets | $9,218,671 |
| Shares outstanding | 254,451 |
| Net asset value per share | $36.23 |
| Institutional 3 Class | |
| Net assets | $494,052,529 |
| Shares outstanding | 13,571,582 |
| Net asset value per share | $36.40 |
| Class R | |
| Net assets | $1,258,748 |
| Shares outstanding | 34,650 |
| Net asset value per share | $36.33 |
| Class V | |
| Net assets | $7,860,677 |
| Shares outstanding | 216,760 |
| Net asset value per share | $36.26 |
| Maximum sales charge | 4.75% |
| Maximum offering price per share (calculated by dividing the net asset value per share by 1.0 minus the maximum sales charge for Class V shares) | $38.07 |
The accompanying Notes to Financial Statements are
an integral part of this statement.
| Columbia Bond Fund | Semiannual Report 2020 | 23 |
Statement of Operations
Six Months Ended October 31, 2020 (Unaudited)
Six Months Ended October 31, 2020 (Unaudited)
| Net investment income | |
| Income: | |
| Dividends — affiliated issuers | $29,337 |
| Interest | 8,561,743 |
| Total income | 8,591,080 |
| Expenses: | |
| Management services fees | 1,471,979 |
| Distribution and/or service fees | |
| Class A | 105,214 |
| Class C | 46,636 |
| Class R | 3,180 |
| Class V | 6,041 |
| Transfer agent fees | |
| Class A | 53,885 |
| Advisor Class | 1,457 |
| Class C | 5,978 |
| Institutional Class | 46,879 |
| Institutional 2 Class | 2,080 |
| Institutional 3 Class | 14,526 |
| Class R | 815 |
| Class V | 5,168 |
| Compensation of board members | 24,554 |
| Custodian fees | 11,683 |
| Printing and postage fees | 13,546 |
| Registration fees | 61,325 |
| Audit fees | 24,818 |
| Legal fees | 7,194 |
| Compensation of chief compliance officer | 104 |
| Other | 9,022 |
| Total expenses | 1,916,084 |
| Fees waived or expenses reimbursed by Investment Manager and its affiliates | (452,474) |
| Fees waived by transfer agent | |
| Institutional 3 Class | (9,329) |
| Expense reduction | (720) |
| Total net expenses | 1,453,561 |
| Net investment income | 7,137,519 |
| Realized and unrealized gain (loss) — net | |
| Net realized gain (loss) on: | |
| Investments — unaffiliated issuers | 5,528,038 |
| Investments — affiliated issuers | 2,446 |
| Futures contracts | 6,578,485 |
| Net realized gain | 12,108,969 |
| Net change in unrealized appreciation (depreciation) on: | |
| Investments — unaffiliated issuers | 14,981,775 |
| Investments — affiliated issuers | (10,560) |
| Futures contracts | (8,137,636) |
| Options purchased | 234,012 |
| Net change in unrealized appreciation (depreciation) | 7,067,591 |
| Net realized and unrealized gain | 19,176,560 |
| Net increase in net assets resulting from operations | $26,314,079 |
The accompanying Notes to
Financial Statements are an integral part of this statement.
| 24 | Columbia Bond Fund | Semiannual Report 2020 |
Statement of Changes in Net Assets
| Six Months Ended October 31, 2020 (Unaudited) | Year Ended April 30, 2020 | |
| Operations | ||
| Net investment income | $7,137,519 | $11,493,018 |
| Net realized gain | 12,108,969 | 14,535,502 |
| Net change in unrealized appreciation (depreciation) | 7,067,591 | 2,033,851 |
| Net increase in net assets resulting from operations | 26,314,079 | 28,062,371 |
| Distributions to shareholders | ||
| Net investment income and net realized gains | ||
| Class A | (899,475) | (2,327,117) |
| Advisor Class | (27,094) | (52,082) |
| Class C | (64,597) | (163,425) |
| Institutional Class | (874,352) | (2,429,802) |
| Institutional 2 Class | (88,357) | (243,329) |
| Institutional 3 Class | (5,060,017) | (11,223,898) |
| Class R | (11,998) | (26,491) |
| Class V | (90,194) | (324,290) |
| Total distributions to shareholders | (7,116,084) | (16,790,434) |
| Increase in net assets from capital stock activity | 241,589,495 | 48,307,507 |
| Total increase in net assets | 260,787,490 | 59,579,444 |
| Net assets at beginning of period | 435,282,541 | 375,703,097 |
| Net assets at end of period | $696,070,031 | $435,282,541 |
The accompanying Notes to
Financial Statements are an integral part of this statement.
| Columbia Bond Fund | Semiannual Report 2020 | 25 |
Statement of Changes in Net Assets (continued)
| Six Months Ended | Year Ended | |||
| October 31, 2020 (Unaudited) | April 30, 2020 | |||
| Shares(a) | Dollars ($) | Shares(a) | Dollars ($) | |
| Capital stock activity | ||||
| Class A | ||||
| Subscriptions | 517,939 | 18,651,916 | 1,037,730 | 36,178,190 |
| Distributions reinvested | 20,935 | 758,134 | 53,132 | 1,850,202 |
| Redemptions | (152,502) | (5,436,840) | (398,581) | (13,839,503) |
| Net increase | 386,372 | 13,973,210 | 692,281 | 24,188,889 |
| Advisor Class | ||||
| Subscriptions | 78,551 | 2,863,637 | 111,196 | 3,932,808 |
| Distributions reinvested | 745 | 26,970 | 1,485 | 51,679 |
| Redemptions | (71,371) | (2,603,674) | (86,405) | (3,064,920) |
| Net increase | 7,925 | 286,933 | 26,276 | 919,567 |
| Class C | ||||
| Subscriptions | 71,553 | 2,573,539 | 187,579 | 6,556,459 |
| Distributions reinvested | 1,651 | 59,697 | 4,183 | 145,278 |
| Redemptions | (55,893) | (2,025,773) | (67,249) | (2,310,964) |
| Net increase | 17,311 | 607,463 | 124,513 | 4,390,773 |
| Institutional Class | ||||
| Subscriptions | 623,797 | 22,536,337 | 795,177 | 27,700,453 |
| Distributions reinvested | 21,468 | 777,489 | 60,532 | 2,108,611 |
| Redemptions | (422,143) | (15,129,361) | (400,556) | (13,936,157) |
| Net increase | 223,122 | 8,184,465 | 455,153 | 15,872,907 |
| Institutional 2 Class | ||||
| Subscriptions | 92,376 | 3,352,701 | 166,219 | 5,823,625 |
| Distributions reinvested | 2,446 | 88,357 | 6,992 | 242,880 |
| Redemptions | (13,970) | (504,914) | (108,913) | (3,809,665) |
| Net increase | 80,852 | 2,936,144 | 64,298 | 2,256,840 |
| Institutional 3 Class | ||||
| Subscriptions | 6,155,825 | 222,956,461 | 580,956 | 20,209,242 |
| Distributions reinvested | 43,312 | 1,581,836 | 3,139 | 109,548 |
| Redemptions | (229,745) | (8,301,872) | (575,207) | (19,826,805) |
| Net increase | 5,969,392 | 216,236,425 | 8,888 | 491,985 |
| Class R | ||||
| Subscriptions | 620 | 22,283 | 20,286 | 721,713 |
| Distributions reinvested | 332 | 11,998 | 762 | 26,481 |
| Redemptions | (1,420) | (51,505) | (6,024) | (210,839) |
| Net increase (decrease) | (468) | (17,224) | 15,024 | 537,355 |
| Class V | ||||
| Subscriptions | 3,854 | 135,293 | 1,626 | 56,662 |
| Distributions reinvested | 1,807 | 65,268 | 6,946 | 241,426 |
| Redemptions | (22,845) | (818,482) | (18,639) | (648,897) |
| Net decrease | (17,184) | (617,921) | (10,067) | (350,809) |
| Total net increase | 6,667,322 | 241,589,495 | 1,376,366 | 48,307,507 |
| (a) | Share activity has been adjusted on a retroactive basis to reflect a 4 to 1 reverse stock split completed after the close of business on September 11, 2020. |
The accompanying Notes to Financial Statements are
an integral part of this statement.
| 26 | Columbia Bond Fund | Semiannual Report 2020 |
Financial Highlights
The following table is intended to
help you understand the Fund’s financial performance. Certain information reflects financial results for a single share of a class held for the periods shown. Per share net investment income (loss) amounts are
calculated based on average shares outstanding during the period. Total return assumes reinvestment of all dividends and distributions, if any. Total return does not reflect payment of sales charges, if any. Total
return and portfolio turnover are not annualized for periods of less than one year. The portfolio turnover rate is calculated without regard to purchase and sales transactions of short-term instruments and certain
derivatives, if any. If such transactions were included, the Fund’s portfolio turnover rate may be higher.
| Net asset value, beginning of period | Net investment income | Net realized and unrealized gain (loss) | Total from investment operations | Distributions from net investment income | Distributions from net realized gains | Total distributions to shareholders | |
| Class A(c) | |||||||
| Six Months Ended 10/31/2020 (Unaudited) | $34.88 | 0.39 | 1.45 | 1.84 | (0.39) | — | (0.39) |
| Year Ended 4/30/2020 | $33.84 | 0.88 | 1.48 | 2.36 | (0.88) | (0.44) | (1.32) |
| Year Ended 4/30/2019 | $33.13 | 0.92 | 0.67 | 1.59 | (0.88) | — | (0.88) |
| Year Ended 4/30/2018 | $33.87 | 0.64 | (0.74) | (0.10) | (0.60) | (0.04) | (0.64) |
| Year Ended 4/30/2017 | $34.89 | 0.64 | (0.22) | 0.42 | (0.60) | (0.84) | (1.44) |
| Year Ended 4/30/2016 | $35.65 | 0.64 | 0.28 | 0.92 | (0.84) | (0.84) | (1.68) |
| Advisor Class(c) | |||||||
| Six Months Ended 10/31/2020 (Unaudited) | $34.83 | 0.42 | 1.46 | 1.88 | (0.43) | — | (0.43) |
| Year Ended 4/30/2020 | $33.80 | 0.96 | 1.47 | 2.43 | (0.96) | (0.44) | (1.40) |
| Year Ended 4/30/2019 | $33.09 | 1.00 | 0.71 | 1.71 | (1.00) | — | (1.00) |
| Year Ended 4/30/2018 | $33.85 | 0.72 | (0.72) | 0.00(g) | (0.72) | (0.04) | (0.76) |
| Year Ended 4/30/2017 | $34.87 | 0.72 | (0.22) | 0.50 | (0.68) | (0.84) | (1.52) |
| Year Ended 4/30/2016 | $35.63 | 0.72 | 0.28 | 1.00 | (0.92) | (0.84) | (1.76) |
| Class C(c) | |||||||
| Six Months Ended 10/31/2020 (Unaudited) | $34.83 | 0.25 | 1.45 | 1.70 | (0.25) | — | (0.25) |
| Year Ended 4/30/2020 | $33.79 | 0.60 | 1.52 | 2.12 | (0.64) | (0.44) | (1.08) |
| Year Ended 4/30/2019 | $33.08 | 0.64 | 0.71 | 1.35 | (0.64) | — | (0.64) |
| Year Ended 4/30/2018 | $33.84 | 0.36 | (0.72) | (0.36) | (0.36) | (0.04) | (0.40) |
| Year Ended 4/30/2017 | $34.85 | 0.40 | (0.21) | 0.19 | (0.36) | (0.84) | (1.20) |
| Year Ended 4/30/2016 | $35.61 | 0.36 | 0.28 | 0.64 | (0.56) | (0.84) | (1.40) |
| Institutional Class(c) | |||||||
| Six Months Ended 10/31/2020 (Unaudited) | $34.88 | 0.43 | 1.45 | 1.88 | (0.43) | — | (0.43) |
| Year Ended 4/30/2020 | $33.83 | 0.96 | 1.49 | 2.45 | (0.96) | (0.44) | (1.40) |
| Year Ended 4/30/2019 | $33.13 | 1.00 | 0.70 | 1.70 | (1.00) | — | (1.00) |
| Year Ended 4/30/2018 | $33.87 | 0.60 | (0.58) | 0.02 | (0.72) | (0.04) | (0.76) |
| Year Ended 4/30/2017 | $34.89 | 0.72 | (0.22) | 0.50 | (0.68) | (0.84) | (1.52) |
| Year Ended 4/30/2016 | $35.65 | 0.72 | 0.28 | 1.00 | (0.92) | (0.84) | (1.76) |
| Institutional 2 Class(c) | |||||||
| Six Months Ended 10/31/2020 (Unaudited) | $34.78 | 0.44 | 1.45 | 1.89 | (0.44) | — | (0.44) |
| Year Ended 4/30/2020 | $33.74 | 1.00 | 1.48 | 2.48 | (1.00) | (0.44) | (1.44) |
| Year Ended 4/30/2019 | $33.02 | 1.04 | 0.68 | 1.72 | (1.00) | — | (1.00) |
| Year Ended 4/30/2018 | $33.78 | 0.76 | (0.76) | 0.00(g) | (0.72) | (0.04) | (0.76) |
| Year Ended 4/30/2017 | $34.79 | 0.68 | (0.13) | 0.55 | (0.72) | (0.84) | (1.56) |
| Year Ended 4/30/2016 | $35.56 | 0.76 | 0.27 | 1.03 | (0.96) | (0.84) | (1.80) |
The accompanying Notes to Financial
Statements are an integral part of this statement.
| 28 | Columbia Bond Fund | Semiannual Report 2020 |
Financial Highlights (continued)
| Net asset value, end of period | Total return | Total gross expense ratio to average net assets(a) | Total net expense ratio to average net assets(a),(b) | Net investment income ratio to average net assets | Portfolio turnover | Net assets, end of period (000’s) | |
| Class A(c) | |||||||
| Six Months Ended 10/31/2020 (Unaudited) | $36.33 | 5.27% | 0.93%(d) | 0.77%(d),(e) | 2.14%(d) | 146% | $92,547 |
| Year Ended 4/30/2020 | $34.88 | 7.05% | 0.97% | 0.80%(e) | 2.50% | 229% | $75,375 |
| Year Ended 4/30/2019 | $33.84 | 4.98% | 1.01% | 0.83%(e) | 2.73% | 236% | $49,696 |
| Year Ended 4/30/2018 | $33.13 | (0.33%) | 1.00% | 0.86%(e) | 1.84% | 257% | $50,845 |
| Year Ended 4/30/2017 | $33.87 | 1.34% | 0.98%(f) | 0.82%(e),(f) | 1.86% | 375% | $52,029 |
| Year Ended 4/30/2016 | $34.89 | 2.74% | 1.02% | 0.86%(e) | 1.83% | 428% | $55,058 |
| Advisor Class(c) | |||||||
| Six Months Ended 10/31/2020 (Unaudited) | $36.28 | 5.38% | 0.68%(d) | 0.52%(d),(e) | 2.35%(d) | 146% | $2,033 |
| Year Ended 4/30/2020 | $34.83 | 7.32% | 0.71% | 0.55%(e) | 2.74% | 229% | $1,676 |
| Year Ended 4/30/2019 | $33.80 | 5.24% | 0.76% | 0.58%(e) | 3.03% | 236% | $738 |
| Year Ended 4/30/2018 | $33.09 | (0.08%) | 0.75% | 0.61%(e) | 2.09% | 257% | $497 |
| Year Ended 4/30/2017 | $33.85 | 1.48% | 0.73%(f) | 0.57%(e),(f) | 2.10% | 375% | $516 |
| Year Ended 4/30/2016 | $34.87 | 3.01% | 0.77% | 0.61%(e) | 2.07% | 428% | $390 |
| Class C(c) | |||||||
| Six Months Ended 10/31/2020 (Unaudited) | $36.28 | 4.85% | 1.67%(d) | 1.52%(d),(e) | 1.38%(d) | 146% | $9,502 |
| Year Ended 4/30/2020 | $34.83 | 6.26% | 1.72% | 1.55%(e) | 1.74% | 229% | $8,519 |
| Year Ended 4/30/2019 | $33.79 | 4.20% | 1.76% | 1.59%(e) | 1.96% | 236% | $4,058 |
| Year Ended 4/30/2018 | $33.08 | (1.08%) | 1.75% | 1.61%(e) | 1.04% | 257% | $6,001 |
| Year Ended 4/30/2017 | $33.84 | 0.59% | 1.73%(f) | 1.57%(e),(f) | 1.11% | 375% | $9,461 |
| Year Ended 4/30/2016 | $34.85 | 1.98% | 1.77% | 1.61%(e) | 1.08% | 428% | $10,870 |
| Institutional Class(c) | |||||||
| Six Months Ended 10/31/2020 (Unaudited) | $36.33 | 5.40% | 0.68%(d) | 0.52%(d),(e) | 2.38%(d) | 146% | $79,597 |
| Year Ended 4/30/2020 | $34.88 | 7.32% | 0.72% | 0.55%(e) | 2.76% | 229% | $68,640 |
| Year Ended 4/30/2019 | $33.83 | 5.24% | 0.76% | 0.58%(e) | 2.97% | 236% | $51,185 |
| Year Ended 4/30/2018 | $33.13 | (0.08%) | 0.74% | 0.61%(e) | 1.74% | 257% | $56,556 |
| Year Ended 4/30/2017 | $33.87 | 1.60% | 0.73%(f) | 0.58%(e),(f) | 2.11% | 375% | $369,017 |
| Year Ended 4/30/2016 | $34.89 | 3.00% | 0.77% | 0.61%(e) | 2.08% | 428% | $440,059 |
| Institutional 2 Class(c) | |||||||
| Six Months Ended 10/31/2020 (Unaudited) | $36.23 | 5.39% | 0.61%(d) | 0.45%(d) | 2.47%(d) | 146% | $9,219 |
| Year Ended 4/30/2020 | $34.78 | 7.55% | 0.62% | 0.46% | 2.83% | 229% | $6,038 |
| Year Ended 4/30/2019 | $33.74 | 5.24% | 0.64% | 0.47% | 3.20% | 236% | $3,687 |
| Year Ended 4/30/2018 | $33.02 | 0.13% | 0.64% | 0.51% | 2.20% | 257% | $864 |
| Year Ended 4/30/2017 | $33.78 | 1.58% | 0.63%(f) | 0.49%(f) | 1.99% | 375% | $735 |
| Year Ended 4/30/2016 | $34.79 | 3.11% | 0.60% | 0.50% | 2.14% | 428% | $52 |
The accompanying Notes to Financial
Statements are an integral part of this statement.
| Columbia Bond Fund | Semiannual Report 2020 | 29 |
Financial Highlights (continued)
| Net asset value, beginning of period | Net investment income | Net realized and unrealized gain (loss) | Total from investment operations | Distributions from net investment income | Distributions from net realized gains | Total distributions to shareholders | |
| Institutional 3 Class(c) | |||||||
| Six Months Ended 10/31/2020 (Unaudited) | $34.95 | 0.45 | 1.46 | 1.91 | (0.46) | — | (0.46) |
| Year Ended 4/30/2020 | $33.90 | 1.00 | 1.53 | 2.53 | (1.04) | (0.44) | (1.48) |
| Year Ended 4/30/2019 | $33.19 | 1.04 | 0.71 | 1.75 | (1.04) | — | (1.04) |
| Year Ended 4/30/2018 | $33.93 | 0.84 | (0.78) | 0.06 | (0.76) | (0.04) | (0.80) |
| Year Ended 4/30/2017 | $34.94 | 0.76 | (0.17) | 0.59 | (0.76) | (0.84) | (1.60) |
| Year Ended 4/30/2016 | $35.70 | 0.76 | 0.32 | 1.08 | (1.00) | (0.84) | (1.84) |
| Class R(c) | |||||||
| Six Months Ended 10/31/2020 (Unaudited) | $34.88 | 0.34 | 1.45 | 1.79 | (0.34) | — | (0.34) |
| Year Ended 4/30/2020 | $33.83 | 0.80 | 1.49 | 2.29 | (0.80) | (0.44) | (1.24) |
| Year Ended 4/30/2019 | $33.12 | 0.84 | 0.67 | 1.51 | (0.80) | — | (0.80) |
| Year Ended 4/30/2018 | $33.88 | 0.52 | (0.72) | (0.20) | (0.52) | (0.04) | (0.56) |
| Year Ended 4/30/2017 | $34.89 | 0.56 | (0.21) | 0.35 | (0.52) | (0.84) | (1.36) |
| Year Ended 4/30/2016 | $35.65 | 0.56 | 0.28 | 0.84 | (0.76) | (0.84) | (1.60) |
| Class V(c) | |||||||
| Six Months Ended 10/31/2020 (Unaudited) | $34.82 | 0.40 | 1.44 | 1.84 | (0.40) | — | (0.40) |
| Year Ended 4/30/2020 | $33.78 | 0.92 | 1.48 | 2.40 | (0.92) | (0.44) | (1.36) |
| Year Ended 4/30/2019 | $33.07 | 0.92 | 0.71 | 1.63 | (0.92) | — | (0.92) |
| Year Ended 4/30/2018 | $33.82 | 0.64 | (0.71) | (0.07) | (0.64) | (0.04) | (0.68) |
| Year Ended 4/30/2017 | $34.83 | 0.68 | (0.21) | 0.47 | (0.64) | (0.84) | (1.48) |
| Year Ended 4/30/2016 | $35.60 | 0.68 | 0.27 | 0.95 | (0.88) | (0.84) | (1.72) |
| Notes to Financial Highlights | |
| (a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
| (b) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
| (c) | Per share amounts have been adjusted on a retroactive basis to reflect a 4 to 1 reverse stock split completed after the close of business on September 11, 2020. |
| (d) | Annualized. |
| (e) | The benefits derived from expense reductions had an impact of less than 0.01%. |
| (f) | Expenses have been reduced due to a reimbursement of expenses overbilled by a third party. If the reimbursement had been excluded, the expense ratios would have been higher by the percentages shown for each class in the table below. All fee waivers and expense reimbursements by the Investment Manager and its affiliates were applied before giving effect to this third party reimbursement. |
| Year Ended | Class A | Advisor Class | Class C | Institutional Class | Institutional 2 Class | Institutional 3 Class | Class R | Class V |
| 04/30/2017 | 0.04% | 0.04% | 0.04% | 0.03% | 0.02% | 0.03% | 0.03% | 0.03% |
| (g) | Rounds to zero. |
The accompanying Notes to
Financial Statements are an integral part of this statement.
| 30 | Columbia Bond Fund | Semiannual Report 2020 |
Financial Highlights (continued)
| Net asset value, end of period | Total return | Total gross expense ratio to average net assets(a) | Total net expense ratio to average net assets(a),(b) | Net investment income ratio to average net assets | Portfolio turnover | Net assets, end of period (000’s) | |
| Institutional 3 Class(c) | |||||||
| Six Months Ended 10/31/2020 (Unaudited) | $36.40 | 5.43% | 0.56%(d) | 0.40%(d) | 2.51%(d) | 146% | $494,053 |
| Year Ended 4/30/2020 | $34.95 | 7.47% | 0.57% | 0.40% | 2.91% | 229% | $265,665 |
| Year Ended 4/30/2019 | $33.90 | 5.41% | 0.58% | 0.42% | 3.14% | 236% | $257,417 |
| Year Ended 4/30/2018 | $33.19 | 0.19% | 0.59% | 0.46% | 2.46% | 257% | $284,876 |
| Year Ended 4/30/2017 | $33.93 | 1.63% | 0.54%(f) | 0.42%(f) | 2.26% | 375% | $29,756 |
| Year Ended 4/30/2016 | $34.94 | 3.28% | 0.56% | 0.45% | 2.24% | 428% | $31,981 |
| Class R(c) | |||||||
| Six Months Ended 10/31/2020 (Unaudited) | $36.33 | 5.14% | 1.18%(d) | 1.02%(d),(e) | 1.88%(d) | 146% | $1,259 |
| Year Ended 4/30/2020 | $34.88 | 6.79% | 1.22% | 1.05%(e) | 2.26% | 229% | $1,225 |
| Year Ended 4/30/2019 | $33.83 | 4.71% | 1.26% | 1.08%(e) | 2.51% | 236% | $680 |
| Year Ended 4/30/2018 | $33.12 | (0.58%) | 1.25% | 1.11%(e) | 1.54% | 257% | $550 |
| Year Ended 4/30/2017 | $33.88 | 1.09% | 1.23%(f) | 1.08%(e),(f) | 1.62% | 375% | $922 |
| Year Ended 4/30/2016 | $34.89 | 2.49% | 1.27% | 1.11%(e) | 1.57% | 428% | $1,750 |
| Class V(c) | |||||||
| Six Months Ended 10/31/2020 (Unaudited) | $36.26 | 5.36% | 0.83%(d) | 0.67%(d),(e) | 2.23%(d) | 146% | $7,861 |
| Year Ended 4/30/2020 | $34.82 | 7.17% | 0.87% | 0.70%(e) | 2.62% | 229% | $8,145 |
| Year Ended 4/30/2019 | $33.78 | 4.96% | 0.91% | 0.73%(e) | 2.83% | 236% | $8,242 |
| Year Ended 4/30/2018 | $33.07 | (0.23%) | 0.90% | 0.76%(e) | 1.92% | 257% | $8,934 |
| Year Ended 4/30/2017 | $33.82 | 1.44% | 0.88%(f) | 0.73%(e),(f) | 1.95% | 375% | $10,139 |
| Year Ended 4/30/2016 | $34.83 | 2.85% | 0.92% | 0.76%(e) | 1.93% | 428% | $10,887 |
The accompanying Notes to Financial Statements are
an integral part of this statement.
| Columbia Bond Fund | Semiannual Report 2020 | 31 |
Notes to Financial Statements
October 31, 2020 (Unaudited)
October 31, 2020 (Unaudited)
Note 1. Organization
Columbia Bond Fund (the Fund), a
series of Columbia Funds Series Trust I (the Trust), is a diversified fund. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company
organized as a Massachusetts business trust.
The Fund’s Board of Trustees
approved reverse stock splits of the issued and outstanding shares of the Fund (the “Reverse Stock Split”). The Reverse Stock Split was completed after the close of business on September 11, 2020. The
impact of the Reverse Stock Split was to decrease the number of shares outstanding and increase the net asset value per share for each share class of the Fund by the ratio of 4 to 1, resulting in no effect on the net
assets of each share class or the value of each affected shareholder’s investment. Capital stock share activity reflected in the Statement of Changes in Net Assets and per share data in the Financial Highlights
have been adjusted on a retroactive basis to reflect the impact of the Reverse Stock Split.
Fund shares
The Trust may issue an unlimited
number of shares (without par value). The Fund offers each of the share classes listed in the Statement of Assets and Liabilities. Although all share classes generally have identical voting, dividend and liquidation
rights, each share class votes separately when required by the Trust’s organizational documents or by law. Each share class has its own expense and sales charge structure. Different share classes may have
different minimum initial investment amounts and pay different net investment income distribution amounts to the extent the expenses of distributing such share classes vary. Distributions to shareholders in a
liquidation will be proportional to the net asset value of each share class.
As described in the Fund’s
prospectus, Class A and Class C shares are offered to the general public for investment. Class C shares automatically convert to Class A shares after 10 years. Advisor Class, Institutional Class, Institutional 2
Class, Institutional 3 Class and Class R shares are available for purchase through authorized investment professionals to omnibus retirement plans or to institutional investors and to certain other investors as also
described in the Fund’s prospectus. Class V shares are available only to investors who received (and who continuously held) Class V shares in connection with previous fund reorganizations.
Note 2. Summary of
significant accounting policies
Basis of preparation
The Fund is an investment company
that applies the accounting and reporting guidance in the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946, Financial Services - Investment Companies (ASC 946). The financial statements are prepared in accordance with U.S. generally accepted accounting principles (GAAP), which requires
management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities, the disclosure of contingent assets and liabilities at the date of the financial statements and the
reported amounts of income and expenses during the reporting period. Actual results could differ from those estimates.
The following is a summary of
significant accounting policies followed by the Fund in the preparation of its financial statements.
Security valuation
Equity securities listed on an
exchange are valued at the closing price or last trade on their primary exchange at the close of business of the New York Stock Exchange. Securities with a closing price not readily available or not listed on any
exchange are valued at the mean between the closing bid and asked prices. Listed preferred stocks convertible into common stocks are valued using an evaluated price from a pricing service.
Debt securities generally are
valued by pricing services approved by the Board of Trustees based upon market transactions for normal, institutional-size trading units of similar securities. The services may use various pricing techniques that take
into account, as applicable, factors such as yield, quality, coupon rate, maturity, type of issue, trading characteristics and other data, as well as approved independent broker-dealer quotes. Debt securities for
which quotations are not readily available or
| 32 | Columbia Bond Fund | Semiannual Report 2020 |
Notes to Financial Statements (continued)
October 31, 2020 (Unaudited)
October 31, 2020 (Unaudited)
not believed to be reflective of market value may
also be valued based upon a bid quote from an approved independent broker-dealer. Debt securities maturing in 60 days or less are valued primarily at amortized market value, unless this method results in a valuation
that management believes does not approximate fair value.
Asset- and mortgage-backed
securities are generally valued by pricing services, which utilize pricing models that incorporate the securities’ cash flow and loan performance data. These models also take into account available market data,
including trades, market quotations, and benchmark yield curves for identical or similar securities. Factors used to identify similar securities may include, but are not limited to, issuer, collateral type, vintage,
prepayment speeds, collateral performance, credit ratings, credit enhancement and expected life. Asset-backed securities for which quotations are readily available may also be valued based upon an over-the-counter or
exchange bid quote from an approved independent broker-dealer. Debt securities maturing in 60 days or less are valued primarily at amortized market value, unless this method results in a valuation that management
believes does not approximate fair value.
Investments in open-end investment
companies (other than exchange-traded funds (ETFs)), are valued at the latest net asset value reported by those companies as of the valuation time.
Futures and options on futures
contracts are valued based upon the settlement price at the close of regular trading on their principal exchanges or, in the absence of a settlement price, at the mean of the latest quoted bid and ask prices.
Option contracts are valued at the
mean of the latest quoted bid and ask prices on their primary exchanges. Option contracts, including over-the-counter option contracts, with no readily available market quotations are valued using mid-market
evaluations from independent third-party vendors.
Investments for which market
quotations are not readily available, or that have quotations which management believes are not reflective of market value or reliable, are valued at fair value as determined in good faith under procedures approved by
and under the general supervision of the Board of Trustees. If a security or class of securities (such as foreign securities) is valued at fair value, such value is likely to be different from the quoted or published
price for the security, if available.
The determination of fair value
often requires significant judgment. To determine fair value, management may use assumptions including but not limited to future cash flows and estimated risk premiums. Multiple inputs from various sources may be used
to determine fair value.
GAAP requires 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. This information is disclosed following
the Fund’s Portfolio of Investments.
Derivative instruments
The Fund invests in certain
derivative instruments, as detailed below, in seeking to meet its investment objectives. Derivatives are instruments whose values depend on, or are derived from, in whole or in part, the value of one or more
securities, currencies, commodities, indices, or other assets or instruments. Derivatives may be used to increase investment flexibility (including to maintain cash reserves while maintaining desired exposure to
certain assets), for risk management (hedging) purposes, to facilitate trading, to reduce transaction costs and to pursue higher investment returns. The Fund may also use derivative instruments to mitigate certain
investment risks, such as foreign currency exchange rate risk, interest rate risk and credit risk. Derivatives may involve various risks, including the potential inability of the counterparty to fulfill its
obligations under the terms of the contract, the potential for an illiquid secondary market (making it difficult for the Fund to sell or terminate, including at favorable prices) and the potential for market movements
which may expose the Fund to gains or losses in excess of the amount shown in the Statement of Assets and Liabilities. The notional amounts of derivative instruments, if applicable, are not recorded in the financial
statements.
A derivative instrument may suffer
a marked-to-market loss if the value of the contract decreases due to an unfavorable change in the market rates or values of the underlying instrument. Losses can also occur if the counterparty does not perform its
obligations under the contract. The Fund’s risk of loss from counterparty credit risk on over-the-counter derivatives is generally limited to the aggregate unrealized gain netted against any collateral held by
the Fund and the amount of any variation margin held by the counterparty, plus any replacement costs or related amounts. With exchange-traded or centrally cleared derivatives, there is reduced counterparty credit risk
to the Fund since the clearinghouse or central counterparty
| Columbia Bond Fund | Semiannual Report 2020 | 33 |
Notes to Financial Statements (continued)
October 31, 2020 (Unaudited)
October 31, 2020 (Unaudited)
(CCP) provides some protection in the case of
clearing member default. The clearinghouse or CCP stands between the buyer and the seller of the contract; therefore, additional counterparty credit risk is failure of the clearinghouse or CCP. However, credit risk
still exists in exchange-traded or centrally cleared derivatives with respect to initial and variation margin that is held in a broker’s customer account. While clearing brokers are required to segregate
customer margin from their own assets, in the event that a clearing broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the clearing broker
for all its clients, U.S. bankruptcy laws will typically allocate that shortfall on a pro-rata basis across all the clearing broker’s customers (including the Fund), potentially resulting in losses to the
Fund.
In order to better define its
contractual rights and to secure rights that will help the Fund mitigate its counterparty risk, the Fund may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (ISDA Master Agreement)
or similar agreement with its derivatives counterparties. An ISDA Master Agreement is an agreement between the Fund and a counterparty that governs over-the-counter derivatives and foreign exchange forward contracts
and contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. Under an ISDA Master Agreement, the Fund may, under certain circumstances, offset
with the counterparty certain derivative instrument’s payables and/or receivables with collateral held and/or posted and create one single net payment. The provisions of the ISDA Master Agreement typically
permit a single net payment in the event of default (close-out netting), including the bankruptcy or insolvency of the counterparty. Note, however, that bankruptcy or insolvency laws of a particular jurisdiction may
impose restrictions on or prohibitions against the right of offset or netting in bankruptcy, insolvency or other events.
Collateral (margin) requirements
differ by type of derivative. Margin requirements are established by the clearinghouse or CCP for exchange-traded and centrally cleared derivatives. Brokers can ask for margin in excess of the minimum in certain
circumstances. Collateral terms for most over-the-counter derivatives are subject to regulatory requirements to exchange variation margin with trading counterparties and may have contract specific margin terms as
well. For over-the-counter derivatives traded under an ISDA Master Agreement, the collateral requirements are typically calculated by netting the marked-to-market amount for each transaction under such agreement and
comparing that amount to the value of any variation margin currently pledged by the Fund and/or the counterparty. Generally, the amount of collateral due from or to a party has to exceed a minimum transfer amount
threshold (e.g., $250,000) before a transfer has to be made. To the extent amounts due to the Fund from its counterparties are not fully collateralized, contractually or otherwise, the Fund bears the risk of loss from
counterparty nonperformance. The Fund may also pay interest expense on cash collateral received from the broker. Any interest expense paid by the Fund is shown on the Statement of Operations. The Fund attempts to
mitigate counterparty risk by only entering into agreements with counterparties that it believes have the financial resources to honor their obligations and by monitoring the financial stability of those
counterparties.
Certain ISDA Master Agreements
allow counterparties of over-the-counter derivatives transactions to terminate derivatives contracts prior to maturity in the event the Fund’s net asset value declines by a stated percentage over a specified
time period or if the Fund fails to meet certain terms of the ISDA Master Agreement, which would cause the Fund to accelerate payment of any net liability owed to the counterparty. The Fund also has termination rights
if the counterparty fails to meet certain terms of the ISDA Master Agreement. In determining whether to exercise such termination rights, the Fund would consider, in addition to counterparty credit risk, whether
termination would result in a net liability owed from the counterparty.
For financial reporting purposes,
the Fund does not offset derivative assets and derivative liabilities that are subject to netting arrangements in the Statement of Assets and Liabilities.
Futures contracts
Futures contracts are
exchange-traded and represent commitments for the future purchase or sale of an asset at a specified price on a specified date. The Fund bought and sold futures contracts to manage the duration and yield curve
exposure of the Fund versus the benchmark and to manage exposure to movements in interest rates. These instruments may be used for other purposes in future periods. Upon entering into futures contracts, the Fund bears
risks that it may not achieve the anticipated benefits of the futures contracts and may realize a loss. Additional risks include counterparty credit risk, the possibility of an illiquid market, and that a change in
the value of the contract or option may not correlate with changes in the value of the underlying asset.
| 34 | Columbia Bond Fund | Semiannual Report 2020 |
Notes to Financial Statements (continued)
October 31, 2020 (Unaudited)
October 31, 2020 (Unaudited)
Upon entering into a futures
contract, the Fund deposits cash or securities with the broker, known as a futures commission merchant (FCM), in an amount sufficient to meet the initial margin requirement. The initial margin deposit must be
maintained at an established level over the life of the contract. Cash deposited as initial margin is recorded in the Statement of Assets and Liabilities as margin deposits. Securities deposited as initial margin are
designated in the Portfolio of Investments. Subsequent payments (variation margin) are made or received by the Fund each day. The variation margin payments are equal to the daily change in the contract value and are
recorded as variation margin receivable or payable and are offset in unrealized gains or losses. The Fund recognizes a realized gain or loss when the contract is closed or expires. Futures contracts involve, to
varying degrees, risk of loss in excess of the variation margin disclosed in the Statement of Assets and Liabilities.
Options contracts
Options are contracts which entitle
the holder to purchase or sell securities or other identified assets at a specified price, or in the case of index option contracts, to receive or pay the difference between the index value and the strike price of the
index option contract. Option contracts can be either exchange-traded or over-the-counter. The Fund purchased option contracts to manage exposure to fluctuations in interest rates and to manage convexity risk. These
instruments may be used for other purposes in future periods. Completion of transactions for option contracts traded in the over-the-counter market depends upon the performance of the other party. Collateral may be
collected or posted by the Fund to secure over-the-counter option contract trades. Collateral held or posted by the Fund for such option contract trades must be returned to the broker or the Fund upon closure,
exercise or expiration of the contract.
Options contracts purchased are
recorded as investments. When the Fund writes an options contract, the premium received is recorded as an asset and an amount equivalent to the premium is recorded as a liability in the Statement of Assets and
Liabilities and is subsequently adjusted to reflect the current fair value of the option written. Changes in the fair value of the written option are recorded as unrealized appreciation or depreciation until the
contract is exercised or has expired. The Fund realizes a gain or loss when the option contract is closed or expires. When option contracts are exercised, the proceeds on sales for a written call or purchased put
option contract, or the purchase cost for a written put or purchased call option contract, is adjusted by the amount of premium received or paid.
For over-the-counter options
purchased, the Fund bears the risk of loss of the amount of the premiums paid plus the positive change in market values net of any collateral held by the Fund should the counterparty fail to perform under the
contracts. Option contracts written by the Fund do not typically give rise to significant counterparty credit risk, as options written generally obligate the Fund and not the counterparty to perform. The risk in
writing a call option contract is that the Fund gives up the opportunity for profit if the market price of the security increases above the strike price and the option contract is exercised. The risk in writing a put
option contract is that the Fund may incur a loss if the market price of the security decreases below the strike price and the option contract is exercised. Exercise of a written option could result in the Fund
purchasing or selling a security or foreign currency when it otherwise would not, or at a price different from the current market value. In purchasing and writing options, the Fund bears the risk of an unfavorable
change in the value of the underlying instrument or the risk that the Fund may not be able to enter into a closing transaction due to an illiquid market.
Interest rate swaption contracts
Interest rate swaption contracts
entered into by the Fund typically represent an option that gives the purchaser the right, but not the obligation, to enter into an interest rate swap contract on a future date. Each interest rate swaption contract
will specify if the buyer is entitled to receive the fixed or floating rate if the interest rate is exercised. Changes in the value of a purchased interest rate swaption contracts are reported as unrealized
appreciation or depreciation on options in the Statement of Assets and Liabilities. Gain or loss is recognized in the Statement of Operations when the interest rate swaption contract is closed or expires.
When the Fund writes an interest
rate swaption contract, the premium received is recorded as an asset and an amount equivalent to the premium is recorded as a liability in the Statement of Assets and Liabilities and is subsequently adjusted to
reflect the current fair value of the interest rate swaption contract written. Premiums received from writing interest rate swaption contracts that expire unexercised are recorded by the Fund on the expiration date as
realized gains from options written in the Statement of Operations. The difference between the premium and the amount paid on effecting a closing
| Columbia Bond Fund | Semiannual Report 2020 | 35 |
Notes to Financial Statements (continued)
October 31, 2020 (Unaudited)
October 31, 2020 (Unaudited)
purchase transaction, including brokerage
commissions, is also recorded as realized gain, or if the premium is less than the amount paid for the closing purchase, as realized loss. These amounts are reflected as net realized gain (loss) on options written in
the Statement of Operations.
Effects of derivative transactions in
the financial statements
The following tables are intended
to provide additional information about the effect of derivatives on the financial statements of the Fund, including: the fair value of derivatives by risk category and the location of those fair values in the
Statement of Assets and Liabilities; and the impact of derivative transactions over the period in the Statement of Operations, including realized and unrealized gains (losses). The derivative instrument schedules
following the Portfolio of Investments present additional information regarding derivative instruments outstanding at the end of the period, if any.
The following table is a summary of
the fair value of derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) at October 31, 2020:
| Asset derivatives | ||
| Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
| Interest rate risk | Investments, at value — Options purchased | 930,012 |
| Liability derivatives | ||
| Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
| Interest rate risk | Component of total distributable earnings (loss) — unrealized depreciation on futures contracts | 1,705,662* |
| * | Includes cumulative appreciation (depreciation) as reported in the tables following the Portfolio of Investments. Only the current day’s variation margin is reported in receivables or payables in the Statement of Assets and Liabilities. |
The following table indicates the
effect of derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) in the Statement of Operations for the six months ended October 31, 2020:
| Amount of realized gain (loss) on derivatives recognized in income | |
| Risk exposure category | Futures contracts ($) |
| Interest rate risk | 6,578,485 |
| Change in unrealized appreciation (depreciation) on derivatives recognized in income | |||
| Risk exposure category | Futures contracts ($) | Options contracts purchased ($) | Total ($) |
| Interest rate risk | (8,137,636) | 234,012 | (7,903,624) |
The following table is a summary
of the average outstanding volume by derivative instrument for the six months ended October 31, 2020:
| Derivative instrument | Average notional amounts ($)* |
| Futures contracts — long | 172,070,313 |
| Derivative instrument | Average value ($)* |
| Options contracts — purchased | 465,006 |
| * | Based on the ending quarterly outstanding amounts for the six months ended October 31, 2020. |
| 36 | Columbia Bond Fund | Semiannual Report 2020 |
Notes to Financial Statements (continued)
October 31, 2020 (Unaudited)
October 31, 2020 (Unaudited)
Asset- and mortgage-backed
securities
The Fund may invest in asset-backed
and mortgage-backed securities. The maturity dates shown represent the original maturity of the underlying obligation. Actual maturity may vary based upon prepayment activity on these obligations. All, or a portion,
of the obligation may be prepaid at any time because the underlying asset may be prepaid. As a result, decreasing market interest rates could result in an increased level of prepayment. An increased prepayment rate
will have the effect of shortening the maturity of the security. Unless otherwise noted, the coupon rates presented are fixed rates.
Delayed delivery securities
The Fund may trade securities on
other than normal settlement terms, including securities purchased or sold on a “when-issued” or "forward commitment" basis. This may increase risk to the Fund since the other party to the transaction may
fail to deliver, which could cause the Fund to subsequently invest at less advantageous prices. The Fund designates cash or liquid securities in an amount equal to the delayed delivery commitment.
To be announced securities
The Fund may trade securities on a
To Be Announced (TBA) basis. As with other delayed-delivery transactions, a seller agrees to issue a TBA security at a future date. However, the seller does not specify the particular securities to be delivered.
Instead, the Fund agrees to accept any security that meets specified terms.
In some cases, Master Securities
Forward Transaction Agreements (MSFTAs) may be used to govern transactions of certain forward-settling agency mortgage-backed securities, such as delayed-delivery and TBAs, between the Fund and counterparty. The MSFTA
maintains provisions for, among other things, initiation and confirmation, payment and transfer, events of default, termination, and maintenance of collateral relating to such transactions.
Mortgage dollar roll transactions
The Fund may enter into mortgage
“dollar rolls” in which the Fund sells securities for delivery in the current month and simultaneously contracts with the same counterparty to repurchase similar but not identical securities (same type,
coupon and maturity) on a specified future date. During the roll period, the Fund loses the right to receive principal and interest paid on the securities sold. However, the Fund will benefit because it receives
negotiated amounts in the form of reductions of the purchase price for the future purchase plus the interest earned on the cash proceeds of the securities sold until the settlement date of the forward purchase. The
Fund records the incremental difference between the forward purchase and sale of each forward roll as a realized gain or loss. Unless any realized gains exceed the income, capital appreciation, and gain or loss due to
mortgage prepayments that would have been realized on the securities sold as part of the mortgage dollar roll, the use of this technique will diminish the investment performance of the Fund compared to what the
performance would have been without the use of mortgage dollar rolls. All cash proceeds will be invested in instruments that are permissible investments for the Fund. The Fund identifies cash or liquid securities in
an amount equal to the forward purchase price.
For financial reporting and tax
purposes, the Fund treats “to be announced” mortgage dollar rolls as two separate transactions, one involving the purchase of a security and a separate transaction involving a sale. These transactions may
increase the Fund’s portfolio turnover rate. The Fund does not currently enter into mortgage dollar rolls that are accounted for as financing transactions.
Mortgage dollar rolls involve the
risk that the market value of the securities the Fund is obligated to repurchase may decline below the repurchase price, or that the counterparty may default on its obligations.
Interest only and principal only
securities
The Fund may invest in Interest
Only (IO) or Principal Only (PO) securities. IOs are stripped securities entitled to receive all of the security’s interest, but none of its principal. IOs are particularly sensitive to changes in interest rates
and therefore subject to greater fluctuations in price than typical interest bearing debt securities. IOs are also subject to credit risk because the Fund may not receive all or part of the interest payments if the
issuer, obligor, guarantor or counterparty defaults on its obligation. Payments received for IOs are included in interest income on the Statement of Operations. Because no principal will be received at the maturity of
an IO, adjustments are made to the cost of the security on a monthly basis until maturity. These adjustments are included in interest income on the Statement of Operations. POs are stripped securities entitled to
| Columbia Bond Fund | Semiannual Report 2020 | 37 |
Notes to Financial Statements (continued)
October 31, 2020 (Unaudited)
October 31, 2020 (Unaudited)
receive the principal from the underlying
obligation, but not the interest. POs are particularly sensitive to changes in interest rates and therefore are subject to fluctuations in price. POs are also subject to credit risk because the Fund may not receive
all or part of its principal if the issuer, obligor, guarantor or counterparty defaults on its obligation. The Fund may also invest in IO or PO stripped mortgage-backed securities. Payments received for POs are
treated as reductions to the cost and par value of the securities.
Offsetting of assets and
liabilities
The following table presents the
Fund’s gross and net amount of assets and liabilities available for offset under netting arrangements as well as any related collateral received or pledged by the Fund as of October 31, 2020:
| Citi ($) | |
| Assets | |
| Options purchased puts | 930,012 |
| Total financial and derivative net assets | 930,012 |
| Total collateral received (pledged) (a) | 674,000 |
| Net amount (b) | 256,012 |
| (a) | In some instances, the actual collateral received and/or pledged may be more than the amount shown due to overcollateralization. |
| (b) | Represents the net amount due from/(to) counterparties in the event of default. |
Security transactions
Security transactions are accounted
for on the trade date. Cost is determined and gains (losses) are based upon the specific identification method for both financial statement and federal income tax purposes.
Income recognition
Interest income is recorded on an
accrual basis. Market premiums and discounts, including original issue discounts, are amortized and accreted, respectively, over the expected life of the security on all debt securities, unless otherwise noted. The
Fund classifies gains and losses realized on prepayments received on mortgage-backed securities as adjustments to interest income.
The Fund may place a debt security
on non-accrual status and reduce related interest income when it becomes probable that the interest will not be collected and the amount of uncollectible interest can be reasonably estimated. A defaulted debt security
is removed from non-accrual status when the issuer resumes interest payments or when collectibility of interest is reasonably assured.
Corporate actions and dividend
income are recorded on the ex-dividend date.
Awards from class action litigation
are recorded as a reduction of cost basis if the Fund still owns the applicable securities on the payment date. If the Fund no longer owns the applicable securities on the payment date, the proceeds are recorded as
realized gains.
Expenses
General expenses of the Trust are
allocated to the Fund and other funds of the Trust based upon relative net assets or other expense allocation methodologies determined by the nature of the expense. Expenses directly attributable to the Fund are
charged to the Fund. Expenses directly attributable to a specific class of shares are charged to that share class.
Determination of class net asset
value
All income, expenses (other than
class-specific expenses, which are charged to that share class, as shown in the Statement of Operations) and realized and unrealized gains (losses) are allocated to each class of the Fund on a daily basis, based on
the relative net assets of each class, for purposes of determining the net asset value of each class.
| 38 | Columbia Bond Fund | Semiannual Report 2020 |
Notes to Financial Statements (continued)
October 31, 2020 (Unaudited)
October 31, 2020 (Unaudited)
Federal income tax status
The Fund intends to qualify each
year as a regulated investment company under Subchapter M of the Internal Revenue Code, as amended, and will distribute substantially all of its investment company taxable income and net capital gain, if any, for its
tax year, and as such will not be subject to federal income taxes. In addition, the Fund intends to distribute in each calendar year substantially all of its ordinary income, capital gain net income and certain other
amounts, if any, such that the Fund should not be subject to federal excise tax. Therefore, no federal income or excise tax provision is recorded.
Foreign taxes
The Fund may be subject to foreign
taxes on income, gains on investments or currency repatriation, a portion of which may be recoverable. The Fund will accrue such taxes and recoveries, as applicable, based upon its current interpretation of tax rules
and regulations that exist in the markets in which it invests.
Realized gains in certain countries
may be subject to foreign taxes at the Fund level, based on statutory rates. The Fund accrues for such foreign taxes on realized and unrealized gains at the appropriate rate for each jurisdiction, as applicable. The
amount, if any, is disclosed as a liability on the Statement of Assets and Liabilities.
Distributions to shareholders
Distributions from net investment
income, if any, are declared daily and paid monthly. Net realized capital gains, if any, are distributed at least annually. Income distributions and capital gain distributions are determined in accordance with federal
income tax regulations, which may differ from GAAP.
Guarantees and indemnifications
Under the Trust’s
organizational documents and, in some cases, by contract, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Trust or its funds. In addition,
certain of the Fund’s contracts with its service providers contain general indemnification clauses. The Fund’s maximum exposure under these arrangements is unknown since the amount of any future claims
that may be made against the Fund cannot be determined, and the Fund has no historical basis for predicting the likelihood of any such claims.
Recent accounting pronouncement
Accounting Standards Update 2020-04
Reference Rate Reform
In March 2020, the Financial
Accounting Standards Board issued Accounting Standards Update (ASU) No. 2020-04 Reference Rate Reform – Facilitation of the Effects of Reference Rate Reform on Financial Statements. This standard provides
exceptions for applying GAAP to contract modifications, hedging relationships and other transactions affected by reference rate reform if certain criteria are met. The standard is elective and effective on March 12,
2020 through December 31, 2022. The Fund expects that the adoption of the guidance will not have a material impact on its financial statements.
Note 3. Fees and other
transactions with affiliates
Management services fees
The Fund has entered into a
Management Agreement with Columbia Management Investment Advisers, LLC (the Investment Manager), a wholly-owned subsidiary of Ameriprise Financial, Inc. (Ameriprise Financial). Under the Management Agreement, the
Investment Manager provides the Fund with investment research and advice, as well as administrative and accounting services. The management services fee is an annual fee that is equal to a percentage of the
Fund’s daily net assets that declines from 0.50% to 0.34% as the Fund’s net assets increase. The annualized effective management services fee rate for the six months ended October 31, 2020 was 0.50% of the
Fund’s average daily net assets.
| Columbia Bond Fund | Semiannual Report 2020 | 39 |
Notes to Financial Statements (continued)
October 31, 2020 (Unaudited)
October 31, 2020 (Unaudited)
Compensation of board members
Members of the Board of Trustees
who are not officers or employees of the Investment Manager or Ameriprise Financial are compensated for their services to the Fund as disclosed in the Statement of Operations. These members of the Board of Trustees
may participate in a Deferred Compensation Plan (the Deferred Plan) which may be terminated at any time. Obligations of the Deferred Plan will be paid solely out of the Fund’s assets, and all amounts payable
under the Deferred Plan constitute a general unsecured obligation of the Fund.
Compensation of Chief Compliance
Officer
The Board of Trustees has appointed
a Chief Compliance Officer for the Fund in accordance with federal securities regulations. As disclosed in the Statement of Operations, a portion of the Chief Compliance Officer’s total compensation is allocated
to the Fund, along with other allocations to affiliated registered investment companies managed by the Investment Manager and its affiliates, based on relative net assets.
Transfer agency fees
Under a Transfer and Dividend
Disbursing Agent Agreement, Columbia Management Investment Services Corp. (the Transfer Agent), an affiliate of the Investment Manager and a wholly-owned subsidiary of Ameriprise Financial, is responsible for
providing transfer agency services to the Fund. The Transfer Agent has contracted with DST Asset Manager Solutions, Inc. (DST) to serve as sub-transfer agent. The Transfer Agent pays the fees of DST for services as
sub-transfer agent and DST is not entitled to reimbursement for such fees from the Fund (with the exception of out-of-pocket fees).
The Fund pays the Transfer Agent a
monthly transfer agency fee based on the number or the average value of accounts, depending on the type of account. In addition, the Fund pays the Transfer Agent a fee for shareholder services based on the number of
accounts or on a percentage of the average aggregate value of the Fund’s shares maintained in omnibus accounts up to the lesser of the amount charged by the financial intermediary or a cap established by the
Board of Trustees from time to time.
The Transfer Agent also receives
compensation from the Fund for various shareholder services and reimbursements for certain out-of-pocket fees. Total transfer agency fees for Institutional 2 Class and Institutional 3 Class shares are subject to an
annual limitation of not more than 0.07% and 0.02%, respectively, of the average daily net assets attributable to each share class. In addition, prior to September 1, 2020, Institutional 3 Class shares were subject to
a contractual transfer agency fee annual limitation of not more than 0.00% of the average daily net assets attributable to Institutional 3 Class shares.
For the six months ended October
31, 2020, the Fund’s annualized effective transfer agency fee rates as a percentage of average daily net assets of each class were as follows:
| Effective rate (%) | |
| Class A | 0.13 |
| Advisor Class | 0.13 |
| Class C | 0.13 |
| Institutional Class | 0.13 |
| Institutional 2 Class | 0.06 |
| Institutional 3 Class | 0.00 |
| Class R | 0.13 |
| Class V | 0.13 |
An annual minimum account balance
fee of $20 may apply to certain accounts with a value below the applicable share class’s initial minimum investment requirements to reduce the impact of small accounts on transfer agency fees. These minimum
account balance fees are remitted to the Fund and recorded as part of expense reductions in the Statement of Operations. For the six months ended October 31, 2020, these minimum account balance fees reduced total
expenses of the Fund by $720.
| 40 | Columbia Bond Fund | Semiannual Report 2020 |
Notes to Financial Statements (continued)
October 31, 2020 (Unaudited)
October 31, 2020 (Unaudited)
Distribution and service fees
The Fund has entered into an
agreement with Columbia Management Investment Distributors, Inc. (the Distributor), an affiliate of the Investment Manager and a wholly-owned subsidiary of Ameriprise Financial, for distribution and shareholder
services. The Board of Trustees has approved, and the Fund has adopted, distribution and shareholder service plans (the Plans) applicable to certain share classes, which set the distribution and service fees for the
Fund. These fees are calculated daily and are intended to compensate the Distributor and/or eligible selling and/or servicing agents for selling shares of the Fund and providing services to investors.
Under the Plans, the Fund pays a
monthly service fee to the Distributor at the maximum annual rate of 0.25% of the average daily net assets attributable to Class A and Class C shares of the Fund. Also under the Plans, the Fund pays a
monthly distribution fee to the Distributor at the maximum annual rates of 0.75% and 0.50% of the average daily net assets attributable to Class C and Class R shares of the Fund, respectively.
Shareholder services fees
The Fund has adopted a shareholder
services plan that permits it to pay for certain services provided to Class V shareholders by their selling and/or servicing agents. The Fund may pay shareholder servicing fees up to an aggregate annual rate of 0.40%
of the Fund’s average daily net assets attributable to Class V shares (comprised of up to 0.20% for shareholder services and up to 0.20% for administrative support services). These fees are currently limited to
an aggregate annual rate of not more than 0.15% of the Fund’s average daily net assets attributable to Class V shares.
Sales charges
Sales charges, including front-end
charges and contingent deferred sales charges (CDSCs), received by the Distributor for distributing Fund shares for the six months ended October 31, 2020, if any, are listed below:
| Front End (%) | CDSC (%) | Amount ($) | |
| Class A | 4.75 | 0.50 - 1.00(a) | 50,322 |
| Class C | — | 1.00(b) | 86 |
| Class V | 4.75 | 0.50 - 1.00(a) | 14 |
| (a) | This charge is imposed on certain investments of between $1 million and $50 million redeemed within 18 months after purchase, as follows: 1.00% if redeemed within 12 months after purchase, and 0.50% if redeemed more than 12, but less than 18, months after purchase, with certain limited exceptions. |
| (b) | This charge applies to redemptions within 12 months after purchase, with certain limited exceptions. |
The Fund’s other share
classes are not subject to sales charges.
Expenses waived/reimbursed by the
Investment Manager and its affiliates
The Investment Manager and certain
of its affiliates have contractually agreed to waive fees and/or reimburse expenses (excluding certain fees and expenses described below) for the period(s) disclosed below, unless sooner terminated at the sole
discretion of the Board of Trustees, so that the Fund’s net operating expenses, after giving effect to fees waived/expenses reimbursed and any balance credits and/or overdraft charges from the Fund’s
custodian, do not exceed the following annual rate(s) as a percentage of the class’ average daily net assets:
| September 1, 2020 through August 31, 2021 | Prior to September 1, 2020 | |
| Class A | 0.78% | 0.81% |
| Advisor Class | 0.53 | 0.56 |
| Class C | 1.53 | 1.56 |
| Institutional Class | 0.53 | 0.56 |
| Institutional 2 Class | 0.45 | 0.46 |
| Institutional 3 Class | 0.40 | 0.40 |
| Class R | 1.03 | 1.06 |
| Class V | 0.68 | 0.71 |
| Columbia Bond Fund | Semiannual Report 2020 | 41 |
Notes to Financial Statements (continued)
October 31, 2020 (Unaudited)
October 31, 2020 (Unaudited)
Under the agreement governing
these fee waivers and/or expense reimbursement arrangements, the following fees and expenses are excluded from the waiver/reimbursement commitment, and therefore will be paid by the Fund, if applicable: taxes
(including foreign transaction taxes), expenses associated with investments in affiliated and non-affiliated pooled investment vehicles (including mutual funds and exchange-traded funds), transaction costs and
brokerage commissions, costs related to any securities lending program, dividend expenses associated with securities sold short, inverse floater program fees and expenses, transaction charges and interest on borrowed
money, interest, infrequent and/or unusual expenses and any other expenses the exclusion of which is specifically approved by the Board of Trustees. This agreement may be modified or amended only with approval from
the Investment Manager, certain of its affiliates and the Fund. In addition to the contractual agreement, the Investment Manager and certain of its affiliates have voluntarily agreed to waive fees and/or reimburse
Fund expenses (excluding certain fees and expenses described above) so that Fund level expenses (expenses directly attributable to the Fund and not to a specific share class) are waived proportionately across all
share classes. This arrangement may be revised or discontinued at any time. Reflected in the contractual cap commitment, prior to September 1, 2020, is the Transfer Agent’s contractual agreement to limit total
transfer agency fees to an annual rate of not more than 0.00% for Institutional 3 Class of the average daily net assets attributable to Institutional 3 Class. Any fees waived and/or expenses reimbursed under the
expense reimbursement arrangements described above are not recoverable by the Investment Manager or its affiliates in future periods.
Note 4. Federal tax
information
The timing and character of
income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP because of temporary or permanent book to tax differences.
At October 31, 2020, the
approximate cost of all investments for federal income tax purposes and the aggregate gross approximate unrealized appreciation and depreciation based on that cost was:
| Federal tax cost ($) | Gross unrealized appreciation ($) | Gross unrealized (depreciation) ($) | Net unrealized appreciation ($) |
| 825,473,000 | 19,127,000 | (7,277,000) | 11,850,000 |
Tax cost of investments and
unrealized appreciation/(depreciation) may also include timing differences that do not constitute adjustments to tax basis.
Management of the Fund has
concluded that there are no significant uncertain tax positions in the Fund that would require recognition in the financial statements. However, management’s conclusion may be subject to review and adjustment at
a later date based on factors including, but not limited to, new tax laws, regulations, and administrative interpretations (including relevant court decisions). Generally, the Fund’s federal tax returns for the
prior three fiscal years remain subject to examination by the Internal Revenue Service.
Note 5. Portfolio
information
The cost of purchases and
proceeds from sales of securities, excluding short-term investments and derivatives, if any, aggregated to $1,271,271,390 and $992,305,161, respectively, for the six months ended October 31, 2020, of which
$897,201,848 and $862,251,885, respectively, were U.S. government securities. The amount of purchase and sale activity impacts the portfolio turnover rate reported in the Financial Highlights.
Note 6. Affiliated money
market fund
The Fund invests in Columbia
Short-Term Cash Fund, an affiliated money market fund established for the exclusive use by the Fund and other affiliated funds (the Affiliated MMF). The income earned by the Fund from such investments is included as
Dividends - affiliated issuers in the Statement of Operations. As an investing fund, the Fund indirectly bears its proportionate share of the expenses of the Affiliated MMF. The Affiliated MMF prices its shares with a
floating net asset value. In addition, the Board of Trustees of the Affiliated MMF may impose a fee on redemptions (sometimes referred to as a liquidity fee) or temporarily suspend redemptions (sometimes referred to
as imposing a redemption gate) in the event its liquidity falls below regulatory limits.
| 42 | Columbia Bond Fund | Semiannual Report 2020 |
Notes to Financial Statements (continued)
October 31, 2020 (Unaudited)
October 31, 2020 (Unaudited)
Note 7. Interfund
lending
Pursuant to an exemptive order
granted by the Securities and Exchange Commission, the Fund participates in a program (the Interfund Program) allowing each participating Columbia Fund (each, a Participating Fund) to lend money directly to and,
except for closed-end funds and money market funds, borrow money directly from other Participating Funds for temporary purposes. The amounts eligible for borrowing and lending under the Interfund Program are subject
to certain restrictions.
Interfund loans are subject to the
risk that the borrowing fund could be unable to repay the loan when due, and a delay in repayment to the lending fund could result in lost opportunities and/or additional lending costs. The exemptive order is subject
to conditions intended to mitigate conflicts of interest arising from the Investment Manager’s relationship with each Participating Fund.
The Fund did not borrow or lend
money under the Interfund Program during the six months ended October 31, 2020.
Note 8. Line of credit
The Fund has access to a
revolving credit facility with a syndicate of banks led by Citibank, N.A., Wells Fargo Bank, N.A. and JPMorgan Chase Bank, N.A. whereby the Fund may borrow for the temporary funding of shareholder redemptions or for
other temporary or emergency purposes. Pursuant to a December 1, 2020 amendment, the credit facility, which is a collective agreement between the Fund and certain other funds managed by the Investment Manager or an
affiliated investment manager, severally and not jointly, permits collective borrowings up to $950 million. Interest is charged to each participating fund based on its borrowings at a rate equal to the higher of (i)
the federal funds effective rate, (ii) the one-month LIBOR rate and (iii) the overnight bank funding rate, plus in each case, 1.25%. Each borrowing under the credit facility matures no later than 60 days after the
date of borrowing. The Fund also pays a commitment fee equal to its pro rata share of the unused amount of the credit facility at a rate of 0.15% per annum. The commitment fee is included in other expenses in the
Statement of Operations. This agreement expires annually in December unless extended or renewed. Prior to the December 1, 2020 amendment, the Fund has access to a revolving credit facility with a syndicate of banks
led by Citibank, N.A., HSBC Bank USA, N.A. and JPMorgan Chase Bank, N.A. which permitted collective borrowings up to 1 billion. Interest was charged to each participating fund based on its borrowings at a rate equal
to the higher of (i) the federal funds effective rate, (ii) the one-month LIBOR rate and (iii) the overnight bank funding rate, plus in each case, 1.00%.
The Fund had no borrowings during
the six months ended October 31, 2020.
Note 9. Significant
risks
Credit risk
Credit risk is the risk that the
value of debt instruments in the Fund’s portfolio may decline because the issuer defaults or otherwise becomes unable or unwilling, or is perceived to be unable or unwilling, to honor its financial obligations,
such as making payments to the Fund when due. Credit rating agencies assign credit ratings to certain debt instruments to indicate their credit risk. Lower rated or unrated debt instruments held by the Fund may
present increased credit risk as compared to higher-rated debt instruments.
Interest rate risk
Interest rate risk is the risk of
losses attributable to changes in interest rates. In general, if prevailing interest rates rise, the values of debt securities tend to fall, and if interest rates fall, the values of debt securities tend to rise.
Actions by governments and central banking authorities can result in increases in interest rates. Increasing interest rates may negatively affect the value of debt securities held by the Fund, resulting in a negative
impact on the Fund’s performance and net asset value per share. In general, the longer the maturity or duration of a debt security, the greater its sensitivity to changes in interest rates. The Fund is subject
to the risk that the income generated by its investments may not keep pace with inflation.
LIBOR replacement risk
The elimination of London
Inter-Bank Offered Rate (LIBOR), among other "inter-bank offered" reference rates, may adversely affect the interest rates on, and value of, certain Fund investments for which the value is tied to LIBOR. The U.K.
Financial Conduct Authority has announced that it intends to stop compelling or inducing banks to submit LIBOR rates after 2021.
| Columbia Bond Fund | Semiannual Report 2020 | 43 |
Notes to Financial Statements (continued)
October 31, 2020 (Unaudited)
October 31, 2020 (Unaudited)
However, it remains unclear if LIBOR will continue
to exist in its current, or a modified, form. Alternatives to LIBOR have been established or are in development in most major currencies including the Secured Overnight Financing Rate (SOFR) that is intended to
replace U.S. dollar LIBOR. Markets are slowly developing in response to these new reference rates. Uncertainty related to the liquidity impact of the change in rates, and how to appropriately adjust these rates at the
time of transition, poses risks for the Fund. These risks are likely to persist until new reference rates and fallbacks for both legacy and new instruments and contracts are commercially accepted and market practices
become settled.
Liquidity risk
Liquidity risk is the risk
associated with a lack of marketability of investments which may make it difficult to sell the investment at a desirable time or price. Changing regulatory, market or other conditions or environments (for example, the
interest rate or credit environments) may adversely affect the liquidity of the Fund’s investments. The Fund may have to accept a lower selling price for the holding, sell other investments, or forego another,
more appealing investment opportunity. Generally, the less liquid the market at the time the Fund sells a portfolio investment, the greater the risk of loss or decline of value to the Fund. A less liquid market can
lead to an increase in Fund redemptions, which may negatively impact Fund performance and net asset value per share, including, for example, if the Fund is forced to sell securities in a down market.
Market and environment risk
The Fund may incur losses due to
declines in the value of one or more securities in which it invests. These declines may be due to factors affecting a particular issuer, or the result of, among other things, political, regulatory, market, economic or
social developments affecting the relevant market(s) more generally. In addition, turbulence in financial markets and reduced liquidity in equity, credit and/or fixed income markets may negatively affect many issuers,
which could adversely affect the Fund, including causing difficulty in assigning prices to hard-to-value assets in thinly traded and closed markets, significant redemptions and operational challenges. Global economies
and financial markets are increasingly interconnected, and conditions and events in one country, region or financial market may adversely impact issuers in a different country, region or financial market. These risks
may be magnified if certain events or developments adversely interrupt the global supply chain; in these and other circumstances, such risks might affect companies worldwide. As a result, local, regional or global
events such as terrorism, war, natural disasters, disease/virus outbreaks and epidemics or other public health issues, recessions, depressions or other events – or the potential for such events – could
have a significant negative impact on global economic and market conditions.
The Fund performance may also be
significantly negatively impacted by the economic impact of the coronavirus disease 2019 (COVID-19) pandemic. The COVID-19 public health crisis has become a pandemic that has resulted in, and may continue to result
in, significant global economic and societal disruption and market volatility due to disruptions in market access, resource availability, facilities operations, imposition of tariffs, export controls and supply chain
disruption, among others. Such disruptions may be caused, or exacerbated by, quarantines and travel restrictions, workforce displacement and loss in human and other resources. The uncertainty surrounding the
magnitude, duration, reach, costs and effects of the global pandemic, as well as actions that have been or could be taken by governmental authorities or other third parties, present unknowns that are yet to unfold.
The impacts, as well as the uncertainty over impacts to come, of COVID-19 – and any other infectious illness outbreaks, epidemics and pandemics that may arise in the future – could negatively affect global
economies and markets in ways that cannot necessarily be foreseen. In addition, the impact of infectious illness outbreaks and epidemics in emerging market countries may be greater due to generally less established
healthcare systems, governments and financial markets. Public health crises caused by the COVID-19 outbreak may exacerbate other pre-existing political, social and economic risks in certain countries or globally. The
disruptions caused by COVID-19 could prevent the Fund from executing advantageous investment decisions in a timely manner and negatively impact the Fund’s ability to achieve its investment objectives. Any such
event(s) could have a significant adverse impact on the value and risk profile of the Fund.
The Investment Manager and its
affiliates have systematically implemented strategies to address the operating environment spurred by the COVID-19 pandemic. To promote the safety and security of our employees and to assure the continuity of our
business operations, we have implemented a work from home protocol for virtually all of our employee population, restricted business travel, and provided resources for complying with the guidance from the World Health
Organization, the U.S. Centers for Disease Control and governments. Our operations teams seek to operate without significant disruptions in service. Our pandemic strategy takes into consideration that a pandemic could
be widespread and may occur in multiple waves, affecting
| 44 | Columbia Bond Fund | Semiannual Report 2020 |
Notes to Financial Statements (continued)
October 31, 2020 (Unaudited)
October 31, 2020 (Unaudited)
different communities at different times with
varying levels of severity. We cannot, however, predict the impact that natural or man-made disasters, including the COVID-19 pandemic, may have on the ability of our employees and third-party service providers to
continue ordinary business operations and technology functions over near- or longer-term periods.
Mortgage- and other asset-backed
securities risk
The value of any mortgage-backed
and other asset-backed securities including collateralized debt obligations, if any, held by the Fund may be affected by, among other things, changes or perceived changes in: interest rates; factors concerning the
interests in and structure of the issuer or the originator of the mortgages or other assets; the creditworthiness of the entities that provide any supporting letters of credit, surety bonds or other credit enhancements;
or the market’s assessment of the quality of underlying assets. Payment of principal and interest on some mortgage-backed securities (but not the market value of the securities themselves) may be guaranteed by
the full faith and credit of a particular U.S. Government agency, authority, enterprise or instrumentality, and some, but not all, are also insured or guaranteed by the U.S. Government. Mortgage-backed securities
issued by non-governmental issuers (such as commercial banks, savings and loan institutions, private mortgage insurance companies, mortgage bankers and other secondary market issuers) may entail greater risk than
obligations guaranteed by the U.S. Government. Mortgage- and other asset-backed securities are subject to liquidity risk and prepayment risk. A decline or flattening of housing values may cause delinquencies in
mortgages (especially sub-prime or non-prime mortgages) underlying mortgage-backed securities and thereby adversely affect the ability of the mortgage-backed securities issuer to make principal and/or interest
payments to mortgage-backed securities holders, including the Fund. Rising or high interest rates tend to extend the duration of mortgage- and other asset-backed securities, making their prices more volatile and more
sensitive to changes in interest rates.
Shareholder concentration risk
At October 31, 2020, one
unaffiliated shareholder of record owned 46.0% of the outstanding shares of the Fund in one or more accounts. The Fund has no knowledge about whether any portion of those shares was owned beneficially. Affiliated
shareholders of record owned 37.1% of the outstanding shares of the Fund in one or more accounts. Subscription and redemption activity by concentrated accounts may have a significant effect on the operations of the
Fund. In the case of a large redemption, the Fund may be forced to sell investments at inopportune times, including its liquid positions, which may result in Fund losses and the Fund holding a higher percentage of
less liquid positions. Large redemptions could result in decreased economies of scale and increased operating expenses for non-redeeming Fund shareholders.
Note 10. Subsequent
events
Management has evaluated the
events and transactions that have occurred through the date the financial statements were issued and noted no items requiring adjustment of the financial statements or additional disclosure.
Note 11. Information
regarding pending and settled legal proceedings
Ameriprise Financial and certain
of its affiliates have historically been involved in a number of legal, arbitration and regulatory proceedings, including routine litigation, class actions, and governmental actions, concerning matters arising in
connection with the conduct of their business activities. Ameriprise Financial believes that the Fund is not currently the subject of, and that neither Ameriprise Financial nor any of its affiliates are the subject
of, any pending legal, arbitration or regulatory proceedings that are likely to have a material adverse effect on the Fund or the ability of Ameriprise Financial or its affiliates to perform under their contracts with
the Fund. Ameriprise Financial is required to make quarterly (10-Q), annual (10-K) and, as necessary, 8-K filings with the Securities and Exchange Commission (SEC) on legal and regulatory matters that relate to
Ameriprise Financial and its affiliates. Copies of these filings may be obtained by accessing the SEC website at www.sec.gov.
There can be no assurance that
these matters, or the adverse publicity associated with them, will not result in increased Fund redemptions, reduced sale of Fund shares or other adverse consequences to the Fund. Further, although we believe
proceedings are not likely to have a material adverse effect on the Fund or the ability of Ameriprise Financial or its affiliates to perform under their contracts with the Fund, these proceedings are subject to
uncertainties and, as such, we are unable to estimate the possible loss or range of loss that may result. An adverse outcome in one or more of these proceedings could result in adverse judgments, settlements, fines,
penalties or other relief that could have a material adverse effect on the consolidated financial condition or results of operations of Ameriprise Financial or one or more of its affiliates that provides services to
the Funds.
| Columbia Bond Fund | Semiannual Report 2020 | 45 |
Board Consideration
and Approval of ManagementAgreement
On June 17, 2020, the Board of
Trustees (the Board) and the Trustees who are not interested persons (as defined in the Investment Company Act of 1940) (the Independent Trustees) of Columbia Funds Series Trust I (the Trust) unanimously approved the
continuation of the Management Agreement (the Management Agreement) with Columbia Management Investment Advisers, LLC (the Investment Manager) with respect to Columbia Bond Fund (the Fund), a series of the Trust. As
detailed below, the Board’s Advisory Fees and Expenses Committee (the Committee) and the Board met on multiple occasions to review and discuss, among themselves, with the management team of the Investment
Manager and with an independent fee consultant, materials provided by the Investment Manager, the independent fee consultant and others before determining to approve the continuation of the Management Agreement.
In connection with their
deliberations regarding the continuation of the Management Agreement, the Committee and the Board evaluated materials requested from the Investment Manager regarding the Fund and the Management Agreement, and
discussed these materials with representatives of the Investment Manager at Committee meetings held on March 10, 2020, April 30, 2020 and June 17, 2020 and at Board meetings held on March 11, 2020 and June 17, 2020.
In addition, the Board and its various committees consider matters bearing on the Management Agreement at other meetings throughout the year and in prior years and meet regularly with senior management of the Trust
and the Investment Manager. Through the Board’s Investment Oversight Committees, Trustees also meet with selected portfolio managers of the funds the Trustees oversee and with other investment personnel at
various times throughout the year. The Committee and the Board also consulted with the independent fee consultant, Fund counsel and the Independent Trustees’ independent legal counsel, who advised on various
matters with respect to the Committee’s and the Board’s considerations and otherwise assisted the Committee and the Board in their deliberations. On June 17, 2020, the Committee recommended that the Board
approve the continuation of the Management Agreement. On June 17, 2020, the Board, including the Independent Trustees, voting separately, unanimously approved the continuation of the Management Agreement for the
Fund.
The Committee and the Board
considered all information that they, their legal counsel or the Investment Manager believed reasonably necessary to evaluate and to determine whether to recommend for approval or approve the continuation of the
Management Agreement. The information and factors considered by the Committee and the Board in recommending for approval or approving the continuation of the Management Agreement for the Fund included the
following:
| • | Information on the investment performance of the Fund relative to the performance of a group of mutual funds determined to be comparable to the Fund by an independent third-party data provider, as well as performance relative to benchmarks; |
| • | Information on the Fund’s management fees and total expenses, including information comparing the Fund’s expenses to those of a group of comparable mutual funds, as determined by the independent third-party data provider; |
| • | The Investment Manager’s agreement to contractually limit or cap total operating expenses for the Fund through August 31, 2021 so that total operating expenses (excluding certain fees and expenses, such as transaction costs and certain other investment related expenses, interest, taxes, acquired fund fees and expenses, and infrequent and/or unusual expenses) would not exceed a specified annual rate, as a percentage of the Fund’s net assets; |
| • | The terms and conditions of the Management Agreement; |
| • | The current and proposed terms and conditions of other agreements and arrangements with affiliates of the Investment Manager relating to the operations of the Fund, including agreements with respect to the provision of distribution, transfer agency and shareholder services to the Fund; |
| • | Descriptions of various functions performed by the Investment Manager under the Management Agreement, including portfolio management and portfolio trading practices; |
| • | Information regarding any recently negotiated management fees of similarly-managed portfolios of other institutional clients of the Investment Manager; |
| • | Information regarding the reputation, regulatory history and resources of the Investment Manager, including information regarding senior management, portfolio managers and other personnel; |
| 46 | Columbia Bond Fund | Semiannual Report 2020 |
Board Consideration and Approval of
Management
Agreement (continued)
| • | Information regarding the capabilities of the Investment Manager with respect to compliance monitoring services, including an assessment of the Investment Manager’s compliance system by the Fund’s Chief Compliance Officer; and |
| • | The profitability to the Investment Manager and its affiliates from their relationships with the Fund. |
Nature, extent and quality of
services provided under the Management Agreement
The Committee and the Board
considered the nature, extent and quality of services provided to the Fund by the Investment Manager and its affiliates under the Management Agreement and under separate agreements for the provision of transfer agency
and shareholder services, and the resources dedicated to the Fund and the other Columbia Funds by the Investment Manager and its affiliates. The Committee and the Board considered, among other things, the Investment
Manager’s ability to attract, motivate and retain highly qualified research, advisory and supervisory investment professionals (including compensation programs for personnel involved in fund management,
reputation and other attributes), the portfolio management services provided by those investment professionals, and the quality of the Investment Manager’s investment research capabilities and trade execution
services. The Committee and the Board also considered the potential benefits to shareholders of investing in a mutual fund that is part of a fund complex offering exposure to a variety of asset classes and investment
disciplines and providing a variety of fund and shareholder services.
The Committee and the Board also
considered the professional experience and qualifications of the senior personnel of the Investment Manager, which included consideration of the Investment Manager’s experience with funds using an investment
strategy similar to that used by the Investment Manager for the Fund. The Committee and the Board noted the compliance programs of and the compliance-related resources provided to the Fund by the Investment Manager
and its affiliates and the resources dedicated by the Investment Manager and its affiliates to risk management, and considered the Investment Manager’s ability to provide administrative services to the Fund and
coordinate the activities of the Fund’s other service providers. After reviewing these and related factors, the Committee and the Board concluded, within the context of their overall conclusions, that the
nature, extent and quality of the services provided to the Fund under the Management Agreement supported the continuation of the Management Agreement.
Investment performance
The Committee and the Board
reviewed information about the performance of the Fund over various time periods, including performance information relative to benchmarks, information that compared the performance of the Fund to the performance of a
group of comparable mutual funds as determined by the independent third-party data provider, and information and analysis provided by the independent fee consultant. The Committee and the Board also reviewed a
description of the third party’s methodology for identifying the Fund’s peer groups for purposes of performance and expense comparisons.
The Committee and the Board noted
that, through December 31, 2019, the Fund’s performance was in the forty-sixth, forty-third and twenty-seventh percentile (where the best performance would be in the first percentile) of its category selected by
the independent third-party data provider for the purposes of performance comparisons for the one-, three- and five-year periods, respectively.
The Committee and the Board also
considered the Investment Manager’s performance and reputation generally, the Investment Manager’s historical responsiveness to Board concerns about performance, and the Investment Manager’s
willingness to take steps intended to improve performance. After reviewing these and related factors, the Committee and the Board concluded, within the context of their overall conclusions, that the performance of the
Fund and the Investment Manager was sufficient, in light of other considerations, to support the continuation of the Management Agreement.
Investment management fee rates
and other expenses
The Committee and the Board
considered the management fees charged to the Fund under the Management Agreement as well as the total expenses incurred by the Fund. In assessing the reasonableness of the fees under the Management Agreement, the
Committee and the Board considered, among other information, the Fund’s total expense ratio as a percentage of average daily net assets. The Committee and the Board considered data provided by the independent
third-party data provider and the independent fee consultant. The Committee and the Board noted that, as of December 31, 2019, the Fund’s actual management fee and net total expense ratio were ranked in the
second and third quintiles,
| Columbia Bond Fund | Semiannual Report 2020 | 47 |
Board Consideration and Approval of
Management
Agreement (continued)
respectively, (where the lowest fees and expenses
would be in the first quintile) against the Fund’s expense universe as determined by the independent third-party data provider for purposes of expense comparison. The Committee and the Board also took into
account the fee waiver and expense limitation arrangements agreed to by the Investment Manager, as noted above.
The Committee and the Board also
received and considered information about the management fees charged by the Investment Manager to institutional accounts. In considering the fees charged to those accounts, the Committee and the Board took into
account, among other things, the Investment Manager’s representations about the differences between managing mutual funds as compared to other types of accounts, including differences in the services provided,
differences in the risk profile of such business for the Investment Manager and the additional resources required to manage mutual funds effectively. The Committee and the Board also received and considered
information about the fees charged by the Investment Manager for sub-advisory services it provides to comparable unaffiliated funds. In evaluating the Fund’s management fees, the Committee and the Board also
took into account the demands, complexity and quality of the investment management of the Fund.
After reviewing these and related
factors, the Committee and the Board concluded, within the context of their overall conclusions, that the management fee rates and expenses of the Fund, in light of other considerations, supported the continuation of
the Management Agreement.
Costs of services provided and
profitability
The Committee and the Board also
took note of the costs the Investment Manager and its affiliates incur in connection with the services provided and the profitability to the Investment Manager and its affiliates from their relationships with the
Fund, and the efforts undertaken by the Investment Manager and its affiliates to manage efficiently their costs to provide such services.
The Committee and the Board also
considered the compensation directly or indirectly received by the Investment Manager’s affiliates in connection with their relationships with the Fund. The Committee and the Board reviewed information provided
by management as to the profitability to the Investment Manager and its affiliates of their relationships with the Fund, information about the allocation of expenses used to calculate profitability, and comparisons of
profitability levels realized in 2019 to profitability levels realized in 2018. When reviewing profitability, the Committee and the Board also considered court cases in which adviser profitability was an issue in
whole or in part, the performance of similarly managed funds, the performance of the Fund, and the expense ratio of the Fund. In addition, the Committee and the Board considered information provided by the Investment
Manager regarding the Investment Manager’s financial condition and comparing its profitability to that of other asset management firms that are, or are subsidiaries of, publicly traded companies. In this regard,
the Committee and the Board also considered data provided by the independent fee consultant.
After reviewing these and related
factors, the Committee and the Board concluded, within the context of their overall conclusions, that the costs of services provided and the profitability to the Investment Manager and its affiliates from their
relationships with the Fund supported the continuation of the Management Agreement.
Economies of scale
The Committee and the Board
considered the potential existence of economies of scale in the provision by the Investment Manager of services to the Fund, to groups of related funds, and to the Investment Manager’s investment advisory
clients as a whole, and whether those economies of scale were shared with the Fund through breakpoints in investment management fees or other means, such as expense limitation arrangements and additional investments
by the Investment Manager in investment, trading, compliance and other resources. The Committee and the Board noted that the management fee schedules for the Fund contained breakpoints that would reduce the fee rate
on assets above specified threshold levels.
In considering these matters, the
Committee and the Board also considered the costs of the services provided and the profitability to the Investment Manager and its affiliates from their relationships with the Fund, as noted above. After reviewing
these and related factors, the Committee and the Board concluded, within the context of their overall conclusions, that the extent to which any economies of scale were expected to be shared with the Fund supported the
continuation of the Management Agreement.
| 48 | Columbia Bond Fund | Semiannual Report 2020 |
Board Consideration and Approval of
Management
Agreement (continued)
Other benefits to the Investment Manager
The Committee and the Board
received and considered information regarding “fall-out” or ancillary benefits received by the Investment Manager and its affiliates as a result of their relationships with the Fund, such as the engagement
of the Investment Manager’s affiliates to provide distribution, transfer agency and shareholder services to the Fund. In this regard, among other matters, the Committee and the Board considered that the
Fund’s distributor retains a portion of the distribution fees from the Fund and receives a portion of the sales charges on sales or redemptions of certain classes of shares of the Fund. The Committee and the
Board also considered the benefits of research made available to the Investment Manager by reason of brokerage commissions generated by the Fund’s securities transactions, and reviewed information about the
Investment Manager’s practices with respect to considering brokerage and research services when allocating portfolio transactions. In this connection, the Board also noted that the amount of research made
available to the Investment Manager by reason of brokerage commissions had been declining over time, and may decline further. The Committee and the Board recognized that the Investment Manager’s profitability
would be somewhat lower without these benefits.
Conclusion
The Committee and the Board
reviewed all of the above considerations in reaching their decisions to recommend or approve the continuation of the Management Agreement. In their deliberations, the Trustees did not identify any particular
information that was all-important or controlling, and individual Trustees may have attributed different weights to the various factors. Based on their evaluation of all factors that they deemed to be material,
including those factors described above, and assisted by the advice of independent legal counsel, the Board, including the Independent Trustees, voting separately, unanimously approved the continuation of the
Management Agreement.
| Columbia Bond Fund | Semiannual Report 2020 | 49 |
Please read and consider the
investment objectives, risks, charges and expenses for any fund carefully before investing. For a prospectus and summary prospectus, which contains this and other important information about the Fund, go to
columbiathreadneedleus.com/investor/. The Fund is distributed by Columbia Management Investment Distributors, Inc., member FINRA, and managed by Columbia Management Investment Advisers, LLC.
columbiathreadneedleus.com/investor/. The Fund is distributed by Columbia Management Investment Distributors, Inc., member FINRA, and managed by Columbia Management Investment Advisers, LLC.
Columbia Threadneedle Investments
(Columbia Threadneedle) is the global brand name of the Columbia and Threadneedle group of companies. All rights reserved.
© 2020 Columbia Management Investment
Advisers, LLC.
columbiathreadneedleus.com/investor/
SAR121_04_K01_(12/20)
Columbia Small Cap
Value Fund I
Beginning on January 1, 2021, as
permitted by regulations adopted by the Securities and Exchange Commission, paper copies of the Fund’s annual and semiannual shareholder reports like this one will no longer be sent by mail, unless you
specifically request paper copies of the reports. Instead, the reports will be made available on the Fund’s website (columbiathreadneedleus.com/investor/), and each time a report is posted you will be notified
by mail and provided with a website address to access the report.
If you have already elected to
receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You may elect to receive shareholder reports and other communications from the Fund electronically
at any time by contacting your financial intermediary (such as a broker-dealer or bank) or, for Fund shares held directly with the Fund, by calling 800.345.6611 or by enrolling in “eDelivery” by logging
into your account at columbiathreadneedleus.com/investor/.
You may elect to receive all future
shareholder reports in paper free of charge. If you invest through a financial intermediary, you can contact your financial intermediary to request that you continue receiving paper copies of your shareholder reports.
If you invest directly with the Fund, you can call 800.345.6611 to let the Fund know you wish to continue receiving paper copies of your shareholder reports. Your election to receive paper reports will apply to all
Columbia Funds held in your account if you invest through a financial intermediary or all Columbia Funds held with the fund complex if you invest directly with the Fund.
Not Federally Insured • No
Financial Institution Guarantee • May Lose Value
Table of Contents
| 3 | |
| 5 | |
| 6 | |
| 12 | |
| 14 | |
| 15 | |
| 18 | |
| 22 | |
| 32 |
Columbia Small Cap Value Fund I
(the Fund) mails one shareholder report to each shareholder address, unless such shareholder elected to receive shareholder reports from the Fund electronically. If you would like more than one report, please call
shareholder services at 800.345.6611 and additional reports will be sent to you.
Proxy voting policies and
procedures
The policy of the Board of Trustees
is to vote the proxies of the companies in which the Fund holds investments consistent with the procedures as stated in the Statement of Additional Information (SAI). You may obtain a copy of the SAI without charge by
calling 800.345.6611; contacting your financial intermediary; visiting columbiathreadneedleus.com/investor/; or searching the website of the Securities and Exchange Commission (SEC) at sec.gov. Information regarding
how the Fund voted proxies relating to portfolio securities is filed with the SEC by August 31st for the most recent 12-month period ending June 30th of that year, and is available without charge by visiting
columbiathreadneedleus.com/investor/, or searching the website of the SEC at sec.gov.
Quarterly schedule of
investments
The Fund files a complete schedule
of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-PORT. The Fund’s Form N-PORT filings are available on the SEC’s website at sec.gov. The Fund’s
complete schedule of portfolio holdings, as filed on Form N-PORT, can also be obtained without charge, upon request, by calling 800.345.6611.
Additional Fund information
For more information about the
Fund, please visit columbiathreadneedleus.com/investor/ or call 800.345.6611. Customer Service Representatives are available to answer your questions Monday through Friday from 8 a.m. to 7 p.m. Eastern time.
Fund investment manager
Columbia Management Investment Advisers, LLC (the
Investment Manager)
225 Franklin Street
Boston, MA 02110
Fund distributor
Columbia Management Investment Distributors,
Inc.
225 Franklin Street
Boston, MA 02110
Fund transfer agent
Columbia Management Investment Services Corp.
P.O. Box 219104
Kansas City, MO 64121-9104
Columbia Small Cap Value Fund
I | Semiannual Report 2020
Fund at a Glance
(Unaudited)
(Unaudited)
Investment objective
The Fund
seeks long-term capital appreciation.
Portfolio management
Jeremy Javidi, CFA
Portfolio Manager
Managed Fund since 2005
Morningstar style boxTM
The Morningstar Style Box is based on a fund’s portfolio holdings. For equity funds, the vertical axis shows the market capitalization of the stocks owned, and the horizontal axis shows
investment style (value, blend, or growth). Information shown is based on the most recent data provided by Morningstar.
© 2020 Morningstar, Inc. All rights reserved. The Morningstar information contained herein: (1) is proprietary to Morningstar and/or its content providers; (2) may not be copied or
distributed; and (3) is not warranted to be accurate, complete or timely. Neither Morningstar nor its content providers are responsible for any damages or losses arising from any use of this information.
| Columbia Small Cap Value Fund I | Semiannual Report 2020 | 3 |
Understanding Your Fund’s
Expenses
(Unaudited)
(Unaudited)
As an investor, you incur two types
of costs. There are shareholder transaction costs, which generally include sales charges on purchases and may include redemption fees. There are also ongoing fund costs, which generally include management fees,
distribution and/or service fees, and other fund expenses. The following information is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to help you compare these costs with
the ongoing costs of investing in other mutual funds.
Analyzing your Fund’s
expenses
To illustrate these ongoing
costs, we have provided examples and calculated the expenses paid by investors in each share class of the Fund during the period. The actual and hypothetical information in the table is based on an initial investment
of $1,000 at the beginning of the period indicated and held for the entire period. Expense information is calculated two ways and each method provides you with different information. The amount listed in the
“Actual” column is calculated using the Fund’s actual operating expenses and total return for the period. You may use the Actual information, together with the amount invested, to estimate the
expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the results by the expenses paid during the period under
the “Actual” column. The amount listed in the “Hypothetical” column assumes a 5% annual rate of return before expenses (which is not the Fund’s actual return) and then applies the
Fund’s actual expense ratio for the period to the hypothetical return. You should not use the hypothetical account values and expenses to estimate either your actual account balance at the end of the period or
the expenses you paid during the period. See “Compare with other funds” below for details on how to use the hypothetical data.
Compare with other funds
Since all mutual funds are
required to include the same hypothetical calculations about expenses in shareholder reports, you can use this information to compare the ongoing cost of investing in the Fund with other funds. To do so, compare the
hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds. As you compare hypothetical examples of other funds, it is important to note that hypothetical examples are
meant to highlight the ongoing costs of investing in a fund only and do not reflect any transaction costs, such as sales charges, or redemption or exchange fees. Therefore, the hypothetical calculations are useful in
comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. If transaction costs were included in these calculations, your costs would be higher.
| May 1, 2020 — October 31, 2020 | |||||||
| Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | ||||
| Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | |
| Class A | 1,000.00 | 1,000.00 | 1,145.00 | 1,018.45 | 7.10 | 6.68 | 1.32 |
| Advisor Class | 1,000.00 | 1,000.00 | 1,146.20 | 1,019.70 | 5.76 | 5.42 | 1.07 |
| Class C | 1,000.00 | 1,000.00 | 1,140.20 | 1,014.74 | 11.05 | 10.40 | 2.06 |
| Institutional Class | 1,000.00 | 1,000.00 | 1,146.10 | 1,019.75 | 5.70 | 5.37 | 1.06 |
| Institutional 2 Class | 1,000.00 | 1,000.00 | 1,147.20 | 1,020.41 | 5.01 | 4.71 | 0.93 |
| Institutional 3 Class | 1,000.00 | 1,000.00 | 1,147.10 | 1,020.66 | 4.74 | 4.46 | 0.88 |
| Class R | 1,000.00 | 1,000.00 | 1,143.40 | 1,017.20 | 8.44 | 7.94 | 1.57 |
Expenses paid during the period
are equal to the annualized expense ratio for each class as indicated above, multiplied by the average account value over the period and then multiplied by the number of days in the Fund’s most recent fiscal
half year and divided by 365.
Expenses do not include fees and
expenses incurred indirectly by the Fund from its investment in underlying funds, including affiliated and non-affiliated pooled investment vehicles, such as mutual funds and exchange-traded funds.
Had Columbia Management Investment
Advisers, LLC and/or certain of its affiliates not waived/reimbursed certain fees and expenses, account value at the end of the period would have been reduced.
| Columbia Small Cap Value Fund I | Semiannual Report 2020 | 5 |
Portfolio of Investments
October 31, 2020 (Unaudited)
October 31, 2020 (Unaudited)
(Percentages represent value of
investments compared to net assets)
Investments in securities
The accompanying Notes to Financial
Statements are an integral part of this statement.
| 6 | Columbia Small Cap Value Fund I | Semiannual Report 2020 |
Portfolio of Investments (continued)
October 31, 2020 (Unaudited)
October 31, 2020 (Unaudited)
The accompanying Notes to Financial
Statements are an integral part of this statement.
| Columbia Small Cap Value Fund I | Semiannual Report 2020 | 7 |
Portfolio of Investments (continued)
October 31, 2020 (Unaudited)
October 31, 2020 (Unaudited)
The accompanying Notes to Financial
Statements are an integral part of this statement.
| 8 | Columbia Small Cap Value Fund I | Semiannual Report 2020 |
Portfolio of Investments (continued)
October 31, 2020 (Unaudited)
October 31, 2020 (Unaudited)
The accompanying Notes to Financial
Statements are an integral part of this statement.
| Columbia Small Cap Value Fund I | Semiannual Report 2020 | 9 |
Portfolio of Investments (continued)
October 31, 2020 (Unaudited)
October 31, 2020 (Unaudited)
Notes to Portfolio of
Investments
| (a) | Non-income producing investment. |
| (b) | The rate shown is the seven-day current annualized yield at October 31, 2020. |
| (c) | 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. The value of the holdings and transactions in these affiliated companies during the period ended October 31, 2020 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, 0.128% | ||||||||
| 3,353,471 | 152,087,099 | (155,345,029) | (658) | 94,883 | 360 | 2,886 | 94,892 | |
Abbreviation Legend
| ADR | American Depositary Receipt |
Fair value
measurements
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’s 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. 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.
The accompanying Notes to Financial Statements are
an integral part of this statement.
| 10 | Columbia Small Cap Value Fund I | Semiannual Report 2020 |
Portfolio of Investments (continued)
October 31, 2020 (Unaudited)
October 31, 2020 (Unaudited)
Fair value measurements (continued)
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.
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.
The following table is a summary of
the inputs used to value the Fund’s investments at October 31, 2020:
| Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | |
| Investments in Securities | ||||
| Common Stocks | ||||
| Communication Services | 9,648,563 | — | — | 9,648,563 |
| Consumer Discretionary | 90,174,784 | — | — | 90,174,784 |
| Consumer Staples | 16,670,057 | — | — | 16,670,057 |
| Energy | 23,945,437 | — | — | 23,945,437 |
| Financials | 223,397,296 | — | — | 223,397,296 |
| Health Care | 19,982,948 | — | — | 19,982,948 |
| Industrials | 109,065,080 | — | — | 109,065,080 |
| Information Technology | 49,644,592 | — | — | 49,644,592 |
| Materials | 59,251,341 | — | — | 59,251,341 |
| Real Estate | 37,138,176 | — | — | 37,138,176 |
| Utilities | 3,874,522 | — | — | 3,874,522 |
| Total Common Stocks | 642,792,796 | — | — | 642,792,796 |
| Exchange-Traded Equity Funds | 2,899,168 | — | — | 2,899,168 |
| Warrants | ||||
| Materials | 296,147 | — | — | 296,147 |
| Total Warrants | 296,147 | — | — | 296,147 |
| Money Market Funds | 94,883 | — | — | 94,883 |
| Total Investments in Securities | 646,082,994 | — | — | 646,082,994 |
See the Portfolio of Investments for
all investment classifications not indicated in the table.
The accompanying Notes to Financial Statements are
an integral part of this statement.
| Columbia Small Cap Value Fund I | Semiannual Report 2020 | 11 |
Statement of Assets and Liabilities
October 31, 2020 (Unaudited)
October 31, 2020 (Unaudited)
| Assets | |
| Investments in securities, at value | |
| Unaffiliated issuers (cost $547,338,507) | $645,988,111 |
| Affiliated issuers (cost $94,883) | 94,883 |
| Receivable for: | |
| Investments sold | 1,889,481 |
| Capital shares sold | 708,054 |
| Dividends | 175,222 |
| Expense reimbursement due from Investment Manager | 115 |
| Prepaid expenses | 2,214 |
| Trustees’ deferred compensation plan | 445,049 |
| Other assets | 37,802 |
| Total assets | 649,340,931 |
| Liabilities | |
| Payable for: | |
| Investments purchased | 1,267,284 |
| Capital shares purchased | 1,365,521 |
| Management services fees | 14,939 |
| Distribution and/or service fees | 1,418 |
| Transfer agent fees | 99,213 |
| Compensation of chief compliance officer | 17 |
| Other expenses | 73,396 |
| Trustees’ deferred compensation plan | 445,049 |
| Total liabilities | 3,266,837 |
| Net assets applicable to outstanding capital stock | $646,074,094 |
| Represented by | |
| Paid in capital | 569,136,894 |
| Total distributable earnings (loss) | 76,937,200 |
| Total - representing net assets applicable to outstanding capital stock | $646,074,094 |
The accompanying Notes to Financial Statements are
an integral part of this statement.
| 12 | Columbia Small Cap Value Fund I | Semiannual Report 2020 |
Statement of Assets and Liabilities (continued)
October 31, 2020 (Unaudited)
October 31, 2020 (Unaudited)
| Class A | |
| Net assets | $183,606,697 |
| Shares outstanding | 5,971,208 |
| Net asset value per share | $30.75 |
| Maximum sales charge | 5.75% |
| Maximum offering price per share (calculated by dividing the net asset value per share by 1.0 minus the maximum sales charge for Class A shares) | $32.63 |
| Advisor Class | |
| Net assets | $20,877,843 |
| Shares outstanding | 582,830 |
| Net asset value per share | $35.82 |
| Class C | |
| Net assets | $4,560,193 |
| Shares outstanding | 234,795 |
| Net asset value per share | $19.42 |
| Institutional Class | |
| Net assets | $262,490,967 |
| Shares outstanding | 7,567,908 |
| Net asset value per share | $34.68 |
| Institutional 2 Class | |
| Net assets | $62,784,513 |
| Shares outstanding | 1,750,084 |
| Net asset value per share | $35.88 |
| Institutional 3 Class | |
| Net assets | $110,027,336 |
| Shares outstanding | 3,150,476 |
| Net asset value per share | $34.92 |
| Class R | |
| Net assets | $1,726,545 |
| Shares outstanding | 56,416 |
| Net asset value per share | $30.60 |
The accompanying Notes to Financial Statements are
an integral part of this statement.
| Columbia Small Cap Value Fund I | Semiannual Report 2020 | 13 |
Statement of Operations
Six Months Ended October 31, 2020 (Unaudited)
Six Months Ended October 31, 2020 (Unaudited)
| Net investment income | |
| Income: | |
| Dividends — unaffiliated issuers | $4,733,904 |
| Dividends — affiliated issuers | 2,886 |
| Foreign taxes withheld | (35,294) |
| Total income | 4,701,496 |
| Expenses: | |
| Management services fees | 2,224,999 |
| Distribution and/or service fees | |
| Class A | 217,786 |
| Class C | 21,604 |
| Class R | 4,323 |
| Transfer agent fees | |
| Class A | 192,682 |
| Advisor Class | 22,486 |
| Class C | 4,771 |
| Institutional Class | 170,802 |
| Institutional 2 Class | 16,275 |
| Institutional 3 Class | 4,429 |
| Class R | 1,918 |
| Compensation of board members | 12,002 |
| Custodian fees | 7,649 |
| Printing and postage fees | 30,304 |
| Registration fees | 58,552 |
| Audit fees | 14,790 |
| Legal fees | 6,239 |
| Interest on interfund lending | 59 |
| Compensation of chief compliance officer | 75 |
| Other | 26,786 |
| Total expenses | 3,038,531 |
| Fees waived or expenses reimbursed by Investment Manager and its affiliates | (137,161) |
| Expense reduction | (4,153) |
| Total net expenses | 2,897,217 |
| Net investment income | 1,804,279 |
| Realized and unrealized gain (loss) — net | |
| Net realized gain (loss) on: | |
| Investments — unaffiliated issuers | 2,328,166 |
| Investments — affiliated issuers | 360 |
| Foreign currency translations | 219 |
| Net realized gain | 2,328,745 |
| Net change in unrealized appreciation (depreciation) on: | |
| Investments — unaffiliated issuers | 67,952,697 |
| Investments — affiliated issuers | (658) |
| Net change in unrealized appreciation (depreciation) | 67,952,039 |
| Net realized and unrealized gain | 70,280,784 |
| Net increase in net assets resulting from operations | $72,085,063 |
The accompanying Notes to
Financial Statements are an integral part of this statement.
| 14 | Columbia Small Cap Value Fund I | Semiannual Report 2020 |
Statement of Changes in Net Assets
| Six Months Ended October 31, 2020 (Unaudited) | Year Ended April 30, 2020 | |
| Operations | ||
| Net investment income | $1,804,279 | $3,910,030 |
| Net realized gain (loss) | 2,328,745 | (8,826,433) |
| Net change in unrealized appreciation (depreciation) | 67,952,039 | (121,636,535) |
| Net increase (decrease) in net assets resulting from operations | 72,085,063 | (126,552,938) |
| Distributions to shareholders | ||
| Net investment income and net realized gains | ||
| Class A | (263,248) | (8,158,910) |
| Advisor Class | (44,355) | (942,358) |
| Class C | (5,544) | (310,586) |
| Institutional Class | (256,286) | (5,963,643) |
| Institutional 2 Class | (147,193) | (1,465,899) |
| Institutional 3 Class | (296,912) | (3,686,464) |
| Class R | (1,803) | (70,190) |
| Total distributions to shareholders | (1,015,341) | (20,598,050) |
| Increase (decrease) in net assets from capital stock activity | 143,370,275 | (35,902,834) |
| Total increase (decrease) in net assets | 214,439,997 | (183,053,822) |
| Net assets at beginning of period | 431,634,097 | 614,687,919 |
| Net assets at end of period | $646,074,094 | $431,634,097 |
The accompanying Notes to
Financial Statements are an integral part of this statement.
| Columbia Small Cap Value Fund I | Semiannual Report 2020 | 15 |
Statement of Changes in Net Assets (continued)
| Six Months Ended | Year Ended | |||
| October 31, 2020 (Unaudited) | April 30, 2020 | |||
| Shares | Dollars ($) | Shares | Dollars ($) | |
| Capital stock activity | ||||
| Class A | ||||
| Subscriptions | 238,710 | 7,079,906 | 507,420 | 15,901,962 |
| Fund reorganization | 749,058 | 20,756,334 | — | — |
| Distributions reinvested | 8,587 | 243,878 | 223,604 | 7,583,573 |
| Redemptions | (675,099) | (19,948,863) | (1,492,445) | (48,817,503) |
| Net increase (decrease) | 321,256 | 8,131,255 | (761,421) | (25,331,968) |
| Advisor Class | ||||
| Subscriptions | 76,825 | 2,653,601 | 294,967 | 10,689,266 |
| Fund reorganization | 23,850 | 769,407 | — | — |
| Distributions reinvested | 1,050 | 34,726 | 19,604 | 772,788 |
| Redemptions | (127,971) | (4,401,122) | (391,501) | (15,180,398) |
| Net decrease | (26,246) | (943,388) | (76,930) | (3,718,344) |
| Class C | ||||
| Subscriptions | 14,068 | 259,727 | 31,735 | 686,502 |
| Fund reorganization | 97,768 | 1,714,870 | — | — |
| Distributions reinvested | 288 | 5,178 | 12,954 | 278,476 |
| Redemptions | (63,629) | (1,193,509) | (194,347) | (4,122,251) |
| Net increase (decrease) | 48,495 | 786,266 | (149,658) | (3,157,273) |
| Institutional Class | ||||
| Subscriptions | 3,603,978 | 121,239,943 | 1,367,703 | 46,321,984 |
| Fund reorganization | 1,392,865 | 43,499,400 | — | — |
| Distributions reinvested | 3,879 | 124,157 | 97,005 | 3,707,301 |
| Redemptions | (934,006) | (30,802,206) | (2,660,086) | (92,363,416) |
| Net increase (decrease) | 4,066,716 | 134,061,294 | (1,195,378) | (42,334,131) |
| Institutional 2 Class | ||||
| Subscriptions | 237,220 | 8,242,403 | 1,075,085 | 33,771,141 |
| Fund reorganization | 14,915 | 481,614 | — | — |
| Distributions reinvested | 4,448 | 147,193 | 37,051 | 1,465,831 |
| Redemptions | (190,970) | (6,703,886) | (367,165) | (13,076,279) |
| Net increase | 65,613 | 2,167,324 | 744,971 | 22,160,693 |
| Institutional 3 Class | ||||
| Subscriptions | 240,053 | 7,982,006 | 1,365,778 | 44,952,340 |
| Fund reorganization | 6,037 | 189,748 | — | — |
| Distributions reinvested | 7,998 | 257,606 | 74,215 | 2,855,588 |
| Redemptions | (276,840) | (9,270,792) | (884,925) | (31,307,094) |
| Net increase (decrease) | (22,752) | (841,432) | 555,068 | 16,500,834 |
| Class R | ||||
| Subscriptions | 11,969 | 351,451 | 5,980 | 197,401 |
| Distributions reinvested | 64 | 1,803 | 2,079 | 70,190 |
| Redemptions | (11,125) | (344,298) | (8,642) | (290,236) |
| Net increase (decrease) | 908 | 8,956 | (583) | (22,645) |
| Total net increase (decrease) | 4,453,990 | 143,370,275 | (883,931) | (35,902,834) |
The accompanying Notes to Financial Statements are
an integral part of this statement.
| 16 | Columbia Small Cap Value Fund I | Semiannual Report 2020 |
Financial Highlights
The following table is intended to
help you understand the Fund’s financial performance. Certain information reflects financial results for a single share of a class held for the periods shown. Per share net investment income (loss) amounts are
calculated based on average shares outstanding during the period. Total return assumes reinvestment of all dividends and distributions, if any. Total return does not reflect payment of sales charges, if any. Total
return and portfolio turnover are not annualized for periods of less than one year. The portfolio turnover rate is calculated without regard to purchase and sales transactions of short-term instruments and certain
derivatives, if any. If such transactions were included, the Fund’s portfolio turnover rate may be higher.
| Net asset value, beginning of period | Net investment income (loss) | Net realized and unrealized gain (loss) | Total from investment operations | Distributions from net investment income | Distributions from net realized gains | Total distributions to shareholders | |
| Class A | |||||||
| Six Months Ended 10/31/2020 (Unaudited) | $26.90 | 0.08 | 3.82 | 3.90 | (0.02) | (0.03) | (0.05) |
| Year Ended 4/30/2020 | $36.62 | 0.18 | (8.59) | (8.41) | (0.17) | (1.14) | (1.31) |
| Year Ended 4/30/2019 | $40.70 | 0.08 | (1.08) | (1.00) | (0.13) | (2.95) | (3.08) |
| Year Ended 4/30/2018 | $41.62 | (0.03) | 3.95 | 3.92 | (0.01) | (4.83) | (4.84) |
| Year Ended 4/30/2017 | $37.50 | 0.05 | 8.85 | 8.90 | (0.06) | (4.72) | (4.78) |
| Year Ended 4/30/2016 | $43.03 | 0.11 | (1.13) | (1.02) | (0.12) | (4.39) | (4.51) |
| Advisor Class | |||||||
| Six Months Ended 10/31/2020 (Unaudited) | $31.32 | 0.13 | 4.44 | 4.57 | (0.04) | (0.03) | (0.07) |
| Year Ended 4/30/2020 | $42.37 | 0.30 | (9.98) | (9.68) | (0.23) | (1.14) | (1.37) |
| Year Ended 4/30/2019 | $46.56 | 0.21 | (1.25) | (1.04) | (0.20) | (2.95) | (3.15) |
| Year Ended 4/30/2018 | $46.89 | 0.10 | 4.48 | 4.58 | (0.08) | (4.83) | (4.91) |
| Year Ended 4/30/2017 | $41.66 | 0.15 | 9.94 | 10.09 | (0.14) | (4.72) | (4.86) |
| Year Ended 4/30/2016 | $47.24 | 0.24 | (1.24) | (1.00) | (0.19) | (4.39) | (4.58) |
| Class C | |||||||
| Six Months Ended 10/31/2020 (Unaudited) | $17.06 | (0.03) | 2.42 | 2.39 | — | (0.03) | (0.03) |
| Year Ended 4/30/2020 | $23.72 | (0.04) | (5.48) | (5.52) | — | (1.14) | (1.14) |
| Year Ended 4/30/2019 | $27.55 | (0.16) | (0.72) | (0.88) | — | (2.95) | (2.95) |
| Year Ended 4/30/2018 | $29.86 | (0.24) | 2.76 | 2.52 | — | (4.83) | (4.83) |
| Year Ended 4/30/2017 | $28.24 | (0.19) | 6.44 | 6.25 | — | (4.63) | (4.63) |
| Year Ended 4/30/2016 | $33.63 | (0.13) | (0.87) | (1.00) | — | (4.39) | (4.39) |
| Institutional Class | |||||||
| Six Months Ended 10/31/2020 (Unaudited) | $30.33 | 0.11 | 4.31 | 4.42 | (0.04) | (0.03) | (0.07) |
| Year Ended 4/30/2020 | $41.07 | 0.30 | (9.67) | (9.37) | (0.23) | (1.14) | (1.37) |
| Year Ended 4/30/2019 | $45.24 | 0.20 | (1.22) | (1.02) | (0.20) | (2.95) | (3.15) |
| Year Ended 4/30/2018 | $45.70 | 0.08 | 4.37 | 4.45 | (0.08) | (4.83) | (4.91) |
| Year Ended 4/30/2017 | $40.71 | 0.14 | 9.71 | 9.85 | (0.14) | (4.72) | (4.86) |
| Year Ended 4/30/2016 | $46.28 | 0.23 | (1.22) | (0.99) | (0.19) | (4.39) | (4.58) |
| Institutional 2 Class | |||||||
| Six Months Ended 10/31/2020 (Unaudited) | $31.36 | 0.16 | 4.45 | 4.61 | (0.06) | (0.03) | (0.09) |
| Year Ended 4/30/2020 | $42.40 | 0.36 | (10.00) | (9.64) | (0.26) | (1.14) | (1.40) |
| Year Ended 4/30/2019 | $46.57 | 0.27 | (1.25) | (0.98) | (0.24) | (2.95) | (3.19) |
| Year Ended 4/30/2018 | $46.88 | 0.17 | 4.46 | 4.63 | (0.11) | (4.83) | (4.94) |
| Year Ended 4/30/2017 | $41.64 | 0.23 | 9.92 | 10.15 | (0.19) | (4.72) | (4.91) |
| Year Ended 4/30/2016 | $47.21 | 0.31 | (1.25) | (0.94) | (0.24) | (4.39) | (4.63) |
The accompanying Notes to Financial
Statements are an integral part of this statement.
| 18 | Columbia Small Cap Value Fund I | Semiannual Report 2020 |
Financial Highlights (continued)
| Net asset value, end of period | Total return | Total gross expense ratio to average net assets(a) | Total net expense ratio to average net assets(a),(b) | Net investment income (loss) ratio to average net assets | Portfolio turnover | Net assets, end of period (000’s) | |
| Class A | |||||||
| Six Months Ended 10/31/2020 (Unaudited) | $30.75 | 14.50% | 1.38%(c),(d) | 1.32%(c),(d),(e) | 0.52%(c) | 27% | $183,607 |
| Year Ended 4/30/2020 | $26.90 | (23.69%) | 1.37%(d),(f) | 1.32%(d),(e),(f) | 0.55% | 60% | $152,006 |
| Year Ended 4/30/2019 | $36.62 | (2.38%) | 1.36%(d),(f) | 1.32%(d),(e),(f) | 0.21% | 62% | $234,765 |
| Year Ended 4/30/2018 | $40.70 | 10.03% | 1.35%(f) | 1.33%(e),(f) | (0.07%) | 51% | $248,266 |
| Year Ended 4/30/2017 | $41.62 | 26.02% | 1.38%(f) | 1.37%(e),(f) | 0.12% | 50% | $245,315 |
| Year Ended 4/30/2016 | $37.50 | (2.60%) | 1.36% | 1.36%(e) | 0.29% | 65% | $239,419 |
| Advisor Class | |||||||
| Six Months Ended 10/31/2020 (Unaudited) | $35.82 | 14.62% | 1.13%(c),(d) | 1.07%(c),(d),(e) | 0.78%(c) | 27% | $20,878 |
| Year Ended 4/30/2020 | $31.32 | (23.49%) | 1.12%(d),(f) | 1.07%(d),(e),(f) | 0.79% | 60% | $19,077 |
| Year Ended 4/30/2019 | $42.37 | (2.14%) | 1.12%(d),(f) | 1.07%(d),(e),(f) | 0.48% | 62% | $29,064 |
| Year Ended 4/30/2018 | $46.56 | 10.34% | 1.10%(f) | 1.08%(e),(f) | 0.20% | 51% | $11,734 |
| Year Ended 4/30/2017 | $46.89 | 26.30% | 1.13%(f) | 1.12%(e),(f) | 0.34% | 50% | $4,729 |
| Year Ended 4/30/2016 | $41.66 | (2.31%) | 1.11% | 1.11%(e) | 0.56% | 65% | $4,007 |
| Class C | |||||||
| Six Months Ended 10/31/2020 (Unaudited) | $19.42 | 14.02% | 2.12%(c),(d) | 2.06%(c),(d),(e) | (0.27%)(c) | 27% | $4,560 |
| Year Ended 4/30/2020 | $17.06 | (24.24%) | 2.12%(d),(f) | 2.07%(d),(e),(f) | (0.20%) | 60% | $3,178 |
| Year Ended 4/30/2019 | $23.72 | (3.15%) | 2.10%(d),(f) | 2.07%(d),(e),(f) | (0.59%) | 62% | $7,969 |
| Year Ended 4/30/2018 | $27.55 | 9.24% | 2.10%(f) | 2.08%(e),(f) | (0.83%) | 51% | $22,792 |
| Year Ended 4/30/2017 | $29.86 | 25.05% | 2.12%(f) | 2.12%(e),(f) | (0.65%) | 50% | $26,703 |
| Year Ended 4/30/2016 | $28.24 | (3.32%) | 2.12% | 2.11%(e) | (0.45%) | 65% | $26,846 |
| Institutional Class | |||||||
| Six Months Ended 10/31/2020 (Unaudited) | $34.68 | 14.61% | 1.12%(c),(d) | 1.06%(c),(d),(e) | 0.63%(c) | 27% | $262,491 |
| Year Ended 4/30/2020 | $30.33 | (23.48%) | 1.12%(d),(f) | 1.07%(d),(e),(f) | 0.79% | 60% | $106,186 |
| Year Ended 4/30/2019 | $41.07 | (2.16%) | 1.11%(d),(f) | 1.07%(d),(e),(f) | 0.47% | 62% | $192,878 |
| Year Ended 4/30/2018 | $45.24 | 10.32% | 1.10%(f) | 1.08%(e),(f) | 0.17% | 51% | $209,822 |
| Year Ended 4/30/2017 | $45.70 | 26.33% | 1.13%(f) | 1.12%(e),(f) | 0.34% | 50% | $239,246 |
| Year Ended 4/30/2016 | $40.71 | (2.34%) | 1.11% | 1.11%(e) | 0.54% | 65% | $237,720 |
| Institutional 2 Class | |||||||
| Six Months Ended 10/31/2020 (Unaudited) | $35.88 | 14.72% | 0.96%(c),(d) | 0.93%(c),(d) | 0.91%(c) | 27% | $62,785 |
| Year Ended 4/30/2020 | $31.36 | (23.39%) | 0.98%(d),(f) | 0.94%(d),(f) | 0.96% | 60% | $52,825 |
| Year Ended 4/30/2019 | $42.40 | (2.01%) | 0.97%(d),(f) | 0.94%(d),(f) | 0.61% | 62% | $39,831 |
| Year Ended 4/30/2018 | $46.57 | 10.45% | 0.97%(f) | 0.96%(f) | 0.35% | 51% | $15,739 |
| Year Ended 4/30/2017 | $46.88 | 26.50% | 0.97%(f) | 0.97%(f) | 0.52% | 50% | $9,135 |
| Year Ended 4/30/2016 | $41.64 | (2.19%) | 0.96% | 0.96% | 0.74% | 65% | $7,115 |
The accompanying Notes to Financial
Statements are an integral part of this statement.
| Columbia Small Cap Value Fund I | Semiannual Report 2020 | 19 |
Financial Highlights (continued)
| Net asset value, beginning of period | Net investment income (loss) | Net realized and unrealized gain (loss) | Total from investment operations | Distributions from net investment income | Distributions from net realized gains | Total distributions to shareholders | |
| Institutional 3 Class | |||||||
| Six Months Ended 10/31/2020 (Unaudited) | $30.53 | 0.16 | 4.32 | 4.48 | (0.06) | (0.03) | (0.09) |
| Year Ended 4/30/2020 | $41.30 | 0.37 | (9.72) | (9.35) | (0.28) | (1.14) | (1.42) |
| Year Ended 4/30/2019 | $45.45 | 0.28 | (1.22) | (0.94) | (0.26) | (2.95) | (3.21) |
| Year Ended 4/30/2018 | $45.86 | 0.17 | 4.37 | 4.54 | (0.12) | (4.83) | (4.95) |
| Year Ended 4/30/2017 | $40.83 | 0.09 | 9.87 | 9.96 | (0.21) | (4.72) | (4.93) |
| Year Ended 4/30/2016 | $46.37 | 0.29 | (1.18) | (0.89) | (0.26) | (4.39) | (4.65) |
| Class R | |||||||
| Six Months Ended 10/31/2020 (Unaudited) | $26.79 | 0.04 | 3.80 | 3.84 | — | (0.03) | (0.03) |
| Year Ended 4/30/2020 | $36.50 | 0.10 | (8.56) | (8.46) | (0.11) | (1.14) | (1.25) |
| Year Ended 4/30/2019 | $40.61 | (0.01) | (1.09) | (1.10) | (0.06) | (2.95) | (3.01) |
| Year Ended 4/30/2018 | $41.63 | (0.13) | 3.94 | 3.81 | — | (4.83) | (4.83) |
| Year Ended 4/30/2017 | $37.54 | (0.06) | 8.87 | 8.81 | — | (4.72) | (4.72) |
| Year Ended 4/30/2016 | $43.09 | 0.02 | (1.13) | (1.11) | (0.05) | (4.39) | (4.44) |
| Notes to Financial Highlights | |
| (a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
| (b) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
| (c) | Annualized. |
| (d) | Ratios include interfund lending expense which is less than 0.01%. |
| (e) | The benefits derived from expense reductions had an impact of less than 0.01%. |
| (f) | Ratios include line of credit interest expense which is less than 0.01%. |
The accompanying Notes to
Financial Statements are an integral part of this statement.
| 20 | Columbia Small Cap Value Fund I | Semiannual Report 2020 |
Financial Highlights (continued)
| Net asset value, end of period | Total return | Total gross expense ratio to average net assets(a) | Total net expense ratio to average net assets(a),(b) | Net investment income (loss) ratio to average net assets | Portfolio turnover | Net assets, end of period (000’s) | |
| Institutional 3 Class | |||||||
| Six Months Ended 10/31/2020 (Unaudited) | $34.92 | 14.71% | 0.92%(c),(d) | 0.88%(c),(d) | 0.97%(c) | 27% | $110,027 |
| Year Ended 4/30/2020 | $30.53 | (23.34%) | 0.93%(d),(f) | 0.89%(d),(f) | 1.01% | 60% | $96,875 |
| Year Ended 4/30/2019 | $41.30 | (1.97%) | 0.92%(d),(f) | 0.89%(d),(f) | 0.64% | 62% | $108,132 |
| Year Ended 4/30/2018 | $45.45 | 10.50% | 0.93%(f) | 0.91%(f) | 0.37% | 51% | $115,296 |
| Year Ended 4/30/2017 | $45.86 | 26.57% | 0.92%(f) | 0.92%(f) | 0.22% | 50% | $64,230 |
| Year Ended 4/30/2016 | $40.83 | (2.13%) | 0.91% | 0.91% | 0.70% | 65% | $10,022 |
| Class R | |||||||
| Six Months Ended 10/31/2020 (Unaudited) | $30.60 | 14.34% | 1.63%(c),(d) | 1.57%(c),(d),(e) | 0.28%(c) | 27% | $1,727 |
| Year Ended 4/30/2020 | $26.79 | (23.87%) | 1.62%(d),(f) | 1.57%(d),(e),(f) | 0.31% | 60% | $1,487 |
| Year Ended 4/30/2019 | $36.50 | (2.67%) | 1.60%(d),(f) | 1.57%(d),(e),(f) | (0.03%) | 62% | $2,048 |
| Year Ended 4/30/2018 | $40.61 | 9.77% | 1.60%(f) | 1.58%(e),(f) | (0.31%) | 51% | $3,790 |
| Year Ended 4/30/2017 | $41.63 | 25.71% | 1.63%(f) | 1.62%(e),(f) | (0.15%) | 50% | $3,032 |
| Year Ended 4/30/2016 | $37.54 | (2.83%) | 1.61% | 1.61%(e) | 0.06% | 65% | $2,760 |
The accompanying Notes to Financial Statements are
an integral part of this statement.
| Columbia Small Cap Value Fund I | Semiannual Report 2020 | 21 |
Notes to Financial Statements
October 31, 2020 (Unaudited)
October 31, 2020 (Unaudited)
Note 1. Organization
Columbia Small Cap Value Fund I
(the Fund), a series of Columbia Funds Series Trust I (the Trust), is a diversified fund. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management
investment company organized as a Massachusetts business trust.
Fund shares
The Trust may issue an unlimited
number of shares (without par value). The Fund offers each of the share classes listed in the Statement of Assets and Liabilities. Although all share classes generally have identical voting, dividend and liquidation
rights, each share class votes separately when required by the Trust’s organizational documents or by law. Each share class has its own expense and sales charge structure. Different share classes may have
different minimum initial investment amounts and pay different net investment income distribution amounts to the extent the expenses of distributing such share classes vary. Distributions to shareholders in a
liquidation will be proportional to the net asset value of each share class.
As described in the Fund’s
prospectus, Class A and Class C shares are offered to the general public for investment. Class C shares automatically convert to Class A shares after 10 years. Advisor Class, Institutional Class, Institutional 2
Class, Institutional 3 Class and Class R shares are available for purchase through authorized investment professionals to omnibus retirement plans or to institutional investors and to certain other investors as also
described in the Fund’s prospectus.
Note 2. Summary of
significant accounting policies
Basis of preparation
The Fund is an investment company
that applies the accounting and reporting guidance in the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946, Financial Services - Investment Companies (ASC 946). The financial statements are prepared in accordance with U.S. generally accepted accounting principles (GAAP), which requires
management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities, the disclosure of contingent assets and liabilities at the date of the financial statements and the
reported amounts of income and expenses during the reporting period. Actual results could differ from those estimates.
The following is a summary of
significant accounting policies followed by the Fund in the preparation of its financial statements.
Security valuation
Equity securities listed on an
exchange are valued at the closing price or last trade on their primary exchange at the close of business of the New York Stock Exchange. Securities with a closing price not readily available or not listed on any
exchange are valued at the mean between the closing bid and asked prices. Listed preferred stocks convertible into common stocks are valued using an evaluated price from a pricing service.
Foreign equity securities are
valued based on the closing price or last trade on their primary exchange at the close of business of the New York Stock Exchange. If any foreign equity security closing prices are not readily available, the
securities are valued at the mean of the latest quoted bid and ask prices on such exchanges or markets. Foreign currency exchange rates are determined at the scheduled closing time of the New York Stock Exchange. Many
securities markets and exchanges outside the U.S. close prior to the close of the New York Stock Exchange; therefore, the closing prices for securities in such markets or on such exchanges may not fully reflect events
that occur after such close but before the close of the New York Stock Exchange. In those situations, foreign securities will be fair valued pursuant to a policy adopted by the Board of Trustees. Under the policy, the
Fund may utilize a third-party pricing service to determine these fair values. The third-party pricing service takes into account multiple factors, including, but not limited to, movements in the U.S. securities
markets, certain depositary receipts, futures contracts and foreign exchange rates that have occurred subsequent to the close of the foreign exchange or market, to determine a good faith estimate that reasonably
reflects the current market conditions as of the close of the New York Stock Exchange. The fair value of a security is likely to be different from the quoted or published price, if available.
Investments in open-end investment
companies (other than exchange-traded funds (ETFs)), are valued at the latest net asset value reported by those companies as of the valuation time.
| 22 | Columbia Small Cap Value Fund I | Semiannual Report 2020 |
Notes to Financial Statements (continued)
October 31, 2020 (Unaudited)
October 31, 2020 (Unaudited)
Investments for which market
quotations are not readily available, or that have quotations which management believes are not reflective of market value or reliable, are valued at fair value as determined in good faith under procedures approved by
and under the general supervision of the Board of Trustees. If a security or class of securities (such as foreign securities) is valued at fair value, such value is likely to be different from the quoted or published
price for the security, if available.
The determination of fair value
often requires significant judgment. To determine fair value, management may use assumptions including but not limited to future cash flows and estimated risk premiums. Multiple inputs from various sources may be used
to determine fair value.
GAAP requires 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. This information is disclosed following
the Fund’s Portfolio of Investments.
Foreign currency transactions and
translations
The values of all assets and
liabilities denominated in foreign currencies are generally translated into U.S. dollars at exchange rates determined at the close of regular trading on the New York Stock Exchange. Net realized and unrealized gains
(losses) on foreign currency transactions and translations include gains (losses) arising from the fluctuation in exchange rates between trade and settlement dates on securities transactions, gains (losses) arising
from the disposition of foreign currency and currency gains (losses) between the accrual and payment dates on dividends, interest income and foreign withholding taxes.
For financial statement purposes,
the Fund does not distinguish that portion of gains (losses) on investments which is due to changes in foreign exchange rates from that which is due to changes in market prices of the investments. Such fluctuations
are included with the net realized and unrealized gains (losses) on investments in the Statement of Operations.
Security transactions
Security transactions are accounted
for on the trade date. Cost is determined and gains (losses) are based upon the specific identification method for both financial statement and federal income tax purposes.
Income recognition
Corporate actions and dividend
income are generally recorded net of any non-reclaimable tax withholdings, on the ex-dividend date or upon receipt of ex-dividend notification in the case of certain foreign securities.
The Fund may receive distributions
from holdings in equity securities, business development companies (BDCs), exchange-traded funds (ETFs), limited partnerships (LPs), other regulated investment companies (RICs), and real estate investment trusts
(REITs), which report information as to the tax character of their distributions annually. These distributions are allocated to dividend income, capital gain and return of capital based on actual information reported.
Return of capital is recorded as a reduction of the cost basis of securities held. If the Fund no longer owns the applicable securities, return of capital is recorded as a realized gain. With respect to REITs, to the
extent actual information has not yet been reported, estimates for return of capital are made by Columbia Management Investment Advisers, LLC (the Investment Manager), a wholly-owned subsidiary of Ameriprise
Financial, Inc. (Ameriprise Financial). The Investment Manager’s estimates are subsequently adjusted when the actual character of the distributions is disclosed by the REITs, which could result in a
proportionate change in return of capital to shareholders.
Awards from class action litigation
are recorded as a reduction of cost basis if the Fund still owns the applicable securities on the payment date. If the Fund no longer owns the applicable securities on the payment date, the proceeds are recorded as
realized gains.
Expenses
General expenses of the Trust are
allocated to the Fund and other funds of the Trust based upon relative net assets or other expense allocation methodologies determined by the nature of the expense. Expenses directly attributable to the Fund are
charged to the Fund. Expenses directly attributable to a specific class of shares are charged to that share class.
| Columbia Small Cap Value Fund I | Semiannual Report 2020 | 23 |
Notes to Financial Statements (continued)
October 31, 2020 (Unaudited)
October 31, 2020 (Unaudited)
Determination of class net asset
value
All income, expenses (other than
class-specific expenses, which are charged to that share class, as shown in the Statement of Operations) and realized and unrealized gains (losses) are allocated to each class of the Fund on a daily basis, based on
the relative net assets of each class, for purposes of determining the net asset value of each class.
Federal income tax status
The Fund intends to qualify each
year as a regulated investment company under Subchapter M of the Internal Revenue Code, as amended, and will distribute substantially all of its investment company taxable income and net capital gain, if any, for its
tax year, and as such will not be subject to federal income taxes. In addition, the Fund intends to distribute in each calendar year substantially all of its ordinary income, capital gain net income and certain other
amounts, if any, such that the Fund should not be subject to federal excise tax. Therefore, no federal income or excise tax provision is recorded.
Foreign taxes
The Fund may be subject to foreign
taxes on income, gains on investments or currency repatriation, a portion of which may be recoverable. The Fund will accrue such taxes and recoveries, as applicable, based upon its current interpretation of tax rules
and regulations that exist in the markets in which it invests.
Realized gains in certain countries
may be subject to foreign taxes at the Fund level, based on statutory rates. The Fund accrues for such foreign taxes on realized and unrealized gains at the appropriate rate for each jurisdiction, as applicable. The
amount, if any, is disclosed as a liability on the Statement of Assets and Liabilities.
Distributions to shareholders
Distributions from net investment
income, if any, are declared and paid semi-annually. Net realized capital gains, if any, are distributed at least annually. Income distributions and capital gain distributions are determined in accordance with federal
income tax regulations, which may differ from GAAP.
Guarantees and indemnifications
Under the Trust’s
organizational documents and, in some cases, by contract, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Trust or its funds. In addition,
certain of the Fund’s contracts with its service providers contain general indemnification clauses. The Fund’s maximum exposure under these arrangements is unknown since the amount of any future claims
that may be made against the Fund cannot be determined, and the Fund has no historical basis for predicting the likelihood of any such claims.
Note 3. Fees and other
transactions with affiliates
Management services fees
The Fund has entered into a
Management Agreement with Columbia Management Investment Advisers, LLC (the Investment Manager), a wholly-owned subsidiary of Ameriprise Financial, Inc. (Ameriprise Financial). Under the Management Agreement, the
Investment Manager provides the Fund with investment research and advice, as well as administrative and accounting services. Effective July 8, 2020, the management services fee is an annual fee that is equal to a
percentage of the Fund’s daily net assets that declines from 0.85% to 0.73% as the Fund’s net assets increase. Prior to July 8, 2020, the management services fee was equal to a percentage of the
Fund’s daily net assets that declined from 0.87% to 0.75% as the Fund’s net assets increased. The annualized effective management services fee rate for the six months ended October 31, 2020 was 0.85% of
the Fund’s average daily net assets.
Compensation of board members
Members of the Board of Trustees
who are not officers or employees of the Investment Manager or Ameriprise Financial are compensated for their services to the Fund as disclosed in the Statement of Operations. These members of the Board of Trustees
may participate in a Deferred Compensation Plan (the Deferred Plan) which may be terminated at any time. Obligations of the Deferred Plan will be paid solely out of the Fund’s assets, and all amounts payable
under the Deferred Plan constitute a general unsecured obligation of the Fund.
| 24 | Columbia Small Cap Value Fund I | Semiannual Report 2020 |
Notes to Financial Statements (continued)
October 31, 2020 (Unaudited)
October 31, 2020 (Unaudited)
Compensation of Chief Compliance
Officer
The Board of Trustees has appointed
a Chief Compliance Officer for the Fund in accordance with federal securities regulations. As disclosed in the Statement of Operations, a portion of the Chief Compliance Officer’s total compensation is allocated
to the Fund, along with other allocations to affiliated registered investment companies managed by the Investment Manager and its affiliates, based on relative net assets.
Transfer agency fees
Under a Transfer and Dividend
Disbursing Agent Agreement, Columbia Management Investment Services Corp. (the Transfer Agent), an affiliate of the Investment Manager and a wholly-owned subsidiary of Ameriprise Financial, is responsible for
providing transfer agency services to the Fund. The Transfer Agent has contracted with DST Asset Manager Solutions, Inc. (DST) to serve as sub-transfer agent. The Transfer Agent pays the fees of DST for services as
sub-transfer agent and DST is not entitled to reimbursement for such fees from the Fund (with the exception of out-of-pocket fees).
The Fund pays the Transfer Agent a
monthly transfer agency fee based on the number or the average value of accounts, depending on the type of account. In addition, the Fund pays the Transfer Agent a fee for shareholder services based on the number of
accounts or on a percentage of the average aggregate value of the Fund’s shares maintained in omnibus accounts up to the lesser of the amount charged by the financial intermediary or a cap established by the
Board of Trustees from time to time.
The Transfer Agent also receives
compensation from the Fund for various shareholder services and reimbursements for certain out-of-pocket fees. Total transfer agency fees for Institutional 2 Class and Institutional 3 Class shares are subject to an
annual limitation of not more than 0.07% and 0.02%, respectively, of the average daily net assets attributable to each share class.
For the six months ended October
31, 2020, the Fund’s annualized effective transfer agency fee rates as a percentage of average daily net assets of each class were as follows:
| Effective rate (%) | |
| Class A | 0.22 |
| Advisor Class | 0.22 |
| Class C | 0.22 |
| Institutional Class | 0.22 |
| Institutional 2 Class | 0.06 |
| Institutional 3 Class | 0.01 |
| Class R | 0.22 |
An annual minimum account balance
fee of $20 may apply to certain accounts with a value below the applicable share class’s initial minimum investment requirements to reduce the impact of small accounts on transfer agency fees. These minimum
account balance fees are remitted to the Fund and recorded as part of expense reductions in the Statement of Operations. For the six months ended October 31, 2020, these minimum account balance fees reduced total
expenses of the Fund by $4,153.
Distribution and service fees
The Fund has entered into an
agreement with Columbia Management Investment Distributors, Inc. (the Distributor), an affiliate of the Investment Manager and a wholly-owned subsidiary of Ameriprise Financial, for distribution and shareholder
services. The Board of Trustees has approved, and the Fund has adopted, distribution and shareholder service plans (the Plans) applicable to certain share classes, which set the distribution and service fees for the
Fund. These fees are calculated daily and are intended to compensate the Distributor and/or eligible selling and/or servicing agents for selling shares of the Fund and providing services to investors.
| Columbia Small Cap Value Fund I | Semiannual Report 2020 | 25 |
Notes to Financial Statements (continued)
October 31, 2020 (Unaudited)
October 31, 2020 (Unaudited)
Under the Plans, the Fund pays a
monthly service fee to the Distributor at the maximum annual rate of 0.25% of the average daily net assets attributable to Class A and Class C shares of the Fund. Also under the Plans, the Fund pays a
monthly distribution fee to the Distributor at the maximum annual rates of 0.75% and 0.50% of the average daily net assets attributable to Class C and Class R shares of the Fund, respectively.
Sales charges
Sales charges, including front-end
charges and contingent deferred sales charges (CDSCs), received by the Distributor for distributing Fund shares for the six months ended October 31, 2020, if any, are listed below:
| Front End (%) | CDSC (%) | Amount ($) | |
| Class A | 5.75 | 0.50 - 1.00(a) | 34,508 |
| Class C | — | 1.00(b) | 30 |
| (a) | This charge is imposed on certain investments of between $1 million and $50 million redeemed within 18 months after purchase, as follows: 1.00% if redeemed within 12 months after purchase, and 0.50% if redeemed more than 12, but less than 18, months after purchase, with certain limited exceptions. |
| (b) | This charge applies to redemptions within 12 months after purchase, with certain limited exceptions. |
The Fund’s other share
classes are not subject to sales charges.
Expenses waived/reimbursed by the
Investment Manager and its affiliates
The Investment Manager and certain
of its affiliates have contractually agreed to waive fees and/or reimburse expenses (excluding certain fees and expenses described below as well as any reorganization costs allocated to the Fund) for the period(s)
disclosed below, unless sooner terminated at the sole discretion of the Board of Trustees, so that the Fund’s net operating expenses, after giving effect to fees waived/expenses reimbursed and any balance
credits and/or overdraft charges from the Fund’s custodian, do not exceed the following annual rate(s) as a percentage of the class’ average daily net assets:
| July 11, 2020 through August 31, 2021 | Prior to July 11, 2020 | |
| Class A | 1.31% | 1.32% |
| Advisor Class | 1.06 | 1.07 |
| Class C | 2.06 | 2.07 |
| Institutional Class | 1.06 | 1.07 |
| Institutional 2 Class | 0.93 | 0.94 |
| Institutional 3 Class | 0.88 | 0.89 |
| Class R | 1.56 | 1.57 |
Under the agreement governing
these fee waivers and/or expense reimbursement arrangements, the following fees and expenses are excluded from the waiver/reimbursement commitment, and therefore will be paid by the Fund, if applicable: taxes
(including foreign transaction taxes), expenses associated with investments in affiliated and non-affiliated pooled investment vehicles (including mutual funds and exchange-traded funds), transaction costs and
brokerage commissions, costs related to any securities lending program, dividend expenses associated with securities sold short, inverse floater program fees and expenses, transaction charges and interest on borrowed
money, interest, infrequent and/or unusual expenses and any other expenses the exclusion of which is specifically approved by the Board of Trustees. This agreement may be modified or amended only with approval from
the Investment Manager, certain of its affiliates and the Fund. Any fees waived and/or expenses reimbursed under the expense reimbursement arrangements described above are not recoverable by the Investment Manager or
its affiliates in future periods. Reorganization (see Fund reorganization note) costs were allocated to the Fund only to the extent they are expected to be offset by the anticipated reduction in expenses borne by the
Fund’s shareholders during the first year following the reorganization.
Note 4. Federal tax
information
The timing and character of
income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP because of temporary or permanent book to tax differences.
| 26 | Columbia Small Cap Value Fund I | Semiannual Report 2020 |
Notes to Financial Statements (continued)
October 31, 2020 (Unaudited)
October 31, 2020 (Unaudited)
At October 31, 2020, the
approximate cost of all investments for federal income tax purposes and the aggregate gross approximate unrealized appreciation and depreciation based on that cost was:
| Federal tax cost ($) | Gross unrealized appreciation ($) | Gross unrealized (depreciation) ($) | Net unrealized appreciation ($) |
| 547,433,000 | 130,422,000 | (31,772,000) | 98,650,000 |
Tax cost of investments and
unrealized appreciation/(depreciation) may also include timing differences that do not constitute adjustments to tax basis.
Under current tax rules, regulated
investment companies can elect to treat certain late-year ordinary losses incurred and post-October capital losses (capital losses realized after October 31) as arising on the first day of the following taxable year.
The Fund will elect to treat the following late-year ordinary losses and post-October capital losses at April 30, 2020 as arising on May 1, 2020.
| Late year ordinary losses ($) | Post-October capital losses ($) |
| — | 22,119,861 |
Management of the Fund has
concluded that there are no significant uncertain tax positions in the Fund that would require recognition in the financial statements. However, management’s conclusion may be subject to review and adjustment at
a later date based on factors including, but not limited to, new tax laws, regulations, and administrative interpretations (including relevant court decisions). Generally, the Fund’s federal tax returns for the
prior three fiscal years remain subject to examination by the Internal Revenue Service.
The Fund acquired $8,183,533 of
capital loss carryforward in connection with the Columbia Disciplined Small Core Fund merger (Note 9). In addition to the acquired capital loss carryforward, the Fund also acquired unrealized capital losses as a
result of the merger. The yearly utilization of the acquired capital loss carryforward and unrealized losses may be limited by the Internal Revenue Code.
Note 5. Portfolio
information
The cost of purchases and
proceeds from sales of securities, excluding short-term investments and derivatives, if any, aggregated to $228,766,579 and $135,825,223, respectively, for the six months ended October 31, 2020. The amount of purchase
and sale activity impacts the portfolio turnover rate reported in the Financial Highlights.
Transactions to realign the
portfolio for the Fund following the reorganization as described in Note 9 are excluded for purposes of calculating the Fund’s portfolio turnover rate. These realignment transactions amounted to cost of
purchases and proceeds from sales of $16,396,105 and $23,588,407, respectively.
Note 6. Affiliated money
market fund
The Fund invests in Columbia
Short-Term Cash Fund, an affiliated money market fund established for the exclusive use by the Fund and other affiliated funds (the Affiliated MMF). The income earned by the Fund from such investments is included as
Dividends - affiliated issuers in the Statement of Operations. As an investing fund, the Fund indirectly bears its proportionate share of the expenses of the Affiliated MMF. The Affiliated MMF prices its shares with a
floating net asset value. In addition, the Board of Trustees of the Affiliated MMF may impose a fee on redemptions (sometimes referred to as a liquidity fee) or temporarily suspend redemptions (sometimes referred to
as imposing a redemption gate) in the event its liquidity falls below regulatory limits.
Note 7. Interfund
lending
Pursuant to an exemptive order
granted by the Securities and Exchange Commission, the Fund participates in a program (the Interfund Program) allowing each participating Columbia Fund (each, a Participating Fund) to lend money directly to and,
except for closed-end funds and money market funds, borrow money directly from other Participating Funds for temporary purposes. The amounts eligible for borrowing and lending under the Interfund Program are subject
to certain restrictions.
| Columbia Small Cap Value Fund I | Semiannual Report 2020 | 27 |
Notes to Financial Statements (continued)
October 31, 2020 (Unaudited)
October 31, 2020 (Unaudited)
Interfund loans are subject to the
risk that the borrowing fund could be unable to repay the loan when due, and a delay in repayment to the lending fund could result in lost opportunities and/or additional lending costs. The exemptive order is subject
to conditions intended to mitigate conflicts of interest arising from the Investment Manager’s relationship with each Participating Fund.
The Fund’s activity in the
Interfund Program during the six months ended October 31, 2020 was as follows:
| Borrower or lender | Average loan balance ($) | Weighted average interest rate (%) | Number of days with outstanding loans |
| Borrower | 566,667 | 0.62 | 6 |
Interest expense incurred by the
Fund is recorded as Interfund lending in the Statement of Operations. The Fund had no outstanding interfund loans at October 31, 2020.
Note 8. Line of credit
The Fund has access to a
revolving credit facility with a syndicate of banks led by Citibank, N.A., Wells Fargo Bank, N.A. and JPMorgan Chase Bank, N.A. whereby the Fund may borrow for the temporary funding of shareholder redemptions or for
other temporary or emergency purposes. Pursuant to a December 1, 2020 amendment, the credit facility, which is a collective agreement between the Fund and certain other funds managed by the Investment Manager or an
affiliated investment manager, severally and not jointly, permits collective borrowings up to $950 million. Interest is charged to each participating fund based on its borrowings at a rate equal to the higher of (i)
the federal funds effective rate, (ii) the one-month LIBOR rate and (iii) the overnight bank funding rate, plus in each case, 1.25%. Each borrowing under the credit facility matures no later than 60 days after the
date of borrowing. The Fund also pays a commitment fee equal to its pro rata share of the unused amount of the credit facility at a rate of 0.15% per annum. The commitment fee is included in other expenses in the
Statement of Operations. This agreement expires annually in December unless extended or renewed. Prior to the December 1, 2020 amendment, the Fund has access to a revolving credit facility with a syndicate of banks
led by Citibank, N.A., HSBC Bank USA, N.A. and JPMorgan Chase Bank, N.A. which permitted collective borrowings up to 1 billion. Interest was charged to each participating fund based on its borrowings at a rate equal
to the higher of (i) the federal funds effective rate, (ii) the one-month LIBOR rate and (iii) the overnight bank funding rate, plus in each case, 1.00%.
The Fund had no borrowings during
the six months ended October 31, 2020.
Note 9. Fund
reorganization
At the close of business on July
10, 2020, the Fund acquired the assets and assumed the identified liabilities of Columbia Disciplined Small Core Fund (the Acquired Fund), a series of Columbia Funds Series Trust I. The reorganization was completed
after the Board of Trustees of the Acquired Fund approved a plan of reorganization at a meeting held in February 2020. The purpose of the transaction was to combine two funds managed by the Investment Manager with
comparable investment objectives and strategies.
The aggregate net assets of the
Fund immediately before the reorganization were $437,882,159 and the combined net assets immediately after the reorganization were $505,293,532.
The reorganization was accomplished
by a tax-free exchange of 16,812,075 shares of the Acquired Fund valued at $67,411,373 (including $(3,161,978) of unrealized appreciation/(depreciation)).
In exchange for the Acquired
Fund’s shares, the Fund issued the following number of shares:
| Shares | |
| Class A | 749,058 |
| Advisor Class | 23,850 |
| Class C | 97,768 |
| Institutional Class | 1,392,865(a) |
| Institutional 2 Class | 14,915 |
| Institutional 3 Class | 6,037 |
| 28 | Columbia Small Cap Value Fund I | Semiannual Report 2020 |
Notes to Financial Statements (continued)
October 31, 2020 (Unaudited)
October 31, 2020 (Unaudited)
| (a) | 1,101,599 shares of Institutional Class were issued in exchange of Class V shares of the Acquired Fund. |
For financial reporting purposes,
net assets received and shares issued by the Fund were recorded at fair value; however, the Acquired Fund’s cost of investments was carried forward.
The Fund’s financial
statements reflect both the operations of the Fund for the period prior to the reorganization and the combined Fund for the period subsequent to the reorganization. Because the combined investment portfolios have been
managed as a single integrated portfolio since the reorganization was completed, it is not practicable to separate the amounts of revenue and earnings of the Acquired Fund that have been included in the combined
Fund’s Statement of Operations since the reorganization was completed.
Assuming the reorganization had
been completed on May 1, 2020, the Fund’s pro-forma results of operations for the six months ended October 31, 2020 would have been approximately:
| ($) | |
| Net investment income | 1,916,000 |
| Net realized gain | 2,411,000 |
| Net change in unrealized appreciation | 72,239,000 |
| Net increase in net asset from operations | 76,566,000 |
Note 10. Significant
risks
Financial sector risk
The Fund may be more susceptible to
the particular risks that may affect companies in the financial services sector than if it were invested in a wider variety of companies in unrelated sectors. Companies in the financial services sector are subject to
certain risks, including the risk of regulatory change, decreased liquidity in credit markets and unstable interest rates. Such companies may have concentrated portfolios, such as a high level of loans to real estate
developers, which makes them vulnerable to economic conditions that affect that industry. Performance of such companies may be affected by competitive pressures and exposure to investments, agreements and
counterparties, including credit products that, under certain circumstances, may lead to losses (e.g., subprime loans). Companies in the financial services sector are subject to extensive governmental regulation that
may limit the amount and types of loans and other financial commitments they can make, and interest rates and fees that they may charge. In addition, profitability of such companies is largely dependent upon the
availability and the cost of capital.
Market and environment risk
The Fund may incur losses due to
declines in the value of one or more securities in which it invests. These declines may be due to factors affecting a particular issuer, or the result of, among other things, political, regulatory, market, economic or
social developments affecting the relevant market(s) more generally. In addition, turbulence in financial markets and reduced liquidity in equity, credit and/or fixed income markets may negatively affect many issuers,
which could adversely affect the Fund, including causing difficulty in assigning prices to hard-to-value assets in thinly traded and closed markets, significant redemptions and operational challenges. Global economies
and financial markets are increasingly interconnected, and conditions and events in one country, region or financial market may adversely impact issuers in a different country, region or financial market. These risks
may be magnified if certain events or developments adversely interrupt the global supply chain; in these and other circumstances, such risks might affect companies worldwide. As a result, local, regional or global
events such as terrorism, war, natural disasters, disease/virus outbreaks and epidemics or other public health issues, recessions, depressions or other events – or the potential for such events – could
have a significant negative impact on global economic and market conditions.
The Fund performance may also be
significantly negatively impacted by the economic impact of the coronavirus disease 2019 (COVID-19) pandemic. The COVID-19 public health crisis has become a pandemic that has resulted in, and may continue to result
in, significant global economic and societal disruption and market volatility due to disruptions in market access, resource availability, facilities operations, imposition of tariffs, export controls and supply chain
disruption, among others. Such disruptions may be caused, or exacerbated by, quarantines and travel restrictions, workforce displacement and loss in
| Columbia Small Cap Value Fund I | Semiannual Report 2020 | 29 |
Notes to Financial Statements (continued)
October 31, 2020 (Unaudited)
October 31, 2020 (Unaudited)
human and other resources. The uncertainty
surrounding the magnitude, duration, reach, costs and effects of the global pandemic, as well as actions that have been or could be taken by governmental authorities or other third parties, present unknowns that are
yet to unfold. The impacts, as well as the uncertainty over impacts to come, of COVID-19 – and any other infectious illness outbreaks, epidemics and pandemics that may arise in the future – could
negatively affect global economies and markets in ways that cannot necessarily be foreseen. In addition, the impact of infectious illness outbreaks and epidemics in emerging market countries may be greater due to
generally less established healthcare systems, governments and financial markets. Public health crises caused by the COVID-19 outbreak may exacerbate other pre-existing political, social and economic risks in certain
countries or globally. The disruptions caused by COVID-19 could prevent the Fund from executing advantageous investment decisions in a timely manner and negatively impact the Fund’s ability to achieve its
investment objectives. Any such event(s) could have a significant adverse impact on the value and risk profile of the Fund.
The Investment Manager and its
affiliates have systematically implemented strategies to address the operating environment spurred by the COVID-19 pandemic. To promote the safety and security of our employees and to assure the continuity of our
business operations, we have implemented a work from home protocol for virtually all of our employee population, restricted business travel, and provided resources for complying with the guidance from the World Health
Organization, the U.S. Centers for Disease Control and governments. Our operations teams seek to operate without significant disruptions in service. Our pandemic strategy takes into consideration that a pandemic could
be widespread and may occur in multiple waves, affecting different communities at different times with varying levels of severity. We cannot, however, predict the impact that natural or man-made disasters, including
the COVID-19 pandemic, may have on the ability of our employees and third-party service providers to continue ordinary business operations and technology functions over near- or longer-term periods.
Shareholder concentration risk
At October 31, 2020, two
unaffiliated shareholders of record owned 33.5% of the outstanding shares of the Fund in one or more accounts. The Fund has no knowledge about whether any portion of those shares was owned beneficially. Affiliated
shareholders of record owned 14.8% of the outstanding shares of the Fund in one or more accounts. Subscription and redemption activity by concentrated accounts may have a significant effect on the operations of the
Fund. In the case of a large redemption, the Fund may be forced to sell investments at inopportune times, including its liquid positions, which may result in Fund losses and the Fund holding a higher percentage of
less liquid positions. Large redemptions could result in decreased economies of scale and increased operating expenses for non-redeeming Fund shareholders.
Small- and mid-cap company risk
Investments in small- and
mid-capitalization companies (small- and mid-cap companies) often involve greater risks than investments in larger, more established companies (larger companies) because small- and mid-cap companies tend to have less
predictable earnings and may lack the management experience, financial resources, product diversification and competitive strengths of larger companies. Securities of small- and mid-cap companies may be less liquid
and more volatile than the securities of larger companies.
Note 11. Subsequent
events
Management has evaluated the
events and transactions that have occurred through the date the financial statements were issued and noted no items requiring adjustment of the financial statements or additional disclosure.
Note 12. Information
regarding pending and settled legal proceedings
Ameriprise Financial and certain
of its affiliates have historically been involved in a number of legal, arbitration and regulatory proceedings, including routine litigation, class actions, and governmental actions, concerning matters arising in
connection with the conduct of their business activities. Ameriprise Financial believes that the Fund is not currently the subject of, and that neither Ameriprise Financial nor any of its affiliates are the subject
of, any pending legal, arbitration or regulatory proceedings that are likely to have a material adverse effect on the Fund or the ability of Ameriprise Financial or its affiliates to perform under their contracts with
the Fund. Ameriprise Financial is required to make quarterly (10-Q), annual (10-K) and, as necessary, 8-K filings with the Securities and Exchange Commission (SEC) on legal and regulatory matters that relate to
Ameriprise Financial and its affiliates. Copies of these filings may be obtained by accessing the SEC website at www.sec.gov.
| 30 | Columbia Small Cap Value Fund I | Semiannual Report 2020 |
Notes to Financial Statements (continued)
October 31, 2020 (Unaudited)
October 31, 2020 (Unaudited)
There can be no assurance that
these matters, or the adverse publicity associated with them, will not result in increased Fund redemptions, reduced sale of Fund shares or other adverse consequences to the Fund. Further, although we believe
proceedings are not likely to have a material adverse effect on the Fund or the ability of Ameriprise Financial or its affiliates to perform under their contracts with the Fund, these proceedings are subject to
uncertainties and, as such, we are unable to estimate the possible loss or range of loss that may result. An adverse outcome in one or more of these proceedings could result in adverse judgments, settlements, fines,
penalties or other relief that could have a material adverse effect on the consolidated financial condition or results of operations of Ameriprise Financial or one or more of its affiliates that provides services to
the Funds.
| Columbia Small Cap Value Fund I | Semiannual Report 2020 | 31 |
Board Consideration
and Approval of ManagementAgreement
On June 17, 2020, the Board of
Trustees (the Board) and the Trustees who are not interested persons (as defined in the Investment Company Act of 1940) (the Independent Trustees) of Columbia Funds Series Trust I (the Trust) unanimously approved the
continuation of the Management Agreement (the Management Agreement) with Columbia Management Investment Advisers, LLC (the Investment Manager) with respect to Columbia Small Cap Value Fund I (the Fund), a series of
the Trust. As detailed below, the Board’s Advisory Fees and Expenses Committee (the Committee) and the Board met on multiple occasions to review and discuss, among themselves, with the management team of the
Investment Manager and with an independent fee consultant, materials provided by the Investment Manager, the independent fee consultant and others before determining to approve the continuation of the Management
Agreement.
In connection with their
deliberations regarding the continuation of the Management Agreement, the Committee and the Board evaluated materials requested from the Investment Manager regarding the Fund and the Management Agreement, and
discussed these materials with representatives of the Investment Manager at Committee meetings held on March 10, 2020, April 30, 2020 and June 17, 2020 and at Board meetings held on March 11, 2020 and June 17, 2020.
In addition, the Board and its various committees consider matters bearing on the Management Agreement at other meetings throughout the year and in prior years and meet regularly with senior management of the Trust
and the Investment Manager. Through the Board’s Investment Oversight Committees, Trustees also meet with selected portfolio managers of the funds the Trustees oversee and with other investment personnel at
various times throughout the year. The Committee and the Board also consulted with the independent fee consultant, Fund counsel and the Independent Trustees’ independent legal counsel, who advised on various
matters with respect to the Committee’s and the Board’s considerations and otherwise assisted the Committee and the Board in their deliberations. On June 17, 2020, the Committee recommended that the Board
approve the continuation of the Management Agreement. On June 17, 2020, the Board, including the Independent Trustees, voting separately, unanimously approved the continuation of the Management Agreement for the
Fund.
The Committee and the Board
considered all information that they, their legal counsel or the Investment Manager believed reasonably necessary to evaluate and to determine whether to recommend for approval or approve the continuation of the
Management Agreement. The information and factors considered by the Committee and the Board in recommending for approval or approving the continuation of the Management Agreement for the Fund included the
following:
| • | Information on the investment performance of the Fund relative to the performance of a group of mutual funds determined to be comparable to the Fund by an independent third-party data provider, as well as performance relative to benchmarks; |
| • | Information on the Fund’s management fees and total expenses, including information comparing the Fund’s expenses to those of a group of comparable mutual funds, as determined by the independent third-party data provider; |
| • | The Investment Manager’s agreement to contractually limit or cap total operating expenses for the Fund through August 31, 2021 so that total operating expenses (excluding certain fees and expenses, such as transaction costs and certain other investment related expenses, interest, taxes, acquired fund fees and expenses, and infrequent and/or unusual expenses) would not exceed a specified annual rate, as a percentage of the Fund’s net assets; |
| • | The terms and conditions of the Management Agreement; |
| • | The current and proposed terms and conditions of other agreements and arrangements with affiliates of the Investment Manager relating to the operations of the Fund, including agreements with respect to the provision of distribution, transfer agency and shareholder services to the Fund; |
| • | Descriptions of various functions performed by the Investment Manager under the Management Agreement, including portfolio management and portfolio trading practices; |
| • | Information regarding any recently negotiated management fees of similarly-managed portfolios of other institutional clients of the Investment Manager; |
| • | Information regarding the reputation, regulatory history and resources of the Investment Manager, including information regarding senior management, portfolio managers and other personnel; |
| 32 | Columbia Small Cap Value Fund I | Semiannual Report 2020 |
Board Consideration and Approval of
Management
Agreement (continued)
| • | Information regarding the capabilities of the Investment Manager with respect to compliance monitoring services, including an assessment of the Investment Manager’s compliance system by the Fund’s Chief Compliance Officer; and |
| • | The profitability to the Investment Manager and its affiliates from their relationships with the Fund. |
Nature, extent and quality of
services provided under the Management Agreement
The Committee and the Board
considered the nature, extent and quality of services provided to the Fund by the Investment Manager and its affiliates under the Management Agreement and under separate agreements for the provision of transfer agency
and shareholder services, and the resources dedicated to the Fund and the other Columbia Funds by the Investment Manager and its affiliates. The Committee and the Board considered, among other things, the Investment
Manager’s ability to attract, motivate and retain highly qualified research, advisory and supervisory investment professionals (including compensation programs for personnel involved in fund management,
reputation and other attributes), the portfolio management services provided by those investment professionals, and the quality of the Investment Manager’s investment research capabilities and trade execution
services. The Committee and the Board also considered the potential benefits to shareholders of investing in a mutual fund that is part of a fund complex offering exposure to a variety of asset classes and investment
disciplines and providing a variety of fund and shareholder services.
The Committee and the Board also
considered the professional experience and qualifications of the senior personnel of the Investment Manager, which included consideration of the Investment Manager’s experience with funds using an investment
strategy similar to that used by the Investment Manager for the Fund. The Committee and the Board noted the compliance programs of and the compliance-related resources provided to the Fund by the Investment Manager
and its affiliates and the resources dedicated by the Investment Manager and its affiliates to risk management, and considered the Investment Manager’s ability to provide administrative services to the Fund and
coordinate the activities of the Fund’s other service providers. After reviewing these and related factors, the Committee and the Board concluded, within the context of their overall conclusions, that the
nature, extent and quality of the services provided to the Fund under the Management Agreement supported the continuation of the Management Agreement.
Investment performance
The Committee and the Board
reviewed information about the performance of the Fund over various time periods, including performance information relative to benchmarks, information that compared the performance of the Fund to the performance of a
group of comparable mutual funds as determined by the independent third-party data provider, and information and analysis provided by the independent fee consultant. The Committee and the Board also reviewed a
description of the third party’s methodology for identifying the Fund’s peer groups for purposes of performance and expense comparisons. Although the Fund’s performance lagged that of a relevant peer
group for certain (although not necessarily all) periods, the Committee and the Board concluded that other factors relevant to performance were sufficient, in light of other considerations, to support continuation of
the Management Agreement. Those factors included one or more of the following: (i) that the Fund’s performance, although lagging in certain recent periods, was stronger over the longer term; (ii) that the
underperformance was attributable, to a significant extent, to investment decisions that were reasonable and consistent with the Fund’s investment strategy and policies and that the Fund was performing within a
reasonable range of expectations, given those investment decisions, market conditions and the Fund’s investment strategy; (iii) that the Fund’s performance was competitive when compared to other relevant
performance benchmarks or peer groups; and (iv) that the Investment Manager had taken or was taking steps designed to help improve the Fund’s investment performance, including, but not limited to, replacing
portfolio managers, enhancing the resources supporting the portfolio managers, or modifying investment strategies.
The Committee and the Board noted
that, through December 31, 2019, the Fund’s performance was in the fifty-second, thirty-ninth and twenty-eighth percentile (where the best performance would be in the first percentile) of its category selected
by the independent third-party data provider for the purposes of performance comparisons for the one-, three- and five-year periods, respectively.
| Columbia Small Cap Value Fund I | Semiannual Report 2020 | 33 |
Board Consideration and Approval of
Management
Agreement (continued)
The Committee and the Board also considered the
Investment Manager’s performance and reputation generally, the Investment Manager’s historical responsiveness to Board concerns about performance, and the Investment Manager’s willingness to take
steps intended to improve performance. After reviewing these and related factors, the Committee and the Board concluded, within the context of their overall conclusions, that the performance of the Fund and the
Investment Manager was sufficient, in light of other considerations, to support the continuation of the Management Agreement.
Investment management fee rates
and other expenses
The Committee and the Board
considered the management fees charged to the Fund under the Management Agreement as well as the total expenses incurred by the Fund. In assessing the reasonableness of the fees under the Management Agreement, the
Committee and the Board considered, among other information, the Fund’s total expense ratio as a percentage of average daily net assets. The Committee and the Board considered data provided by the independent
third-party data provider and the independent fee consultant. The Committee and the Board noted that, as of December 31, 2019, the Fund’s actual management fee and net total expense ratio were both ranked in the
fourth quintile (where the lowest fees and expenses would be in the first quintile) against the Fund’s expense universe as determined by the independent third-party data provider for purposes of expense
comparison. The Committee and the Board also took into account the fee waiver and expense limitation arrangements agreed to by the Investment Manager, as noted above.
The Committee and the Board also
received and considered information about the management fees charged by the Investment Manager to institutional accounts. In considering the fees charged to those accounts, the Committee and the Board took into
account, among other things, the Investment Manager’s representations about the differences between managing mutual funds as compared to other types of accounts, including differences in the services provided,
differences in the risk profile of such business for the Investment Manager and the additional resources required to manage mutual funds effectively. The Committee and the Board also received and considered
information about the fees charged by the Investment Manager for sub-advisory services it provides to comparable unaffiliated funds. In evaluating the Fund’s management fees, the Committee and the Board also
took into account the demands, complexity and quality of the investment management of the Fund.
After reviewing these and related
factors, the Committee and the Board concluded, within the context of their overall conclusions, that the management fee rates and expenses of the Fund, in light of other considerations, supported the continuation of
the Management Agreement.
Costs of services provided and
profitability
The Committee and the Board also
took note of the costs the Investment Manager and its affiliates incur in connection with the services provided and the profitability to the Investment Manager and its affiliates from their relationships with the
Fund, and the efforts undertaken by the Investment Manager and its affiliates to manage efficiently their costs to provide such services.
The Committee and the Board also
considered the compensation directly or indirectly received by the Investment Manager’s affiliates in connection with their relationships with the Fund. The Committee and the Board reviewed information provided
by management as to the profitability to the Investment Manager and its affiliates of their relationships with the Fund, information about the allocation of expenses used to calculate profitability, and comparisons of
profitability levels realized in 2019 to profitability levels realized in 2018. When reviewing profitability, the Committee and the Board also considered court cases in which adviser profitability was an issue in
whole or in part, the performance of similarly managed funds, the performance of the Fund, and the expense ratio of the Fund. In addition, the Committee and the Board considered information provided by the Investment
Manager regarding the Investment Manager’s financial condition and comparing its profitability to that of other asset management firms that are, or are subsidiaries of, publicly traded companies. In this regard,
the Committee and the Board also considered data provided by the independent fee consultant.
After reviewing these and related
factors, the Committee and the Board concluded, within the context of their overall conclusions, that the costs of services provided and the profitability to the Investment Manager and its affiliates from their
relationships with the Fund supported the continuation of the Management Agreement.
| 34 | Columbia Small Cap Value Fund I | Semiannual Report 2020 |
Board Consideration and Approval of
Management
Agreement (continued)
Economies of scale
The Committee and the Board
considered the potential existence of economies of scale in the provision by the Investment Manager of services to the Fund, to groups of related funds, and to the Investment Manager’s investment advisory
clients as a whole, and whether those economies of scale were shared with the Fund through breakpoints in investment management fees or other means, such as expense limitation arrangements and additional investments
by the Investment Manager in investment, trading, compliance and other resources. The Committee and the Board noted that the management fee schedules for the Fund contained breakpoints that would reduce the fee rate
on assets above specified threshold levels.
In considering these matters, the
Committee and the Board also considered the costs of the services provided and the profitability to the Investment Manager and its affiliates from their relationships with the Fund, as noted above. After reviewing
these and related factors, the Committee and the Board concluded, within the context of their overall conclusions, that the extent to which any economies of scale were expected to be shared with the Fund supported the
continuation of the Management Agreement.
Other benefits to the Investment
Manager
The Committee and the Board
received and considered information regarding “fall-out” or ancillary benefits received by the Investment Manager and its affiliates as a result of their relationships with the Fund, such as the engagement
of the Investment Manager’s affiliates to provide distribution, transfer agency and shareholder services to the Fund. In this regard, among other matters, the Committee and the Board considered that the
Fund’s distributor retains a portion of the distribution fees from the Fund and receives a portion of the sales charges on sales or redemptions of certain classes of shares of the Fund. The Committee and the
Board also considered the benefits of research made available to the Investment Manager by reason of brokerage commissions generated by the Fund’s securities transactions, and reviewed information about the
Investment Manager’s practices with respect to considering brokerage and research services when allocating portfolio transactions. In this connection, the Board also noted that the amount of research made
available to the Investment Manager by reason of brokerage commissions had been declining over time, and may decline further. The Committee and the Board recognized that the Investment Manager’s profitability
would be somewhat lower without these benefits.
Conclusion
The Committee and the Board
reviewed all of the above considerations in reaching their decisions to recommend or approve the continuation of the Management Agreement. In their deliberations, the Trustees did not identify any particular
information that was all-important or controlling, and individual Trustees may have attributed different weights to the various factors. Based on their evaluation of all factors that they deemed to be material,
including those factors described above, and assisted by the advice of independent legal counsel, the Board, including the Independent Trustees, voting separately, unanimously approved the continuation of the
Management Agreement.
| Columbia Small Cap Value Fund I | Semiannual Report 2020 | 35 |
Please read and consider the
investment objectives, risks, charges and expenses for any fund carefully before investing. For a prospectus and summary prospectus, which contains this and other important information about the Fund, go to
columbiathreadneedleus.com/investor/. The Fund is distributed by Columbia Management Investment Distributors, Inc., member FINRA, and managed by Columbia Management Investment Advisers, LLC.
columbiathreadneedleus.com/investor/. The Fund is distributed by Columbia Management Investment Distributors, Inc., member FINRA, and managed by Columbia Management Investment Advisers, LLC.
Columbia Threadneedle Investments
(Columbia Threadneedle) is the global brand name of the Columbia and Threadneedle group of companies. All rights reserved.
© 2020 Columbia Management Investment
Advisers, LLC.
columbiathreadneedleus.com/investor/
SAR287_04_K01_(12/20)
Columbia U.S.
Treasury Index Fund
Beginning on January 1, 2021, as
permitted by regulations adopted by the Securities and Exchange Commission, paper copies of the Fund’s annual and semiannual shareholder reports like this one will no longer be sent by mail, unless you
specifically request paper copies of the reports. Instead, the reports will be made available on the Fund’s website (columbiathreadneedleus.com/investor/), and each time a report is posted you will be notified
by mail and provided with a website address to access the report.
If you have already elected to
receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You may elect to receive shareholder reports and other communications from the Fund electronically
at any time by contacting your financial intermediary (such as a broker-dealer or bank) or, for Fund shares held directly with the Fund, by calling 800.345.6611 or by enrolling in “eDelivery” by logging
into your account at columbiathreadneedleus.com/investor/.
You may elect to receive all future
shareholder reports in paper free of charge. If you invest through a financial intermediary, you can contact your financial intermediary to request that you continue receiving paper copies of your shareholder reports.
If you invest directly with the Fund, you can call 800.345.6611 to let the Fund know you wish to continue receiving paper copies of your shareholder reports. Your election to receive paper reports will apply to all
Columbia Funds held in your account if you invest through a financial intermediary or all Columbia Funds held with the fund complex if you invest directly with the Fund.
Not Federally Insured • No
Financial Institution Guarantee • May Lose Value
Table of Contents
| 3 | |
| 5 | |
| 6 | |
| 10 | |
| 11 | |
| 12 | |
| 14 | |
| 18 | |
| 26 |
Columbia U.S. Treasury Index Fund
(the Fund) mails one shareholder report to each shareholder address, unless such shareholder elected to receive shareholder reports from the Fund electronically. If you would like more than one report, please call
shareholder services at 800.345.6611 and additional reports will be sent to you.
Proxy voting policies and
procedures
The policy of the Board of Trustees
is to vote the proxies of the companies in which the Fund holds investments consistent with the procedures as stated in the Statement of Additional Information (SAI). You may obtain a copy of the SAI without charge by
calling 800.345.6611; contacting your financial intermediary; visiting columbiathreadneedleus.com/investor/; or searching the website of the Securities and Exchange Commission (SEC) at sec.gov. Information regarding
how the Fund voted proxies relating to portfolio securities is filed with the SEC by August 31st for the most recent 12-month period ending June 30th of that year, and is available without charge by visiting
columbiathreadneedleus.com/investor/, or searching the website of the SEC at sec.gov.
Quarterly schedule of
investments
The Fund files a complete schedule
of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-PORT. The Fund’s Form N-PORT filings are available on the SEC’s website at sec.gov. The Fund’s
complete schedule of portfolio holdings, as filed on Form N-PORT, can also be obtained without charge, upon request, by calling 800.345.6611.
Additional Fund information
For more information about the
Fund, please visit columbiathreadneedleus.com/investor/ or call 800.345.6611. Customer Service Representatives are available to answer your questions Monday through Friday from 8 a.m. to 7 p.m. Eastern time.
Fund investment manager
Columbia Management Investment Advisers, LLC (the
Investment Manager)
225 Franklin Street
Boston, MA 02110
Fund distributor
Columbia Management Investment Distributors,
Inc.
225 Franklin Street
Boston, MA 02110
Fund transfer agent
Columbia Management Investment Services Corp.
P.O. Box 219104
Kansas City, MO 64121-9104
Columbia U.S. Treasury Index
Fund | Semiannual Report 2020
Fund at a Glance
(Unaudited)
(Unaudited)
Investment objective
The Fund
seeks total return that corresponds to the total return of the FTSE USBIG Treasury Index, before fees and expenses.
Portfolio management
Alan Erickson, CFA
Portfolio Manager
Managed Fund since 2017
| Columbia U.S. Treasury Index Fund | Semiannual Report 2020 | 3 |
Fund at a Glance (continued)
(Unaudited)
(Unaudited)
| 4 | Columbia U.S. Treasury Index Fund | Semiannual Report 2020 |
Understanding Your Fund’s
Expenses
(Unaudited)
(Unaudited)
As an investor, you incur two types
of costs. There are shareholder transaction costs, which generally include sales charges on purchases and may include redemption fees. There are also ongoing fund costs, which generally include management fees,
distribution and/or service fees, and other fund expenses. The following information is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to help you compare these costs with
the ongoing costs of investing in other mutual funds.
Analyzing your Fund’s
expenses
To illustrate these ongoing
costs, we have provided examples and calculated the expenses paid by investors in each share class of the Fund during the period. The actual and hypothetical information in the table is based on an initial investment
of $1,000 at the beginning of the period indicated and held for the entire period. Expense information is calculated two ways and each method provides you with different information. The amount listed in the
“Actual” column is calculated using the Fund’s actual operating expenses and total return for the period. You may use the Actual information, together with the amount invested, to estimate the
expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the results by the expenses paid during the period under
the “Actual” column. The amount listed in the “Hypothetical” column assumes a 5% annual rate of return before expenses (which is not the Fund’s actual return) and then applies the
Fund’s actual expense ratio for the period to the hypothetical return. You should not use the hypothetical account values and expenses to estimate either your actual account balance at the end of the period or
the expenses you paid during the period. See “Compare with other funds” below for details on how to use the hypothetical data.
Compare with other funds
Since all mutual funds are
required to include the same hypothetical calculations about expenses in shareholder reports, you can use this information to compare the ongoing cost of investing in the Fund with other funds. To do so, compare the
hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds. As you compare hypothetical examples of other funds, it is important to note that hypothetical examples are
meant to highlight the ongoing costs of investing in a fund only and do not reflect any transaction costs, such as sales charges, or redemption or exchange fees. Therefore, the hypothetical calculations are useful in
comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. If transaction costs were included in these calculations, your costs would be higher.
| May 1, 2020 — October 31, 2020 | |||||||
| Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | ||||
| Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | |
| Class A | 1,000.00 | 1,000.00 | 988.50 | 1,023.46 | 1.60 | 1.62 | 0.32 |
| Class C | 1,000.00 | 1,000.00 | 985.90 | 1,020.05 | 4.98 | 5.06 | 1.00 |
| Institutional Class | 1,000.00 | 1,000.00 | 990.10 | 1,024.22 | 0.85 | 0.86 | 0.17 |
| Institutional 2 Class | 1,000.00 | 1,000.00 | 990.00 | 1,024.22 | 0.85 | 0.86 | 0.17 |
| Institutional 3 Class | 1,000.00 | 1,000.00 | 990.20 | 1,024.22 | 0.85 | 0.86 | 0.17 |
Expenses paid during the period
are equal to the annualized expense ratio for each class as indicated above, multiplied by the average account value over the period and then multiplied by the number of days in the Fund’s most recent fiscal
half year and divided by 365.
Expenses do not include fees and
expenses incurred indirectly by the Fund from its investment in underlying funds, including affiliated and non-affiliated pooled investment vehicles, such as mutual funds and exchange-traded funds.
Had Columbia Management Investment
Advisers, LLC and/or certain of its affiliates not waived/reimbursed certain fees and expenses, account value at the end of the period would have been reduced.
| Columbia U.S. Treasury Index Fund | Semiannual Report 2020 | 5 |
Portfolio of Investments
October 31, 2020 (Unaudited)
October 31, 2020 (Unaudited)
(Percentages represent value of
investments compared to net assets)
Investments in securities
The accompanying Notes to Financial
Statements are an integral part of this statement.
| 6 | Columbia U.S. Treasury Index Fund | Semiannual Report 2020 |
Portfolio of Investments (continued)
October 31, 2020 (Unaudited)
October 31, 2020 (Unaudited)
The accompanying Notes to Financial
Statements are an integral part of this statement.
| Columbia U.S. Treasury Index Fund | Semiannual Report 2020 | 7 |
Portfolio of Investments (continued)
October 31, 2020 (Unaudited)
October 31, 2020 (Unaudited)
| Money Market Funds 0.2% | ||
| Shares | Value ($) | |
| Columbia Short-Term Cash Fund, 0.128%(a),(b) | 2,533,502 | 2,533,248 |
| Total Money Market Funds (Cost $2,532,882) | 2,533,248 | |
| Total Investments in Securities (Cost: $1,099,525,735) | 1,173,509,643 | |
| Other Assets & Liabilities, Net | 6,862,833 | |
| Net Assets | 1,180,372,476 | |
Notes to Portfolio of
Investments
| (a) | The rate shown is the seven-day current annualized yield at October 31, 2020. |
| (b) | As defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended October 31, 2020 are as follows: |
| Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Realized gain (loss)($) | Dividends($) | End of period shares |
| Columbia Short-Term Cash Fund, 0.128% | ||||||||
| 12,559,865 | 119,522,965 | (129,547,745) | (1,837) | 2,533,248 | (1,872) | 6,751 | 2,533,502 | |
Fair value measurements
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’s 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. 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.
The accompanying Notes to Financial Statements are
an integral part of this statement.
| 8 | Columbia U.S. Treasury Index Fund | Semiannual Report 2020 |
Portfolio of Investments (continued)
October 31, 2020 (Unaudited)
October 31, 2020 (Unaudited)
Fair value measurements (continued)
The following table is a summary of the inputs used to value the Fund’s investments at October 31, 2020:
The following table is a summary of the inputs used to value the Fund’s investments at October 31, 2020:
| Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | |
| Investments in Securities | ||||
| U.S. Treasury Obligations | 1,170,976,395 | — | — | 1,170,976,395 |
| Money Market Funds | 2,533,248 | — | — | 2,533,248 |
| Total Investments in Securities | 1,173,509,643 | — | — | 1,173,509,643 |
See the Portfolio of Investments for
all investment classifications not indicated in the table.
The accompanying Notes to Financial Statements are
an integral part of this statement.
| Columbia U.S. Treasury Index Fund | Semiannual Report 2020 | 9 |
Statement of Assets and Liabilities
October 31, 2020 (Unaudited)
October 31, 2020 (Unaudited)
| Assets | |
| Investments in securities, at value | |
| Unaffiliated issuers (cost $1,096,992,853) | $1,170,976,395 |
| Affiliated issuers (cost $2,532,882) | 2,533,248 |
| Receivable for: | |
| Investments sold | 18,903,227 |
| Capital shares sold | 1,966,266 |
| Dividends | 621 |
| Interest | 6,773,288 |
| Expense reimbursement due from Investment Manager | 7,508 |
| Trustees’ deferred compensation plan | 122,250 |
| Total assets | 1,201,282,803 |
| Liabilities | |
| Payable for: | |
| Investments purchased | 18,652,030 |
| Capital shares purchased | 811,069 |
| Distributions to shareholders | 1,311,539 |
| Management services fees | 12,903 |
| Distribution and/or service fees | 453 |
| Other expenses | 83 |
| Trustees’ deferred compensation plan | 122,250 |
| Total liabilities | 20,910,327 |
| Net assets applicable to outstanding capital stock | $1,180,372,476 |
| Represented by | |
| Paid in capital | 1,100,904,704 |
| Total distributable earnings (loss) | 79,467,772 |
| Total - representing net assets applicable to outstanding capital stock | $1,180,372,476 |
| Class A | |
| Net assets | $58,740,867 |
| Shares outstanding | 4,861,152 |
| Net asset value per share | $12.08 |
| Class C | |
| Net assets | $9,857,043 |
| Shares outstanding | 815,815 |
| Net asset value per share | $12.08 |
| Institutional Class | |
| Net assets | $577,250,406 |
| Shares outstanding | 47,753,006 |
| Net asset value per share | $12.09 |
| Institutional 2 Class | |
| Net assets | $65,050,963 |
| Shares outstanding | 5,392,598 |
| Net asset value per share | $12.06 |
| Institutional 3 Class | |
| Net assets | $469,473,197 |
| Shares outstanding | 38,615,400 |
| Net asset value per share | $12.16 |
The accompanying Notes to Financial Statements are
an integral part of this statement.
| 10 | Columbia U.S. Treasury Index Fund | Semiannual Report 2020 |
Statement of Operations
Six Months Ended October 31, 2020 (Unaudited)
Six Months Ended October 31, 2020 (Unaudited)
| Net investment income | |
| Income: | |
| Dividends — affiliated issuers | $6,751 |
| Interest | 9,053,731 |
| Total income | 9,060,482 |
| Expenses: | |
| Management services fees | 2,245,669 |
| Distribution and/or service fees | |
| Class A | 69,633 |
| Class C | 45,541 |
| Compensation of board members | 17,538 |
| Other | 1,093 |
| Total expenses | 2,379,474 |
| Fees waived or expenses reimbursed by Investment Manager and its affiliates | (1,307,277) |
| Fees waived by distributor | |
| Class A | (27,899) |
| Class C | (7,652) |
| Expense reduction | (560) |
| Total net expenses | 1,036,086 |
| Net investment income | 8,024,396 |
| Realized and unrealized gain (loss) — net | |
| Net realized gain (loss) on: | |
| Investments — unaffiliated issuers | 4,762,666 |
| Investments — affiliated issuers | (1,872) |
| Net realized gain | 4,760,794 |
| Net change in unrealized appreciation (depreciation) on: | |
| Investments — unaffiliated issuers | (25,006,304) |
| Investments — affiliated issuers | (1,837) |
| Net change in unrealized appreciation (depreciation) | (25,008,141) |
| Net realized and unrealized loss | (20,247,347) |
| Net decrease in net assets resulting from operations | $(12,222,951) |
The accompanying Notes to
Financial Statements are an integral part of this statement.
| Columbia U.S. Treasury Index Fund | Semiannual Report 2020 | 11 |
Statement of Changes in Net Assets
| Six Months Ended October 31, 2020 (Unaudited) | Year Ended April 30, 2020 | |
| Operations | ||
| Net investment income | $8,024,396 | $18,899,109 |
| Net realized gain | 4,760,794 | 13,906,991 |
| Net change in unrealized appreciation (depreciation) | (25,008,141) | 92,971,205 |
| Net increase (decrease) in net assets resulting from operations | (12,222,951) | 125,777,305 |
| Distributions to shareholders | ||
| Net investment income and net realized gains | ||
| Class A | (361,774) | (691,605) |
| Class C | (27,820) | (44,719) |
| Institutional Class | (4,166,876) | (9,616,113) |
| Institutional 2 Class | (403,779) | (796,599) |
| Institutional 3 Class | (3,106,580) | (7,744,004) |
| Total distributions to shareholders | (8,066,829) | (18,893,040) |
| Increase in net assets from capital stock activity | 93,031,675 | 157,956,007 |
| Total increase in net assets | 72,741,895 | 264,840,272 |
| Net assets at beginning of period | 1,107,630,581 | 842,790,309 |
| Net assets at end of period | $1,180,372,476 | $1,107,630,581 |
The accompanying Notes to
Financial Statements are an integral part of this statement.
| 12 | Columbia U.S. Treasury Index Fund | Semiannual Report 2020 |
Statement of Changes in Net Assets (continued)
| Six Months Ended | Year Ended | |||
| October 31, 2020 (Unaudited) | April 30, 2020 | |||
| Shares | Dollars ($) | Shares | Dollars ($) | |
| Capital stock activity | ||||
| Class A | ||||
| Subscriptions | 1,614,721 | 19,751,700 | 3,489,419 | 41,663,933 |
| Distributions reinvested | 17,306 | 211,536 | 30,276 | 352,443 |
| Redemptions | (991,235) | (12,119,641) | (2,544,507) | (29,862,330) |
| Net increase | 640,792 | 7,843,595 | 975,188 | 12,154,046 |
| Class C | ||||
| Subscriptions | 372,571 | 4,552,004 | 505,393 | 5,939,164 |
| Distributions reinvested | 2,266 | 27,699 | 3,750 | 43,694 |
| Redemptions | (121,129) | (1,477,858) | (201,633) | (2,338,843) |
| Net increase | 253,708 | 3,101,845 | 307,510 | 3,644,015 |
| Institutional Class | ||||
| Subscriptions | 8,657,813 | 105,863,283 | 28,352,853 | 326,628,841 |
| Distributions reinvested | 327,506 | 4,007,007 | 795,276 | 9,247,081 |
| Redemptions | (8,545,779) | (104,093,083) | (11,201,780) | (129,793,821) |
| Net increase | 439,540 | 5,777,207 | 17,946,349 | 206,082,101 |
| Institutional 2 Class | ||||
| Subscriptions | 2,433,788 | 29,630,819 | 2,670,305 | 31,549,517 |
| Distributions reinvested | 10,040 | 122,552 | 10,018 | 117,091 |
| Redemptions | (1,229,259) | (15,032,650) | (1,766,617) | (20,768,799) |
| Net increase | 1,214,569 | 14,720,721 | 913,706 | 10,897,809 |
| Institutional 3 Class | ||||
| Subscriptions | 9,435,980 | 116,035,181 | 22,455,255 | 267,873,940 |
| Distributions reinvested | 252,338 | 3,104,298 | 664,076 | 7,740,810 |
| Redemptions | (4,671,538) | (57,551,172) | (29,735,701) | (350,436,714) |
| Net increase (decrease) | 5,016,780 | 61,588,307 | (6,616,370) | (74,821,964) |
| Total net increase | 7,565,389 | 93,031,675 | 13,526,383 | 157,956,007 |
The accompanying Notes to Financial Statements are
an integral part of this statement.
| Columbia U.S. Treasury Index Fund | Semiannual Report 2020 | 13 |
Financial Highlights
The following table is intended to
help you understand the Fund’s financial performance. Certain information reflects financial results for a single share of a class held for the periods shown. Per share net investment income (loss) amounts are
calculated based on average shares outstanding during the period. Total return assumes reinvestment of all dividends and distributions, if any. Total return does not reflect payment of sales charges, if any. Total
return and portfolio turnover are not annualized for periods of less than one year. The portfolio turnover rate is calculated without regard to purchase and sales transactions of short-term instruments and certain
derivatives, if any. If such transactions were included, the Fund’s portfolio turnover rate may be higher.
| Net asset value, beginning of period | Net investment income | Net realized and unrealized gain (loss) | Total from investment operations | Distributions from net investment income | Distributions from net realized gains | Total distributions to shareholders | |
| Class A | |||||||
| Six Months Ended 10/31/2020 (Unaudited) | $12.30 | 0.08 | (0.22) | (0.14) | (0.08) | — | (0.08) |
| Year Ended 4/30/2020 | $11.00 | 0.21 | 1.30 | 1.51 | (0.21) | — | (0.21) |
| Year Ended 4/30/2019 | $10.75 | 0.21 | 0.25 | 0.46 | (0.21) | — | (0.21) |
| Year Ended 4/30/2018 | $11.06 | 0.16 | (0.31) | (0.15) | (0.16) | — | (0.16) |
| Year Ended 4/30/2017 | $11.34 | 0.14 | (0.25) | (0.11) | (0.14) | (0.03) | (0.17) |
| Year Ended 4/30/2016 | $11.28 | 0.14 | 0.12 | 0.26 | (0.14) | (0.06) | (0.20) |
| Class C | |||||||
| Six Months Ended 10/31/2020 (Unaudited) | $12.29 | 0.04 | (0.21) | (0.17) | (0.04) | — | (0.04) |
| Year Ended 4/30/2020 | $11.00 | 0.13 | 1.29 | 1.42 | (0.13) | — | (0.13) |
| Year Ended 4/30/2019 | $10.75 | 0.13 | 0.25 | 0.38 | (0.13) | — | (0.13) |
| Year Ended 4/30/2018 | $11.06 | 0.09 | (0.31) | (0.22) | (0.09) | — | (0.09) |
| Year Ended 4/30/2017 | $11.34 | 0.06 | (0.24) | (0.18) | (0.07) | (0.03) | (0.10) |
| Year Ended 4/30/2016 | $11.28 | 0.07 | 0.12 | 0.19 | (0.07) | (0.06) | (0.13) |
| Institutional Class | |||||||
| Six Months Ended 10/31/2020 (Unaudited) | $12.30 | 0.09 | (0.21) | (0.12) | (0.09) | — | (0.09) |
| Year Ended 4/30/2020 | $11.01 | 0.23 | 1.29 | 1.52 | (0.23) | — | (0.23) |
| Year Ended 4/30/2019 | $10.75 | 0.22 | 0.27 | 0.49 | (0.23) | — | (0.23) |
| Year Ended 4/30/2018 | $11.06 | 0.18 | (0.31) | (0.13) | (0.18) | — | (0.18) |
| Year Ended 4/30/2017 | $11.34 | 0.16 | (0.25) | (0.09) | (0.16) | (0.03) | (0.19) |
| Year Ended 4/30/2016 | $11.28 | 0.16 | 0.12 | 0.28 | (0.16) | (0.06) | (0.22) |
| Institutional 2 Class | |||||||
| Six Months Ended 10/31/2020 (Unaudited) | $12.27 | 0.09 | (0.21) | (0.12) | (0.09) | — | (0.09) |
| Year Ended 4/30/2020 | $10.98 | 0.23 | 1.29 | 1.52 | (0.23) | — | (0.23) |
| Year Ended 4/30/2019 | $10.73 | 0.23 | 0.25 | 0.48 | (0.23) | — | (0.23) |
| Year Ended 4/30/2018 | $11.04 | 0.18 | (0.31) | (0.13) | (0.18) | — | (0.18) |
| Year Ended 4/30/2017 | $11.32 | 0.16 | (0.25) | (0.09) | (0.16) | (0.03) | (0.19) |
| Year Ended 4/30/2016 | $11.26 | 0.16 | 0.12 | 0.28 | (0.16) | (0.06) | (0.22) |
The accompanying Notes to
Financial Statements are an integral part of this statement.
| 14 | Columbia U.S. Treasury Index Fund | Semiannual Report 2020 |
Financial Highlights (continued)
| Net asset value, end of period | Total return | Total gross expense ratio to average net assets(a) | Total net expense ratio to average net assets(a),(b) | Net investment income ratio to average net assets | Portfolio turnover | Net assets, end of period (000’s) | |
| Class A | |||||||
| Six Months Ended 10/31/2020 (Unaudited) | $12.08 | (1.15%) | 0.65%(c) | 0.32%(c),(d) | 1.29%(c) | 17% | $58,741 |
| Year Ended 4/30/2020 | $12.30 | 13.88% | 0.65% | 0.33%(d) | 1.83% | 54% | $51,890 |
| Year Ended 4/30/2019 | $11.00 | 4.32% | 0.65% | 0.35%(d) | 1.93% | 50% | $35,707 |
| Year Ended 4/30/2018 | $10.75 | (1.35%) | 0.65% | 0.35%(d) | 1.49% | 27% | $45,074 |
| Year Ended 4/30/2017 | $11.06 | (0.94%) | 0.65% | 0.35%(d) | 1.27% | 50% | $48,312 |
| Year Ended 4/30/2016 | $11.34 | 2.38% | 0.66% | 0.35%(d) | 1.30% | 91% | $41,893 |
| Class C | |||||||
| Six Months Ended 10/31/2020 (Unaudited) | $12.08 | (1.41%) | 1.40%(c) | 1.00%(c),(d) | 0.61%(c) | 17% | $9,857 |
| Year Ended 4/30/2020 | $12.29 | 13.00% | 1.41% | 1.03%(d) | 1.12% | 54% | $6,910 |
| Year Ended 4/30/2019 | $11.00 | 3.59% | 1.40% | 1.05%(d) | 1.23% | 50% | $2,801 |
| Year Ended 4/30/2018 | $10.75 | (2.03%) | 1.41% | 1.05%(d) | 0.78% | 27% | $4,143 |
| Year Ended 4/30/2017 | $11.06 | (1.63%) | 1.40% | 1.05%(d) | 0.56% | 50% | $6,938 |
| Year Ended 4/30/2016 | $11.34 | 1.67% | 1.41% | 1.05%(d) | 0.59% | 91% | $9,892 |
| Institutional Class | |||||||
| Six Months Ended 10/31/2020 (Unaudited) | $12.09 | (0.99%) | 0.40%(c) | 0.17%(c),(d) | 1.44%(c) | 17% | $577,250 |
| Year Ended 4/30/2020 | $12.30 | 13.95% | 0.40% | 0.18%(d) | 1.98% | 54% | $581,931 |
| Year Ended 4/30/2019 | $11.01 | 4.57% | 0.40% | 0.20%(d) | 2.08% | 50% | $323,226 |
| Year Ended 4/30/2018 | $10.75 | (1.20%) | 0.40% | 0.20%(d) | 1.64% | 27% | $392,889 |
| Year Ended 4/30/2017 | $11.06 | (0.79%) | 0.40% | 0.20%(d) | 1.42% | 50% | $380,519 |
| Year Ended 4/30/2016 | $11.34 | 2.54% | 0.41% | 0.20%(d) | 1.44% | 91% | $274,641 |
| Institutional 2 Class | |||||||
| Six Months Ended 10/31/2020 (Unaudited) | $12.06 | (1.00%) | 0.40%(c) | 0.17%(c) | 1.44%(c) | 17% | $65,051 |
| Year Ended 4/30/2020 | $12.27 | 13.98% | 0.40% | 0.18% | 1.98% | 54% | $51,284 |
| Year Ended 4/30/2019 | $10.98 | 4.48% | 0.40% | 0.20% | 2.10% | 50% | $35,855 |
| Year Ended 4/30/2018 | $10.73 | (1.20%) | 0.40% | 0.20% | 1.65% | 27% | $30,710 |
| Year Ended 4/30/2017 | $11.04 | (0.80%) | 0.41% | 0.20% | 1.45% | 50% | $24,839 |
| Year Ended 4/30/2016 | $11.32 | 2.54% | 0.41% | 0.20% | 1.45% | 91% | $3,906 |
The accompanying Notes to
Financial Statements are an integral part of this statement.
| Columbia U.S. Treasury Index Fund | Semiannual Report 2020 | 15 |
Financial Highlights (continued)
| Net asset value, beginning of period | Net investment income | Net realized and unrealized gain (loss) | Total from investment operations | Distributions from net investment income | Distributions from net realized gains | Total distributions to shareholders | |
| Institutional 3 Class | |||||||
| Six Months Ended 10/31/2020 (Unaudited) | $12.37 | 0.09 | (0.21) | (0.12) | (0.09) | — | (0.09) |
| Year Ended 4/30/2020 | $11.07 | 0.23 | 1.30 | 1.53 | (0.23) | — | (0.23) |
| Year Ended 4/30/2019 | $10.81 | 0.23 | 0.26 | 0.49 | (0.23) | — | (0.23) |
| Year Ended 4/30/2018 | $11.13 | 0.18 | (0.32) | (0.14) | (0.18) | — | (0.18) |
| Year Ended 4/30/2017(e) | $11.02 | 0.03 | 0.11(f) | 0.14 | (0.03) | — | (0.03) |
| Notes to Financial Highlights | |
| (a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
| (b) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
| (c) | Annualized. |
| (d) | The benefits derived from expense reductions had an impact of less than 0.01%. |
| (e) | Institutional 3 Class shares commenced operations on March 1, 2017. Per share data and total return reflect activity from that date. |
| (f) | Calculation of the net gain (loss) per share (both realized and unrealized) does not correlate to the aggregate realized and unrealized gain (loss) presented in the Statement of Operations due to the timing of subscriptions and redemptions of Fund shares in relation to fluctuations in the market value of the portfolio. |
The accompanying Notes to
Financial Statements are an integral part of this statement.
| 16 | Columbia U.S. Treasury Index Fund | Semiannual Report 2020 |
Financial Highlights (continued)
| Net asset value, end of period | Total return | Total gross expense ratio to average net assets(a) | Total net expense ratio to average net assets(a),(b) | Net investment income ratio to average net assets | Portfolio turnover | Net assets, end of period (000’s) | |
| Institutional 3 Class | |||||||
| Six Months Ended 10/31/2020 (Unaudited) | $12.16 | (0.98%) | 0.40%(c) | 0.17%(c) | 1.44%(c) | 17% | $469,473 |
| Year Ended 4/30/2020 | $12.37 | 13.97% | 0.40% | 0.18% | 2.00% | 54% | $415,616 |
| Year Ended 4/30/2019 | $11.07 | 4.56% | 0.40% | 0.20% | 2.10% | 50% | $445,200 |
| Year Ended 4/30/2018 | $10.81 | (1.27%) | 0.40% | 0.20% | 1.66% | 27% | $401,768 |
| Year Ended 4/30/2017(e) | $11.13 | 1.24% | 0.40%(c) | 0.20%(c) | 1.52%(c) | 50% | $252,341 |
The accompanying Notes to Financial Statements are
an integral part of this statement.
| Columbia U.S. Treasury Index Fund | Semiannual Report 2020 | 17 |
Notes to Financial Statements
October 31, 2020 (Unaudited)
October 31, 2020 (Unaudited)
Note 1. Organization
Columbia U.S. Treasury Index Fund
(the Fund), a series of Columbia Funds Series Trust I (the Trust), is a diversified fund. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management
investment company organized as a Massachusetts business trust.
Fund shares
The Trust may issue an unlimited
number of shares (without par value). The Fund offers each of the share classes listed in the Statement of Assets and Liabilities. Although all share classes generally have identical voting, dividend and liquidation
rights, each share class votes separately when required by the Trust’s organizational documents or by law. Each share class has its own expense and sales charge structure. Different share classes may have
different minimum initial investment amounts and pay different net investment income distribution amounts to the extent the expenses of distributing such share classes vary. Distributions to shareholders in a
liquidation will be proportional to the net asset value of each share class.
As described in the Fund’s
prospectus, Class A and Class C shares are offered to the general public for investment. Class C shares automatically convert to Class A shares after 10 years. Institutional Class, Institutional 2 Class and
Institutional 3 Class shares are available through authorized investment professionals to omnibus retirement plans or to institutional investors and to certain other investors as also described in the Fund’s
prospectus.
Note 2. Summary of
significant accounting policies
Basis of preparation
The Fund is an investment company
that applies the accounting and reporting guidance in the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946, Financial Services - Investment Companies (ASC 946). The financial statements are prepared in accordance with U.S. generally accepted accounting principles (GAAP), which requires
management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities, the disclosure of contingent assets and liabilities at the date of the financial statements and the
reported amounts of income and expenses during the reporting period. Actual results could differ from those estimates.
The following is a summary of
significant accounting policies followed by the Fund in the preparation of its financial statements.
Security valuation
Debt securities generally are
valued by pricing services approved by the Board of Trustees based upon market transactions for normal, institutional-size trading units of similar securities. The services may use various pricing techniques that take
into account, as applicable, factors such as yield, quality, coupon rate, maturity, type of issue, trading characteristics and other data, as well as approved independent broker-dealer quotes. Debt securities for
which quotations are not readily available or not believed to be reflective of market value may also be valued based upon a bid quote from an approved independent broker-dealer. Debt securities maturing in 60 days or
less are valued primarily at amortized market value, unless this method results in a valuation that management believes does not approximate fair value.
Investments in open-end investment
companies (other than exchange-traded funds (ETFs)), are valued at the latest net asset value reported by those companies as of the valuation time.
Investments for which market
quotations are not readily available, or that have quotations which management believes are not reflective of market value or reliable, are valued at fair value as determined in good faith under procedures approved by
and under the general supervision of the Board of Trustees. If a security or class of securities (such as foreign securities) is valued at fair value, such value is likely to be different from the quoted or published
price for the security, if available.
The determination of fair value
often requires significant judgment. To determine fair value, management may use assumptions including but not limited to future cash flows and estimated risk premiums. Multiple inputs from various sources may be used
to determine fair value.
| 18 | Columbia U.S. Treasury Index Fund | Semiannual Report 2020 |
Notes to Financial Statements (continued)
October 31, 2020 (Unaudited)
October 31, 2020 (Unaudited)
GAAP requires 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. This information is disclosed following
the Fund’s Portfolio of Investments.
Security transactions
Security transactions are accounted
for on the trade date. Cost is determined and gains (losses) are based upon the specific identification method for both financial statement and federal income tax purposes.
Income recognition
Interest income is recorded on an
accrual basis. Market premiums and discounts, including original issue discounts, are amortized and accreted, respectively, over the expected life of the security on all debt securities, unless otherwise noted.
The Fund may place a debt security
on non-accrual status and reduce related interest income when it becomes probable that the interest will not be collected and the amount of uncollectible interest can be reasonably estimated. A defaulted debt security
is removed from non-accrual status when the issuer resumes interest payments or when collectibility of interest is reasonably assured.
Dividend income is recorded on the
ex-dividend date.
Expenses
General expenses of the Trust are
allocated to the Fund and other funds of the Trust based upon relative net assets or other expense allocation methodologies determined by the nature of the expense. Expenses directly attributable to the Fund are
charged to the Fund. Expenses directly attributable to a specific class of shares are charged to that share class.
Determination of class net asset
value
All income, expenses (other than
class-specific expenses, which are charged to that share class, as shown in the Statement of Operations) and realized and unrealized gains (losses) are allocated to each class of the Fund on a daily basis, based on
the relative net assets of each class, for purposes of determining the net asset value of each class.
Federal income tax status
The Fund intends to qualify each
year as a regulated investment company under Subchapter M of the Internal Revenue Code, as amended, and will distribute substantially all of its investment company taxable income and net capital gain, if any, for its
tax year, and as such will not be subject to federal income taxes. In addition, the Fund intends to distribute in each calendar year substantially all of its ordinary income, capital gain net income and certain other
amounts, if any, such that the Fund should not be subject to federal excise tax. Therefore, no federal income or excise tax provision is recorded.
Distributions to shareholders
Distributions from net investment
income, if any, are declared daily and paid monthly. Net realized capital gains, if any, are distributed at least annually. Income distributions and capital gain distributions are determined in accordance with federal
income tax regulations, which may differ from GAAP.
Guarantees and indemnifications
Under the Trust’s
organizational documents and, in some cases, by contract, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Trust or its funds. In addition,
certain of the Fund’s contracts with its service providers contain general indemnification clauses. The Fund’s maximum exposure under these arrangements is unknown since the amount of any future claims
that may be made against the Fund cannot be determined, and the Fund has no historical basis for predicting the likelihood of any such claims.
| Columbia U.S. Treasury Index Fund | Semiannual Report 2020 | 19 |
Notes to Financial Statements (continued)
October 31, 2020 (Unaudited)
October 31, 2020 (Unaudited)
Note 3. Fees and other
transactions with affiliates
Management services fees
The Fund has entered into a
Management Agreement with Columbia Management Investment Advisers, LLC (the Investment Manager), a wholly-owned subsidiary of Ameriprise Financial, Inc. (Ameriprise Financial). Under the Management Agreement, the
Investment Manager provides the Fund with investment research and advice, as well as administrative and accounting services. The management services fee is an annual fee that is equal to 0.40% of the Fund’s
daily net assets.
The Investment Manager, from the
management services fee it receives from the Fund, pays all operating expenses of the Fund, with the exception of brokerage fees and commissions, taxes, interest, fees and expenses of Board of Trustees who are not
officers, directors or employees of the Investment Manager or its affiliates, distribution and/or shareholder servicing and any extraordinary non-recurring expenses that may arise, including litigation fees.
Compensation of board members
Members of the Board of Trustees
who are not officers or employees of the Investment Manager or Ameriprise Financial are compensated for their services to the Fund as disclosed in the Statement of Operations. These members of the Board of Trustees
may participate in a Deferred Compensation Plan (the Deferred Plan) which may be terminated at any time. Obligations of the Deferred Plan will be paid solely out of the Fund’s assets, and all amounts payable
under the Deferred Plan constitute a general unsecured obligation of the Fund.
Compensation of Chief Compliance
Officer
The Board of Trustees has appointed
a Chief Compliance Officer for the Fund in accordance with federal securities regulations. A portion of the Chief Compliance Officer’s total compensation is allocated to the Fund, along with other allocations to
affiliated registered investment companies managed by the Investment Manager and its affiliates, based on relative net assets. The expenses of the Chief Compliance Officer allocated to the Fund are payable by the
Investment Manager.
Transfer agency fees
Under a Transfer and Dividend
Disbursing Agent Agreement, Columbia Management Investment Services Corp. (the Transfer Agent), an affiliate of the Investment Manager and a wholly-owned subsidiary of Ameriprise Financial, is responsible for
providing transfer agency services to the Fund. The Transfer Agent has contracted with DST Asset Manager Solutions, Inc. (DST) to serve as sub-transfer agent.
The transfer agency fees are
payable by the Investment Manager. The Transfer Agent pays the fees of DST for services as sub-transfer agent and DST is not entitled to reimbursement for such fees from the Fund. The Transfer Agent also receives
compensation from the Investment Manager for various shareholder services and reimbursements for certain out-of-pocket expenses.
An annual minimum account balance
fee of $20 may apply to certain accounts with a value below the applicable share class’s initial minimum investment requirements to reduce the impact of small accounts on transfer agency fees. These minimum
account balance fees are remitted to the Fund and recorded as part of expense reductions in the Statement of Operations. For the six months ended October 31, 2020, these minimum account balance fees reduced total
expenses of the Fund by $560.
Distribution and service fees
The Fund has entered into an
agreement with Columbia Management Investment Distributors, Inc. (the Distributor), an affiliate of the Investment Manager and a wholly-owned subsidiary of Ameriprise Financial, for distribution and shareholder
services. The Board of Trustees has approved, and the Fund has adopted, distribution and shareholder service plans (the Plans) applicable to certain share classes, which set the distribution and service fees for the
Fund. These fees are calculated daily and are intended to compensate the Distributor and/or eligible selling and/or servicing agents for selling shares of the Fund and providing services to investors.
| 20 | Columbia U.S. Treasury Index Fund | Semiannual Report 2020 |
Notes to Financial Statements (continued)
October 31, 2020 (Unaudited)
October 31, 2020 (Unaudited)
Under the Plans, the Fund pays a
monthly service fee to the Distributor at the maximum annual rate of 0.25% of the average daily net assets attributable to Class A and Class C shares of the Fund. Also under the Plans, the Fund pays a monthly
distribution fee to the Distributor at the maximum annual rate of 0.75% of the average daily net assets attributable to Class C shares of the Fund.
Effective September 1, 2020, the
Distributor has contractually agreed to waive a portion of the service fee for Class A and Class C shares through August 31, 2021 so that the service fee does not exceed 0.15% annually of the average daily net assets
attributable to each share class. This arrangement may be modified or terminated at the sole discretion of the Board of Trustees. Prior to September 1, 2020, this was a voluntary waiver.
Effective September 1, 2020, the
Distributor has contractually agreed to waive a portion of the distribution fee for Class C shares through August 31, 2021 so that the distribution fee does not exceed 0.65% annually of the average daily net assets
attributable to Class C shares. This arrangement may be modified or terminated at the sole discretion of the Board of Trustees. Prior to September 1, 2020, the Distributor voluntarily agreed to waive a portion of the
distribution fee for Class C shares so that the distribution fee does not exceed 0.70% annually of the average daily net assets attributable to Class C shares.
Sales charges
Sales charges, including front-end
charges and contingent deferred sales charges (CDSCs), received by the Distributor for distributing Fund shares for the six months ended October 31, 2020, if any, are listed below:
| Front End (%) | CDSC (%) | Amount ($) | |
| Class C | — | 1.00(a) | 580 |
| (a) | This charge applies to redemptions within 12 months after purchase, with certain limited exceptions. |
The Fund’s other share
classes are not subject to sales charges.
Expenses waived/reimbursed by the
Investment Manager and its affiliates
The Investment Manager and certain
of its affiliates have contractually agreed to waive fees and/or reimburse expenses (excluding certain fees and expenses described below) for the period(s) disclosed below, unless sooner terminated at the sole
discretion of the Board of Trustees, so that the Fund’s net operating expenses, after giving effect to fees waived/expenses reimbursed and any balance credits and/or overdraft charges from the Fund’s
custodian, do not exceed the following annual rate(s) as a percentage of the class’ average daily net assets:
| Fee rate(s) contractual through August 31, 2021 | |
| Class A | 0.42% |
| Class C | 1.17 |
| Institutional Class | 0.17 |
| Institutional 2 Class | 0.17 |
| Institutional 3 Class | 0.17 |
Under the agreement governing
these fee waivers and/or expense reimbursement arrangements, the following fees and expenses are excluded from the waiver/reimbursement commitment, and therefore will be paid by the Fund, if applicable: taxes
(including foreign transaction taxes), expenses associated with investments in affiliated and non-affiliated pooled investment vehicles (including mutual funds and exchange-traded funds), transaction costs and
brokerage commissions, costs related to any securities lending program, dividend expenses associated with securities sold short, inverse floater program fees and expenses, transaction charges and interest on borrowed
money, interest, infrequent and/or unusual expenses and any other expenses the exclusion of which is specifically approved by the Board of Trustees. This agreement may be modified or amended only with approval from
the Investment Manager, certain of its affiliates and the
| Columbia U.S. Treasury Index Fund | Semiannual Report 2020 | 21 |
Notes to Financial Statements (continued)
October 31, 2020 (Unaudited)
October 31, 2020 (Unaudited)
Fund. Any fees waived and/or expenses reimbursed
under the expense reimbursement arrangements described above are not recoverable by the Investment Manager or its affiliates in future periods. Class A and Class C distribution and service fees waived by the
Distributor, as discussed above, are in addition to the waiver/reimbursement commitment under the agreement.
Note 4. Federal tax
information
The timing and character of
income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP because of temporary or permanent book to tax differences.
At October 31, 2020, the
approximate cost of all investments for federal income tax purposes and the aggregate gross approximate unrealized appreciation and depreciation based on that cost was:
| Federal tax cost ($) | Gross unrealized appreciation ($) | Gross unrealized (depreciation) ($) | Net unrealized appreciation ($) |
| 1,099,526,000 | 77,186,000 | (3,202,000) | 73,984,000 |
Tax cost of investments and
unrealized appreciation/(depreciation) may also include timing differences that do not constitute adjustments to tax basis.
Management of the Fund has
concluded that there are no significant uncertain tax positions in the Fund that would require recognition in the financial statements. However, management’s conclusion may be subject to review and adjustment at
a later date based on factors including, but not limited to, new tax laws, regulations, and administrative interpretations (including relevant court decisions). Generally, the Fund’s federal tax returns for the
prior three fiscal years remain subject to examination by the Internal Revenue Service.
Note 5. Portfolio
information
The cost of purchases and
proceeds from sales of securities, excluding short-term investments and derivatives, if any, aggregated to $283,267,696 and $186,666,301, respectively, for the six months ended October 31, 2020, of which $283,267,696
and $186,666,301, respectively, were U.S. government securities. The amount of purchase and sale activity impacts the portfolio turnover rate reported in the Financial Highlights.
Note 6. Affiliated money
market fund
The Fund invests in Columbia
Short-Term Cash Fund, an affiliated money market fund established for the exclusive use by the Fund and other affiliated funds (the Affiliated MMF). The income earned by the Fund from such investments is included as
Dividends - affiliated issuers in the Statement of Operations. As an investing fund, the Fund indirectly bears its proportionate share of the expenses of the Affiliated MMF. The Affiliated MMF prices its shares with a
floating net asset value. In addition, the Board of Trustees of the Affiliated MMF may impose a fee on redemptions (sometimes referred to as a liquidity fee) or temporarily suspend redemptions (sometimes referred to
as imposing a redemption gate) in the event its liquidity falls below regulatory limits.
Note 7. Interfund
lending
Pursuant to an exemptive order
granted by the Securities and Exchange Commission, the Fund participates in a program (the Interfund Program) allowing each participating Columbia Fund (each, a Participating Fund) to lend money directly to and,
except for closed-end funds and money market funds, borrow money directly from other Participating Funds for temporary purposes. The amounts eligible for borrowing and lending under the Interfund Program are subject
to certain restrictions.
Interfund loans are subject to the
risk that the borrowing fund could be unable to repay the loan when due, and a delay in repayment to the lending fund could result in lost opportunities and/or additional lending costs. The exemptive order is subject
to conditions intended to mitigate conflicts of interest arising from the Investment Manager’s relationship with each Participating Fund.
The Fund did not borrow or lend
money under the Interfund Program during the six months ended October 31, 2020.
| 22 | Columbia U.S. Treasury Index Fund | Semiannual Report 2020 |
Notes to Financial Statements (continued)
October 31, 2020 (Unaudited)
October 31, 2020 (Unaudited)
Note 8. Line of credit
The Fund has access to a
revolving credit facility with a syndicate of banks led by Citibank, N.A., Wells Fargo Bank, N.A. and JPMorgan Chase Bank, N.A. whereby the Fund may borrow for the temporary funding of shareholder redemptions or for
other temporary or emergency purposes. Pursuant to a December 1, 2020 amendment, the credit facility, which is a collective agreement between the Fund and certain other funds managed by the Investment Manager or an
affiliated investment manager, severally and not jointly, permits collective borrowings up to $950 million. Interest is charged to each participating fund based on its borrowings at a rate equal to the higher of (i)
the federal funds effective rate, (ii) the one-month LIBOR rate and (iii) the overnight bank funding rate, plus in each case, 1.25%. Each borrowing under the credit facility matures no later than 60 days after the
date of borrowing. The Fund also pays a commitment fee equal to its pro rata share of the unused amount of the credit facility at a rate of 0.15% per annum. The commitment fee is included in other expenses in the
Statement of Operations. This agreement expires annually in December unless extended or renewed. Prior to the December 1, 2020 amendment, the Fund has access to a revolving credit facility with a syndicate of banks
led by Citibank, N.A., HSBC Bank USA, N.A. and JPMorgan Chase Bank, N.A. which permitted collective borrowings up to 1 billion. Interest was charged to each participating fund based on its borrowings at a rate equal
to the higher of (i) the federal funds effective rate, (ii) the one-month LIBOR rate and (iii) the overnight bank funding rate, plus in each case, 1.00%.
The Fund had no borrowings during
the six months ended October 31, 2020.
Note 9. Significant
risks
Credit risk
Credit risk is the risk that the
value of debt instruments in the Fund’s portfolio may decline because the issuer defaults or otherwise becomes unable or unwilling, or is perceived to be unable or unwilling, to honor its financial obligations,
such as making payments to the Fund when due. Credit rating agencies assign credit ratings to certain debt instruments to indicate their credit risk. Lower rated or unrated debt instruments held by the Fund may
present increased credit risk as compared to higher-rated debt instruments.
Interest rate risk
Interest rate risk is the risk of
losses attributable to changes in interest rates. In general, if prevailing interest rates rise, the values of debt securities tend to fall, and if interest rates fall, the values of debt securities tend to rise.
Actions by governments and central banking authorities can result in increases in interest rates. Increasing interest rates may negatively affect the value of debt securities held by the Fund, resulting in a negative
impact on the Fund’s performance and net asset value per share. In general, the longer the maturity or duration of a debt security, the greater its sensitivity to changes in interest rates. The Fund is subject
to the risk that the income generated by its investments may not keep pace with inflation.
Market and environment risk
The Fund may incur losses due to
declines in the value of one or more securities in which it invests. These declines may be due to factors affecting a particular issuer, or the result of, among other things, political, regulatory, market, economic or
social developments affecting the relevant market(s) more generally. In addition, turbulence in financial markets and reduced liquidity in equity, credit and/or fixed income markets may negatively affect many issuers,
which could adversely affect the Fund, including causing difficulty in assigning prices to hard-to-value assets in thinly traded and closed markets, significant redemptions and operational challenges. Global economies
and financial markets are increasingly interconnected, and conditions and events in one country, region or financial market may adversely impact issuers in a different country, region or financial market. These risks
may be magnified if certain events or developments adversely interrupt the global supply chain; in these and other circumstances, such risks might affect companies worldwide. As a result, local, regional or global
events such as terrorism, war, natural disasters, disease/virus outbreaks and epidemics or other public health issues, recessions, depressions or other events – or the potential for such events – could
have a significant negative impact on global economic and market conditions.
The Fund performance may also be
significantly negatively impacted by the economic impact of the coronavirus disease 2019 (COVID-19) pandemic. The COVID-19 public health crisis has become a pandemic that has resulted in, and may continue to result
in, significant global economic and societal disruption and market volatility due to disruptions in market access,
| Columbia U.S. Treasury Index Fund | Semiannual Report 2020 | 23 |
Notes to Financial Statements (continued)
October 31, 2020 (Unaudited)
October 31, 2020 (Unaudited)
resource availability, facilities operations,
imposition of tariffs, export controls and supply chain disruption, among others. Such disruptions may be caused, or exacerbated by, quarantines and travel restrictions, workforce displacement and loss in human and
other resources. The uncertainty surrounding the magnitude, duration, reach, costs and effects of the global pandemic, as well as actions that have been or could be taken by governmental authorities or other third
parties, present unknowns that are yet to unfold. The impacts, as well as the uncertainty over impacts to come, of COVID-19 – and any other infectious illness outbreaks, epidemics and pandemics that may arise in
the future – could negatively affect global economies and markets in ways that cannot necessarily be foreseen. In addition, the impact of infectious illness outbreaks and epidemics in emerging market countries
may be greater due to generally less established healthcare systems, governments and financial markets. Public health crises caused by the COVID-19 outbreak may exacerbate other pre-existing political, social and
economic risks in certain countries or globally. The disruptions caused by COVID-19 could prevent the Fund from executing advantageous investment decisions in a timely manner and negatively impact the Fund’s
ability to achieve its investment objectives. Any such event(s) could have a significant adverse impact on the value and risk profile of the Fund.
The Investment Manager and its
affiliates have systematically implemented strategies to address the operating environment spurred by the COVID-19 pandemic. To promote the safety and security of our employees and to assure the continuity of our
business operations, we have implemented a work from home protocol for virtually all of our employee population, restricted business travel, and provided resources for complying with the guidance from the World Health
Organization, the U.S. Centers for Disease Control and governments. Our operations teams seek to operate without significant disruptions in service. Our pandemic strategy takes into consideration that a pandemic could
be widespread and may occur in multiple waves, affecting different communities at different times with varying levels of severity. We cannot, however, predict the impact that natural or man-made disasters, including
the COVID-19 pandemic, may have on the ability of our employees and third-party service providers to continue ordinary business operations and technology functions over near- or longer-term periods.
Passive investment risk
The Fund is not
“actively” managed and may be affected by a general decline in market segments related to its underlying index. The Fund invests in securities or instruments included in, or believed by the Investment
Manager to be representative of, its underlying index, regardless of their investment merits. The Fund does not seek temporary defensive positions when markets decline or appear overvalued. The decision of whether to
remove a security from an index is made by an independent index provider who is not affiliated with the Fund or the Investment Manager.
Shareholder concentration risk
At October 31, 2020, affiliated
shareholders of record owned 78.5% of the outstanding shares of the Fund in one or more accounts. Subscription and redemption activity by concentrated accounts may have a significant effect on the operations of the
Fund. In the case of a large redemption, the Fund may be forced to sell investments at inopportune times, including its liquid positions, which may result in Fund losses and the Fund holding a higher percentage of
less liquid positions. Large redemptions could result in decreased economies of scale and increased operating expenses for non-redeeming Fund shareholders.
Note 10. Subsequent
events
Management has evaluated the
events and transactions that have occurred through the date the financial statements were issued and noted no items requiring adjustment of the financial statements or additional disclosure.
Note 11. Information
regarding pending and settled legal proceedings
Ameriprise Financial and certain
of its affiliates have historically been involved in a number of legal, arbitration and regulatory proceedings, including routine litigation, class actions, and governmental actions, concerning matters arising in
connection with the conduct of their business activities. Ameriprise Financial believes that the Fund is not currently the subject of, and that neither Ameriprise Financial nor any of its affiliates are the subject
of, any pending legal, arbitration or regulatory proceedings that are likely to have a material adverse effect on the Fund or the ability of Ameriprise Financial or its affiliates to perform under their contracts with
the Fund. Ameriprise Financial is required to make quarterly (10-Q), annual (10-K) and, as necessary, 8-K filings with the Securities and Exchange Commission (SEC) on legal and regulatory matters that relate to
Ameriprise Financial and its affiliates. Copies of these filings may be obtained by accessing the SEC website at www.sec.gov.
| 24 | Columbia U.S. Treasury Index Fund | Semiannual Report 2020 |
Notes to Financial Statements (continued)
October 31, 2020 (Unaudited)
October 31, 2020 (Unaudited)
There can be no assurance that
these matters, or the adverse publicity associated with them, will not result in increased Fund redemptions, reduced sale of Fund shares or other adverse consequences to the Fund. Further, although we believe
proceedings are not likely to have a material adverse effect on the Fund or the ability of Ameriprise Financial or its affiliates to perform under their contracts with the Fund, these proceedings are subject to
uncertainties and, as such, we are unable to estimate the possible loss or range of loss that may result. An adverse outcome in one or more of these proceedings could result in adverse judgments, settlements, fines,
penalties or other relief that could have a material adverse effect on the consolidated financial condition or results of operations of Ameriprise Financial or one or more of its affiliates that provides services to
the Funds.
| Columbia U.S. Treasury Index Fund | Semiannual Report 2020 | 25 |
Board Consideration
and Approval of ManagementAgreement
On June 17, 2020, the Board of
Trustees (the Board) and the Trustees who are not interested persons (as defined in the Investment Company Act of 1940) (the Independent Trustees) of Columbia Funds Series Trust I (the Trust) unanimously approved the
continuation of the Management Agreement (the Management Agreement) with Columbia Management Investment Advisers, LLC (the Investment Manager) with respect to Columbia U.S. Treasury Index Fund (the Fund), a series of
the Trust. As detailed below, the Board’s Advisory Fees and Expenses Committee (the Committee) and the Board met on multiple occasions to review and discuss, among themselves, with the management team of the
Investment Manager and with an independent fee consultant, materials provided by the Investment Manager, the independent fee consultant and others before determining to approve the continuation of the Management
Agreement.
In connection with their
deliberations regarding the continuation of the Management Agreement, the Committee and the Board evaluated materials requested from the Investment Manager regarding the Fund and the Management Agreement, and
discussed these materials with representatives of the Investment Manager at Committee meetings held on March 10, 2020, April 30, 2020 and June 17, 2020 and at Board meetings held on March 11, 2020 and June 17, 2020.
In addition, the Board and its various committees consider matters bearing on the Management Agreement at other meetings throughout the year and in prior years and meet regularly with senior management of the Trust
and the Investment Manager. Through the Board’s Investment Oversight Committees, Trustees also meet with selected portfolio managers of the funds the Trustees oversee and with other investment personnel at
various times throughout the year. The Committee and the Board also consulted with the independent fee consultant, Fund counsel and the Independent Trustees’ independent legal counsel, who advised on various
matters with respect to the Committee’s and the Board’s considerations and otherwise assisted the Committee and the Board in their deliberations. On June 17, 2020, the Committee recommended that the Board
approve the continuation of the Management Agreement. On June 17, 2020, the Board, including the Independent Trustees, voting separately, unanimously approved the continuation of the Management Agreement for the
Fund.
The Committee and the Board
considered all information that they, their legal counsel or the Investment Manager believed reasonably necessary to evaluate and to determine whether to recommend for approval or approve the continuation of the
Management Agreement. The information and factors considered by the Committee and the Board in recommending for approval or approving the continuation of the Management Agreement for the Fund included the
following:
| • | Information on the investment performance of the Fund relative to the performance of a group of mutual funds determined to be comparable to the Fund by an independent third-party data provider, as well as performance relative to benchmarks, and the Fund’s tracking error relative to its benchmark index; |
| • | Information on the Fund’s management fees and total expenses, including information comparing the Fund’s expenses to those of a group of comparable mutual funds, as determined by the independent third-party data provider; |
| • | The Investment Manager’s agreement to contractually limit or cap total operating expenses for the Fund through August 31, 2021 so that total operating expenses (excluding certain fees and expenses, such as transaction costs and certain other investment related expenses, interest, taxes, acquired fund fees and expenses, and infrequent and/or unusual expenses) would not exceed a specified annual rate, as a percentage of the Fund’s net assets; |
| • | The terms and conditions of the Management Agreement; |
| • | The current and proposed terms and conditions of other agreements and arrangements with affiliates of the Investment Manager relating to the operations of the Fund, including agreements with respect to the provision of distribution, transfer agency and shareholder services to the Fund; |
| • | Descriptions of various functions performed by the Investment Manager under the Management Agreement, including portfolio management and portfolio trading practices; |
| • | Information regarding any recently negotiated management fees of similarly-managed portfolios of other institutional clients of the Investment Manager; |
| • | Information regarding the reputation, regulatory history and resources of the Investment Manager, including information regarding senior management, portfolio managers and other personnel; |
| 26 | Columbia U.S. Treasury Index Fund | Semiannual Report 2020 |
Board Consideration and Approval of
Management
Agreement (continued)
| • | Information regarding the capabilities of the Investment Manager with respect to compliance monitoring services, including an assessment of the Investment Manager’s compliance system by the Fund’s Chief Compliance Officer; and |
| • | The profitability to the Investment Manager and its affiliates from their relationships with the Fund. |
Nature, extent and quality of
services provided under the Management Agreement
The Committee and the Board
considered the nature, extent and quality of services provided to the Fund by the Investment Manager and its affiliates under the Management Agreement and under separate agreements for the provision of transfer agency
and shareholder services, and the resources dedicated to the Fund and the other Columbia Funds by the Investment Manager and its affiliates. The Committee and the Board considered, among other things, the Investment
Manager’s ability to attract, motivate and retain highly qualified research, advisory and supervisory investment professionals (including compensation programs for personnel involved in fund management,
reputation and other attributes), the portfolio management services provided by those investment professionals, and the quality of the Investment Manager’s investment research capabilities and trade execution
services. The Committee and the Board also considered the potential benefits to shareholders of investing in a mutual fund that is part of a fund complex offering exposure to a variety of asset classes and investment
disciplines and providing a variety of fund and shareholder services.
The Committee and the Board also
considered the professional experience and qualifications of the senior personnel of the Investment Manager, which included consideration of the Investment Manager’s experience with funds using an investment
strategy similar to that used by the Investment Manager for the Fund. The Committee and the Board noted the compliance programs of and the compliance-related resources provided to the Fund by the Investment Manager
and its affiliates and the resources dedicated by the Investment Manager and its affiliates to risk management, and considered the Investment Manager’s ability to provide administrative services to the Fund and
coordinate the activities of the Fund’s other service providers. After reviewing these and related factors, the Committee and the Board concluded, within the context of their overall conclusions, that the
nature, extent and quality of the services provided to the Fund under the Management Agreement supported the continuation of the Management Agreement.
Investment performance
The Committee and the Board
reviewed information about the performance of the Fund over various time periods, including performance information relative to benchmarks, the Fund’s tracking error relative to its benchmark index, information
that compared the performance of the Fund to the performance of a group of comparable mutual funds as determined by the independent third-party data provider, and information and analysis provided by the independent
fee consultant. The Committee and the Board also reviewed a description of the third party’s methodology for identifying the Fund’s peer groups for purposes of performance and expense comparisons. Although
the Fund’s performance lagged that of a relevant peer group for certain (although not necessarily all) periods, the Committee and the Board concluded that other factors relevant to performance were sufficient,
in light of other considerations, to support continuation of the Management Agreement. Those factors included one or more of the following: (i) that the Fund’s performance, although lagging in certain recent
periods, was stronger over the longer term; (ii) that the underperformance was attributable, to a significant extent, to investment decisions that were reasonable and consistent with the Fund’s investment
strategy and policies and that the Fund was performing within a reasonable range of expectations, given those investment decisions, market conditions and the Fund’s investment strategy; (iii) that the
Fund’s performance was competitive when compared to other relevant performance benchmarks or peer groups; and (iv) that the Investment Manager had taken or was taking steps designed to help improve the
Fund’s investment performance, including, but not limited to, replacing portfolio managers, enhancing the resources supporting the portfolio managers, or modifying investment strategies.
The Committee and the Board noted
that, through December 31, 2019, the Fund’s performance was in the seventy-sixth, eighty-sixth and eighty-eighth percentile (where the best performance would be in the first percentile) of its category selected
by the independent third-party data provider for the purposes of performance comparisons for the one-, three- and five-year periods, respectively.
| Columbia U.S. Treasury Index Fund | Semiannual Report 2020 | 27 |
Board Consideration and Approval of
Management
Agreement (continued)
The Committee and the Board also considered the
Investment Manager’s performance and reputation generally, the Investment Manager’s historical responsiveness to Board concerns about performance, and the Investment Manager’s willingness to take
steps intended to improve performance. After reviewing these and related factors, the Committee and the Board concluded, within the context of their overall conclusions, that the performance of the Fund and the
Investment Manager was sufficient, in light of other considerations, to support the continuation of the Management Agreement.
Investment management fee rates
and other expenses
The Committee and the Board
considered the management fees charged to the Fund under the Management Agreement as well as the total expenses incurred by the Fund. In assessing the reasonableness of the fees under the Management Agreement, the
Committee and the Board considered, among other information, the Fund’s total expense ratio as a percentage of average daily net assets. The Committee and the Board considered data provided by the independent
third-party data provider and the independent fee consultant. The Committee and the Board noted that because the independent third-party data provider was unable to identify more than two peers in the Fund’s
expense universe as determined by the independent third-party data provider, the Fund’s actual management fee and total expense ratio were not ranked by quintile against the Fund’s expense universe. The
Committee and the Board also took into account the fee waiver and expense limitation arrangements agreed to by the Investment Manager, as noted above.
The Committee and the Board also
received and considered information about the management fees charged by the Investment Manager to institutional accounts. In considering the fees charged to those accounts, the Committee and the Board took into
account, among other things, the Investment Manager’s representations about the differences between managing mutual funds as compared to other types of accounts, including differences in the services provided,
differences in the risk profile of such business for the Investment Manager and the additional resources required to manage mutual funds effectively. The Committee and the Board also received and considered
information about the fees charged by the Investment Manager for sub-advisory services it provides to comparable unaffiliated funds. In evaluating the Fund’s management fees, the Committee and the Board also
took into account the demands, complexity and quality of the investment management of the Fund.
After reviewing these and related
factors, the Committee and the Board concluded, within the context of their overall conclusions, that the management fee rates and expenses of the Fund, in light of other considerations, supported the continuation of
the Management Agreement.
Costs of services provided and
profitability
The Committee and the Board also
took note of the costs the Investment Manager and its affiliates incur in connection with the services provided and the profitability to the Investment Manager and its affiliates from their relationships with the
Fund, and the efforts undertaken by the Investment Manager and its affiliates to manage efficiently their costs to provide such services.
The Committee and the Board also
considered the compensation directly or indirectly received by the Investment Manager’s affiliates in connection with their relationships with the Fund. The Committee and the Board reviewed information provided
by management as to the profitability to the Investment Manager and its affiliates of their relationships with the Fund, information about the allocation of expenses used to calculate profitability, and comparisons of
profitability levels realized in 2019 to profitability levels realized in 2018. When reviewing profitability, the Committee and the Board also considered court cases in which adviser profitability was an issue in
whole or in part, the performance of similarly managed funds, the performance of the Fund, and the expense ratio of the Fund. In addition, the Committee and the Board considered information provided by the Investment
Manager regarding the Investment Manager’s financial condition and comparing its profitability to that of other asset management firms that are, or are subsidiaries of, publicly traded companies. In this regard,
the Committee and the Board also considered data provided by the independent fee consultant.
After reviewing these and related
factors, the Committee and the Board concluded, within the context of their overall conclusions, that the costs of services provided and the profitability to the Investment Manager and its affiliates from their
relationships with the Fund supported the continuation of the Management Agreement.
| 28 | Columbia U.S. Treasury Index Fund | Semiannual Report 2020 |
Board Consideration and Approval of
Management
Agreement (continued)
Economies of scale
The Committee and the Board
considered the potential existence of economies of scale in the provision by the Investment Manager of services to the Fund, to groups of related funds, and to the Investment Manager’s investment advisory
clients as a whole, and whether those economies of scale were shared with the Fund through breakpoints in investment management fees or other means, such as expense limitation arrangements and additional investments
by the Investment Manager in investment, trading, compliance and other resources.
In considering these matters, the
Committee and the Board also considered the costs of the services provided and the profitability to the Investment Manager and its affiliates from their relationships with the Fund, as noted above. After reviewing
these and related factors, the Committee and the Board concluded, within the context of their overall conclusions, that the extent to which any economies of scale were expected to be shared with the Fund supported the
continuation of the Management Agreement.
Other benefits to the Investment
Manager
The Committee and the Board
received and considered information regarding “fall-out” or ancillary benefits received by the Investment Manager and its affiliates as a result of their relationships with the Fund, such as the engagement
of the Investment Manager’s affiliates to provide distribution, transfer agency and shareholder services to the Fund. In this regard, among other matters, the Committee and the Board considered that the
Fund’s distributor retains a portion of the distribution fees from the Fund and receives a portion of the sales charges on sales or redemptions of certain classes of shares of the Fund. The Committee and the
Board also considered the benefits of research made available to the Investment Manager by reason of brokerage commissions generated by the Fund’s securities transactions, and reviewed information about the
Investment Manager’s practices with respect to considering brokerage and research services when allocating portfolio transactions. In this connection, the Board also noted that the amount of research made
available to the Investment Manager by reason of brokerage commissions had been declining over time, and may decline further. The Committee and the Board recognized that the Investment Manager’s profitability
would be somewhat lower without these benefits.
Conclusion
The Committee and the Board
reviewed all of the above considerations in reaching their decisions to recommend or approve the continuation of the Management Agreement. In their deliberations, the Trustees did not identify any particular
information that was all-important or controlling, and individual Trustees may have attributed different weights to the various factors. Based on their evaluation of all factors that they deemed to be material,
including those factors described above, and assisted by the advice of independent legal counsel, the Board, including the Independent Trustees, voting separately, unanimously approved the continuation of the
Management Agreement.
| Columbia U.S. Treasury Index Fund | Semiannual Report 2020 | 29 |
Please read and consider the
investment objectives, risks, charges and expenses for any fund carefully before investing. For a prospectus and summary prospectus, which contains this and other important information about the Fund, go to
columbiathreadneedleus.com/investor/. The Fund is distributed by Columbia Management Investment Distributors, Inc., member FINRA, and managed by Columbia Management Investment Advisers, LLC.
columbiathreadneedleus.com/investor/. The Fund is distributed by Columbia Management Investment Distributors, Inc., member FINRA, and managed by Columbia Management Investment Advisers, LLC.
Columbia Threadneedle Investments
(Columbia Threadneedle) is the global brand name of the Columbia and Threadneedle group of companies. All rights reserved.
© 2020 Columbia Management Investment
Advisers, LLC.
columbiathreadneedleus.com/investor/
SAR237_04_K01_(12/20)
Columbia Corporate
Income Fund
Beginning on January 1, 2021, as
permitted by regulations adopted by the Securities and Exchange Commission, paper copies of the Fund’s annual and semiannual shareholder reports like this one will no longer be sent by mail, unless you
specifically request paper copies of the reports. Instead, the reports will be made available on the Fund’s website (columbiathreadneedleus.com/investor/), and each time a report is posted you will be notified
by mail and provided with a website address to access the report.
If you have already elected to
receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You may elect to receive shareholder reports and other communications from the Fund electronically
at any time by contacting your financial intermediary (such as a broker-dealer or bank) or, for Fund shares held directly with the Fund, by calling 800.345.6611 or by enrolling in “eDelivery” by logging
into your account at columbiathreadneedleus.com/investor/.
You may elect to receive all future
shareholder reports in paper free of charge. If you invest through a financial intermediary, you can contact your financial intermediary to request that you continue receiving paper copies of your shareholder reports.
If you invest directly with the Fund, you can call 800.345.6611 to let the Fund know you wish to continue receiving paper copies of your shareholder reports. Your election to receive paper reports will apply to all
Columbia Funds held in your account if you invest through a financial intermediary or all Columbia Funds held with the fund complex if you invest directly with the Fund.
Not Federally Insured • No
Financial Institution Guarantee • May Lose Value
Table of Contents
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| 44 |
Columbia Corporate Income Fund (the
Fund) mails one shareholder report to each shareholder address, unless such shareholder elected to receive shareholder reports from the Fund electronically. If you would like more than one report, please call
shareholder services at 800.345.6611 and additional reports will be sent to you.
Proxy voting policies and
procedures
The policy of the Board of Trustees
is to vote the proxies of the companies in which the Fund holds investments consistent with the procedures as stated in the Statement of Additional Information (SAI). You may obtain a copy of the SAI without charge by
calling 800.345.6611; contacting your financial intermediary; visiting columbiathreadneedleus.com/investor/; or searching the website of the Securities and Exchange Commission (SEC) at sec.gov. Information regarding
how the Fund voted proxies relating to portfolio securities is filed with the SEC by August 31st for the most recent 12-month period ending June 30th of that year, and is available without charge by visiting
columbiathreadneedleus.com/investor/, or searching the website of the SEC at sec.gov.
Quarterly schedule of
investments
The Fund files a complete schedule
of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-PORT. The Fund’s Form N-PORT filings are available on the SEC’s website at sec.gov. The Fund’s
complete schedule of portfolio holdings, as filed on Form N-PORT, can also be obtained without charge, upon request, by calling 800.345.6611.
Additional Fund information
For more information about the
Fund, please visit columbiathreadneedleus.com/investor/ or call 800.345.6611. Customer Service Representatives are available to answer your questions Monday through Friday from 8 a.m. to 7 p.m. Eastern time.
Fund investment manager
Columbia Management Investment Advisers, LLC (the
Investment Manager)
225 Franklin Street
Boston, MA 02110
Fund distributor
Columbia Management Investment Distributors,
Inc.
225 Franklin Street
Boston, MA 02110
Fund transfer agent
Columbia Management Investment Services Corp.
P.O. Box 219104
Kansas City, MO 64121-9104
Columbia Corporate Income
Fund | Semiannual Report 2020
Fund at a Glance
(Unaudited)
(Unaudited)
Investment objective
The Fund
seeks total return, consisting primarily of current income and secondarily of capital appreciation.
Portfolio management
Tom Murphy, CFA
Lead Portfolio Manager
Managed Fund since 2003
Royce Wilson, CFA
Portfolio Manager
Managed Fund since February 2020
John Dawson, CFA
Portfolio Manager
Managed Fund since February 2020
| Columbia Corporate Income Fund | Semiannual Report 2020 | 3 |
Understanding Your Fund’s
Expenses
(Unaudited)
(Unaudited)
As an investor, you incur two types
of costs. There are shareholder transaction costs, which generally include sales charges on purchases and may include redemption fees. There are also ongoing fund costs, which generally include management fees,
distribution and/or service fees, and other fund expenses. The following information is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to help you compare these costs with
the ongoing costs of investing in other mutual funds.
Analyzing your Fund’s
expenses
To illustrate these ongoing
costs, we have provided examples and calculated the expenses paid by investors in each share class of the Fund during the period. The actual and hypothetical information in the table is based on an initial investment
of $1,000 at the beginning of the period indicated and held for the entire period. Expense information is calculated two ways and each method provides you with different information. The amount listed in the
“Actual” column is calculated using the Fund’s actual operating expenses and total return for the period. You may use the Actual information, together with the amount invested, to estimate the
expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the results by the expenses paid during the period under
the “Actual” column. The amount listed in the “Hypothetical” column assumes a 5% annual rate of return before expenses (which is not the Fund’s actual return) and then applies the
Fund’s actual expense ratio for the period to the hypothetical return. You should not use the hypothetical account values and expenses to estimate either your actual account balance at the end of the period or
the expenses you paid during the period. See “Compare with other funds” below for details on how to use the hypothetical data.
Compare with other funds
Since all mutual funds are
required to include the same hypothetical calculations about expenses in shareholder reports, you can use this information to compare the ongoing cost of investing in the Fund with other funds. To do so, compare the
hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds. As you compare hypothetical examples of other funds, it is important to note that hypothetical examples are
meant to highlight the ongoing costs of investing in a fund only and do not reflect any transaction costs, such as sales charges, or redemption or exchange fees. Therefore, the hypothetical calculations are useful in
comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. If transaction costs were included in these calculations, your costs would be higher.
| May 1, 2020 — October 31, 2020 | |||||||
| Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | ||||
| Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | |
| Class A | 1,000.00 | 1,000.00 | 1,050.40 | 1,020.61 | 4.57 | 4.51 | 0.89 |
| Advisor Class | 1,000.00 | 1,000.00 | 1,051.80 | 1,021.86 | 3.29 | 3.24 | 0.64 |
| Class C | 1,000.00 | 1,000.00 | 1,047.40 | 1,017.70 | 7.54 | 7.44 | 1.47 |
| Institutional Class | 1,000.00 | 1,000.00 | 1,051.70 | 1,021.86 | 3.29 | 3.24 | 0.64 |
| Institutional 2 Class | 1,000.00 | 1,000.00 | 1,052.40 | 1,022.41 | 2.73 | 2.69 | 0.53 |
| Institutional 3 Class | 1,000.00 | 1,000.00 | 1,052.60 | 1,022.66 | 2.47 | 2.43 | 0.48 |
Expenses paid during the period
are equal to the annualized expense ratio for each class as indicated above, multiplied by the average account value over the period and then multiplied by the number of days in the Fund’s most recent fiscal
half year and divided by 365.
Expenses do not include fees and
expenses incurred indirectly by the Fund from its investment in underlying funds, including affiliated and non-affiliated pooled investment vehicles, such as mutual funds and exchange-traded funds.
Had Columbia Management Investment
Advisers, LLC and/or certain of its affiliates not waived/reimbursed certain fees and expenses, account value at the end of the period would have been reduced.
| Columbia Corporate Income Fund | Semiannual Report 2020 | 5 |
Portfolio of Investments
October 31, 2020 (Unaudited)
October 31, 2020 (Unaudited)
(Percentages represent value of
investments compared to net assets)
Investments in securities
The accompanying Notes to Financial
Statements are an integral part of this statement.
| 6 | Columbia Corporate Income Fund | Semiannual Report 2020 |
Portfolio of Investments (continued)
October 31, 2020 (Unaudited)
October 31, 2020 (Unaudited)
The accompanying Notes to Financial
Statements are an integral part of this statement.
| Columbia Corporate Income Fund | Semiannual Report 2020 | 7 |
Portfolio of Investments (continued)
October 31, 2020 (Unaudited)
October 31, 2020 (Unaudited)
The accompanying Notes to Financial
Statements are an integral part of this statement.
| 8 | Columbia Corporate Income Fund | Semiannual Report 2020 |
Portfolio of Investments (continued)
October 31, 2020 (Unaudited)
October 31, 2020 (Unaudited)
The accompanying Notes to Financial
Statements are an integral part of this statement.
| Columbia Corporate Income Fund | Semiannual Report 2020 | 9 |
Portfolio of Investments (continued)
October 31, 2020 (Unaudited)
October 31, 2020 (Unaudited)
The accompanying Notes to Financial
Statements are an integral part of this statement.
| 10 | Columbia Corporate Income Fund | Semiannual Report 2020 |
Portfolio of Investments (continued)
October 31, 2020 (Unaudited)
October 31, 2020 (Unaudited)
The accompanying Notes to Financial
Statements are an integral part of this statement.
| Columbia Corporate Income Fund | Semiannual Report 2020 | 11 |
Portfolio of Investments (continued)
October 31, 2020 (Unaudited)
October 31, 2020 (Unaudited)
The accompanying Notes to Financial
Statements are an integral part of this statement.
| 12 | Columbia Corporate Income Fund | Semiannual Report 2020 |
Portfolio of Investments (continued)
October 31, 2020 (Unaudited)
October 31, 2020 (Unaudited)
The accompanying Notes to Financial
Statements are an integral part of this statement.
| Columbia Corporate Income Fund | Semiannual Report 2020 | 13 |
Portfolio of Investments (continued)
October 31, 2020 (Unaudited)
October 31, 2020 (Unaudited)
The accompanying Notes to Financial
Statements are an integral part of this statement.
| 14 | Columbia Corporate Income Fund | Semiannual Report 2020 |
Portfolio of Investments (continued)
October 31, 2020 (Unaudited)
October 31, 2020 (Unaudited)
The accompanying Notes to Financial
Statements are an integral part of this statement.
| Columbia Corporate Income Fund | Semiannual Report 2020 | 15 |
Portfolio of Investments (continued)
October 31, 2020 (Unaudited)
October 31, 2020 (Unaudited)
The accompanying Notes to Financial
Statements are an integral part of this statement.
| 16 | Columbia Corporate Income Fund | Semiannual Report 2020 |
Portfolio of Investments (continued)
October 31, 2020 (Unaudited)
October 31, 2020 (Unaudited)
The accompanying Notes to Financial
Statements are an integral part of this statement.
| Columbia Corporate Income Fund | Semiannual Report 2020 | 17 |
Portfolio of Investments (continued)
October 31, 2020 (Unaudited)
October 31, 2020 (Unaudited)
The accompanying Notes to Financial
Statements are an integral part of this statement.
| 18 | Columbia Corporate Income Fund | Semiannual Report 2020 |
Portfolio of Investments (continued)
October 31, 2020 (Unaudited)
October 31, 2020 (Unaudited)
At October 31, 2020,
securities and/or cash totaling $3,148,520 were pledged as collateral.
Investments in
derivatives
| Long futures contracts | ||||||
| Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
| U.S. Long Bond | 337 | 12/2020 | USD | 58,121,969 | — | (1,825,100) |
| U.S. Treasury 2-Year Note | 457 | 12/2020 | USD | 100,925,594 | — | (27,107) |
| U.S. Treasury 5-Year Note | 709 | 12/2020 | USD | 89,051,508 | — | (242,488) |
| Total | — | (2,094,695) | ||||
| Short futures contracts | ||||||
| Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
| U.S. Treasury 10-Year Note | (19) | 12/2020 | USD | (2,626,156) | 26,687 | — |
| U.S. Ultra Bond 10-Year Note | (461) | 12/2020 | USD | (72,506,656) | 1,364,071 | — |
| U.S. Ultra Treasury Bond | (330) | 12/2020 | USD | (70,950,000) | 3,316,391 | — |
| Total | 4,707,149 | — | ||||
Notes to Portfolio of
Investments
| (a) | Non-income producing investment. |
| (b) | Represents fair value as determined in good faith under procedures approved by the Board of Trustees. At October 31, 2020, the total value of these securities amounted to $9,525, which represents less than 0.01% of total net assets. |
| (c) | Valuation based on significant unobservable inputs. |
| (d) | 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 October 31, 2020, the total value of these securities amounted to $278,379,852, which represents 23.40% of total net assets. |
| (e) | 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 October 31, 2020. |
The accompanying Notes to Financial Statements are
an integral part of this statement.
| Columbia Corporate Income Fund | Semiannual Report 2020 | 19 |
Portfolio of Investments (continued)
October 31, 2020 (Unaudited)
October 31, 2020 (Unaudited)
Notes to Portfolio of Investments (continued)
| (f) | Represents securities that have defaulted on payment of interest. The Fund has stopped accruing interest on these securities. At October 31, 2020, the total value of these securities amounted to $132,310, which represents 0.01% of total net assets. |
| (g) | Represents a security purchased on a when-issued basis. |
| (h) | Payment-in-kind security. Interest can be paid by issuing additional par of the security or in cash. |
| (i) | Principal and interest may not be guaranteed by a governmental entity. |
| (j) | The stated interest rate represents the weighted average interest rate at October 31, 2020 of contracts within the senior loan facility. Interest rates on contracts are primarily determined either weekly, monthly or quarterly by reference to the indicated base lending rate and spread and the reset period. These base lending rates are primarily the LIBOR and other short-term rates. Base lending rates may be subject to a floor or minimum rate. The interest rate for senior loans purchased on a when-issued or delayed delivery basis will be determined upon settlement, therefore no interest rate is disclosed. Senior loans often require prepayments from excess cash flows or permit the borrowers to repay at their election. The degree to which borrowers repay, cannot be predicted with accuracy. As a result, remaining maturities of senior loans may be less than the stated maturities. Generally, the Fund is contractually obligated to receive approval from the agent bank and/or borrower prior to the disposition of a senior loan. |
| (k) | Variable rate security. The interest rate shown was the current rate as of October 31, 2020. |
| (l) | The rate shown is the seven-day current annualized yield at October 31, 2020. |
| (m) | As defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended October 31, 2020 are as follows: |
| Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Realized gain (loss)($) | Dividends($) | End of period shares |
| Columbia Short-Term Cash Fund, 0.128% | ||||||||
| 104,909,140 | 241,725,037 | (262,248,749) | (47,224) | 84,338,204 | 22,048 | 88,232 | 84,346,639 | |
Abbreviation Legend
| LIBOR | London Interbank Offered Rate |
Currency Legend
| USD | US Dollar |
Fair value measurements
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’s 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. 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 accompanying Notes to Financial Statements are
an integral part of this statement.
| 20 | Columbia Corporate Income Fund | Semiannual Report 2020 |
Portfolio of Investments (continued)
October 31, 2020 (Unaudited)
October 31, 2020 (Unaudited)
Fair value measurements (continued)
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.
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.
The following table is a summary of
the inputs used to value the Fund’s investments at October 31, 2020:
| Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | |
| Investments in Securities | ||||
| Common Stocks | ||||
| Financials | 37,564 | — | — | 37,564 |
| Total Common Stocks | 37,564 | — | — | 37,564 |
| Corporate Bonds & Notes | — | 1,070,010,360 | 9,525 | 1,070,019,885 |
| Foreign Government Obligations | — | 244,400 | — | 244,400 |
| Senior Loans | — | 965,474 | — | 965,474 |
| U.S. Treasury Obligations | 22,203,609 | — | — | 22,203,609 |
| Money Market Funds | 84,338,204 | — | — | 84,338,204 |
| Total Investments in Securities | 106,579,377 | 1,071,220,234 | 9,525 | 1,177,809,136 |
| Investments in Derivatives | ||||
| Asset | ||||
| Futures Contracts | 4,707,149 | — | — | 4,707,149 |
| Liability | ||||
| Futures Contracts | (2,094,695) | — | — | (2,094,695) |
| Total | 109,191,831 | 1,071,220,234 | 9,525 | 1,180,421,590 |
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.
Derivative instruments are valued at
unrealized appreciation (depreciation).
The Fund does not hold any
significant investments (greater than one percent of net assets) categorized as Level 3.
The accompanying Notes to Financial Statements are
an integral part of this statement.
| Columbia Corporate Income Fund | Semiannual Report 2020 | 21 |
Statement of Assets and Liabilities
October 31, 2020 (Unaudited)
October 31, 2020 (Unaudited)
| Assets | |
| Investments in securities, at value | |
| Unaffiliated issuers (cost $1,041,326,086) | $1,093,470,932 |
| Affiliated issuers (cost $84,338,256) | 84,338,204 |
| Margin deposits on: | |
| Futures contracts | 3,148,520 |
| Receivable for: | |
| Investments sold | 33,129 |
| Investments sold on a delayed delivery basis | 60,180 |
| Capital shares sold | 3,106,398 |
| Dividends | 7,720 |
| Interest | 10,317,720 |
| Foreign tax reclaims | 93,359 |
| Variation margin for futures contracts | 353,507 |
| Expense reimbursement due from Investment Manager | 1,884 |
| Prepaid expenses | 5,567 |
| Trustees’ deferred compensation plan | 177,860 |
| Other assets | 28,834 |
| Total assets | 1,195,143,814 |
| Liabilities | |
| Due to custodian | 83,433 |
| Payable for: | |
| Investments purchased | 596,764 |
| Investments purchased on a delayed delivery basis | 900,650 |
| Capital shares purchased | 573,027 |
| Distributions to shareholders | 2,606,961 |
| Variation margin for futures contracts | 160,143 |
| Management services fees | 16,070 |
| Distribution and/or service fees | 725 |
| Transfer agent fees | 140,271 |
| Compensation of chief compliance officer | 43 |
| Other expenses | 45,344 |
| Trustees’ deferred compensation plan | 177,860 |
| Total liabilities | 5,301,291 |
| Net assets applicable to outstanding capital stock | $1,189,842,523 |
| Represented by | |
| Paid in capital | 1,088,559,857 |
| Total distributable earnings (loss) | 101,282,666 |
| Total - representing net assets applicable to outstanding capital stock | $1,189,842,523 |
The accompanying Notes to Financial Statements are
an integral part of this statement.
| 22 | Columbia Corporate Income Fund | Semiannual Report 2020 |
Statement of Assets and Liabilities (continued)
October 31, 2020 (Unaudited)
October 31, 2020 (Unaudited)
| Class A | |
| Net assets | $85,175,221 |
| Shares outstanding | 7,545,848 |
| Net asset value per share | $11.29 |
| Maximum sales charge | 4.75% |
| Maximum offering price per share (calculated by dividing the net asset value per share by 1.0 minus the maximum sales charge for Class A shares) | $11.85 |
| Advisor Class | |
| Net assets | $17,022,704 |
| Shares outstanding | 1,510,208 |
| Net asset value per share | $11.27 |
| Class C | |
| Net assets | $6,510,407 |
| Shares outstanding | 577,010 |
| Net asset value per share | $11.28 |
| Institutional Class | |
| Net assets | $475,642,375 |
| Shares outstanding | 42,143,616 |
| Net asset value per share | $11.29 |
| Institutional 2 Class | |
| Net assets | $6,887,627 |
| Shares outstanding | 611,067 |
| Net asset value per share | $11.27 |
| Institutional 3 Class | |
| Net assets | $598,604,189 |
| Shares outstanding | 53,055,232 |
| Net asset value per share | $11.28 |
The accompanying Notes to Financial Statements are
an integral part of this statement.
| Columbia Corporate Income Fund | Semiannual Report 2020 | 23 |
Statement of Operations
Six Months Ended October 31, 2020 (Unaudited)
Six Months Ended October 31, 2020 (Unaudited)
| Net investment income | |
| Income: | |
| Dividends — affiliated issuers | $88,232 |
| Interest | 18,044,211 |
| Total income | 18,132,443 |
| Expenses: | |
| Management services fees | 2,871,342 |
| Distribution and/or service fees | |
| Class A | 100,440 |
| Class C | 30,747 |
| Transfer agent fees | |
| Class A | 70,168 |
| Advisor Class | 17,127 |
| Class C | 5,377 |
| Institutional Class | 410,113 |
| Institutional 2 Class | 2,045 |
| Institutional 3 Class | 21,414 |
| Compensation of board members | 17,767 |
| Custodian fees | 6,432 |
| Printing and postage fees | 22,407 |
| Registration fees | 53,324 |
| Audit fees | 19,804 |
| Legal fees | 14,831 |
| Compensation of chief compliance officer | 199 |
| Other | 15,393 |
| Total expenses | 3,678,930 |
| Fees waived or expenses reimbursed by Investment Manager and its affiliates | (287,215) |
| Fees waived by distributor | |
| Class C | (5,146) |
| Expense reduction | (800) |
| Total net expenses | 3,385,769 |
| Net investment income | 14,746,674 |
| Realized and unrealized gain (loss) — net | |
| Net realized gain (loss) on: | |
| Investments — unaffiliated issuers | 29,047,177 |
| Investments — affiliated issuers | 22,048 |
| Futures contracts | 6,247,868 |
| Net realized gain | 35,317,093 |
| Net change in unrealized appreciation (depreciation) on: | |
| Investments — unaffiliated issuers | 11,120,452 |
| Investments — affiliated issuers | (47,224) |
| Futures contracts | (3,457,005) |
| Net change in unrealized appreciation (depreciation) | 7,616,223 |
| Net realized and unrealized gain | 42,933,316 |
| Net increase in net assets resulting from operations | $57,679,990 |
The accompanying Notes to
Financial Statements are an integral part of this statement.
| 24 | Columbia Corporate Income Fund | Semiannual Report 2020 |
Statement of Changes in Net Assets
| Six Months Ended October 31, 2020 (Unaudited) | Year Ended April 30, 2020 | |
| Operations | ||
| Net investment income | $14,746,674 | $35,204,777 |
| Net realized gain | 35,317,093 | 37,393,741 |
| Net change in unrealized appreciation (depreciation) | 7,616,223 | 34,633,836 |
| Net increase in net assets resulting from operations | 57,679,990 | 107,232,354 |
| Distributions to shareholders | ||
| Net investment income and net realized gains | ||
| Class A | (908,659) | (1,821,280) |
| Advisor Class | (245,300) | (283,152) |
| Class C | (51,384) | (122,497) |
| Institutional Class | (5,895,319) | (18,123,656) |
| Institutional 2 Class | (87,198) | (199,531) |
| Institutional 3 Class | (7,744,647) | (14,829,214) |
| Total distributions to shareholders | (14,932,507) | (35,379,330) |
| Increase (decrease) in net assets from capital stock activity | 127,224,544 | (155,285,533) |
| Total increase (decrease) in net assets | 169,972,027 | (83,432,509) |
| Net assets at beginning of period | 1,019,870,496 | 1,103,303,005 |
| Net assets at end of period | $1,189,842,523 | $1,019,870,496 |
The accompanying Notes to
Financial Statements are an integral part of this statement.
| Columbia Corporate Income Fund | Semiannual Report 2020 | 25 |
Statement of Changes in Net Assets (continued)
| Six Months Ended | Year Ended | |||
| October 31, 2020 (Unaudited) | April 30, 2020 | |||
| Shares | Dollars ($) | Shares | Dollars ($) | |
| Capital stock activity | ||||
| Class A | ||||
| Subscriptions | 1,788,772 | 20,054,285 | 1,382,761 | 14,637,837 |
| Distributions reinvested | 73,195 | 826,994 | 153,257 | 1,628,807 |
| Redemptions | (654,224) | (7,410,897) | (1,116,106) | (11,788,950) |
| Net increase | 1,207,743 | 13,470,382 | 419,912 | 4,477,694 |
| Advisor Class | ||||
| Subscriptions | 296,478 | 3,321,723 | 1,011,888 | 10,727,343 |
| Distributions reinvested | 19,377 | 218,596 | 21,256 | 225,783 |
| Redemptions | (472,302) | (5,333,833) | (184,066) | (1,911,201) |
| Net increase (decrease) | (156,447) | (1,793,514) | 849,078 | 9,041,925 |
| Class C | ||||
| Subscriptions | 148,408 | 1,668,584 | 310,693 | 3,251,037 |
| Distributions reinvested | 4,287 | 48,409 | 10,585 | 112,375 |
| Redemptions | (95,392) | (1,078,906) | (298,630) | (3,130,231) |
| Net increase | 57,303 | 638,087 | 22,648 | 233,181 |
| Institutional Class | ||||
| Subscriptions | 15,207,420 | 168,646,145 | 18,167,748 | 192,344,053 |
| Distributions reinvested | 394,091 | 4,451,085 | 1,094,761 | 11,639,046 |
| Redemptions | (7,037,839) | (79,798,308) | (42,750,686) | (459,792,751) |
| Net increase (decrease) | 8,563,672 | 93,298,922 | (23,488,177) | (255,809,652) |
| Institutional 2 Class | ||||
| Subscriptions | 63,654 | 717,044 | 107,095 | 1,131,373 |
| Distributions reinvested | 7,724 | 87,132 | 18,794 | 199,197 |
| Redemptions | (37,773) | (426,909) | (342,667) | (3,552,276) |
| Net increase (decrease) | 33,605 | 377,267 | (216,778) | (2,221,706) |
| Institutional 3 Class | ||||
| Subscriptions | 7,459,814 | 84,378,779 | 20,186,363 | 218,042,299 |
| Distributions reinvested | 537,942 | 6,073,202 | 1,304,974 | 13,860,746 |
| Redemptions | (6,136,858) | (69,218,581) | (13,901,381) | (142,910,020) |
| Net increase | 1,860,898 | 21,233,400 | 7,589,956 | 88,993,025 |
| Total net increase (decrease) | 11,566,774 | 127,224,544 | (14,823,361) | (155,285,533) |
The accompanying Notes to Financial Statements are
an integral part of this statement.
| 26 | Columbia Corporate Income Fund | Semiannual Report 2020 |
Financial Highlights
The following table is intended to
help you understand the Fund’s financial performance. Certain information reflects financial results for a single share of a class held for the periods shown. Per share net investment income (loss) amounts are
calculated based on average shares outstanding during the period. Total return assumes reinvestment of all dividends and distributions, if any. Total return does not reflect payment of sales charges, if any. Total
return and portfolio turnover are not annualized for periods of less than one year. The portfolio turnover rate is calculated without regard to purchase and sales transactions of short-term instruments and certain
derivatives, if any. If such transactions were included, the Fund’s portfolio turnover rate may be higher.
| Net asset value, beginning of period | Net investment income | Net realized and unrealized gain (loss) | Total from investment operations | Distributions from net investment income | Total distributions to shareholders | |
| Class A | ||||||
| Six Months Ended 10/31/2020 (Unaudited) | $10.87 | 0.13 | 0.42 | 0.55 | (0.13) | (0.13) |
| Year Ended 4/30/2020 | $10.15 | 0.29 | 0.72 | 1.01 | (0.29) | (0.29) |
| Year Ended 4/30/2019 | $9.88 | 0.30 | 0.27 | 0.57 | (0.30) | (0.30) |
| Year Ended 4/30/2018 | $10.11 | 0.26 | (0.23) | 0.03 | (0.26) | (0.26) |
| Year Ended 4/30/2017 | $10.00 | 0.26 | 0.11 | 0.37 | (0.26) | (0.26) |
| Year Ended 4/30/2016 | $10.18 | 0.31 | (0.18) | 0.13 | (0.31) | (0.31) |
| Advisor Class | ||||||
| Six Months Ended 10/31/2020 (Unaudited) | $10.85 | 0.14 | 0.42 | 0.56 | (0.14) | (0.14) |
| Year Ended 4/30/2020 | $10.14 | 0.32 | 0.71 | 1.03 | (0.32) | (0.32) |
| Year Ended 4/30/2019 | $9.87 | 0.33 | 0.27 | 0.60 | (0.33) | (0.33) |
| Year Ended 4/30/2018 | $10.10 | 0.28 | (0.23) | 0.05 | (0.28) | (0.28) |
| Year Ended 4/30/2017 | $9.99 | 0.28 | 0.11 | 0.39 | (0.28) | (0.28) |
| Year Ended 4/30/2016 | $10.16 | 0.33 | (0.17) | 0.16 | (0.33) | (0.33) |
| Class C | ||||||
| Six Months Ended 10/31/2020 (Unaudited) | $10.86 | 0.09 | 0.42 | 0.51 | (0.09) | (0.09) |
| Year Ended 4/30/2020 | $10.15 | 0.23 | 0.71 | 0.94 | (0.23) | (0.23) |
| Year Ended 4/30/2019 | $9.88 | 0.24 | 0.27 | 0.51 | (0.24) | (0.24) |
| Year Ended 4/30/2018 | $10.11 | 0.20 | (0.23) | (0.03) | (0.20) | (0.20) |
| Year Ended 4/30/2017 | $10.00 | 0.20 | 0.11 | 0.31 | (0.20) | (0.20) |
| Year Ended 4/30/2016 | $10.18 | 0.25 | (0.18) | 0.07 | (0.25) | (0.25) |
| Institutional Class | ||||||
| Six Months Ended 10/31/2020 (Unaudited) | $10.87 | 0.14 | 0.42 | 0.56 | (0.14) | (0.14) |
| Year Ended 4/30/2020 | $10.15 | 0.32 | 0.72 | 1.04 | (0.32) | (0.32) |
| Year Ended 4/30/2019 | $9.88 | 0.33 | 0.27 | 0.60 | (0.33) | (0.33) |
| Year Ended 4/30/2018 | $10.11 | 0.28 | (0.23) | 0.05 | (0.28) | (0.28) |
| Year Ended 4/30/2017 | $10.00 | 0.28 | 0.11 | 0.39 | (0.28) | (0.28) |
| Year Ended 4/30/2016 | $10.18 | 0.33 | (0.18) | 0.15 | (0.33) | (0.33) |
| Institutional 2 Class | ||||||
| Six Months Ended 10/31/2020 (Unaudited) | $10.85 | 0.15 | 0.42 | 0.57 | (0.15) | (0.15) |
| Year Ended 4/30/2020 | $10.14 | 0.33 | 0.71 | 1.04 | (0.33) | (0.33) |
| Year Ended 4/30/2019 | $9.87 | 0.35 | 0.26 | 0.61 | (0.34) | (0.34) |
| Year Ended 4/30/2018 | $10.09 | 0.29 | (0.22) | 0.07 | (0.29) | (0.29) |
| Year Ended 4/30/2017 | $9.98 | 0.29 | 0.11 | 0.40 | (0.29) | (0.29) |
| Year Ended 4/30/2016 | $10.16 | 0.34 | (0.18) | 0.16 | (0.34) | (0.34) |
The accompanying Notes to Financial
Statements are an integral part of this statement.
| 28 | Columbia Corporate Income Fund | Semiannual Report 2020 |
Financial Highlights (continued)
| Net asset value, end of period | Total return | Total gross expense ratio to average net assets(a) | Total net expense ratio to average net assets(a),(b) | Net investment income ratio to average net assets | Portfolio turnover | Net assets, end of period (000’s) | |
| Class A | |||||||
| Six Months Ended 10/31/2020 (Unaudited) | $11.29 | 5.04% | 0.94%(c) | 0.89%(c),(d) | 2.22%(c) | 40% | $85,175 |
| Year Ended 4/30/2020 | $10.87 | 10.10% | 0.95% | 0.91%(d) | 2.77% | 91% | $68,880 |
| Year Ended 4/30/2019 | $10.15 | 5.93% | 0.93% | 0.91%(d) | 3.07% | 65% | $60,085 |
| Year Ended 4/30/2018 | $9.88 | 0.22% | 0.95% | 0.92%(d) | 2.52% | 78% | $63,283 |
| Year Ended 4/30/2017 | $10.11 | 3.72% | 0.98%(e) | 0.91%(d),(e) | 2.56% | 76% | $81,802 |
| Year Ended 4/30/2016 | $10.00 | 1.38% | 1.00% | 0.93%(d) | 3.15% | 50% | $98,149 |
| Advisor Class | |||||||
| Six Months Ended 10/31/2020 (Unaudited) | $11.27 | 5.18% | 0.69%(c) | 0.64%(c),(d) | 2.47%(c) | 40% | $17,023 |
| Year Ended 4/30/2020 | $10.85 | 10.28% | 0.70% | 0.66%(d) | 3.02% | 91% | $18,086 |
| Year Ended 4/30/2019 | $10.14 | 6.20% | 0.68% | 0.66%(d) | 3.32% | 65% | $8,289 |
| Year Ended 4/30/2018 | $9.87 | 0.46% | 0.70% | 0.67%(d) | 2.75% | 78% | $9,009 |
| Year Ended 4/30/2017 | $10.10 | 3.98% | 0.73%(e) | 0.66%(d),(e) | 2.81% | 76% | $12,534 |
| Year Ended 4/30/2016 | $9.99 | 1.73% | 0.75% | 0.68%(d) | 3.42% | 50% | $15,459 |
| Class C | |||||||
| Six Months Ended 10/31/2020 (Unaudited) | $11.28 | 4.74% | 1.69%(c) | 1.47%(c),(d) | 1.64%(c) | 40% | $6,510 |
| Year Ended 4/30/2020 | $10.86 | 9.35% | 1.70% | 1.51%(d) | 2.17% | 91% | $5,646 |
| Year Ended 4/30/2019 | $10.15 | 5.29% | 1.68% | 1.51%(d) | 2.45% | 65% | $5,045 |
| Year Ended 4/30/2018 | $9.88 | (0.38%) | 1.70% | 1.52%(d) | 1.92% | 78% | $7,856 |
| Year Ended 4/30/2017 | $10.11 | 3.10% | 1.73%(e) | 1.51%(d),(e) | 1.96% | 76% | $10,543 |
| Year Ended 4/30/2016 | $10.00 | 0.78% | 1.75% | 1.53%(d) | 2.55% | 50% | $11,740 |
| Institutional Class | |||||||
| Six Months Ended 10/31/2020 (Unaudited) | $11.29 | 5.17% | 0.70%(c) | 0.64%(c),(d) | 2.48%(c) | 40% | $475,642 |
| Year Ended 4/30/2020 | $10.87 | 10.37% | 0.70% | 0.66%(d) | 3.02% | 91% | $364,875 |
| Year Ended 4/30/2019 | $10.15 | 6.19% | 0.68% | 0.66%(d) | 3.31% | 65% | $579,312 |
| Year Ended 4/30/2018 | $9.88 | 0.47% | 0.69% | 0.66%(d) | 2.78% | 78% | $760,048 |
| Year Ended 4/30/2017 | $10.11 | 3.98% | 0.73%(e) | 0.66%(d),(e) | 2.81% | 76% | $586,861 |
| Year Ended 4/30/2016 | $10.00 | 1.64% | 0.75% | 0.68%(d) | 3.40% | 50% | $481,013 |
| Institutional 2 Class | |||||||
| Six Months Ended 10/31/2020 (Unaudited) | $11.27 | 5.24% | 0.58%(c) | 0.53%(c) | 2.58%(c) | 40% | $6,888 |
| Year Ended 4/30/2020 | $10.85 | 10.39% | 0.58% | 0.56% | 3.13% | 91% | $6,267 |
| Year Ended 4/30/2019 | $10.14 | 6.29% | 0.59% | 0.58% | 3.52% | 65% | $8,052 |
| Year Ended 4/30/2018 | $9.87 | 0.67% | 0.59% | 0.57% | 2.86% | 78% | $1,782 |
| Year Ended 4/30/2017 | $10.09 | 4.09% | 0.57%(e) | 0.55%(e) | 2.92% | 76% | $2,076 |
| Year Ended 4/30/2016 | $9.98 | 1.76% | 0.57% | 0.56% | 3.53% | 50% | $1,459 |
The accompanying Notes to Financial
Statements are an integral part of this statement.
| Columbia Corporate Income Fund | Semiannual Report 2020 | 29 |
Financial Highlights (continued)
| Net asset value, beginning of period | Net investment income | Net realized and unrealized gain (loss) | Total from investment operations | Distributions from net investment income | Total distributions to shareholders | |
| Institutional 3 Class | ||||||
| Six Months Ended 10/31/2020 (Unaudited) | $10.86 | 0.15 | 0.42 | 0.57 | (0.15) | (0.15) |
| Year Ended 4/30/2020 | $10.15 | 0.33 | 0.72 | 1.05 | (0.34) | (0.34) |
| Year Ended 4/30/2019 | $9.88 | 0.34 | 0.27 | 0.61 | (0.34) | (0.34) |
| Year Ended 4/30/2018 | $10.11 | 0.30 | (0.23) | 0.07 | (0.30) | (0.30) |
| Year Ended 4/30/2017 | $10.00 | 0.29 | 0.12 | 0.41 | (0.30) | (0.30) |
| Year Ended 4/30/2016 | $10.18 | 0.35 | (0.18) | 0.17 | (0.35) | (0.35) |
| Notes to Financial Highlights | |
| (a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
| (b) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
| (c) | Annualized. |
| (d) | The benefits derived from expense reductions had an impact of less than 0.01%. |
| (e) | Expenses have been reduced due to a reimbursement of expenses overbilled by a third party. If the reimbursement had been excluded, the expense ratios would have been higher by the percentages shown for each class in the table below. All fee waivers and expense reimbursements by the Investment Manager and its affiliates were applied before giving effect to this third party reimbursement. |
| Year Ended | Class A | Advisor Class | Class C | Institutional Class | Institutional 2 Class | Institutional 3 Class |
| 04/30/2017 | 0.01% | 0.01% | 0.01% | 0.01% | 0.01% | 0.01% |
The accompanying Notes to
Financial Statements are an integral part of this statement.
| 30 | Columbia Corporate Income Fund | Semiannual Report 2020 |
Financial Highlights (continued)
| Net asset value, end of period | Total return | Total gross expense ratio to average net assets(a) | Total net expense ratio to average net assets(a),(b) | Net investment income ratio to average net assets | Portfolio turnover | Net assets, end of period (000’s) | |
| Institutional 3 Class | |||||||
| Six Months Ended 10/31/2020 (Unaudited) | $11.28 | 5.26% | 0.53%(c) | 0.48%(c) | 2.63%(c) | 40% | $598,604 |
| Year Ended 4/30/2020 | $10.86 | 10.44% | 0.53% | 0.50% | 3.17% | 91% | $556,117 |
| Year Ended 4/30/2019 | $10.15 | 6.34% | 0.53% | 0.52% | 3.44% | 65% | $442,521 |
| Year Ended 4/30/2018 | $9.88 | 0.62% | 0.53% | 0.51% | 2.93% | 78% | $622,383 |
| Year Ended 4/30/2017 | $10.11 | 4.14% | 0.54%(e) | 0.51%(e) | 2.91% | 76% | $542,814 |
| Year Ended 4/30/2016 | $10.00 | 1.81% | 0.52% | 0.51% | 3.60% | 50% | $18,312 |
The accompanying Notes to Financial Statements are
an integral part of this statement.
| Columbia Corporate Income Fund | Semiannual Report 2020 | 31 |
Notes to Financial Statements
October 31, 2020 (Unaudited)
October 31, 2020 (Unaudited)
Note 1. Organization
Columbia Corporate Income Fund
(the Fund), a series of Columbia Funds Series Trust I (the Trust), is a diversified fund. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management
investment company organized as a Massachusetts business trust.
Fund shares
The Trust may issue an unlimited
number of shares (without par value). The Fund offers each of the share classes listed in the Statement of Assets and Liabilities. Although all share classes generally have identical voting, dividend and liquidation
rights, each share class votes separately when required by the Trust’s organizational documents or by law. Each share class has its own expense and sales charge structure. Different share classes may have
different minimum initial investment amounts and pay different net investment income distribution amounts to the extent the expenses of distributing such share classes vary. Distributions to shareholders in a
liquidation will be proportional to the net asset value of each share class.
As described in the Fund’s
prospectus, Class A and Class C shares are offered to the general public for investment. Class C shares automatically convert to Class A shares after 10 years. Advisor Class, Institutional Class, Institutional 2 Class
and Institutional 3 Class shares are available for purchase through authorized investment professionals to omnibus retirement plans or to institutional investors and to certain other investors as also described in the
Fund’s prospectus.
Note 2. Summary of
significant accounting policies
Basis of preparation
The Fund is an investment company
that applies the accounting and reporting guidance in the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946, Financial Services - Investment Companies (ASC 946). The financial statements are prepared in accordance with U.S. generally accepted accounting principles (GAAP), which requires
management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities, the disclosure of contingent assets and liabilities at the date of the financial statements and the
reported amounts of income and expenses during the reporting period. Actual results could differ from those estimates. The Fund received a reimbursement for expenses overbilled by a third party. Such reimbursement is
included as an offset to other expenses on the Statement of Operations. All fee waivers and expense reimbursements by Columbia Management Investment Advisers, LLC and its affiliates were applied before giving effect
to the third party reimbursement.
The following is a summary of
significant accounting policies followed by the Fund in the preparation of its financial statements.
Security valuation
Equity securities listed on an
exchange are valued at the closing price or last trade on their primary exchange at the close of business of the New York Stock Exchange. Securities with a closing price not readily available or not listed on any
exchange are valued at the mean between the closing bid and asked prices. Listed preferred stocks convertible into common stocks are valued using an evaluated price from a pricing service.
Debt securities generally are
valued by pricing services approved by the Board of Trustees based upon market transactions for normal, institutional-size trading units of similar securities. The services may use various pricing techniques that take
into account, as applicable, factors such as yield, quality, coupon rate, maturity, type of issue, trading characteristics and other data, as well as approved independent broker-dealer quotes. Debt securities for
which quotations are not readily available or not believed to be reflective of market value may also be valued based upon a bid quote from an approved independent broker-dealer. Debt securities maturing in 60 days or
less are valued primarily at amortized market value, unless this method results in a valuation that management believes does not approximate fair value.
Senior loan securities for which
reliable market quotations are readily available are generally valued by pricing services at the average of the bids received.
Investments in open-end investment
companies (other than exchange-traded funds (ETFs)), are valued at the latest net asset value reported by those companies as of the valuation time.
| 32 | Columbia Corporate Income Fund | Semiannual Report 2020 |
Notes to Financial Statements (continued)
October 31, 2020 (Unaudited)
October 31, 2020 (Unaudited)
Futures and options on futures
contracts are valued based upon the settlement price at the close of regular trading on their principal exchanges or, in the absence of a settlement price, at the mean of the latest quoted bid and ask prices.
Investments for which market
quotations are not readily available, or that have quotations which management believes are not reflective of market value or reliable, are valued at fair value as determined in good faith under procedures approved by
and under the general supervision of the Board of Trustees. If a security or class of securities (such as foreign securities) is valued at fair value, such value is likely to be different from the quoted or published
price for the security, if available.
The determination of fair value
often requires significant judgment. To determine fair value, management may use assumptions including but not limited to future cash flows and estimated risk premiums. Multiple inputs from various sources may be used
to determine fair value.
GAAP requires 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. This information is disclosed following
the Fund’s Portfolio of Investments.
Derivative instruments
The Fund invests in certain
derivative instruments, as detailed below, in seeking to meet its investment objectives. Derivatives are instruments whose values depend on, or are derived from, in whole or in part, the value of one or more
securities, currencies, commodities, indices, or other assets or instruments. Derivatives may be used to increase investment flexibility (including to maintain cash reserves while maintaining desired exposure to
certain assets), for risk management (hedging) purposes, to facilitate trading, to reduce transaction costs and to pursue higher investment returns. The Fund may also use derivative instruments to mitigate certain
investment risks, such as foreign currency exchange rate risk, interest rate risk and credit risk. Derivatives may involve various risks, including the potential inability of the counterparty to fulfill its
obligations under the terms of the contract, the potential for an illiquid secondary market (making it difficult for the Fund to sell or terminate, including at favorable prices) and the potential for market movements
which may expose the Fund to gains or losses in excess of the amount shown in the Statement of Assets and Liabilities. The notional amounts of derivative instruments, if applicable, are not recorded in the financial
statements.
A derivative instrument may suffer
a marked-to-market loss if the value of the contract decreases due to an unfavorable change in the market rates or values of the underlying instrument. Losses can also occur if the counterparty does not perform its
obligations under the contract. The Fund’s risk of loss from counterparty credit risk on over-the-counter derivatives is generally limited to the aggregate unrealized gain netted against any collateral held by
the Fund and the amount of any variation margin held by the counterparty, plus any replacement costs or related amounts. With exchange-traded or centrally cleared derivatives, there is reduced counterparty credit risk
to the Fund since the clearinghouse or central counterparty (CCP) provides some protection in the case of clearing member default. The clearinghouse or CCP stands between the buyer and the seller of the contract;
therefore, additional counterparty credit risk is failure of the clearinghouse or CCP. However, credit risk still exists in exchange-traded or centrally cleared derivatives with respect to initial and variation margin
that is held in a broker’s customer account. While clearing brokers are required to segregate customer margin from their own assets, in the event that a clearing broker becomes insolvent or goes into bankruptcy
and at that time there is a shortfall in the aggregate amount of margin held by the clearing broker for all its clients, U.S. bankruptcy laws will typically allocate that shortfall on a pro-rata basis across all the
clearing broker’s customers (including the Fund), potentially resulting in losses to the Fund.
In order to better define its
contractual rights and to secure rights that will help the Fund mitigate its counterparty risk, the Fund may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (ISDA Master Agreement)
or similar agreement with its derivatives counterparties. An ISDA Master Agreement is an agreement between the Fund and a counterparty that governs over-the-counter derivatives and foreign exchange forward contracts
and contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. Under an ISDA Master Agreement, the Fund may, under certain circumstances, offset
with the counterparty certain derivative instrument’s payables and/or receivables with collateral held and/or posted and create one single net payment. The provisions of the ISDA Master Agreement typically
permit a single net payment in the event of default (close-out netting), including the bankruptcy or insolvency of the counterparty. Note, however, that bankruptcy or insolvency laws of a particular jurisdiction may
impose restrictions on or prohibitions against the right of offset or netting in bankruptcy, insolvency or other events.
| Columbia Corporate Income Fund | Semiannual Report 2020 | 33 |
Notes to Financial Statements (continued)
October 31, 2020 (Unaudited)
October 31, 2020 (Unaudited)
Collateral (margin) requirements
differ by type of derivative. Margin requirements are established by the clearinghouse or CCP for exchange-traded and centrally cleared derivatives. Brokers can ask for margin in excess of the minimum in certain
circumstances. Collateral terms for most over-the-counter derivatives are subject to regulatory requirements to exchange variation margin with trading counterparties and may have contract specific margin terms as
well. For over-the-counter derivatives traded under an ISDA Master Agreement, the collateral requirements are typically calculated by netting the marked-to-market amount for each transaction under such agreement and
comparing that amount to the value of any variation margin currently pledged by the Fund and/or the counterparty. Generally, the amount of collateral due from or to a party has to exceed a minimum transfer amount
threshold (e.g., $250,000) before a transfer has to be made. To the extent amounts due to the Fund from its counterparties are not fully collateralized, contractually or otherwise, the Fund bears the risk of loss from
counterparty nonperformance. The Fund may also pay interest expense on cash collateral received from the broker. Any interest expense paid by the Fund is shown on the Statement of Operations. The Fund attempts to
mitigate counterparty risk by only entering into agreements with counterparties that it believes have the financial resources to honor their obligations and by monitoring the financial stability of those
counterparties.
Certain ISDA Master Agreements
allow counterparties of over-the-counter derivatives transactions to terminate derivatives contracts prior to maturity in the event the Fund’s net asset value declines by a stated percentage over a specified
time period or if the Fund fails to meet certain terms of the ISDA Master Agreement, which would cause the Fund to accelerate payment of any net liability owed to the counterparty. The Fund also has termination rights
if the counterparty fails to meet certain terms of the ISDA Master Agreement. In determining whether to exercise such termination rights, the Fund would consider, in addition to counterparty credit risk, whether
termination would result in a net liability owed from the counterparty.
For financial reporting purposes,
the Fund does not offset derivative assets and derivative liabilities that are subject to netting arrangements in the Statement of Assets and Liabilities.
Futures contracts
Futures contracts are
exchange-traded and represent commitments for the future purchase or sale of an asset at a specified price on a specified date. The Fund bought and sold futures contracts to manage the duration and yield curve
exposure of the Fund versus the benchmark and to manage exposure to movements in interest rates. These instruments may be used for other purposes in future periods. Upon entering into futures contracts, the Fund bears
risks that it may not achieve the anticipated benefits of the futures contracts and may realize a loss. Additional risks include counterparty credit risk, the possibility of an illiquid market, and that a change in
the value of the contract or option may not correlate with changes in the value of the underlying asset.
Upon entering into a futures
contract, the Fund deposits cash or securities with the broker, known as a futures commission merchant (FCM), in an amount sufficient to meet the initial margin requirement. The initial margin deposit must be
maintained at an established level over the life of the contract. Cash deposited as initial margin is recorded in the Statement of Assets and Liabilities as margin deposits. Securities deposited as initial margin are
designated in the Portfolio of Investments. Subsequent payments (variation margin) are made or received by the Fund each day. The variation margin payments are equal to the daily change in the contract value and are
recorded as variation margin receivable or payable and are offset in unrealized gains or losses. The Fund recognizes a realized gain or loss when the contract is closed or expires. Futures contracts involve, to
varying degrees, risk of loss in excess of the variation margin disclosed in the Statement of Assets and Liabilities.
Effects of derivative transactions in
the financial statements
The following tables are intended
to provide additional information about the effect of derivatives on the financial statements of the Fund, including: the fair value of derivatives by risk category and the location of those fair values in the
Statement of Assets and Liabilities; and the impact of derivative transactions over the period in the Statement of Operations, including realized and unrealized gains (losses). The derivative instrument schedules
following the Portfolio of Investments present additional information regarding derivative instruments outstanding at the end of the period, if any.
| 34 | Columbia Corporate Income Fund | Semiannual Report 2020 |
Notes to Financial Statements (continued)
October 31, 2020 (Unaudited)
October 31, 2020 (Unaudited)
The following table is a summary of
the fair value of derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) at October 31, 2020:
| Asset derivatives | ||
| Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
| Interest rate risk | Component of total distributable earnings (loss) — unrealized appreciation on futures contracts | 4,707,149* |
| Liability derivatives | ||
| Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
| Interest rate risk | Component of total distributable earnings (loss) — unrealized depreciation on futures contracts | 2,094,695* |
| * | Includes cumulative appreciation (depreciation) as reported in the tables following the Portfolio of Investments. Only the current day’s variation margin is reported in receivables or payables in the Statement of Assets and Liabilities. |
The following table indicates the
effect of derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) in the Statement of Operations for the six months ended October 31, 2020:
| Amount of realized gain (loss) on derivatives recognized in income | ||||||
| Risk exposure category | Futures contracts ($) | |||||
| Interest rate risk | 6,247,868 | |||||
| Total | 6,247,868 | |||||
| Change in unrealized appreciation (depreciation) on derivatives recognized in income | ||||||
| Risk exposure category | Futures contracts ($) | |||||
| Interest rate risk | (3,457,005) | |||||
The following table is a summary
of the average outstanding volume by derivative instrument for the six months ended October 31, 2020:
| Derivative instrument | Average notional amounts ($)* |
| Futures contracts — long | 237,282,567 |
| Futures contracts — short | 149,401,031 |
| * | Based on the ending quarterly outstanding amounts for the six months ended October 31, 2020. |
Investments in senior loans
The Fund may invest in senior loan
assignments. When the Fund purchases an assignment of a senior loan, the Fund typically has direct rights against the borrower; provided, however, that the Fund’s rights may be more limited than the lender from
which it acquired the assignment and the Fund may be able to enforce its rights only through an administrative agent. Although certain senior loan assignments are secured by collateral, the Fund could experience
delays or limitations in realizing such collateral or have its interest subordinated to other indebtedness of the obligor. In the event that the administrator or collateral agent of a loan becomes insolvent or enters
into receivership or bankruptcy, the Fund may incur costs and delays in realizing payment or may suffer a loss of principal and/or interest. The risk of loss is greater for unsecured or subordinated loans. In
addition, senior loan assignments are vulnerable to market, economic or other conditions or events that may reduce the demand for senior loan assignments and certain senior loan assignments which were liquid when
purchased, may become illiquid.
| Columbia Corporate Income Fund | Semiannual Report 2020 | 35 |
Notes to Financial Statements (continued)
October 31, 2020 (Unaudited)
October 31, 2020 (Unaudited)
The Fund may enter into senior loan
assignments where all or a portion of the loan may be unfunded. The Fund is obligated to fund these commitments at the borrower’s discretion. These commitments, if any, are generally traded and priced in the
same manner as other senior loan securities and are disclosed as unfunded senior loan commitments in the Fund’s Portfolio of Investments with a corresponding payable for investments purchased. The Fund
designates cash or liquid securities to cover these commitments.
Delayed delivery securities
The Fund may trade securities on
other than normal settlement terms, including securities purchased or sold on a “when-issued” or "forward commitment" basis. This may increase risk to the Fund since the other party to the transaction may
fail to deliver, which could cause the Fund to subsequently invest at less advantageous prices. The Fund designates cash or liquid securities in an amount equal to the delayed delivery commitment.
Security transactions
Security transactions are accounted
for on the trade date. Cost is determined and gains (losses) are based upon the specific identification method for both financial statement and federal income tax purposes.
The trade date for senior loans
purchased in the primary market is the date on which the loan is allocated. The trade date for senior loans purchased in the secondary market is the date on which the transaction is entered into.
Income recognition
Interest income is recorded on an
accrual basis. Market premiums and discounts, including original issue discounts, are amortized and accreted, respectively, over the expected life of the security on all debt securities, unless otherwise noted. The
Fund classifies gains and losses realized on prepayments received on mortgage-backed securities as adjustments to interest income.
The Fund may place a debt security
on non-accrual status and reduce related interest income when it becomes probable that the interest will not be collected and the amount of uncollectible interest can be reasonably estimated. A defaulted debt security
is removed from non-accrual status when the issuer resumes interest payments or when collectibility of interest is reasonably assured.
Dividend income is recorded on the
ex-dividend date.
Corporate actions and dividend
income are recorded on the ex-dividend date.
The value of additional securities
received as an income payment through a payment in kind, if any, is recorded as interest income and increases the cost basis of such securities.
The Fund may receive other income
from senior loans, including amendment fees, consent fees and commitment fees. These fees are recorded as income when received by the Fund. These amounts are included in Interest Income in the Statement of
Operations.
Expenses
General expenses of the Trust are
allocated to the Fund and other funds of the Trust based upon relative net assets or other expense allocation methodologies determined by the nature of the expense. Expenses directly attributable to the Fund are
charged to the Fund. Expenses directly attributable to a specific class of shares are charged to that share class.
Determination of class net asset
value
All income, expenses (other than
class-specific expenses, which are charged to that share class, as shown in the Statement of Operations) and realized and unrealized gains (losses) are allocated to each class of the Fund on a daily basis, based on
the relative net assets of each class, for purposes of determining the net asset value of each class.
| 36 | Columbia Corporate Income Fund | Semiannual Report 2020 |
Notes to Financial Statements (continued)
October 31, 2020 (Unaudited)
October 31, 2020 (Unaudited)
Federal income tax status
The Fund intends to qualify each
year as a regulated investment company under Subchapter M of the Internal Revenue Code, as amended, and will distribute substantially all of its investment company taxable income and net capital gain, if any, for its
tax year, and as such will not be subject to federal income taxes. In addition, the Fund intends to distribute in each calendar year substantially all of its ordinary income, capital gain net income and certain other
amounts, if any, such that the Fund should not be subject to federal excise tax. Therefore, no federal income or excise tax provision is recorded.
Foreign taxes
The Fund may be subject to foreign
taxes on income, gains on investments or currency repatriation, a portion of which may be recoverable. The Fund will accrue such taxes and recoveries, as applicable, based upon its current interpretation of tax rules
and regulations that exist in the markets in which it invests.
Realized gains in certain countries
may be subject to foreign taxes at the Fund level, based on statutory rates. The Fund accrues for such foreign taxes on realized and unrealized gains at the appropriate rate for each jurisdiction, as applicable. The
amount, if any, is disclosed as a liability on the Statement of Assets and Liabilities.
Distributions to shareholders
Distributions from net investment
income, if any, are declared daily and paid monthly. Net realized capital gains, if any, are distributed at least annually. Income distributions and capital gain distributions are determined in accordance with federal
income tax regulations, which may differ from GAAP.
Guarantees and indemnifications
Under the Trust’s
organizational documents and, in some cases, by contract, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Trust or its funds. In addition,
certain of the Fund’s contracts with its service providers contain general indemnification clauses. The Fund’s maximum exposure under these arrangements is unknown since the amount of any future claims
that may be made against the Fund cannot be determined, and the Fund has no historical basis for predicting the likelihood of any such claims.
Note 3. Fees and other
transactions with affiliates
Management services fees
The Fund has entered into a
Management Agreement with Columbia Management Investment Advisers, LLC (the Investment Manager), a wholly-owned subsidiary of Ameriprise Financial, Inc. (Ameriprise Financial). Under the Management Agreement, the
Investment Manager provides the Fund with investment research and advice, as well as administrative and accounting services. The management services fee is an annual fee that is equal to a percentage of the
Fund’s daily net assets that declines from 0.50% to 0.34% as the Fund’s net assets increase. The annualized effective management services fee rate for the six months ended October 31, 2020 was 0.49% of the
Fund’s average daily net assets.
Compensation of board members
Members of the Board of Trustees
who are not officers or employees of the Investment Manager or Ameriprise Financial are compensated for their services to the Fund as disclosed in the Statement of Operations. These members of the Board of Trustees
may participate in a Deferred Compensation Plan (the Deferred Plan) which may be terminated at any time. Obligations of the Deferred Plan will be paid solely out of the Fund’s assets, and all amounts payable
under the Deferred Plan constitute a general unsecured obligation of the Fund.
Compensation of Chief Compliance
Officer
The Board of Trustees has appointed
a Chief Compliance Officer for the Fund in accordance with federal securities regulations. As disclosed in the Statement of Operations, a portion of the Chief Compliance Officer’s total compensation is allocated
to the Fund, along with other allocations to affiliated registered investment companies managed by the Investment Manager and its affiliates, based on relative net assets.
| Columbia Corporate Income Fund | Semiannual Report 2020 | 37 |
Notes to Financial Statements (continued)
October 31, 2020 (Unaudited)
October 31, 2020 (Unaudited)
Transfer agency fees
Under a Transfer and Dividend
Disbursing Agent Agreement, Columbia Management Investment Services Corp. (the Transfer Agent), an affiliate of the Investment Manager and a wholly-owned subsidiary of Ameriprise Financial, is responsible for
providing transfer agency services to the Fund. The Transfer Agent has contracted with DST Asset Manager Solutions, Inc. (DST) to serve as sub-transfer agent. The Transfer Agent pays the fees of DST for services as
sub-transfer agent and DST is not entitled to reimbursement for such fees from the Fund (with the exception of out-of-pocket fees).
The Fund pays the Transfer Agent a
monthly transfer agency fee based on the number or the average value of accounts, depending on the type of account. In addition, the Fund pays the Transfer Agent a fee for shareholder services based on the number of
accounts or on a percentage of the average aggregate value of the Fund’s shares maintained in omnibus accounts up to the lesser of the amount charged by the financial intermediary or a cap established by the
Board of Trustees from time to time.
The Transfer Agent also receives
compensation from the Fund for various shareholder services and reimbursements for certain out-of-pocket fees. Total transfer agency fees for Institutional 2 Class and Institutional 3 Class shares are subject to an
annual limitation of not more than 0.07% and 0.02%, respectively, of the average daily net assets attributable to each share class.
For the six months ended October
31, 2020, the Fund’s annualized effective transfer agency fee rates as a percentage of average daily net assets of each class were as follows:
| Effective rate (%) | |
| Class A | 0.17 |
| Advisor Class | 0.17 |
| Class C | 0.17 |
| Institutional Class | 0.17 |
| Institutional 2 Class | 0.06 |
| Institutional 3 Class | 0.01 |
An annual minimum account balance
fee of $20 may apply to certain accounts with a value below the applicable share class’s initial minimum investment requirements to reduce the impact of small accounts on transfer agency fees. These minimum
account balance fees are remitted to the Fund and recorded as part of expense reductions in the Statement of Operations. For the six months ended October 31, 2020, these minimum account balance fees reduced total
expenses of the Fund by $800.
Distribution and service fees
The Fund has entered into an
agreement with Columbia Management Investment Distributors, Inc. (the Distributor), an affiliate of the Investment Manager and a wholly-owned subsidiary of Ameriprise Financial, for distribution and shareholder
services. The Board of Trustees has approved, and the Fund has adopted, distribution and shareholder service plans (the Plans) applicable to certain share classes, which set the distribution and service fees for the
Fund. These fees are calculated daily and are intended to compensate the Distributor and/or eligible selling and/or servicing agents for selling shares of the Fund and providing services to investors.
Under the Plans, the Fund pays a
monthly service fee to the Distributor at the maximum annual rate of 0.25% of the average daily net assets attributable to Class A and Class C shares of the Fund. Also under the Plans, the Fund pays a monthly
distribution fee to the Distributor at the maximum annual rate of 0.75% of the average daily net assets attributable to Class C shares of the Fund.
Effective September 1, 2020, the
Distributor has contractually agreed to waive a portion of the distribution fee for Class C shares through August 31, 2021 so that the distribution fee does not exceed 0.55% annually of the average daily net assets
attributable to Class C shares. This arrangement may be modified or terminated at the sole discretion of the Board of Trustees. Prior to September 1, 2020, the Distributor voluntarily waived a portion of the
distribution fee for Class C shares so that the distribution fee did not exceed 0.60% annually of the average daily net assets attributable to Class C shares.
| 38 | Columbia Corporate Income Fund | Semiannual Report 2020 |
Notes to Financial Statements (continued)
October 31, 2020 (Unaudited)
October 31, 2020 (Unaudited)
Sales charges
Sales charges, including front-end
charges and contingent deferred sales charges (CDSCs), received by the Distributor for distributing Fund shares for the six months ended October 31, 2020, if any, are listed below:
| Front End (%) | CDSC (%) | Amount ($) | |
| Class A | 4.75 | 0.50 - 1.00(a) | 73,426 |
| Class C | — | 1.00(b) | 510 |
| (a) | This charge is imposed on certain investments of between $1 million and $50 million redeemed within 18 months after purchase, as follows: 1.00% if redeemed within 12 months after purchase, and 0.50% if redeemed more than 12, but less than 18, months after purchase, with certain limited exceptions. |
| (b) | This charge applies to redemptions within 12 months after purchase, with certain limited exceptions. |
The Fund’s other share
classes are not subject to sales charges.
Expenses waived/reimbursed by the
Investment Manager and its affiliates
The Investment Manager and certain
of its affiliates have contractually agreed to waive fees and/or reimburse expenses (excluding certain fees and expenses described below) for the period(s) disclosed below, unless sooner terminated at the sole
discretion of the Board of Trustees, so that the Fund’s net operating expenses, after giving effect to fees waived/expenses reimbursed and any balance credits and/or overdraft charges from the Fund’s
custodian, do not exceed the following annual rate(s) as a percentage of the class’ average daily net assets:
| September 1, 2020 through August 31, 2021 | Prior to September 1, 2020 | |
| Class A | 0.90% | 0.90% |
| Advisor Class | 0.65 | 0.65 |
| Class C | 1.65 | 1.65 |
| Institutional Class | 0.65 | 0.65 |
| Institutional 2 Class | 0.52 | 0.55 |
| Institutional 3 Class | 0.47 | 0.49 |
Under the agreement governing
these fee waivers and/or expense reimbursement arrangements, the following fees and expenses are excluded from the waiver/reimbursement commitment, and therefore will be paid by the Fund, if applicable: taxes
(including foreign transaction taxes), expenses associated with investments in affiliated and non-affiliated pooled investment vehicles (including mutual funds and exchange-traded funds), transaction costs and
brokerage commissions, costs related to any securities lending program, dividend expenses associated with securities sold short, inverse floater program fees and expenses, transaction charges and interest on borrowed
money, interest, infrequent and/or unusual expenses and any other expenses the exclusion of which is specifically approved by the Board of Trustees. This agreement may be modified or amended only with approval from
the Investment Manager, certain of its affiliates and the Fund. In addition to the contractual agreement, the Investment Manager and certain of its affiliates have voluntarily agreed to waive fees and/or reimburse
Fund expenses (excluding certain fees and expenses described above) so that Fund level expenses (expenses directly attributable to the Fund and not to a specific share class) are waived proportionately across all
share classes. This arrangement may be revised or discontinued at any time. Any fees waived and/or expenses reimbursed under the expense reimbursement arrangements described above are not recoverable by the Investment
Manager or its affiliates in future periods. Class C distribution fees waived by the Distributor, as discussed above, are in addition to the waiver/reimbursement commitment under the agreement.
Note 4. Federal tax
information
The timing and character of
income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP because of temporary or permanent book to tax differences.
| Columbia Corporate Income Fund | Semiannual Report 2020 | 39 |
Notes to Financial Statements (continued)
October 31, 2020 (Unaudited)
October 31, 2020 (Unaudited)
At October 31, 2020, the
approximate cost of all investments for federal income tax purposes and the aggregate gross approximate unrealized appreciation and depreciation based on that cost was:
| Federal tax cost ($) | Gross unrealized appreciation ($) | Gross unrealized (depreciation) ($) | Net unrealized appreciation ($) |
| 1,125,664,000 | 70,789,000 | (16,031,000) | 54,758,000 |
Management of the Fund has
concluded that there are no significant uncertain tax positions in the Fund that would require recognition in the financial statements. However, management’s conclusion may be subject to review and adjustment at
a later date based on factors including, but not limited to, new tax laws, regulations, and administrative interpretations (including relevant court decisions). Generally, the Fund’s federal tax returns for the
prior three fiscal years remain subject to examination by the Internal Revenue Service.
Note 5. Portfolio
information
The cost of purchases and
proceeds from sales of securities, excluding short-term investments and derivatives, if any, aggregated to $562,401,552 and $418,577,587, respectively, for the six months ended October 31, 2020, of which $18,897,441
and $0, respectively, were U.S. government securities. The amount of purchase and sale activity impacts the portfolio turnover rate reported in the Financial Highlights.
Note 6. Affiliated money
market fund
The Fund invests in Columbia
Short-Term Cash Fund, an affiliated money market fund established for the exclusive use by the Fund and other affiliated funds (the Affiliated MMF). The income earned by the Fund from such investments is included as
Dividends - affiliated issuers in the Statement of Operations. As an investing fund, the Fund indirectly bears its proportionate share of the expenses of the Affiliated MMF. The Affiliated MMF prices its shares with a
floating net asset value. In addition, the Board of Trustees of the Affiliated MMF may impose a fee on redemptions (sometimes referred to as a liquidity fee) or temporarily suspend redemptions (sometimes referred to
as imposing a redemption gate) in the event its liquidity falls below regulatory limits.
Note 7. Interfund
lending
Pursuant to an exemptive order
granted by the Securities and Exchange Commission, the Fund participates in a program (the Interfund Program) allowing each participating Columbia Fund (each, a Participating Fund) to lend money directly to and,
except for closed-end funds and money market funds, borrow money directly from other Participating Funds for temporary purposes. The amounts eligible for borrowing and lending under the Interfund Program are subject
to certain restrictions.
Interfund loans are subject to the
risk that the borrowing fund could be unable to repay the loan when due, and a delay in repayment to the lending fund could result in lost opportunities and/or additional lending costs. The exemptive order is subject
to conditions intended to mitigate conflicts of interest arising from the Investment Manager’s relationship with each Participating Fund.
The Fund did not borrow or lend
money under the Interfund Program during the six months ended October 31, 2020.
Note 8. Line of credit
The Fund has access to a
revolving credit facility with a syndicate of banks led by Citibank, N.A., Wells Fargo Bank, N.A. and JPMorgan Chase Bank, N.A. whereby the Fund may borrow for the temporary funding of shareholder redemptions or for
other temporary or emergency purposes. Pursuant to a December 1, 2020 amendment, the credit facility, which is a collective agreement between the Fund and certain other funds managed by the Investment Manager or an
affiliated investment manager, severally and not jointly, permits collective borrowings up to $950 million. Interest is charged to each participating fund based on its borrowings at a rate equal to the higher of (i)
the federal funds effective rate, (ii) the one-month LIBOR rate and (iii) the overnight bank funding rate, plus in each case, 1.25%. Each borrowing under the credit facility matures no later than 60 days after the
date of borrowing. The Fund also pays a commitment fee equal to its pro rata share of the unused amount of the credit facility at a rate of 0.15% per annum. The commitment fee is included in other expenses in the
Statement of Operations. This agreement expires annually in December unless extended or renewed. Prior to the
| 40 | Columbia Corporate Income Fund | Semiannual Report 2020 |
Notes to Financial Statements (continued)
October 31, 2020 (Unaudited)
October 31, 2020 (Unaudited)
December 1, 2020 amendment, the Fund has access to
a revolving credit facility with a syndicate of banks led by Citibank, N.A., HSBC Bank USA, N.A. and JPMorgan Chase Bank, N.A. which permitted collective borrowings up to 1 billion. Interest was charged to each
participating fund based on its borrowings at a rate equal to the higher of (i) the federal funds effective rate, (ii) the one-month LIBOR rate and (iii) the overnight bank funding rate, plus in each case, 1.00%.
The Fund had no borrowings during
the six months ended October 31, 2020.
Note 9. Significant
risks
Credit risk
Credit risk is the risk that the
value of debt instruments in the Fund’s portfolio may decline because the issuer defaults or otherwise becomes unable or unwilling, or is perceived to be unable or unwilling, to honor its financial obligations,
such as making payments to the Fund when due. Credit rating agencies assign credit ratings to certain debt instruments to indicate their credit risk. Lower rated or unrated debt instruments held by the Fund may
present increased credit risk as compared to higher-rated debt instruments.
Interest rate risk
Interest rate risk is the risk of
losses attributable to changes in interest rates. In general, if prevailing interest rates rise, the values of debt securities tend to fall, and if interest rates fall, the values of debt securities tend to rise.
Actions by governments and central banking authorities can result in increases in interest rates. Increasing interest rates may negatively affect the value of debt securities held by the Fund, resulting in a negative
impact on the Fund’s performance and net asset value per share. In general, the longer the maturity or duration of a debt security, the greater its sensitivity to changes in interest rates. The Fund is subject
to the risk that the income generated by its investments may not keep pace with inflation.
Liquidity risk
Liquidity risk is the risk
associated with a lack of marketability of investments which may make it difficult to sell the investment at a desirable time or price. Changing regulatory, market or other conditions or environments (for example, the
interest rate or credit environments) may adversely affect the liquidity of the Fund’s investments. The Fund may have to accept a lower selling price for the holding, sell other investments, or forego another,
more appealing investment opportunity. Generally, the less liquid the market at the time the Fund sells a portfolio investment, the greater the risk of loss or decline of value to the Fund. A less liquid market can
lead to an increase in Fund redemptions, which may negatively impact Fund performance and net asset value per share, including, for example, if the Fund is forced to sell securities in a down market.
Market and environment risk
The Fund may incur losses due to
declines in the value of one or more securities in which it invests. These declines may be due to factors affecting a particular issuer, or the result of, among other things, political, regulatory, market, economic or
social developments affecting the relevant market(s) more generally. In addition, turbulence in financial markets and reduced liquidity in equity, credit and/or fixed income markets may negatively affect many issuers,
which could adversely affect the Fund, including causing difficulty in assigning prices to hard-to-value assets in thinly traded and closed markets, significant redemptions and operational challenges. Global economies
and financial markets are increasingly interconnected, and conditions and events in one country, region or financial market may adversely impact issuers in a different country, region or financial market. These risks
may be magnified if certain events or developments adversely interrupt the global supply chain; in these and other circumstances, such risks might affect companies worldwide. As a result, local, regional or global
events such as terrorism, war, natural disasters, disease/virus outbreaks and epidemics or other public health issues, recessions, depressions or other events – or the potential for such events – could
have a significant negative impact on global economic and market conditions.
The Fund performance may also be
significantly negatively impacted by the economic impact of the coronavirus disease 2019 (COVID-19) pandemic. The COVID-19 public health crisis has become a pandemic that has resulted in, and may continue to result
in, significant global economic and societal disruption and market volatility due to disruptions in market access, resource availability, facilities operations, imposition of tariffs, export controls and supply chain
disruption, among others. Such disruptions may be caused, or exacerbated by, quarantines and travel restrictions, workforce displacement and loss in
| Columbia Corporate Income Fund | Semiannual Report 2020 | 41 |
Notes to Financial Statements (continued)
October 31, 2020 (Unaudited)
October 31, 2020 (Unaudited)
human and other resources. The uncertainty
surrounding the magnitude, duration, reach, costs and effects of the global pandemic, as well as actions that have been or could be taken by governmental authorities or other third parties, present unknowns that are
yet to unfold. The impacts, as well as the uncertainty over impacts to come, of COVID-19 – and any other infectious illness outbreaks, epidemics and pandemics that may arise in the future – could
negatively affect global economies and markets in ways that cannot necessarily be foreseen. In addition, the impact of infectious illness outbreaks and epidemics in emerging market countries may be greater due to
generally less established healthcare systems, governments and financial markets. Public health crises caused by the COVID-19 outbreak may exacerbate other pre-existing political, social and economic risks in certain
countries or globally. The disruptions caused by COVID-19 could prevent the Fund from executing advantageous investment decisions in a timely manner and negatively impact the Fund’s ability to achieve its
investment objectives. Any such event(s) could have a significant adverse impact on the value and risk profile of the Fund.
The Investment Manager and its
affiliates have systematically implemented strategies to address the operating environment spurred by the COVID-19 pandemic. To promote the safety and security of our employees and to assure the continuity of our
business operations, we have implemented a work from home protocol for virtually all of our employee population, restricted business travel, and provided resources for complying with the guidance from the World Health
Organization, the U.S. Centers for Disease Control and governments. Our operations teams seek to operate without significant disruptions in service. Our pandemic strategy takes into consideration that a pandemic could
be widespread and may occur in multiple waves, affecting different communities at different times with varying levels of severity. We cannot, however, predict the impact that natural or man-made disasters, including
the COVID-19 pandemic, may have on the ability of our employees and third-party service providers to continue ordinary business operations and technology functions over near- or longer-term periods.
Shareholder concentration risk
At October 31, 2020, one
unaffiliated shareholder of record owned 11.5% of the outstanding shares of the Fund in one or more accounts. The Fund has no knowledge about whether any portion of those shares was owned beneficially. Affiliated
shareholders of record owned 66.9% of the outstanding shares of the Fund in one or more accounts. Subscription and redemption activity by concentrated accounts may have a significant effect on the operations of the
Fund. In the case of a large redemption, the Fund may be forced to sell investments at inopportune times, including its liquid positions, which may result in Fund losses and the Fund holding a higher percentage of
less liquid positions. Large redemptions could result in decreased economies of scale and increased operating expenses for non-redeeming Fund shareholders.
Note 10. Subsequent
events
Management has evaluated the
events and transactions that have occurred through the date the financial statements were issued and noted no items requiring adjustment of the financial statements or additional disclosure.
Note 11. Information
regarding pending and settled legal proceedings
Ameriprise Financial and certain
of its affiliates have historically been involved in a number of legal, arbitration and regulatory proceedings, including routine litigation, class actions, and governmental actions, concerning matters arising in
connection with the conduct of their business activities. Ameriprise Financial believes that the Fund is not currently the subject of, and that neither Ameriprise Financial nor any of its affiliates are the subject
of, any pending legal, arbitration or regulatory proceedings that are likely to have a material adverse effect on the Fund or the ability of Ameriprise Financial or its affiliates to perform under their contracts with
the Fund. Ameriprise Financial is required to make quarterly (10-Q), annual (10-K) and, as necessary, 8-K filings with the Securities and Exchange Commission (SEC) on legal and regulatory matters that relate to
Ameriprise Financial and its affiliates. Copies of these filings may be obtained by accessing the SEC website at www.sec.gov.
There can be no assurance that
these matters, or the adverse publicity associated with them, will not result in increased Fund redemptions, reduced sale of Fund shares or other adverse consequences to the Fund. Further, although we believe
proceedings are not likely to have a material adverse effect on the Fund or the ability of Ameriprise Financial or its affiliates to perform under their contracts with the Fund, these proceedings are subject to
uncertainties and, as such, we are unable to estimate the possible loss or range of loss that may result. An adverse outcome in one or more of these proceedings could
| 42 | Columbia Corporate Income Fund | Semiannual Report 2020 |
Notes to Financial Statements (continued)
October 31, 2020 (Unaudited)
October 31, 2020 (Unaudited)
result in adverse judgments, settlements, fines,
penalties or other relief that could have a material adverse effect on the consolidated financial condition or results of operations of Ameriprise Financial or one or more of its affiliates that provides services to
the Funds.
| Columbia Corporate Income Fund | Semiannual Report 2020 | 43 |
Board Consideration
and Approval of ManagementAgreement
On June 17, 2020, the Board of
Trustees (the Board) and the Trustees who are not interested persons (as defined in the Investment Company Act of 1940) (the Independent Trustees) of Columbia Funds Series Trust I (the Trust) unanimously approved the
continuation of the Management Agreement (the Management Agreement) with Columbia Management Investment Advisers, LLC (the Investment Manager) with respect to Columbia Corporate Income Fund (the Fund), a series of the
Trust. As detailed below, the Board’s Advisory Fees and Expenses Committee (the Committee) and the Board met on multiple occasions to review and discuss, among themselves, with the management team of the
Investment Manager and with an independent fee consultant, materials provided by the Investment Manager, the independent fee consultant and others before determining to approve the continuation of the Management
Agreement.
In connection with their
deliberations regarding the continuation of the Management Agreement, the Committee and the Board evaluated materials requested from the Investment Manager regarding the Fund and the Management Agreement, and
discussed these materials with representatives of the Investment Manager at Committee meetings held on March 10, 2020, April 30, 2020 and June 17, 2020 and at Board meetings held on March 11, 2020 and June 17, 2020.
In addition, the Board and its various committees consider matters bearing on the Management Agreement at other meetings throughout the year and in prior years and meet regularly with senior management of the Trust
and the Investment Manager. Through the Board’s Investment Oversight Committees, Trustees also meet with selected portfolio managers of the funds the Trustees oversee and with other investment personnel at
various times throughout the year. The Committee and the Board also consulted with the independent fee consultant, Fund counsel and the Independent Trustees’ independent legal counsel, who advised on various
matters with respect to the Committee’s and the Board’s considerations and otherwise assisted the Committee and the Board in their deliberations. On June 17, 2020, the Committee recommended that the Board
approve the continuation of the Management Agreement. On June 17, 2020, the Board, including the Independent Trustees, voting separately, unanimously approved the continuation of the Management Agreement for the
Fund.
The Committee and the Board
considered all information that they, their legal counsel or the Investment Manager believed reasonably necessary to evaluate and to determine whether to recommend for approval or approve the continuation of the
Management Agreement. The information and factors considered by the Committee and the Board in recommending for approval or approving the continuation of the Management Agreement for the Fund included the
following:
| • | Information on the investment performance of the Fund relative to the performance of a group of mutual funds determined to be comparable to the Fund by an independent third-party data provider, as well as performance relative to benchmarks; |
| • | Information on the Fund’s management fees and total expenses, including information comparing the Fund’s expenses to those of a group of comparable mutual funds, as determined by the independent third-party data provider; |
| • | The Investment Manager’s agreement to contractually limit or cap total operating expenses for the Fund through August 31, 2021 so that total operating expenses (excluding certain fees and expenses, such as transaction costs and certain other investment related expenses, interest, taxes, acquired fund fees and expenses, and infrequent and/or unusual expenses) would not exceed a specified annual rate, as a percentage of the Fund’s net assets; |
| • | The terms and conditions of the Management Agreement; |
| • | The current and proposed terms and conditions of other agreements and arrangements with affiliates of the Investment Manager relating to the operations of the Fund, including agreements with respect to the provision of distribution, transfer agency and shareholder services to the Fund; |
| • | Descriptions of various functions performed by the Investment Manager under the Management Agreement, including portfolio management and portfolio trading practices; |
| • | Information regarding any recently negotiated management fees of similarly-managed portfolios of other institutional clients of the Investment Manager; |
| • | Information regarding the reputation, regulatory history and resources of the Investment Manager, including information regarding senior management, portfolio managers and other personnel; |
| 44 | Columbia Corporate Income Fund | Semiannual Report 2020 |
Board Consideration and Approval of
Management
Agreement (continued)
| • | Information regarding the capabilities of the Investment Manager with respect to compliance monitoring services, including an assessment of the Investment Manager’s compliance system by the Fund’s Chief Compliance Officer; and |
| • | The profitability to the Investment Manager and its affiliates from their relationships with the Fund. |
Nature, extent and quality of
services provided under the Management Agreement
The Committee and the Board
considered the nature, extent and quality of services provided to the Fund by the Investment Manager and its affiliates under the Management Agreement and under separate agreements for the provision of transfer agency
and shareholder services, and the resources dedicated to the Fund and the other Columbia Funds by the Investment Manager and its affiliates. The Committee and the Board considered, among other things, the Investment
Manager’s ability to attract, motivate and retain highly qualified research, advisory and supervisory investment professionals (including compensation programs for personnel involved in fund management,
reputation and other attributes), the portfolio management services provided by those investment professionals, and the quality of the Investment Manager’s investment research capabilities and trade execution
services. The Committee and the Board also considered the potential benefits to shareholders of investing in a mutual fund that is part of a fund complex offering exposure to a variety of asset classes and investment
disciplines and providing a variety of fund and shareholder services.
The Committee and the Board also
considered the professional experience and qualifications of the senior personnel of the Investment Manager, which included consideration of the Investment Manager’s experience with funds using an investment
strategy similar to that used by the Investment Manager for the Fund. The Committee and the Board noted the compliance programs of and the compliance-related resources provided to the Fund by the Investment Manager
and its affiliates and the resources dedicated by the Investment Manager and its affiliates to risk management, and considered the Investment Manager’s ability to provide administrative services to the Fund and
coordinate the activities of the Fund’s other service providers. After reviewing these and related factors, the Committee and the Board concluded, within the context of their overall conclusions, that the
nature, extent and quality of the services provided to the Fund under the Management Agreement supported the continuation of the Management Agreement.
Investment performance
The Committee and the Board
reviewed information about the performance of the Fund over various time periods, including performance information relative to benchmarks, information that compared the performance of the Fund to the performance of a
group of comparable mutual funds as determined by the independent third-party data provider, and information and analysis provided by the independent fee consultant. The Committee and the Board also reviewed a
description of the third party’s methodology for identifying the Fund’s peer groups for purposes of performance and expense comparisons. Although the Fund’s performance lagged that of a relevant peer
group for certain (although not necessarily all) periods, the Committee and the Board concluded that other factors relevant to performance were sufficient, in light of other considerations, to support continuation of
the Management Agreement. Those factors included one or more of the following: (i) that the Fund’s performance, although lagging in certain recent periods, was stronger over the longer term; (ii) that the
underperformance was attributable, to a significant extent, to investment decisions that were reasonable and consistent with the Fund’s investment strategy and policies and that the Fund was performing within a
reasonable range of expectations, given those investment decisions, market conditions and the Fund’s investment strategy; (iii) that the Fund’s performance was competitive when compared to other relevant
performance benchmarks or peer groups; and (iv) that the Investment Manager had taken or was taking steps designed to help improve the Fund’s investment performance, including, but not limited to, replacing
portfolio managers, enhancing the resources supporting the portfolio managers, or modifying investment strategies.
The Committee and the Board noted
that, through December 31, 2019, the Fund’s performance was in the twenty-second, fiftieth and sixty-third percentile (where the best performance would be in the first percentile) of its category selected by the
independent third-party data provider for the purposes of performance comparisons for the one-, three- and five-year periods, respectively.
| Columbia Corporate Income Fund | Semiannual Report 2020 | 45 |
Board Consideration and Approval of
Management
Agreement (continued)
The Committee and the Board also considered the
Investment Manager’s performance and reputation generally, the Investment Manager’s historical responsiveness to Board concerns about performance, and the Investment Manager’s willingness to take
steps intended to improve performance. After reviewing these and related factors, the Committee and the Board concluded, within the context of their overall conclusions, that the performance of the Fund and the
Investment Manager was sufficient, in light of other considerations, to support the continuation of the Management Agreement.
Investment management fee rates
and other expenses
The Committee and the Board
considered the management fees charged to the Fund under the Management Agreement as well as the total expenses incurred by the Fund. In assessing the reasonableness of the fees under the Management Agreement, the
Committee and the Board considered, among other information, the Fund’s total expense ratio as a percentage of average daily net assets. The Committee and the Board considered data provided by the independent
third-party data provider and the independent fee consultant. The Committee and the Board noted that, as of December 31, 2019, the Fund’s actual management fee and net total expense ratio were ranked in the
fourth and third quintiles, respectively, (where the lowest fees and expenses would be in the first quintile) against the Fund’s expense universe as determined by the independent third-party data provider for
purposes of expense comparison. The Committee and the Board also took into account the fee waiver and expense limitation arrangements agreed to by the Investment Manager, as noted above.
The Committee and the Board also
received and considered information about the management fees charged by the Investment Manager to institutional accounts. In considering the fees charged to those accounts, the Committee and the Board took into
account, among other things, the Investment Manager’s representations about the differences between managing mutual funds as compared to other types of accounts, including differences in the services provided,
differences in the risk profile of such business for the Investment Manager and the additional resources required to manage mutual funds effectively. The Committee and the Board also received and considered
information about the fees charged by the Investment Manager for sub-advisory services it provides to comparable unaffiliated funds. In evaluating the Fund’s management fees, the Committee and the Board also
took into account the demands, complexity and quality of the investment management of the Fund.
After reviewing these and related
factors, the Committee and the Board concluded, within the context of their overall conclusions, that the management fee rates and expenses of the Fund, in light of other considerations, supported the continuation of
the Management Agreement.
Costs of services provided and
profitability
The Committee and the Board also
took note of the costs the Investment Manager and its affiliates incur in connection with the services provided and the profitability to the Investment Manager and its affiliates from their relationships with the
Fund, and the efforts undertaken by the Investment Manager and its affiliates to manage efficiently their costs to provide such services.
The Committee and the Board also
considered the compensation directly or indirectly received by the Investment Manager’s affiliates in connection with their relationships with the Fund. The Committee and the Board reviewed information provided
by management as to the profitability to the Investment Manager and its affiliates of their relationships with the Fund, information about the allocation of expenses used to calculate profitability, and comparisons of
profitability levels realized in 2019 to profitability levels realized in 2018. When reviewing profitability, the Committee and the Board also considered court cases in which adviser profitability was an issue in
whole or in part, the performance of similarly managed funds, the performance of the Fund, and the expense ratio of the Fund. In addition, the Committee and the Board considered information provided by the Investment
Manager regarding the Investment Manager’s financial condition and comparing its profitability to that of other asset management firms that are, or are subsidiaries of, publicly traded companies. In this regard,
the Committee and the Board also considered data provided by the independent fee consultant.
After reviewing these and related
factors, the Committee and the Board concluded, within the context of their overall conclusions, that the costs of services provided and the profitability to the Investment Manager and its affiliates from their
relationships with the Fund supported the continuation of the Management Agreement.
| 46 | Columbia Corporate Income Fund | Semiannual Report 2020 |
Board Consideration and Approval of
Management
Agreement (continued)
Economies of scale
The Committee and the Board
considered the potential existence of economies of scale in the provision by the Investment Manager of services to the Fund, to groups of related funds, and to the Investment Manager’s investment advisory
clients as a whole, and whether those economies of scale were shared with the Fund through breakpoints in investment management fees or other means, such as expense limitation arrangements and additional investments
by the Investment Manager in investment, trading, compliance and other resources. The Committee and the Board noted that the management fee schedules for the Fund contained breakpoints that would reduce the fee rate
on assets above specified threshold levels.
In considering these matters, the
Committee and the Board also considered the costs of the services provided and the profitability to the Investment Manager and its affiliates from their relationships with the Fund, as noted above. After reviewing
these and related factors, the Committee and the Board concluded, within the context of their overall conclusions, that the extent to which any economies of scale were expected to be shared with the Fund supported the
continuation of the Management Agreement.
Other benefits to the Investment
Manager
The Committee and the Board
received and considered information regarding “fall-out” or ancillary benefits received by the Investment Manager and its affiliates as a result of their relationships with the Fund, such as the engagement
of the Investment Manager’s affiliates to provide distribution, transfer agency and shareholder services to the Fund. In this regard, among other matters, the Committee and the Board considered that the
Fund’s distributor retains a portion of the distribution fees from the Fund and receives a portion of the sales charges on sales or redemptions of certain classes of shares of the Fund. The Committee and the
Board also considered the benefits of research made available to the Investment Manager by reason of brokerage commissions generated by the Fund’s securities transactions, and reviewed information about the
Investment Manager’s practices with respect to considering brokerage and research services when allocating portfolio transactions. In this connection, the Board also noted that the amount of research made
available to the Investment Manager by reason of brokerage commissions had been declining over time, and may decline further. The Committee and the Board recognized that the Investment Manager’s profitability
would be somewhat lower without these benefits.
Conclusion
The Committee and the Board
reviewed all of the above considerations in reaching their decisions to recommend or approve the continuation of the Management Agreement. In their deliberations, the Trustees did not identify any particular
information that was all-important or controlling, and individual Trustees may have attributed different weights to the various factors. Based on their evaluation of all factors that they deemed to be material,
including those factors described above, and assisted by the advice of independent legal counsel, the Board, including the Independent Trustees, voting separately, unanimously approved the continuation of the
Management Agreement.
| Columbia Corporate Income Fund | Semiannual Report 2020 | 47 |
Please read and consider the
investment objectives, risks, charges and expenses for any fund carefully before investing. For a prospectus and summary prospectus, which contains this and other important information about the Fund, go to
columbiathreadneedleus.com/investor/. The Fund is distributed by Columbia Management Investment Distributors, Inc., member FINRA, and managed by Columbia Management Investment Advisers, LLC.
columbiathreadneedleus.com/investor/. The Fund is distributed by Columbia Management Investment Distributors, Inc., member FINRA, and managed by Columbia Management Investment Advisers, LLC.
Columbia Threadneedle Investments
(Columbia Threadneedle) is the global brand name of the Columbia and Threadneedle group of companies. All rights reserved.
© 2020 Columbia Management Investment
Advisers, LLC.
columbiathreadneedleus.com/investor/
SAR136_04_K01_(12/20)
Columbia Total
Return Bond Fund
Beginning on January 1, 2021, as
permitted by regulations adopted by the Securities and Exchange Commission, paper copies of the Fund’s annual and semiannual shareholder reports like this one will no longer be sent by mail, unless you
specifically request paper copies of the reports. Instead, the reports will be made available on the Fund’s website (columbiathreadneedleus.com/investor/), and each time a report is posted you will be notified
by mail and provided with a website address to access the report.
If you have already elected to
receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You may elect to receive shareholder reports and other communications from the Fund electronically
at any time by contacting your financial intermediary (such as a broker-dealer or bank) or, for Fund shares held directly with the Fund, by calling 800.345.6611 or by enrolling in “eDelivery” by logging
into your account at columbiathreadneedleus.com/investor/.
You may elect to receive all future
shareholder reports in paper free of charge. If you invest through a financial intermediary, you can contact your financial intermediary to request that you continue receiving paper copies of your shareholder reports.
If you invest directly with the Fund, you can call 800.345.6611 to let the Fund know you wish to continue receiving paper copies of your shareholder reports. Your election to receive paper reports will apply to all
Columbia Funds held in your account if you invest through a financial intermediary or all Columbia Funds held with the fund complex if you invest directly with the Fund.
Not Federally Insured • No
Financial Institution Guarantee • May Lose Value
Table of Contents
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Columbia Total Return Bond Fund
(the Fund) mails one shareholder report to each shareholder address, unless such shareholder elected to receive shareholder reports from the Fund electronically. If you would like more than one report, please call
shareholder services at 800.345.6611 and additional reports will be sent to you.
Proxy voting policies and
procedures
The policy of the Board of Trustees
is to vote the proxies of the companies in which the Fund holds investments consistent with the procedures as stated in the Statement of Additional Information (SAI). You may obtain a copy of the SAI without charge by
calling 800.345.6611; contacting your financial intermediary; visiting columbiathreadneedleus.com/investor/; or searching the website of the Securities and Exchange Commission (SEC) at sec.gov. Information regarding
how the Fund voted proxies relating to portfolio securities is filed with the SEC by August 31st for the most recent 12-month period ending June 30th of that year, and is available without charge by visiting
columbiathreadneedleus.com/investor/, or searching the website of the SEC at sec.gov.
Quarterly schedule of
investments
The Fund files a complete schedule
of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-PORT. The Fund’s Form N-PORT filings are available on the SEC’s website at sec.gov. The Fund’s
complete schedule of portfolio holdings, as filed on Form N-PORT, can also be obtained without charge, upon request, by calling 800.345.6611.
Additional Fund information
For more information about the
Fund, please visit columbiathreadneedleus.com/investor/ or call 800.345.6611. Customer Service Representatives are available to answer your questions Monday through Friday from 8 a.m. to 7 p.m. Eastern time.
Fund investment manager
Columbia Management Investment Advisers, LLC (the
Investment Manager)
225 Franklin Street
Boston, MA 02110
Fund distributor
Columbia Management Investment Distributors,
Inc.
225 Franklin Street
Boston, MA 02110
Fund transfer agent
Columbia Management Investment Services Corp.
P.O. Box 219104
Kansas City, MO 64121-9104
Columbia Total Return Bond
Fund | Semiannual Report 2020
Fund at a Glance
(Unaudited)
(Unaudited)
Investment objective
The Fund
seeks total return, consisting of current income and capital appreciation.
Portfolio management
Jason Callan
Lead Portfolio Manager
Managed Fund since 2016
Gene Tannuzzo, CFA
Portfolio Manager
Managed Fund since 2017
| Columbia Total Return Bond Fund | Semiannual Report 2020 | 3 |
Fund at a Glance (continued)
(Unaudited)
(Unaudited)
| Market exposure through derivatives investments (% of notional exposure) (at October 31, 2020)(a) | |||
| Long | Short | Net | |
| Fixed Income Derivative Contracts | 111.3 | (9.9) | 101.4 |
| Foreign Currency Derivative Contracts | — | (1.4) | (1.4) |
| Total Notional Market Value of Derivative Contracts | 111.3 | (11.3) | 100.0 |
(a) The Fund has market exposure
(long and/or short) to fixed income and foreign currency through its investments in derivatives. The notional exposure of a financial instrument is the nominal or face amount that is used to calculate payments made on
that instrument and/or changes in value for the instrument. The notional exposure is a hypothetical underlying quantity upon which payment obligations are computed. Notional exposures provide a gauge for how the Fund
may behave given changes in individual markets. For a description of the Fund’s investments in derivatives, see Investments in derivatives following the Portfolio of Investments, and Note 2 of the Notes to
Financial Statements.
| Columbia Total Return Bond Fund | Semiannual Report 2020 | 5 |
Understanding Your Fund’s
Expenses
(Unaudited)
(Unaudited)
As an investor, you incur two types
of costs. There are shareholder transaction costs, which generally include sales charges on purchases and may include redemption fees. There are also ongoing fund costs, which generally include management fees,
distribution and/or service fees, and other fund expenses. The following information is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to help you compare these costs with
the ongoing costs of investing in other mutual funds.
Analyzing your Fund’s
expenses
To illustrate these ongoing
costs, we have provided examples and calculated the expenses paid by investors in each share class of the Fund during the period. The actual and hypothetical information in the table is based on an initial investment
of $1,000 at the beginning of the period indicated and held for the entire period. Expense information is calculated two ways and each method provides you with different information. The amount listed in the
“Actual” column is calculated using the Fund’s actual operating expenses and total return for the period. You may use the Actual information, together with the amount invested, to estimate the
expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the results by the expenses paid during the period under
the “Actual” column. The amount listed in the “Hypothetical” column assumes a 5% annual rate of return before expenses (which is not the Fund’s actual return) and then applies the
Fund’s actual expense ratio for the period to the hypothetical return. You should not use the hypothetical account values and expenses to estimate either your actual account balance at the end of the period or
the expenses you paid during the period. See “Compare with other funds” below for details on how to use the hypothetical data.
Compare with other funds
Since all mutual funds are
required to include the same hypothetical calculations about expenses in shareholder reports, you can use this information to compare the ongoing cost of investing in the Fund with other funds. To do so, compare the
hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds. As you compare hypothetical examples of other funds, it is important to note that hypothetical examples are
meant to highlight the ongoing costs of investing in a fund only and do not reflect any transaction costs, such as sales charges, or redemption or exchange fees. Therefore, the hypothetical calculations are useful in
comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. If transaction costs were included in these calculations, your costs would be higher.
| May 1, 2020 — October 31, 2020 | |||||||
| Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | ||||
| Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | |
| Class A | 1,000.00 | 1,000.00 | 1,075.50 | 1,021.36 | 3.85 | 3.75 | 0.74 |
| Advisor Class | 1,000.00 | 1,000.00 | 1,076.90 | 1,022.61 | 2.55 | 2.48 | 0.49 |
| Class C | 1,000.00 | 1,000.00 | 1,071.70 | 1,017.65 | 7.69 | 7.49 | 1.48 |
| Institutional Class | 1,000.00 | 1,000.00 | 1,077.60 | 1,022.61 | 2.55 | 2.48 | 0.49 |
| Institutional 2 Class | 1,000.00 | 1,000.00 | 1,077.00 | 1,022.96 | 2.19 | 2.13 | 0.42 |
| Institutional 3 Class | 1,000.00 | 1,000.00 | 1,077.10 | 1,023.21 | 1.93 | 1.88 | 0.37 |
| Class R | 1,000.00 | 1,000.00 | 1,074.70 | 1,020.10 | 5.15 | 5.01 | 0.99 |
Expenses paid during the period
are equal to the annualized expense ratio for each class as indicated above, multiplied by the average account value over the period and then multiplied by the number of days in the Fund’s most recent fiscal
half year and divided by 365.
Expenses do not include fees and
expenses incurred indirectly by the Fund from its investment in underlying funds, including affiliated and non-affiliated pooled investment vehicles, such as mutual funds and exchange-traded funds.
Had Columbia Management Investment
Advisers, LLC and/or certain of its affiliates not waived/reimbursed certain fees and expenses, account value at the end of the period would have been reduced.
| 6 | Columbia Total Return Bond Fund | Semiannual Report 2020 |
Portfolio of Investments
October 31, 2020 (Unaudited)
October 31, 2020 (Unaudited)
(Percentages represent value of
investments compared to net assets)
Investments in securities
The accompanying Notes to Financial
Statements are an integral part of this statement.
| Columbia Total Return Bond Fund | Semiannual Report 2020 | 7 |
Portfolio of Investments (continued)
October 31, 2020 (Unaudited)
October 31, 2020 (Unaudited)
The accompanying Notes to Financial
Statements are an integral part of this statement.
| 8 | Columbia Total Return Bond Fund | Semiannual Report 2020 |
Portfolio of Investments (continued)
October 31, 2020 (Unaudited)
October 31, 2020 (Unaudited)
The accompanying Notes to Financial
Statements are an integral part of this statement.
| Columbia Total Return Bond Fund | Semiannual Report 2020 | 9 |
Portfolio of Investments (continued)
October 31, 2020 (Unaudited)
October 31, 2020 (Unaudited)
The accompanying Notes to Financial
Statements are an integral part of this statement.
| 10 | Columbia Total Return Bond Fund | Semiannual Report 2020 |
Portfolio of Investments (continued)
October 31, 2020 (Unaudited)
October 31, 2020 (Unaudited)
The accompanying Notes to Financial
Statements are an integral part of this statement.
| Columbia Total Return Bond Fund | Semiannual Report 2020 | 11 |
Portfolio of Investments (continued)
October 31, 2020 (Unaudited)
October 31, 2020 (Unaudited)
The accompanying Notes to Financial
Statements are an integral part of this statement.
| 12 | Columbia Total Return Bond Fund | Semiannual Report 2020 |
Portfolio of Investments (continued)
October 31, 2020 (Unaudited)
October 31, 2020 (Unaudited)
The accompanying Notes to Financial
Statements are an integral part of this statement.
| Columbia Total Return Bond Fund | Semiannual Report 2020 | 13 |
Portfolio of Investments (continued)
October 31, 2020 (Unaudited)
October 31, 2020 (Unaudited)
The accompanying Notes to Financial
Statements are an integral part of this statement.
| 14 | Columbia Total Return Bond Fund | Semiannual Report 2020 |
Portfolio of Investments (continued)
October 31, 2020 (Unaudited)
October 31, 2020 (Unaudited)
The accompanying Notes to Financial
Statements are an integral part of this statement.
| Columbia Total Return Bond Fund | Semiannual Report 2020 | 15 |
Portfolio of Investments (continued)
October 31, 2020 (Unaudited)
October 31, 2020 (Unaudited)
The accompanying Notes to Financial
Statements are an integral part of this statement.
| 16 | Columbia Total Return Bond Fund | Semiannual Report 2020 |
Portfolio of Investments (continued)
October 31, 2020 (Unaudited)
October 31, 2020 (Unaudited)
The accompanying Notes to Financial
Statements are an integral part of this statement.
| Columbia Total Return Bond Fund | Semiannual Report 2020 | 17 |
Portfolio of Investments (continued)
October 31, 2020 (Unaudited)
October 31, 2020 (Unaudited)
The accompanying Notes to Financial
Statements are an integral part of this statement.
| 18 | Columbia Total Return Bond Fund | Semiannual Report 2020 |
Portfolio of Investments (continued)
October 31, 2020 (Unaudited)
October 31, 2020 (Unaudited)
The accompanying Notes to Financial
Statements are an integral part of this statement.
| Columbia Total Return Bond Fund | Semiannual Report 2020 | 19 |
Portfolio of Investments (continued)
October 31, 2020 (Unaudited)
October 31, 2020 (Unaudited)
The accompanying Notes to Financial
Statements are an integral part of this statement.
| 20 | Columbia Total Return Bond Fund | Semiannual Report 2020 |
Portfolio of Investments (continued)
October 31, 2020 (Unaudited)
October 31, 2020 (Unaudited)
The accompanying Notes to Financial
Statements are an integral part of this statement.
| Columbia Total Return Bond Fund | Semiannual Report 2020 | 21 |
Portfolio of Investments (continued)
October 31, 2020 (Unaudited)
October 31, 2020 (Unaudited)
The accompanying Notes to Financial
Statements are an integral part of this statement.
| 22 | Columbia Total Return Bond Fund | Semiannual Report 2020 |
Portfolio of Investments (continued)
October 31, 2020 (Unaudited)
October 31, 2020 (Unaudited)
The accompanying Notes to Financial
Statements are an integral part of this statement.
| Columbia Total Return Bond Fund | Semiannual Report 2020 | 23 |
Portfolio of Investments (continued)
October 31, 2020 (Unaudited)
October 31, 2020 (Unaudited)
The accompanying Notes to Financial
Statements are an integral part of this statement.
| 24 | Columbia Total Return Bond Fund | Semiannual Report 2020 |
Portfolio of Investments (continued)
October 31, 2020 (Unaudited)
October 31, 2020 (Unaudited)
The accompanying Notes to Financial
Statements are an integral part of this statement.
| Columbia Total Return Bond Fund | Semiannual Report 2020 | 25 |
Portfolio of Investments (continued)
October 31, 2020 (Unaudited)
October 31, 2020 (Unaudited)
The accompanying Notes to Financial
Statements are an integral part of this statement.
| 26 | Columbia Total Return Bond Fund | Semiannual Report 2020 |
Portfolio of Investments (continued)
October 31, 2020 (Unaudited)
October 31, 2020 (Unaudited)
The accompanying Notes to Financial
Statements are an integral part of this statement.
| Columbia Total Return Bond Fund | Semiannual Report 2020 | 27 |
Portfolio of Investments (continued)
October 31, 2020 (Unaudited)
October 31, 2020 (Unaudited)
The accompanying Notes to Financial
Statements are an integral part of this statement.
| 28 | Columbia Total Return Bond Fund | Semiannual Report 2020 |
Portfolio of Investments (continued)
October 31, 2020 (Unaudited)
October 31, 2020 (Unaudited)
The accompanying Notes to Financial
Statements are an integral part of this statement.
| Columbia Total Return Bond Fund | Semiannual Report 2020 | 29 |
Portfolio of Investments (continued)
October 31, 2020 (Unaudited)
October 31, 2020 (Unaudited)
The accompanying Notes to Financial
Statements are an integral part of this statement.
| 30 | Columbia Total Return Bond Fund | Semiannual Report 2020 |
Portfolio of Investments (continued)
October 31, 2020 (Unaudited)
October 31, 2020 (Unaudited)
The accompanying Notes to Financial
Statements are an integral part of this statement.
| Columbia Total Return Bond Fund | Semiannual Report 2020 | 31 |
Portfolio of Investments (continued)
October 31, 2020 (Unaudited)
October 31, 2020 (Unaudited)
The accompanying Notes to Financial
Statements are an integral part of this statement.
| 32 | Columbia Total Return Bond Fund | Semiannual Report 2020 |
Portfolio of Investments (continued)
October 31, 2020 (Unaudited)
October 31, 2020 (Unaudited)
| Money Market Funds 5.9% | ||
| Shares | Value ($) | |
| Columbia Short-Term Cash Fund, 0.128%(r),(s) | 142,410,750 | 142,396,509 |
| Total Money Market Funds (Cost $142,379,212) | 142,396,509 | |
| Total Investments in Securities (Cost: $3,043,021,633) | 3,081,994,266 | |
| Other Assets & Liabilities, Net | (655,219,169) | |
| Net Assets | 2,426,775,097 | |
At October 31, 2020, securities
and/or cash totaling $28,240,699 were pledged as collateral.
Investments in derivatives
| Forward foreign currency exchange contracts | |||||
| Currency to be sold | Currency to be purchased | Counterparty | Settlement date | Unrealized appreciation ($) | Unrealized depreciation ($) |
| 9,790,000 EUR | 11,463,747 USD | UBS | 11/24/2020 | 56,549 | — |
| Long futures contracts | ||||||
| Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
| Euro-BTP | 217 | 12/2020 | EUR | 32,461,030 | — | (3,616) |
| Long Gilt | 326 | 12/2020 | GBP | 44,231,680 | — | (286,521) |
| U.S. Treasury 2-Year Note | 659 | 12/2020 | USD | 145,536,031 | — | (42,374) |
| U.S. Treasury 5-Year Note | 961 | 12/2020 | USD | 120,703,102 | — | (323,397) |
| U.S. Ultra Treasury Bond | 355 | 12/2020 | USD | 76,325,000 | — | (3,633,913) |
| Total | — | (4,289,821) | ||||
| Short futures contracts | ||||||
| Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
| Euro-Bund | (288) | 12/2020 | EUR | (50,731,200) | — | (911,718) |
| U.S. Treasury 10-Year Note | (67) | 12/2020 | USD | (9,260,656) | 23,530 | — |
| Total | 23,530 | (911,718) | ||||
| Put option contracts purchased | ||||||||
| Description | Counterparty | Trading currency | Notional amount | Number of contracts | Exercise price/Rate | Expiration date | Cost ($) | Value ($) |
| 10-Year OTC interest rate swap with Citi to receive 3-Month USD LIBOR BBA and pay exercise rate | Citi | USD | 140,000,000 | 140,000,000 | 1.00 | 09/30/2021 | 2,436,000 | 3,255,042 |
| 10-Year OTC interest rate swap with Morgan Stanley to receive 3-Month USD LIBOR BBA and pay exercise rate | Morgan Stanley | USD | 183,200,000 | 183,200,000 | 1.00 | 12/29/2020 | 1,483,920 | 1,327,632 |
| Total | 3,919,920 | 4,582,674 | ||||||
The accompanying Notes to
Financial Statements are an integral part of this statement.
| Columbia Total Return Bond Fund | Semiannual Report 2020 | 33 |
Portfolio of Investments (continued)
October 31, 2020 (Unaudited)
October 31, 2020 (Unaudited)
| Credit default swap contracts - buy protection | ||||||||||||
| Reference entity | Counterparty | Maturity date | Pay fixed rate (%) | Payment frequency | Notional currency | Notional amount | Value ($) | Periodic payments receivable (payable) ($) | Upfront payments ($) | Upfront receipts ($) | Unrealized appreciation ($) | Unrealized depreciation ($) |
| Markit CMBX North America Index, Series 10 BBB- | JPMorgan | 11/17/2059 | 3.000 | Monthly | USD | 8,000,000 | 1,837,496 | (4,000) | 344,829 | — | 1,488,667 | — |
| Markit CMBX North America Index, Series 11 BBB- | JPMorgan | 11/18/2054 | 3.000 | Monthly | USD | 1,700,000 | 347,193 | (850) | 61,693 | — | 284,650 | — |
| Markit CMBX North America Index, Series 11 BBB- | Morgan Stanley | 11/17/2059 | 3.000 | Monthly | USD | 1,000,000 | 229,687 | (500) | 61,659 | — | 167,528 | — |
| Total | 2,414,376 | (5,350) | 468,181 | — | 1,940,845 | — | ||||||
| Credit default swap contracts - sell protection | |||||||||||||
| Reference entity | Counterparty | Maturity date | Receive fixed rate (%) | Payment frequency | Implied credit spread (%)* | Notional currency | Notional amount | Value ($) | Periodic payments receivable (payable) ($) | Upfront payments ($) | Upfront receipts ($) | Unrealized appreciation ($) | Unrealized depreciation ($) |
| Markit CMBX North America Index, Series 10 BBB- | Citi | 11/17/2059 | 3.000 | Monthly | 7.860 | USD | 4,000,000 | (918,749) | 2,000 | — | (923,974) | 7,225 | — |
| Markit CMBX North America Index, Series 10 BBB- | Citi | 11/17/2059 | 3.000 | Monthly | 7.860 | USD | 3,500,000 | (803,904) | 1,750 | — | (757,471) | — | (44,683) |
| Markit CMBX North America Index, Series 11 BBB- | Citi | 11/18/2054 | 3.000 | Monthly | 6.735 | USD | 4,350,000 | (888,404) | 2,175 | — | (1,200,147) | 313,918 | — |
| Markit CMBX North America Index, Series 10 BBB- | JPMorgan | 11/17/2059 | 3.000 | Monthly | 7.860 | USD | 5,000,000 | (1,148,435) | 0 | — | (1,143,771) | — | (4,664) |
| Markit CMBX North America Index, Series 10 BBB- | JPMorgan | 11/17/2059 | 3.000 | Monthly | 7.860 | USD | 5,000,000 | (1,148,435) | 2,500 | — | (886,004) | — | (259,931) |
| Markit CMBX North America Index, Series 10 BBB- | JPMorgan | 11/17/2059 | 3.000 | Monthly | 7.860 | USD | 5,000,000 | (1,148,435) | 2,500 | — | (853,168) | — | (292,767) |
| Markit CMBX North America Index, Series 10 BBB- | JPMorgan | 11/17/2059 | 3.000 | Monthly | 7.860 | USD | 9,200,000 | (2,113,120) | 4,600 | — | (1,802,795) | — | (305,725) |
| Markit CMBX North America Index, Series 10 BBB- | JPMorgan | 11/17/2059 | 3.000 | Monthly | 7.860 | USD | 12,000,000 | (2,756,244) | 6,000 | — | (1,981,474) | — | (768,770) |
| Markit CMBX North America Index, Series 11 BBB- | JPMorgan | 11/18/2054 | 3.000 | Monthly | 6.735 | USD | 3,000,000 | (612,693) | 1,500 | — | (466,739) | — | (144,454) |
| Markit CMBX North America Index, Series 10 BBB- | Morgan Stanley | 11/17/2059 | 3.000 | Monthly | 7.860 | USD | 7,000,000 | (1,607,809) | 3,500 | — | (1,596,675) | — | (7,634) |
| Markit CMBX North America Index, Series 10 BBB- | Morgan Stanley | 11/17/2059 | 3.000 | Monthly | 7.860 | USD | 3,000,000 | (689,062) | 1,500 | — | (602,725) | — | (84,837) |
| Markit CMBX North America Index, Series 10 BBB- | Morgan Stanley | 11/17/2059 | 3.000 | Monthly | 7.860 | USD | 5,000,000 | (1,148,435) | 2,500 | — | (1,035,148) | — | (110,787) |
| Markit CMBX North America Index, Series 10 BBB- | Morgan Stanley | 11/17/2059 | 3.000 | Monthly | 7.860 | USD | 7,000,000 | (1,607,809) | 3,500 | — | (1,194,435) | — | (409,874) |
The accompanying Notes to Financial Statements are
an integral part of this statement.
| 34 | Columbia Total Return Bond Fund | Semiannual Report 2020 |
Portfolio of Investments (continued)
October 31, 2020 (Unaudited)
October 31, 2020 (Unaudited)
| Credit default swap contracts - sell protection (continued) | |||||||||||||
| Reference entity | Counterparty | Maturity date | Receive fixed rate (%) | Payment frequency | Implied credit spread (%)* | Notional currency | Notional amount | Value ($) | Periodic payments receivable (payable) ($) | Upfront payments ($) | Upfront receipts ($) | Unrealized appreciation ($) | Unrealized depreciation ($) |
| Markit CMBX North America Index, Series 11 BBB- | Morgan Stanley | 11/18/2054 | 3.000 | Monthly | 6.735 | USD | 3,500,000 | (714,809) | 1,750 | — | (537,695) | — | (175,364) |
| Markit CMBX North America Index, Series 12 BBB- | Morgan Stanley | 08/17/2061 | 3.000 | Monthly | 6.509 | USD | 3,500,000 | (737,478) | 1,458 | — | (547,192) | — | (188,828) |
| Total | (18,043,821) | 37,233 | — | (15,529,413) | 321,143 | (2,798,318) | |||||||
| * | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues as of period end serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
| Cleared credit default swap contracts - sell protection | ||||||||||||
| Reference entity | Counterparty | Maturity date | Receive fixed rate (%) | Payment frequency | Implied credit spread (%)* | Notional currency | Notional amount | Value ($) | Upfront payments ($) | Upfront receipts ($) | Unrealized appreciation ($) | Unrealized depreciation ($) |
| Markit CDX North America High Yield Index, Series 34 | Morgan Stanley | 06/20/2025 | 5.000 | Quarterly | 3.972 | USD | 47,767,320 | 6,217,282 | — | — | 6,217,282 | — |
| * | 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. |
Notes to Portfolio of
Investments
| (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 October 31, 2020, the total value of these securities amounted to $1,600,088,065, which represents 65.93% of total net assets. |
| (b) | Variable rate security. The interest rate shown was the current rate as of October 31, 2020. |
| (c) | Represents a security purchased on a when-issued basis. |
| (d) | Represents fair value as determined in good faith under procedures approved by the Board of Trustees. At October 31, 2020, the total value of these securities amounted to $22,989,262, which represents 0.95% of total net assets. |
| (e) | Valuation based on significant unobservable inputs. |
| (f) | Zero coupon bond. |
| (g) | 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 October 31, 2020. |
| (h) | Represents interest only securities which have the right to receive the monthly interest payments on an underlying pool of mortgage loans. |
| (i) | Non-income producing investment. |
| (j) | Payment-in-kind security. Interest can be paid by issuing additional par of the security or in cash. |
| (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 October 31, 2020. |
| (l) | Represents securities that have defaulted on payment of interest. The Fund has stopped accruing interest on these securities. At October 31, 2020, the total value of these securities amounted to $802,773, which represents 0.03% of total net assets. |
| (m) | Represents a security purchased on a forward commitment basis. |
| (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) | This security or a portion of this security has been pledged as collateral in connection with derivative contracts. |
The accompanying Notes to Financial Statements are
an integral part of this statement.
| Columbia Total Return Bond Fund | Semiannual Report 2020 | 35 |
Portfolio of Investments (continued)
October 31, 2020 (Unaudited)
October 31, 2020 (Unaudited)
Notes to Portfolio of Investments (continued)
| (q) | The stated interest rate represents the weighted average interest rate at October 31, 2020 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. |
| (r) | The rate shown is the seven-day current annualized yield at October 31, 2020. |
| (s) | 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. The value of the holdings and transactions in these affiliated companies during the period ended October 31, 2020 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, 0.128% | ||||||||
| 153,141,394 | 547,743,823 | (558,443,380) | (45,328) | 142,396,509 | 12,958 | 114,616 | 142,410,750 | |
Abbreviation Legend
| CMO | Collateralized Mortgage Obligation |
| CMT | Constant Maturity Treasury |
| LIBOR | London Interbank Offered Rate |
| STRIPS | Separate Trading of Registered Interest and Principal Securities |
| TBA | To Be Announced |
Currency Legend
| EUR | Euro |
| GBP | British Pound |
| USD | US Dollar |
Fair value measurements
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’s 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. 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 accompanying Notes to Financial Statements are
an integral part of this statement.
| 36 | Columbia Total Return Bond Fund | Semiannual Report 2020 |
Portfolio of Investments (continued)
October 31, 2020 (Unaudited)
October 31, 2020 (Unaudited)
Fair value measurements (continued)
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.
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.
The following table is a summary of
the inputs used to value the Fund’s investments at October 31, 2020:
| Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | |
| Investments in Securities | ||||
| Asset-Backed Securities — Non-Agency | — | 415,806,225 | 25,892,476 | 441,698,701 |
| Commercial Mortgage-Backed Securities - Agency | — | 37,415,678 | — | 37,415,678 |
| Commercial Mortgage-Backed Securities - Non-Agency | — | 194,186,344 | 5,462,654 | 199,648,998 |
| Common Stocks | ||||
| Financials | 95,239 | — | — | 95,239 |
| Industrials | 50,553 | — | — | 50,553 |
| Total Common Stocks | 145,792 | — | — | 145,792 |
| Corporate Bonds & Notes | — | 661,426,815 | 41,069 | 661,467,884 |
| Foreign Government Obligations | — | 95,214,202 | — | 95,214,202 |
| Municipal Bonds | — | 1,171,876 | — | 1,171,876 |
| Residential Mortgage-Backed Securities - Agency | — | 777,406,899 | — | 777,406,899 |
| Residential Mortgage-Backed Securities - Non-Agency | — | 684,884,010 | 21,580,121 | 706,464,131 |
| Senior Loans | — | 696,872 | — | 696,872 |
| U.S. Treasury Obligations | 13,684,050 | — | — | 13,684,050 |
| Options Purchased Puts | — | 4,582,674 | — | 4,582,674 |
| Money Market Funds | 142,396,509 | — | — | 142,396,509 |
| Total Investments in Securities | 156,226,351 | 2,872,791,595 | 52,976,320 | 3,081,994,266 |
| Investments in Derivatives | ||||
| Asset | ||||
| Forward Foreign Currency Exchange Contracts | — | 56,549 | — | 56,549 |
| Futures Contracts | 23,530 | — | — | 23,530 |
| Swap Contracts | — | 8,479,270 | — | 8,479,270 |
| Liability | ||||
| Futures Contracts | (5,201,539) | — | — | (5,201,539) |
| Swap Contracts | — | (2,798,318) | — | (2,798,318) |
| Total | 151,048,342 | 2,878,529,096 | 52,976,320 | 3,082,553,758 |
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.
Forward foreign currency exchange
contracts, futures contracts and swap contracts are valued at unrealized appreciation (depreciation).
The following table is a
reconciliation of Level 3 assets for which significant observable and unobservable inputs were used to determine fair value:
| Balance as of 04/30/2020 ($) | Increase (decrease) in accrued discounts/ premiums ($) | Realized gain (loss) ($) | Change in unrealized appreciation (depreciation)(a) ($) | Purchases ($) | Sales ($) | Transfers into Level 3 ($) | Transfers out of Level 3 ($) | Balance as of 10/31/2020 ($) | |
| Asset-Backed Securities — Non-Agency | 14,011,675 | 153,632 | (4,013,500) | 4,700,130 | 22,838,113 | (11,797,574) | — | — | 25,892,476 |
| Commercial Mortgage-Backed Securities — Non-Agency | — | — | — | — | 5,462,654 | — | — | — | 5,462,654 |
| Common Stocks | — | — | — | — | — | — | — | — | — |
The accompanying Notes to Financial Statements are
an integral part of this statement.
| Columbia Total Return Bond Fund | Semiannual Report 2020 | 37 |
Portfolio of Investments (continued)
October 31, 2020 (Unaudited)
October 31, 2020 (Unaudited)
Fair value measurements (continued)
| Balance as of 04/30/2020 ($) | 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 ($) | Balance as of 10/31/2020 ($) | |
| Corporate Bonds & Notes | 41,069 | — | — | — | — | — | — | — | 41,069 |
| Residential Mortgage-Backed Securities — Non-Agency | 16,363,730 | 227,457 | 3,000 | 728,097 | 23,462,472 | (2,841,394) | — | (16,363,241) | 21,580,121 |
| Total | 30,416,474 | 381,089 | (4,010,500) | 5,428,227 | 51,763,239 | (14,638,968) | — | (16,363,241) | 52,976,320 |
(a) Change in unrealized
appreciation (depreciation) relating to securities held at October 31, 2020 was $1,672,406, which is comprised of Asset-Backed Securities — Non-Agency of $944,309 and Residential Mortgage-Backed Securities
— Non-Agency of $728,097.
The Fund’s assets assigned to
the Level 3 category are valued utilizing the valuation technique deemed the most appropriate in the circumstances.
Certain corporate bonds and common
stock classified as Level 3 are valued using a market approach. To determine fair value for these securities, management considered various factors which may have included, but were not limited to, trades of similar
securities, estimated earnings of the respective company, market multiples derived from a set of comparable companies, and the position of the security within the respective company’s capital structure.
Significant increases (decreases) to any of these inputs would have resulted in a significantly higher (lower) fair value measurement. Generally, a change in estimated earnings of the respective company might result
in change to the comparable companies and market multiples.
Certain residential, commercial and
asset backed securities classified as Level 3 securities are valued using the market approach and utilize single market quotations from broker dealers which may have included, but were 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 have resulted in a significantly higher (lower) fair value measurement.
Financial assets were transferred
from Level 3 to Level 2 as observable market inputs were utilized and management determined that there was sufficient, reliable and observable market data to value these assets as of period end.
The accompanying Notes to Financial Statements are
an integral part of this statement.
| 38 | Columbia Total Return Bond Fund | Semiannual Report 2020 |
Statement of Assets and Liabilities
October 31, 2020 (Unaudited)
October 31, 2020 (Unaudited)
| Assets | |
| Investments in securities, at value | |
| Unaffiliated issuers (cost $2,896,722,501) | $2,935,015,083 |
| Affiliated issuers (cost $142,379,212) | 142,396,509 |
| Options purchased (cost $3,919,920) | 4,582,674 |
| Foreign currency (cost $447,820) | 442,109 |
| Cash collateral held at broker for: | |
| Swap contracts | 11,443,000 |
| TBA | 1,148,000 |
| Margin deposits on: | |
| Swap contracts | 5,335,989 |
| Unrealized appreciation on forward foreign currency exchange contracts | 56,549 |
| Unrealized appreciation on swap contracts | 2,261,988 |
| Upfront payments on swap contracts | 468,181 |
| Receivable for: | |
| Investments sold | 3,298,910 |
| Investments sold on a delayed delivery basis | 487,955,016 |
| Capital shares sold | 6,143,257 |
| Dividends | 13,623 |
| Interest | 11,875,117 |
| Foreign tax reclaims | 94,204 |
| Variation margin for futures contracts | 66,230 |
| Expense reimbursement due from Investment Manager | 8,487 |
| Prepaid expenses | 10,882 |
| Trustees’ deferred compensation plan | 332,221 |
| Other assets | 47,343 |
| Total assets | 3,612,995,372 |
| Liabilities | |
| Due to custodian | 399,565 |
| Unrealized depreciation on swap contracts | 2,798,318 |
| Upfront receipts on swap contracts | 15,529,413 |
| Payable for: | |
| Investments purchased | 1,781,390 |
| Investments purchased on a delayed delivery basis | 1,156,632,058 |
| Capital shares purchased | 2,501,314 |
| Distributions to shareholders | 5,404,623 |
| Variation margin for futures contracts | 450,693 |
| Variation margin for swap contracts | 107,294 |
| Management services fees | 32,013 |
| Distribution and/or service fees | 5,909 |
| Transfer agent fees | 187,395 |
| Compensation of board members | 173 |
| Compensation of chief compliance officer | 63 |
| Other expenses | 57,833 |
| Trustees’ deferred compensation plan | 332,221 |
| Total liabilities | 1,186,220,275 |
| Net assets applicable to outstanding capital stock | $2,426,775,097 |
| Represented by | |
| Paid in capital | 2,274,560,321 |
| Total distributable earnings (loss) | 152,214,776 |
| Total - representing net assets applicable to outstanding capital stock | $2,426,775,097 |
The accompanying Notes to Financial Statements are
an integral part of this statement.
| Columbia Total Return Bond Fund | Semiannual Report 2020 | 39 |
Statement of Assets and Liabilities (continued)
October 31, 2020 (Unaudited)
October 31, 2020 (Unaudited)
| Class A | |
| Net assets | $764,023,541 |
| Shares outstanding | 19,458,505 |
| Net asset value per share | $39.26 |
| Maximum sales charge | 3.00% |
| Maximum offering price per share (calculated by dividing the net asset value per share by 1.0 minus the maximum sales charge for Class A shares) | $40.47 |
| Advisor Class | |
| Net assets | $117,522,989 |
| Shares outstanding | 2,996,529 |
| Net asset value per share | $39.22 |
| Class C | |
| Net assets | $23,861,992 |
| Shares outstanding | 607,609 |
| Net asset value per share | $39.27 |
| Institutional Class | |
| Net assets | $859,877,892 |
| Shares outstanding | 21,886,495 |
| Net asset value per share | $39.29 |
| Institutional 2 Class | |
| Net assets | $104,428,390 |
| Shares outstanding | 2,663,105 |
| Net asset value per share | $39.21 |
| Institutional 3 Class | |
| Net assets | $553,895,851 |
| Shares outstanding | 14,096,826 |
| Net asset value per share | $39.29 |
| Class R | |
| Net assets | $3,164,442 |
| Shares outstanding | 80,561 |
| Net asset value per share | $39.28 |
The accompanying Notes to Financial Statements are
an integral part of this statement.
| 40 | Columbia Total Return Bond Fund | Semiannual Report 2020 |
Statement of Operations
Six Months Ended October 31, 2020 (Unaudited)
Six Months Ended October 31, 2020 (Unaudited)
| Net investment income | |
| Income: | |
| Dividends — unaffiliated issuers | $104,092 |
| Dividends — affiliated issuers | 114,616 |
| Interest | 41,447,263 |
| Total income | 41,665,971 |
| Expenses: | |
| Management services fees | 5,540,451 |
| Distribution and/or service fees | |
| Class A | 925,907 |
| Class C | 109,363 |
| Class R | 7,291 |
| Transfer agent fees | |
| Class A | 448,964 |
| Advisor Class | 64,190 |
| Class C | 13,256 |
| Institutional Class | 468,279 |
| Institutional 2 Class | 25,974 |
| Institutional 3 Class | 20,434 |
| Class R | 1,767 |
| Compensation of board members | 27,585 |
| Custodian fees | 22,803 |
| Printing and postage fees | 71,803 |
| Registration fees | 77,596 |
| Audit fees | 24,818 |
| Legal fees | 28,995 |
| Interest on collateral | 1,337 |
| Compensation of chief compliance officer | 384 |
| Other | 25,105 |
| Total expenses | 7,906,302 |
| Fees waived or expenses reimbursed by Investment Manager and its affiliates | (1,618,879) |
| Fees waived by transfer agent | |
| Institutional 2 Class | (1,099) |
| Institutional 3 Class | (6,050) |
| Expense reduction | (1,460) |
| Total net expenses | 6,278,814 |
| Net investment income | 35,387,157 |
The accompanying Notes to Financial Statements are
an integral part of this statement.
| Columbia Total Return Bond Fund | Semiannual Report 2020 | 41 |
Statement of Operations (continued)
Six Months Ended October 31, 2020 (Unaudited)
Six Months Ended October 31, 2020 (Unaudited)
| Realized and unrealized gain (loss) — net | |
| Net realized gain (loss) on: | |
| Investments — unaffiliated issuers | $20,512,278 |
| Investments — affiliated issuers | 12,958 |
| Foreign currency translations | 47,445 |
| Forward foreign currency exchange contracts | (640,921) |
| Futures contracts | 22,393,702 |
| Options purchased | 10,626,895 |
| Options contracts written | (11,499,812) |
| Swap contracts | 10,210,599 |
| Net realized gain | 51,663,144 |
| Net change in unrealized appreciation (depreciation) on: | |
| Investments — unaffiliated issuers | 100,400,647 |
| Investments — affiliated issuers | (45,328) |
| Foreign currency translations | (3,356) |
| Forward foreign currency exchange contracts | 48,562 |
| Futures contracts | (25,574,488) |
| Options purchased | (10,192,285) |
| Options contracts written | 11,923,709 |
| Swap contracts | (920,679) |
| Net change in unrealized appreciation (depreciation) | 75,636,782 |
| Net realized and unrealized gain | 127,299,926 |
| Net increase in net assets resulting from operations | $162,687,083 |
The accompanying Notes to
Financial Statements are an integral part of this statement.
| 42 | Columbia Total Return Bond Fund | Semiannual Report 2020 |
Statement of Changes in Net Assets
| Six Months Ended October 31, 2020 (Unaudited) | Year Ended April 30, 2020 | |
| Operations | ||
| Net investment income | $35,387,157 | $66,452,203 |
| Net realized gain | 51,663,144 | 74,814,790 |
| Net change in unrealized appreciation (depreciation) | 75,636,782 | (10,186,369) |
| Net increase in net assets resulting from operations | 162,687,083 | 131,080,624 |
| Distributions to shareholders | ||
| Net investment income and net realized gains | ||
| Class A | (9,231,002) | (28,374,404) |
| Advisor Class | (1,456,545) | (917,325) |
| Class C | (190,096) | (640,789) |
| Institutional Class | (10,613,974) | (41,089,999) |
| Institutional 2 Class | (1,262,584) | (3,504,299) |
| Institutional 3 Class | (7,854,493) | (13,042,685) |
| Class R | (32,777) | (104,586) |
| Total distributions to shareholders | (30,641,471) | (87,674,087) |
| Increase in net assets from capital stock activity | 163,171,964 | 82,546,076 |
| Total increase in net assets | 295,217,576 | 125,952,613 |
| Net assets at beginning of period | 2,131,557,521 | 2,005,604,908 |
| Net assets at end of period | $2,426,775,097 | $2,131,557,521 |
The accompanying Notes to
Financial Statements are an integral part of this statement.
| Columbia Total Return Bond Fund | Semiannual Report 2020 | 43 |
Statement of Changes in Net Assets (continued)
| Six Months Ended | Year Ended | |||
| October 31, 2020 (Unaudited) | April 30, 2020 | |||
| Shares(a) | Dollars ($) | Shares(a) | Dollars ($) | |
| Capital stock activity | ||||
| Class A | ||||
| Subscriptions | 1,643,952 | 64,221,096 | 2,345,539 | 86,976,261 |
| Distributions reinvested | 229,907 | 8,977,747 | 744,497 | 27,620,705 |
| Redemptions | (1,217,110) | (47,450,100) | (3,116,740) | (115,432,974) |
| Net increase (decrease) | 656,749 | 25,748,743 | (26,704) | (836,008) |
| Advisor Class | ||||
| Subscriptions | 801,004 | 31,126,082 | 2,406,090 | 85,975,933 |
| Distributions reinvested | 37,256 | 1,453,829 | 24,570 | 910,428 |
| Redemptions | (371,102) | (14,362,651) | (323,674) | (11,962,911) |
| Net increase | 467,158 | 18,217,260 | 2,106,986 | 74,923,450 |
| Class C | ||||
| Subscriptions | 163,289 | 6,392,421 | 224,758 | 8,337,832 |
| Distributions reinvested | 4,624 | 180,610 | 15,935 | 590,791 |
| Redemptions | (120,214) | (4,694,785) | (203,152) | (7,516,746) |
| Net increase | 47,699 | 1,878,246 | 37,541 | 1,411,877 |
| Institutional Class | ||||
| Subscriptions | 4,705,307 | 184,488,509 | 10,344,142 | 383,685,986 |
| Distributions reinvested | 257,724 | 10,068,824 | 825,354 | 30,636,564 |
| Redemptions | (2,291,411) | (89,086,651) | (18,175,251) | (673,225,244) |
| Net increase (decrease) | 2,671,620 | 105,470,682 | (7,005,755) | (258,902,694) |
| Institutional 2 Class | ||||
| Subscriptions | 727,367 | 28,658,300 | 715,018 | 26,394,160 |
| Distributions reinvested | 32,301 | 1,259,760 | 94,125 | 3,488,347 |
| Redemptions | (380,373) | (14,633,213) | (740,904) | (27,273,521) |
| Net increase | 379,295 | 15,284,847 | 68,239 | 2,608,986 |
| Institutional 3 Class | ||||
| Subscriptions | 1,028,599 | 39,908,515 | 8,427,884 | 313,169,178 |
| Distributions reinvested | 117,277 | 4,582,392 | 310,071 | 11,513,793 |
| Redemptions | (1,252,486) | (48,422,634) | (1,664,749) | (61,415,937) |
| Net increase (decrease) | (106,610) | (3,931,727) | 7,073,206 | 263,267,034 |
| Class R | ||||
| Subscriptions | 20,380 | 793,400 | 29,523 | 1,094,241 |
| Distributions reinvested | 823 | 32,149 | 2,796 | 103,775 |
| Redemptions | (8,286) | (321,636) | (30,405) | (1,124,585) |
| Net increase | 12,917 | 503,913 | 1,914 | 73,431 |
| Total net increase | 4,128,828 | 163,171,964 | 2,255,427 | 82,546,076 |
| (a) | Share activity has been adjusted on a retroactive basis to reflect a 4 to 1 reverse stock split completed after the close of business on September 11, 2020. |
The accompanying Notes to Financial Statements are
an integral part of this statement.
| 44 | Columbia Total Return Bond Fund | Semiannual Report 2020 |
Financial Highlights
The following table is intended to
help you understand the Fund’s financial performance. Certain information reflects financial results for a single share of a class held for the periods shown. Per share net investment income (loss) amounts are
calculated based on average shares outstanding during the period. Total return assumes reinvestment of all dividends and distributions, if any. Total return does not reflect payment of sales charges, if any. Total
return and portfolio turnover are not annualized for periods of less than one year. The portfolio turnover rate is calculated without regard to purchase and sales transactions of short-term instruments and certain
derivatives, if any. If such transactions were included, the Fund’s portfolio turnover rate may be higher.
| Net asset value, beginning of period | Net investment income | Net realized and unrealized gain (loss) | Total from investment operations | Distributions from net investment income | Distributions from net realized gains | Tax return of capital | Total distributions to shareholders | |
| Class A(c) | ||||||||
| Six Months Ended 10/31/2020 (Unaudited) | $36.96 | 0.56 | 2.22 | 2.78 | (0.48) | — | — | (0.48) |
| Year Ended 4/30/2020 | $36.19 | 1.12 | 1.17 | 2.29 | (1.04) | (0.48) | — | (1.52) |
| Year Ended 4/30/2019 | $35.33 | 1.12 | 0.74 | 1.86 | (1.00) | — | — | (1.00) |
| Year Ended 4/30/2018 | $36.14 | 0.92 | (0.85) | 0.07 | (0.84) | — | (0.04) | (0.88) |
| Year Ended 4/30/2017 | $36.78 | 1.00 | (0.16) | 0.84 | (0.92) | (0.56) | — | (1.48) |
| Year Ended 4/30/2016 | $37.01 | 0.88 | 0.01(h) | 0.89 | (0.68) | (0.44) | — | (1.12) |
| Advisor Class(c) | ||||||||
| Six Months Ended 10/31/2020 (Unaudited) | $36.91 | 0.61 | 2.23 | 2.84 | (0.53) | — | — | (0.53) |
| Year Ended 4/30/2020 | $36.16 | 1.20 | 1.15 | 2.35 | (1.12) | (0.48) | — | (1.60) |
| Year Ended 4/30/2019 | $35.29 | 1.24 | 0.75 | 1.99 | (1.12) | — | — | (1.12) |
| Year Ended 4/30/2018 | $36.09 | 1.00 | (0.84) | 0.16 | (0.92) | — | (0.04) | (0.96) |
| Year Ended 4/30/2017 | $36.73 | 1.04 | (0.08) | 0.96 | (1.04) | (0.56) | — | (1.60) |
| Year Ended 4/30/2016 | $36.96 | 0.96 | 0.01(h) | 0.97 | (0.76) | (0.44) | — | (1.20) |
| Class C(c) | ||||||||
| Six Months Ended 10/31/2020 (Unaudited) | $36.96 | 0.42 | 2.23 | 2.65 | (0.34) | — | — | (0.34) |
| Year Ended 4/30/2020 | $36.19 | 0.84 | 1.17 | 2.01 | (0.76) | (0.48) | — | (1.24) |
| Year Ended 4/30/2019 | $35.33 | 0.84 | 0.78 | 1.62 | (0.76) | — | — | (0.76) |
| Year Ended 4/30/2018 | $36.15 | 0.64 | (0.86) | (0.22) | (0.56) | — | (0.04) | (0.60) |
| Year Ended 4/30/2017 | $36.78 | 0.72 | (0.15) | 0.57 | (0.64) | (0.56) | — | (1.20) |
| Year Ended 4/30/2016 | $37.01 | 0.60 | 0.01(h) | 0.61 | (0.40) | (0.44) | — | (0.84) |
| Institutional Class(c) | ||||||||
| Six Months Ended 10/31/2020 (Unaudited) | $36.98 | 0.61 | 2.23 | 2.84 | (0.53) | — | — | (0.53) |
| Year Ended 4/30/2020 | $36.21 | 1.24 | 1.13 | 2.37 | (1.12) | (0.48) | — | (1.60) |
| Year Ended 4/30/2019 | $35.34 | 1.20 | 0.79 | 1.99 | (1.12) | — | — | (1.12) |
| Year Ended 4/30/2018 | $36.16 | 1.00 | (0.86) | 0.14 | (0.92) | — | (0.04) | (0.96) |
| Year Ended 4/30/2017 | $36.79 | 1.08 | (0.11) | 0.97 | (1.04) | (0.56) | — | (1.60) |
| Year Ended 4/30/2016 | $37.02 | 0.96 | 0.01(h) | 0.97 | (0.76) | (0.44) | — | (1.20) |
| Institutional 2 Class(c) | ||||||||
| Six Months Ended 10/31/2020 (Unaudited) | $36.91 | 0.63 | 2.21 | 2.84 | (0.54) | — | — | (0.54) |
| Year Ended 4/30/2020 | $36.15 | 1.24 | 1.16 | 2.40 | (1.16) | (0.48) | — | (1.64) |
| Year Ended 4/30/2019 | $35.29 | 1.28 | 0.70 | 1.98 | (1.12) | — | — | (1.12) |
| Year Ended 4/30/2018 | $36.11 | 1.04 | (0.86) | 0.18 | (0.96) | — | (0.04) | (1.00) |
| Year Ended 4/30/2017 | $36.74 | 1.08 | (0.11) | 0.97 | (1.04) | (0.56) | — | (1.60) |
| Year Ended 4/30/2016 | $36.97 | 1.00 | 0.01(h) | 1.01 | (0.80) | (0.44) | — | (1.24) |
The accompanying Notes to Financial
Statements are an integral part of this statement.
| 46 | Columbia Total Return Bond Fund | Semiannual Report 2020 |
Financial Highlights (continued)
| Net asset value, end of period | Total return | Total gross expense ratio to average net assets(a) | Total net expense ratio to average net assets(a),(b) | Net investment income ratio to average net assets | Portfolio turnover | Net assets, end of period (000’s) | |
| Class A(c) | |||||||
| Six Months Ended 10/31/2020 (Unaudited) | $39.26 | 7.55% | 0.88%(d),(e) | 0.74%(d),(e),(f) | 2.90%(d) | 175% | $764,024 |
| Year Ended 4/30/2020 | $36.96 | 6.34% | 0.90%(e) | 0.74%(e),(f) | 3.05% | 272% | $694,852 |
| Year Ended 4/30/2019 | $36.19 | 5.45% | 0.91%(e) | 0.86%(e),(f) | 3.19% | 262% | $681,416 |
| Year Ended 4/30/2018 | $35.33 | 0.08% | 0.91% | 0.86%(f) | 2.51% | 300% | $711,850 |
| Year Ended 4/30/2017 | $36.14 | 2.37% | 0.89%(g) | 0.84%(f),(g) | 2.70% | 379% | $820,441 |
| Year Ended 4/30/2016 | $36.78 | 2.58% | 0.91% | 0.86%(f) | 2.39% | 458% | $978,460 |
| Advisor Class(c) | |||||||
| Six Months Ended 10/31/2020 (Unaudited) | $39.22 | 7.69% | 0.63%(d),(e) | 0.49%(d),(e),(f) | 3.16%(d) | 175% | $117,523 |
| Year Ended 4/30/2020 | $36.91 | 6.61% | 0.65%(e) | 0.49%(e),(f) | 3.32% | 272% | $93,369 |
| Year Ended 4/30/2019 | $36.16 | 5.72% | 0.66%(e) | 0.61%(e),(f) | 3.53% | 262% | $15,272 |
| Year Ended 4/30/2018 | $35.29 | 0.44% | 0.66% | 0.61%(f) | 2.72% | 300% | $6,726 |
| Year Ended 4/30/2017 | $36.09 | 2.63% | 0.63%(g) | 0.59%(f),(g) | 2.87% | 379% | $18,057 |
| Year Ended 4/30/2016 | $36.73 | 2.72% | 0.66% | 0.61%(f) | 2.65% | 458% | $8,265 |
| Class C(c) | |||||||
| Six Months Ended 10/31/2020 (Unaudited) | $39.27 | 7.17% | 1.63%(d),(e) | 1.48%(d),(e),(f) | 2.15%(d) | 175% | $23,862 |
| Year Ended 4/30/2020 | $36.96 | 5.55% | 1.65%(e) | 1.50%(e),(f) | 2.30% | 272% | $20,696 |
| Year Ended 4/30/2019 | $36.19 | 4.66% | 1.66%(e) | 1.61%(e),(f) | 2.37% | 262% | $18,905 |
| Year Ended 4/30/2018 | $35.33 | (0.67%) | 1.66% | 1.61%(f) | 1.75% | 300% | $38,975 |
| Year Ended 4/30/2017 | $36.15 | 1.61% | 1.64%(g) | 1.59%(f),(g) | 1.95% | 379% | $49,380 |
| Year Ended 4/30/2016 | $36.78 | 1.81% | 1.66% | 1.61%(f) | 1.65% | 458% | $55,975 |
| Institutional Class(c) | |||||||
| Six Months Ended 10/31/2020 (Unaudited) | $39.29 | 7.76% | 0.63%(d),(e) | 0.49%(d),(e),(f) | 3.16%(d) | 175% | $859,878 |
| Year Ended 4/30/2020 | $36.98 | 6.61% | 0.65%(e) | 0.49%(e),(f) | 3.30% | 272% | $710,558 |
| Year Ended 4/30/2019 | $36.21 | 5.60% | 0.66%(e) | 0.61%(e),(f) | 3.42% | 262% | $949,377 |
| Year Ended 4/30/2018 | $35.34 | 0.44% | 0.66% | 0.61%(f) | 2.76% | 300% | $1,037,101 |
| Year Ended 4/30/2017 | $36.16 | 2.63% | 0.64%(g) | 0.59%(f),(g) | 2.94% | 379% | $1,083,917 |
| Year Ended 4/30/2016 | $36.79 | 2.72% | 0.66% | 0.61%(f) | 2.64% | 458% | $1,078,815 |
| Institutional 2 Class(c) | |||||||
| Six Months Ended 10/31/2020 (Unaudited) | $39.21 | 7.70% | 0.57%(d),(e) | 0.42%(d),(e) | 3.23%(d) | 175% | $104,428 |
| Year Ended 4/30/2020 | $36.91 | 6.69% | 0.57%(e) | 0.42%(e) | 3.38% | 272% | $84,295 |
| Year Ended 4/30/2019 | $36.15 | 5.81% | 0.58%(e) | 0.53%(e) | 3.64% | 262% | $80,083 |
| Year Ended 4/30/2018 | $35.29 | 0.38% | 0.58% | 0.55% | 2.82% | 300% | $31,099 |
| Year Ended 4/30/2017 | $36.11 | 2.79% | 0.54%(g) | 0.54%(g) | 2.99% | 379% | $27,782 |
| Year Ended 4/30/2016 | $36.74 | 2.80% | 0.55% | 0.54% | 2.73% | 458% | $22,621 |
The accompanying Notes to Financial
Statements are an integral part of this statement.
| Columbia Total Return Bond Fund | Semiannual Report 2020 | 47 |
Financial Highlights (continued)
| Net asset value, beginning of period | Net investment income | Net realized and unrealized gain (loss) | Total from investment operations | Distributions from net investment income | Distributions from net realized gains | Tax return of capital | Total distributions to shareholders | |
| Institutional 3 Class(c) | ||||||||
| Six Months Ended 10/31/2020 (Unaudited) | $36.98 | 0.64 | 2.23 | 2.87 | (0.56) | — | — | (0.56) |
| Year Ended 4/30/2020 | $36.21 | 1.24 | 1.17 | 2.41 | (1.16) | (0.48) | — | (1.64) |
| Year Ended 4/30/2019 | $35.35 | 1.28 | 0.74 | 2.02 | (1.16) | — | — | (1.16) |
| Year Ended 4/30/2018 | $36.16 | 1.04 | (0.85) | 0.19 | (0.96) | — | (0.04) | (1.00) |
| Year Ended 4/30/2017 | $36.81 | 0.96 | 0.03(h) | 0.99 | (1.08) | (0.56) | — | (1.64) |
| Year Ended 4/30/2016 | $37.04 | 1.00 | 0.01(h) | 1.01 | (0.80) | (0.44) | — | (1.24) |
| Class R(c) | ||||||||
| Six Months Ended 10/31/2020 (Unaudited) | $36.97 | 0.52 | 2.23 | 2.75 | (0.44) | — | — | (0.44) |
| Year Ended 4/30/2020 | $36.20 | 1.04 | 1.17 | 2.21 | (0.96) | (0.48) | — | (1.44) |
| Year Ended 4/30/2019 | $35.33 | 1.04 | 0.75 | 1.79 | (0.92) | — | — | (0.92) |
| Year Ended 4/30/2018 | $36.15 | 0.80 | (0.82) | (0.02) | (0.76) | — | (0.04) | (0.80) |
| Year Ended 4/30/2017 | $36.78 | 0.88 | (0.11) | 0.77 | (0.84) | (0.56) | — | (1.40) |
| Year Ended 4/30/2016 | $37.02 | 0.76 | 0.04(h) | 0.80 | (0.60) | (0.44) | — | (1.04) |
| Notes to Financial Highlights | |
| (a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
| (b) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
| (c) | Per share amounts have been adjusted on a retroactive basis to reflect a 4 to 1 reverse stock split completed after the close of business on September 11, 2020. |
| (d) | Annualized. |
| (e) | Ratios include interest on collateral expense which is less than 0.01%. |
| (f) | The benefits derived from expense reductions had an impact of less than 0.01%. |
| (g) | Expenses have been reduced due to a reimbursement of expenses overbilled by a third party. If the reimbursement had been excluded, the expense ratios would have been higher by the percentages shown for each class in the table below. All fee waivers and expense reimbursements by the Investment Manager and its affiliates were applied before giving effect to this third party reimbursement. |
| Year Ended | Class A | Advisor Class | Class C | Institutional Class | Institutional 2 Class | Institutional 3 Class | Class R |
| 04/30/2017 | 0.02% | 0.02% | 0.02% | 0.02% | 0.02% | 0.01% | 0.02% |
| (h) | Calculation of the net gain (loss) per share (both realized and unrealized) does not correlate to the aggregate realized and unrealized gain (loss) presented in the Statement of Operations due to the timing of subscriptions and redemptions of Fund shares in relation to fluctuations in the market value of the portfolio. |
The accompanying Notes to
Financial Statements are an integral part of this statement.
| 48 | Columbia Total Return Bond Fund | Semiannual Report 2020 |
Financial Highlights (continued)
| Net asset value, end of period | Total return | Total gross expense ratio to average net assets(a) | Total net expense ratio to average net assets(a),(b) | Net investment income ratio to average net assets | Portfolio turnover | Net assets, end of period (000’s) | |
| Institutional 3 Class(c) | |||||||
| Six Months Ended 10/31/2020 (Unaudited) | $39.29 | 7.71% | 0.52%(d),(e) | 0.37%(d),(e) | 3.26%(d) | 175% | $553,896 |
| Year Ended 4/30/2020 | $36.98 | 6.86% | 0.53%(e) | 0.37%(e) | 3.42% | 272% | $525,287 |
| Year Ended 4/30/2019 | $36.21 | 5.73% | 0.53%(e) | 0.49%(e) | 3.56% | 262% | $258,172 |
| Year Ended 4/30/2018 | $35.35 | 0.55% | 0.52% | 0.50% | 2.85% | 300% | $272,332 |
| Year Ended 4/30/2017 | $36.16 | 2.74% | 0.50%(g) | 0.50%(g) | 2.70% | 379% | $445,184 |
| Year Ended 4/30/2016 | $36.81 | 2.85% | 0.50% | 0.49% | 2.77% | 458% | $18,086 |
| Class R(c) | |||||||
| Six Months Ended 10/31/2020 (Unaudited) | $39.28 | 7.47% | 1.13%(d),(e) | 0.99%(d),(e),(f) | 2.66%(d) | 175% | $3,164 |
| Year Ended 4/30/2020 | $36.97 | 6.08% | 1.15%(e) | 1.00%(e),(f) | 2.79% | 272% | $2,501 |
| Year Ended 4/30/2019 | $36.20 | 5.19% | 1.16%(e) | 1.11%(e),(f) | 2.97% | 262% | $2,380 |
| Year Ended 4/30/2018 | $35.33 | (0.17%) | 1.16% | 1.11%(f) | 2.24% | 300% | $1,637 |
| Year Ended 4/30/2017 | $36.15 | 2.12% | 1.14%(g) | 1.09%(f),(g) | 2.43% | 379% | $2,284 |
| Year Ended 4/30/2016 | $36.78 | 2.21% | 1.16% | 1.11%(f) | 2.13% | 458% | $2,407 |
The accompanying Notes to Financial Statements are
an integral part of this statement.
| Columbia Total Return Bond Fund | Semiannual Report 2020 | 49 |
Notes to Financial Statements
October 31, 2020 (Unaudited)
October 31, 2020 (Unaudited)
Note 1. Organization
Columbia Total Return Bond Fund
(the Fund), a series of Columbia Funds Series Trust I (the Trust), is a diversified fund. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management
investment company organized as a Massachusetts business trust.
The Fund’s Board of Trustees
approved reverse stock splits of the issued and outstanding shares of the Fund (the “Reverse Stock Split”). The Reverse Stock Split was completed after the close of business on September 11, 2020. The
impact of the Reverse Stock Split was to decrease the number of shares outstanding and increase the net asset value per share for each share class of the Fund by the ratio of 4 to 1, resulting in no effect on the net
assets of each share class or the value of each affected shareholder’s investment. Capital stock share activity reflected in the Statement of Changes in Net Assets and per share data in the Financial Highlights
have been adjusted on a retroactive basis to reflect the impact of the Reverse Stock Split.
Fund shares
The Trust may issue an unlimited
number of shares (without par value). The Fund offers each of the share classes listed in the Statement of Assets and Liabilities. Although all share classes generally have identical voting, dividend and liquidation
rights, each share class votes separately when required by the Trust’s organizational documents or by law. Each share class has its own expense and sales charge structure. Different share classes may have
different minimum initial investment amounts and pay different net investment income distribution amounts to the extent the expenses of distributing such share classes vary. Distributions to shareholders in a
liquidation will be proportional to the net asset value of each share class.
As described in the Fund’s
prospectus, Class A and Class C shares are offered to the general public for investment. Class C shares automatically convert to Class A shares after 10 years. Advisor Class, Institutional Class, Institutional 2
Class, Institutional 3 Class and Class R shares are available for purchase through authorized investment professionals to omnibus retirement plans or to institutional investors and to certain other investors as also
described in the Fund’s prospectus.
Note 2. Summary of
significant accounting policies
Basis of preparation
The Fund is an investment company
that applies the accounting and reporting guidance in the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946, Financial Services - Investment Companies (ASC 946). The financial statements are prepared in accordance with U.S. generally accepted accounting principles (GAAP), which requires
management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities, the disclosure of contingent assets and liabilities at the date of the financial statements and the
reported amounts of income and expenses during the reporting period. Actual results could differ from those estimates.
The following is a summary of
significant accounting policies followed by the Fund in the preparation of its financial statements.
Security valuation
Equity securities listed on an
exchange are valued at the closing price or last trade on their primary exchange at the close of business of the New York Stock Exchange. Securities with a closing price not readily available or not listed on any
exchange are valued at the mean between the closing bid and asked prices. Listed preferred stocks convertible into common stocks are valued using an evaluated price from a pricing service.
Debt securities generally are
valued by pricing services approved by the Board of Trustees based upon market transactions for normal, institutional-size trading units of similar securities. The services may use various pricing techniques that take
into account, as applicable, factors such as yield, quality, coupon rate, maturity, type of issue, trading characteristics and other data, as well as approved independent broker-dealer quotes. Debt securities for
which quotations are not readily available or not believed to be reflective of market value may also be valued based upon a bid quote from an approved independent broker-dealer. Debt securities maturing in 60 days or
less are valued primarily at amortized market value, unless this method results in a valuation that management believes does not approximate fair value.
| 50 | Columbia Total Return Bond Fund | Semiannual Report 2020 |
Notes to Financial Statements (continued)
October 31, 2020 (Unaudited)
October 31, 2020 (Unaudited)
Asset- and mortgage-backed
securities are generally valued by pricing services, which utilize pricing models that incorporate the securities’ cash flow and loan performance data. These models also take into account available market data,
including trades, market quotations, and benchmark yield curves for identical or similar securities. Factors used to identify similar securities may include, but are not limited to, issuer, collateral type, vintage,
prepayment speeds, collateral performance, credit ratings, credit enhancement and expected life. Asset-backed securities for which quotations are readily available may also be valued based upon an over-the-counter or
exchange bid quote from an approved independent broker-dealer. Debt securities maturing in 60 days or less are valued primarily at amortized market value, unless this method results in a valuation that management
believes does not approximate fair value.
Senior loan securities for which
reliable market quotations are readily available are generally valued by pricing services at the average of the bids received.
Investments in open-end investment
companies (other than exchange-traded funds (ETFs)), are valued at the latest net asset value reported by those companies as of the valuation time.
Forward foreign currency exchange
contracts are marked-to-market based upon foreign currency exchange rates provided by a pricing service.
Futures and options on futures
contracts are valued based upon the settlement price at the close of regular trading on their principal exchanges or, in the absence of a settlement price, at the mean of the latest quoted bid and ask prices.
Option contracts are valued at the
mean of the latest quoted bid and ask prices on their primary exchanges. Option contracts, including over-the-counter option contracts, with no readily available market quotations are valued using mid-market
evaluations from independent third-party vendors.
Swap transactions are valued
through an independent pricing service or broker, or if neither is available, through an internal model based upon observable inputs.
Investments for which market
quotations are not readily available, or that have quotations which management believes are not reflective of market value or reliable, are valued at fair value as determined in good faith under procedures approved by
and under the general supervision of the Board of Trustees. If a security or class of securities (such as foreign securities) is valued at fair value, such value is likely to be different from the quoted or published
price for the security, if available.
The determination of fair value
often requires significant judgment. To determine fair value, management may use assumptions including but not limited to future cash flows and estimated risk premiums. Multiple inputs from various sources may be used
to determine fair value.
GAAP requires 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. This information is disclosed following
the Fund’s Portfolio of Investments.
Foreign currency transactions and
translations
The values of all assets and
liabilities denominated in foreign currencies are generally translated into U.S. dollars at exchange rates determined at the close of regular trading on the New York Stock Exchange. Net realized and unrealized gains
(losses) on foreign currency transactions and translations include gains (losses) arising from the fluctuation in exchange rates between trade and settlement dates on securities transactions, gains (losses) arising
from the disposition of foreign currency and currency gains (losses) between the accrual and payment dates on dividends, interest income and foreign withholding taxes.
For financial statement purposes,
the Fund does not distinguish that portion of gains (losses) on investments which is due to changes in foreign exchange rates from that which is due to changes in market prices of the investments. Such fluctuations
are included with the net realized and unrealized gains (losses) on investments in the Statement of Operations.
| Columbia Total Return Bond Fund | Semiannual Report 2020 | 51 |
Notes to Financial Statements (continued)
October 31, 2020 (Unaudited)
October 31, 2020 (Unaudited)
Derivative instruments
The Fund invests in certain
derivative instruments, as detailed below, in seeking to meet its investment objectives. Derivatives are instruments whose values depend on, or are derived from, in whole or in part, the value of one or more
securities, currencies, commodities, indices, or other assets or instruments. Derivatives may be used to increase investment flexibility (including to maintain cash reserves while maintaining desired exposure to
certain assets), for risk management (hedging) purposes, to facilitate trading, to reduce transaction costs and to pursue higher investment returns. The Fund may also use derivative instruments to mitigate certain
investment risks, such as foreign currency exchange rate risk, interest rate risk and credit risk. Derivatives may involve various risks, including the potential inability of the counterparty to fulfill its
obligations under the terms of the contract, the potential for an illiquid secondary market (making it difficult for the Fund to sell or terminate, including at favorable prices) and the potential for market movements
which may expose the Fund to gains or losses in excess of the amount shown in the Statement of Assets and Liabilities. The notional amounts of derivative instruments, if applicable, are not recorded in the financial
statements.
A derivative instrument may suffer
a marked-to-market loss if the value of the contract decreases due to an unfavorable change in the market rates or values of the underlying instrument. Losses can also occur if the counterparty does not perform its
obligations under the contract. The Fund’s risk of loss from counterparty credit risk on over-the-counter derivatives is generally limited to the aggregate unrealized gain netted against any collateral held by
the Fund and the amount of any variation margin held by the counterparty, plus any replacement costs or related amounts. With exchange-traded or centrally cleared derivatives, there is reduced counterparty credit risk
to the Fund since the clearinghouse or central counterparty (CCP) provides some protection in the case of clearing member default. The clearinghouse or CCP stands between the buyer and the seller of the contract;
therefore, additional counterparty credit risk is failure of the clearinghouse or CCP. However, credit risk still exists in exchange-traded or centrally cleared derivatives with respect to initial and variation margin
that is held in a broker’s customer account. While clearing brokers are required to segregate customer margin from their own assets, in the event that a clearing broker becomes insolvent or goes into bankruptcy
and at that time there is a shortfall in the aggregate amount of margin held by the clearing broker for all its clients, U.S. bankruptcy laws will typically allocate that shortfall on a pro-rata basis across all the
clearing broker’s customers (including the Fund), potentially resulting in losses to the Fund.
In order to better define its
contractual rights and to secure rights that will help the Fund mitigate its counterparty risk, the Fund may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (ISDA Master Agreement)
or similar agreement with its derivatives counterparties. An ISDA Master Agreement is an agreement between the Fund and a counterparty that governs over-the-counter derivatives and foreign exchange forward contracts
and contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. Under an ISDA Master Agreement, the Fund may, under certain circumstances, offset
with the counterparty certain derivative instrument’s payables and/or receivables with collateral held and/or posted and create one single net payment. The provisions of the ISDA Master Agreement typically
permit a single net payment in the event of default (close-out netting), including the bankruptcy or insolvency of the counterparty. Note, however, that bankruptcy or insolvency laws of a particular jurisdiction may
impose restrictions on or prohibitions against the right of offset or netting in bankruptcy, insolvency or other events.
Collateral (margin) requirements
differ by type of derivative. Margin requirements are established by the clearinghouse or CCP for exchange-traded and centrally cleared derivatives. Brokers can ask for margin in excess of the minimum in certain
circumstances. Collateral terms for most over-the-counter derivatives are subject to regulatory requirements to exchange variation margin with trading counterparties and may have contract specific margin terms as
well. For over-the-counter derivatives traded under an ISDA Master Agreement, the collateral requirements are typically calculated by netting the marked-to-market amount for each transaction under such agreement and
comparing that amount to the value of any variation margin currently pledged by the Fund and/or the counterparty. Generally, the amount of collateral due from or to a party has to exceed a minimum transfer amount
threshold (e.g., $250,000) before a transfer has to be made. To the extent amounts due to the Fund from its counterparties are not fully collateralized, contractually or otherwise, the Fund bears the risk of loss from
counterparty nonperformance. The Fund may also pay interest expense on cash collateral received from the broker. Any interest expense paid by the Fund is shown on the Statement of Operations. The Fund attempts to
mitigate counterparty risk by only entering into agreements with counterparties that it believes have the financial resources to honor their obligations and by monitoring the financial stability of those
counterparties.
| 52 | Columbia Total Return Bond Fund | Semiannual Report 2020 |
Notes to Financial Statements (continued)
October 31, 2020 (Unaudited)
October 31, 2020 (Unaudited)
Certain ISDA Master Agreements
allow counterparties of over-the-counter derivatives transactions to terminate derivatives contracts prior to maturity in the event the Fund’s net asset value declines by a stated percentage over a specified
time period or if the Fund fails to meet certain terms of the ISDA Master Agreement, which would cause the Fund to accelerate payment of any net liability owed to the counterparty. The Fund also has termination rights
if the counterparty fails to meet certain terms of the ISDA Master Agreement. In determining whether to exercise such termination rights, the Fund would consider, in addition to counterparty credit risk, whether
termination would result in a net liability owed from the counterparty.
For financial reporting purposes,
the Fund does not offset derivative assets and derivative liabilities that are subject to netting arrangements in the Statement of Assets and Liabilities.
Forward foreign currency exchange
contracts
Forward foreign currency exchange
contracts are over-the-counter agreements between two parties to buy and sell a currency at a set price on a future date. The Fund utilized forward foreign currency exchange contracts to hedge the currency exposure
associated with some or all of the Fund’s securities and to shift foreign currency exposure back to U.S. dollars. These instruments may be used for other purposes in future periods.
The values of forward foreign
currency exchange contracts fluctuate daily with changes in foreign currency exchange rates. Changes in the value of these contracts are recorded as unrealized appreciation or depreciation until the contract is
exercised or has expired. The Fund will realize a gain or loss when the forward foreign currency exchange contract is closed or expires. Non-deliverable forward foreign currency exchange contracts are settled with the
counterparty in U.S. dollars without delivery of foreign currency.
The use of forward foreign currency
exchange contracts does not eliminate fluctuations in the prices of the Fund’s portfolio securities. The risks of forward foreign currency exchange contracts include movement in the values of the foreign
currencies relative to the U.S. dollar (or other foreign currencies) and the possibility that counterparties will not complete their contractual obligations, which may be in excess of the amount reflected, if any, in
the Statement of Assets and Liabilities.
Futures contracts
Futures contracts are
exchange-traded and represent commitments for the future purchase or sale of an asset at a specified price on a specified date. The Fund bought and sold futures contracts to manage the duration and yield curve
exposure of the Fund versus the benchmark and to manage exposure to movements in interest rates. These instruments may be used for other purposes in future periods. Upon entering into futures contracts, the Fund bears
risks that it may not achieve the anticipated benefits of the futures contracts and may realize a loss. Additional risks include counterparty credit risk, the possibility of an illiquid market, and that a change in
the value of the contract or option may not correlate with changes in the value of the underlying asset.
Upon entering into a futures
contract, the Fund deposits cash or securities with the broker, known as a futures commission merchant (FCM), in an amount sufficient to meet the initial margin requirement. The initial margin deposit must be
maintained at an established level over the life of the contract. Cash deposited as initial margin is recorded in the Statement of Assets and Liabilities as margin deposits. Securities deposited as initial margin are
designated in the Portfolio of Investments. Subsequent payments (variation margin) are made or received by the Fund each day. The variation margin payments are equal to the daily change in the contract value and are
recorded as variation margin receivable or payable and are offset in unrealized gains or losses. The Fund recognizes a realized gain or loss when the contract is closed or expires. Futures contracts involve, to
varying degrees, risk of loss in excess of the variation margin disclosed in the Statement of Assets and Liabilities.
Options contracts
Options are contracts which entitle
the holder to purchase or sell securities or other identified assets at a specified price, or in the case of index option contracts, to receive or pay the difference between the index value and the strike price of the
index option contract. Option contracts can be either exchange-traded or over-the-counter. The Fund purchased and has written option contracts to manage exposure to fluctuations in interest rates and to manage
convexity risk. These instruments may be used for other purposes in future periods. Completion of transactions for option contracts traded in the
| Columbia Total Return Bond Fund | Semiannual Report 2020 | 53 |
Notes to Financial Statements (continued)
October 31, 2020 (Unaudited)
October 31, 2020 (Unaudited)
over-the-counter market depends upon the
performance of the other party. Collateral may be collected or posted by the Fund to secure over-the-counter option contract trades. Collateral held or posted by the Fund for such option contract trades must be
returned to the broker or the Fund upon closure, exercise or expiration of the contract.
Options contracts purchased are
recorded as investments. When the Fund writes an options contract, the premium received is recorded as an asset and an amount equivalent to the premium is recorded as a liability in the Statement of Assets and
Liabilities and is subsequently adjusted to reflect the current fair value of the option written. Changes in the fair value of the written option are recorded as unrealized appreciation or depreciation until the
contract is exercised or has expired. The Fund realizes a gain or loss when the option contract is closed or expires. When option contracts are exercised, the proceeds on sales for a written call or purchased put
option contract, or the purchase cost for a written put or purchased call option contract, is adjusted by the amount of premium received or paid.
For over-the-counter options
purchased, the Fund bears the risk of loss of the amount of the premiums paid plus the positive change in market values net of any collateral held by the Fund should the counterparty fail to perform under the
contracts. Option contracts written by the Fund do not typically give rise to significant counterparty credit risk, as options written generally obligate the Fund and not the counterparty to perform. The risk in
writing a call option contract is that the Fund gives up the opportunity for profit if the market price of the security increases above the strike price and the option contract is exercised. The risk in writing a put
option contract is that the Fund may incur a loss if the market price of the security decreases below the strike price and the option contract is exercised. Exercise of a written option could result in the Fund
purchasing or selling a security or foreign currency when it otherwise would not, or at a price different from the current market value. In purchasing and writing options, the Fund bears the risk of an unfavorable
change in the value of the underlying instrument or the risk that the Fund may not be able to enter into a closing transaction due to an illiquid market.
Interest rate swaption contracts
Interest rate swaption contracts
entered into by the Fund typically represent an option that gives the purchaser the right, but not the obligation, to enter into an interest rate swap contract on a future date. Each interest rate swaption contract
will specify if the buyer is entitled to receive the fixed or floating rate if the interest rate is exercised. Changes in the value of a purchased interest rate swaption contracts are reported as unrealized
appreciation or depreciation on options in the Statement of Assets and Liabilities. Gain or loss is recognized in the Statement of Operations when the interest rate swaption contract is closed or expires.
When the Fund writes an interest
rate swaption contract, the premium received is recorded as an asset and an amount equivalent to the premium is recorded as a liability in the Statement of Assets and Liabilities and is subsequently adjusted to
reflect the current fair value of the interest rate swaption contract written. Premiums received from writing interest rate swaption contracts that expire unexercised are recorded by the Fund on the expiration date as
realized gains from options written in the Statement of Operations. The difference between the premium and the amount paid on effecting a closing purchase transaction, including brokerage commissions, is also recorded
as realized gain, or if the premium is less than the amount paid for the closing purchase, as realized loss. These amounts are reflected as net realized gain (loss) on options written in the Statement of
Operations.
Swap contracts
Swap contracts are negotiated in
the over-the-counter market and may be entered into as a bilateral contract or centrally cleared (centrally cleared swap contract). In a centrally cleared swap contract, immediately following execution of the swap
contract with a broker, the swap contract is novated to a central counterparty (the CCP) and the CCP becomes the Fund’s counterparty to the centrally cleared swap contract. The Fund is required to deposit
initial margin with the futures commission merchant (FCM), which pledges it through to the CCP in the form of cash or securities in an amount that varies depending on the size and risk profile of the particular swap
contract. Securities deposited as initial margin are designated in the Portfolio of Investments and cash deposited is recorded in the Statement of Assets and Liabilities as margin deposits. For a bilateral swap
contract, the Fund has credit exposure to the broker, but exchanges daily variation margin with the broker based on the mark-to-market value of the swap contract to minimize that exposure. For centrally cleared swap
contracts, the Fund has minimal credit exposure to the FCM because the CCP stands between the Fund and the relevant buyer/seller on the other
| 54 | Columbia Total Return Bond Fund | Semiannual Report 2020 |
Notes to Financial Statements (continued)
October 31, 2020 (Unaudited)
October 31, 2020 (Unaudited)
side of the contract. Swap contracts are
marked-to-market daily and changes in value are recorded as unrealized appreciation (depreciation). The daily change in valuation of centrally cleared swap contracts, if any, is recorded as a receivable or payable for
variation margin in the Statement of Assets and Liabilities.
Entering into these contracts
involves, to varying degrees, elements of interest, liquidity and counterparty credit risk in excess of the amounts recognized in the Statement of Assets and Liabilities. Such risks involve the possibility that there
may be unfavorable changes in interest rates, market conditions or other conditions, that it may be difficult to initiate a swap transaction or liquidate a position at an advantageous time or price which may result in
significant losses, and that the FCM or CCP may not fulfill its obligation under the contract.
Credit default swap contracts
The Fund entered into credit
default swap contracts to increase or decrease its credit exposure to an index and to manage credit risk exposure. These instruments may be used for other purposes in future periods. Credit default swap contracts are
transactions in which one party pays fixed periodic payments to a counterparty in consideration for an agreement from the counterparty to make a specific payment should a specified credit event(s) take place. Although
specified credit events are contract specific, credit events are typically bankruptcy, failure to pay, restructuring, obligation acceleration, obligation default, or repudiation/moratorium.
As the purchaser of a credit
default swap contract, the Fund purchases protection by paying a periodic interest rate on the notional amount to the counterparty. The interest amount is accrued daily as a component of unrealized appreciation
(depreciation) and is recorded as a realized loss upon payment. If a credit event as specified in the contract occurs, the Fund may have the option either to deliver the reference obligation to the seller in exchange
for a cash payment of its par amount, or to receive a net cash settlement equal to the par amount less an agreed-upon value of the reference obligation as of the date of the credit event. The difference between the
value of the obligation or cash delivered and the notional amount received will be recorded as a realized gain (loss).
As the seller of a credit default
swap contract, the Fund sells protection to a buyer and will generally receive a periodic interest rate on a notional amount. The interest amount is accrued daily as a component of unrealized appreciation
(depreciation) and is recorded as a realized gain upon receipt of the payment. If a credit event as specified in the contract with the counterparty occurs, the Fund may either be required to accept the reference
obligation from the buyer in exchange for a cash payment of its notional amount, or to pay the buyer a net cash settlement equal to the notional amount less an agreed-upon value of the reference obligation (recovery
value) as of the date of the credit event. The difference between the value of the obligation or cash received and the notional amount paid will be recorded as a realized gain (loss). The maximum potential amount of
undiscounted future payments the Fund could be required to make as the seller of protection under a credit default swap contract is equal to the notional amount of the reference obligation. These potential amounts may
be partially offset by any recovery values of the respective reference obligations or upfront receipts upon entering into the agreement. The notional amounts and market values of all credit default swap contracts in
which the Fund is the seller of protection, if any, are disclosed in the Credit Default Swap Contracts Outstanding schedule following the Portfolio of Investments.
As a protection seller, the Fund
bears the risk of loss from the credit events specified in the contract with the counterparty. For credit default swap contracts on credit indices, quoted market prices and resulting market values serve as an
indicator of the current status of the payment/performance risk. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the reference entity’s
credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the contract.
Any upfront payments or receipts by
the Fund upon entering into a credit default swap contract is recorded as an asset or liability, respectively, and amortized daily as a component of realized gain (loss) in the Statement of Operations. Credit default
swap contracts are valued daily, and the change in value is recorded as unrealized appreciation (depreciation) until the termination of the swap, at which time a realized gain (loss) is recorded.
Credit default swap contracts can
involve greater risks than if a fund had invested in the reference obligation directly since, in addition to general market risks, credit default swaps are subject to counterparty credit risk, leverage risk, hedging
risk, correlation risk and liquidity risk.
| Columbia Total Return Bond Fund | Semiannual Report 2020 | 55 |
Notes to Financial Statements (continued)
October 31, 2020 (Unaudited)
October 31, 2020 (Unaudited)
Interest rate swap contracts
The Fund entered into interest rate
swap transactions which may include inflation rate swap contracts to manage interest rate and market risk exposure to produce incremental earnings. These instruments may be used for other purposes in future periods.
An interest rate swap is an agreement between two parties where there are two flows and payments are made between the two counterparties and the payments are dependent upon changes in an interest rate, inflation rate
or inflation index calculated on a nominal amount. Interest rate swaps are agreements between two parties that involve the exchange of one type of interest rate for another type of interest rate cash flow on specified
dates in the future, based on a predetermined, specified notional amount. Certain interest rate swaps are considered forward-starting, whereby the accrual for the exchange of cash flows does not begin until a
specified date in the future. The net cash flow for a standard interest rate swap transaction is generally the difference between a floating market interest rate versus a fixed interest rate.
Interest rate swaps are valued
daily and unrealized appreciation (depreciation) is recorded. Certain interest rate swaps may accrue periodic interest on a daily basis as a component of unrealized appreciation (depreciation); the Fund will realize a
gain or loss upon the payment or receipt of accrued interest. The Fund will realize a gain or a loss when the interest rate swap is terminated.
Effects of derivative transactions in
the financial statements
The following tables are intended
to provide additional information about the effect of derivatives on the financial statements of the Fund, including: the fair value of derivatives by risk category and the location of those fair values in the
Statement of Assets and Liabilities; and the impact of derivative transactions over the period in the Statement of Operations, including realized and unrealized gains (losses). The derivative instrument schedules
following the Portfolio of Investments present additional information regarding derivative instruments outstanding at the end of the period, if any.
The following table is a summary of
the fair value of derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) at October 31, 2020:
| Asset derivatives | ||
| Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
| Credit risk | Component of total distributable earnings (loss) — unrealized appreciation on swap contracts | 8,479,270* |
| Credit risk | Upfront payments on swap contracts | 468,181 |
| Foreign exchange risk | Unrealized appreciation on forward foreign currency exchange contracts | 56,549 |
| Interest rate risk | Component of total distributable earnings (loss) — unrealized appreciation on futures contracts | 23,530* |
| Interest rate risk | Investments, at value — Options purchased | 4,582,674 |
| Total | 13,610,204 |
| Liability derivatives | ||
| Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
| Credit risk | Component of total distributable earnings (loss) — unrealized depreciation on swap contracts | 2,798,318* |
| Credit risk | Upfront receipts on swap contracts | 15,529,413 |
| Interest rate risk | Component of total distributable earnings (loss) — unrealized depreciation on futures contracts | 5,201,539* |
| Total | 23,529,270 |
| * | Includes cumulative appreciation (depreciation) as reported in the tables following the Portfolio of Investments. Only the current day’s variation margin is reported in receivables or payables in the Statement of Assets and Liabilities. |
| 56 | Columbia Total Return Bond Fund | Semiannual Report 2020 |
Notes to Financial Statements (continued)
October 31, 2020 (Unaudited)
October 31, 2020 (Unaudited)
The following table indicates the
effect of derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) in the Statement of Operations for the six months ended October 31, 2020:
| Amount of realized gain (loss) on derivatives recognized in income | ||||||
| Risk exposure category | Forward foreign currency exchange contracts ($) | Futures contracts ($) | Options contracts written ($) | Options contracts purchased ($) | Swap contracts ($) | Total ($) |
| Credit risk | — | — | — | — | 8,468,151 | 8,468,151 |
| Foreign exchange risk | (640,921) | — | — | — | — | (640,921) |
| Interest rate risk | — | 22,393,702 | (11,499,812) | 10,626,895 | 1,742,448 | 23,263,233 |
| Total | (640,921) | 22,393,702 | (11,499,812) | 10,626,895 | 10,210,599 | 31,090,463 |
| Change in unrealized appreciation (depreciation) on derivatives recognized in income | ||||||
| Risk exposure category | Forward foreign currency exchange contracts ($) | Futures contracts ($) | Options contracts written ($) | Options contracts purchased ($) | Swap contracts ($) | Total ($) |
| Credit risk | — | — | — | — | (175,527) | (175,527) |
| Foreign exchange risk | 48,562 | — | — | — | — | 48,562 |
| Interest rate risk | — | (25,574,488) | 11,923,709 | (10,192,285) | (745,152) | (24,588,216) |
| Total | 48,562 | (25,574,488) | 11,923,709 | (10,192,285) | (920,679) | (24,715,181) |
The following table is a summary
of the average outstanding volume by derivative instrument for the six months ended October 31, 2020:
| Derivative instrument | Average notional amounts ($)* |
| Futures contracts — long | 476,511,741 |
| Futures contracts — short | 137,068,185 |
| Credit default swap contracts — buy protection | 10,700,000 |
| Credit default swap contracts — sell protection | 163,765,360 |
| Derivative instrument | Average value ($)* |
| Options contracts — purchased | 2,533,445 |
| Derivative instrument | Average unrealized appreciation ($)* | Average unrealized depreciation ($)* |
| Forward foreign currency exchange contracts | 28,275 | (100,780) |
| * | Based on the ending quarterly outstanding amounts for the six months ended October 31, 2020. |
Investments in senior loans
The Fund may invest in senior loan
assignments. When the Fund purchases an assignment of a senior loan, the Fund typically has direct rights against the borrower; provided, however, that the Fund’s rights may be more limited than the lender from
which it acquired the assignment and the Fund may be able to enforce its rights only through an administrative agent. Although certain senior loan assignments are secured by collateral, the Fund could experience
delays or limitations in realizing such collateral or have its interest subordinated to other indebtedness of the obligor. In the event that the administrator or collateral agent of a loan becomes insolvent or enters
into receivership or bankruptcy, the Fund may incur costs and delays in realizing payment or may suffer a loss of principal and/or interest. The risk of loss is greater for
| Columbia Total Return Bond Fund | Semiannual Report 2020 | 57 |
Notes to Financial Statements (continued)
October 31, 2020 (Unaudited)
October 31, 2020 (Unaudited)
unsecured or subordinated loans. In addition,
senior loan assignments are vulnerable to market, economic or other conditions or events that may reduce the demand for senior loan assignments and certain senior loan assignments which were liquid when purchased, may
become illiquid.
The Fund may enter into senior loan
assignments where all or a portion of the loan may be unfunded. The Fund is obligated to fund these commitments at the borrower’s discretion. These commitments, if any, are generally traded and priced in the
same manner as other senior loan securities and are disclosed as unfunded senior loan commitments in the Fund’s Portfolio of Investments with a corresponding payable for investments purchased. The Fund
designates cash or liquid securities to cover these commitments.
Asset- and mortgage-backed
securities
The Fund may invest in asset-backed
and mortgage-backed securities. The maturity dates shown represent the original maturity of the underlying obligation. Actual maturity may vary based upon prepayment activity on these obligations. All, or a portion,
of the obligation may be prepaid at any time because the underlying asset may be prepaid. As a result, decreasing market interest rates could result in an increased level of prepayment. An increased prepayment rate
will have the effect of shortening the maturity of the security. Unless otherwise noted, the coupon rates presented are fixed rates.
Delayed delivery securities
The Fund may trade securities on
other than normal settlement terms, including securities purchased or sold on a “when-issued” or "forward commitment" basis. This may increase risk to the Fund since the other party to the transaction may
fail to deliver, which could cause the Fund to subsequently invest at less advantageous prices. The Fund designates cash or liquid securities in an amount equal to the delayed delivery commitment.
To be announced securities
The Fund may trade securities on a
To Be Announced (TBA) basis. As with other delayed-delivery transactions, a seller agrees to issue a TBA security at a future date. However, the seller does not specify the particular securities to be delivered.
Instead, the Fund agrees to accept any security that meets specified terms.
In some cases, Master Securities
Forward Transaction Agreements (MSFTAs) may be used to govern transactions of certain forward-settling agency mortgage-backed securities, such as delayed-delivery and TBAs, between the Fund and counterparty. The MSFTA
maintains provisions for, among other things, initiation and confirmation, payment and transfer, events of default, termination, and maintenance of collateral relating to such transactions.
Mortgage dollar roll transactions
The Fund may enter into mortgage
“dollar rolls” in which the Fund sells securities for delivery in the current month and simultaneously contracts with the same counterparty to repurchase similar but not identical securities (same type,
coupon and maturity) on a specified future date. During the roll period, the Fund loses the right to receive principal and interest paid on the securities sold. However, the Fund will benefit because it receives
negotiated amounts in the form of reductions of the purchase price for the future purchase plus the interest earned on the cash proceeds of the securities sold until the settlement date of the forward purchase. The
Fund records the incremental difference between the forward purchase and sale of each forward roll as a realized gain or loss. Unless any realized gains exceed the income, capital appreciation, and gain or loss due to
mortgage prepayments that would have been realized on the securities sold as part of the mortgage dollar roll, the use of this technique will diminish the investment performance of the Fund compared to what the
performance would have been without the use of mortgage dollar rolls. All cash proceeds will be invested in instruments that are permissible investments for the Fund. The Fund identifies cash or liquid securities in
an amount equal to the forward purchase price.
For financial reporting and tax
purposes, the Fund treats “to be announced” mortgage dollar rolls as two separate transactions, one involving the purchase of a security and a separate transaction involving a sale. These transactions may
increase the Fund’s portfolio turnover rate. The Fund does not currently enter into mortgage dollar rolls that are accounted for as financing transactions.
Mortgage dollar rolls involve the
risk that the market value of the securities the Fund is obligated to repurchase may decline below the repurchase price, or that the counterparty may default on its obligations.
| 58 | Columbia Total Return Bond Fund | Semiannual Report 2020 |
Notes to Financial Statements (continued)
October 31, 2020 (Unaudited)
October 31, 2020 (Unaudited)
Interest only and principal only
securities
The Fund may invest in Interest
Only (IO) or Principal Only (PO) securities. IOs are stripped securities entitled to receive all of the security’s interest, but none of its principal. IOs are particularly sensitive to changes in interest rates
and therefore subject to greater fluctuations in price than typical interest bearing debt securities. IOs are also subject to credit risk because the Fund may not receive all or part of the interest payments if the
issuer, obligor, guarantor or counterparty defaults on its obligation. Payments received for IOs are included in interest income on the Statement of Operations. Because no principal will be received at the maturity of
an IO, adjustments are made to the cost of the security on a monthly basis until maturity. These adjustments are included in interest income on the Statement of Operations. POs are stripped securities entitled to
receive the principal from the underlying obligation, but not the interest. POs are particularly sensitive to changes in interest rates and therefore are subject to fluctuations in price. POs are also subject to
credit risk because the Fund may not receive all or part of its principal if the issuer, obligor, guarantor or counterparty defaults on its obligation. The Fund may also invest in IO or PO stripped mortgage-backed
securities. Payments received for POs are treated as reductions to the cost and par value of the securities.
Offsetting of assets and
liabilities
The following table presents the
Fund’s gross and net amount of assets and liabilities available for offset under netting arrangements as well as any related collateral received or pledged by the Fund as of October 31, 2020:
| Citi ($)(a) | Citi ($)(a) | JPMorgan ($) | Morgan Stanley ($)(a) | Morgan Stanley ($)(a) | UBS ($) | Total ($) | |
| Assets | |||||||
| Forward foreign currency exchange contracts | - | - | - | - | - | 56,549 | 56,549 |
| Options purchased puts | 3,255,042 | - | - | 1,327,632 | - | - | 4,582,674 |
| OTC credit default swap contracts (b) | - | 321,143 | 2,179,839 | 229,187 | - | - | 2,730,169 |
| Total assets | 3,255,042 | 321,143 | 2,179,839 | 1,556,819 | - | 56,549 | 7,369,392 |
| Liabilities | |||||||
| Centrally cleared credit default swap contracts (c) | - | - | - | - | 107,294 | - | 107,294 |
| OTC credit default swap contracts (b) | - | 2,926,275 | 8,910,262 | 6,491,194 | - | - | 18,327,731 |
| Total liabilities | - | 2,926,275 | 8,910,262 | 6,491,194 | 107,294 | - | 18,435,025 |
| Total financial and derivative net assets | 3,255,042 | (2,605,132) | (6,730,423) | (4,934,375) | (107,294) | 56,549 | (11,065,633) |
| Total collateral received (pledged) (d) | 2,908,000 | (2,480,000) | (5,330,000) | (3,633,000) | (107,294) | - | (8,642,294) |
| Net amount (e) | 347,042 | (125,132) | (1,400,423) | (1,301,375) | - | 56,549 | (2,423,339) |
| (a) | Exposure can only be netted across transactions governed under the same master agreement with the same legal entity. |
| (b) | Over-the-Counter (OTC) swap contracts are presented at market value plus periodic payments receivable (payable), which is comprised of unrealized appreciation, unrealized depreciation, upfront payments and upfront receipts. |
| (c) | Centrally cleared swaps are included within payable/receivable for variation margin on the Statement of Assets and Liabilities. |
| (d) | In some instances, the actual collateral received and/or pledged may be more than the amount shown due to overcollateralization. |
| (e) | Represents the net amount due from/(to) counterparties in the event of default. |
Security transactions
Security transactions are accounted
for on the trade date. Cost is determined and gains (losses) are based upon the specific identification method for both financial statement and federal income tax purposes.
The trade date for senior loans
purchased in the primary market is the date on which the loan is allocated. The trade date for senior loans purchased in the secondary market is the date on which the transaction is entered into.
Income recognition
Interest income is recorded on an
accrual basis. Market premiums and discounts, including original issue discounts, are amortized and accreted, respectively, over the expected life of the security on all debt securities, unless otherwise noted. The
Fund classifies gains and losses realized on prepayments received on mortgage-backed securities as adjustments to interest income.
| Columbia Total Return Bond Fund | Semiannual Report 2020 | 59 |
Notes to Financial Statements (continued)
October 31, 2020 (Unaudited)
October 31, 2020 (Unaudited)
The Fund may place a debt security
on non-accrual status and reduce related interest income when it becomes probable that the interest will not be collected and the amount of uncollectible interest can be reasonably estimated. A defaulted debt security
is removed from non-accrual status when the issuer resumes interest payments or when collectibility of interest is reasonably assured.
Corporate actions and dividend
income are recorded on the ex-dividend date.
The Fund may receive distributions
from holdings in equity securities, business development companies (BDCs), exchange-traded funds (ETFs), limited partnerships (LPs), other regulated investment companies (RICs), and real estate investment trusts
(REITs), which report information as to the tax character of their distributions annually. These distributions are allocated to dividend income, capital gain and return of capital based on actual information reported.
Return of capital is recorded as a reduction of the cost basis of securities held. If the Fund no longer owns the applicable securities, return of capital is recorded as a realized gain. With respect to REITs, to the
extent actual information has not yet been reported, estimates for return of capital are made by Columbia Management Investment Advisers, LLC (the Investment Manager), a wholly-owned subsidiary of Ameriprise
Financial, Inc. (Ameriprise Financial). The Investment Manager’s estimates are subsequently adjusted when the actual character of the distributions is disclosed by the REITs, which could result in a
proportionate change in return of capital to shareholders.
Awards from class action litigation
are recorded as a reduction of cost basis if the Fund still owns the applicable securities on the payment date. If the Fund no longer owns the applicable securities on the payment date, the proceeds are recorded as
realized gains.
The value of additional securities
received as an income payment through a payment in kind, if any, is recorded as interest income and increases the cost basis of such securities.
The Fund may receive other income
from senior loans, including amendment fees, consent fees and commitment fees. These fees are recorded as income when received by the Fund. These amounts are included in Interest Income in the Statement of
Operations.
Expenses
General expenses of the Trust are
allocated to the Fund and other funds of the Trust based upon relative net assets or other expense allocation methodologies determined by the nature of the expense. Expenses directly attributable to the Fund are
charged to the Fund. Expenses directly attributable to a specific class of shares are charged to that share class.
Determination of class net asset
value
All income, expenses (other than
class-specific expenses, which are charged to that share class, as shown in the Statement of Operations) and realized and unrealized gains (losses) are allocated to each class of the Fund on a daily basis, based on
the relative net assets of each class, for purposes of determining the net asset value of each class.
Federal income tax status
The Fund intends to qualify each
year as a regulated investment company under Subchapter M of the Internal Revenue Code, as amended, and will distribute substantially all of its investment company taxable income and net capital gain, if any, for its
tax year, and as such will not be subject to federal income taxes. In addition, the Fund intends to distribute in each calendar year substantially all of its ordinary income, capital gain net income and certain other
amounts, if any, such that the Fund should not be subject to federal excise tax. Therefore, no federal income or excise tax provision is recorded.
Foreign taxes
The Fund may be subject to foreign
taxes on income, gains on investments or currency repatriation, a portion of which may be recoverable. The Fund will accrue such taxes and recoveries, as applicable, based upon its current interpretation of tax rules
and regulations that exist in the markets in which it invests.
| 60 | Columbia Total Return Bond Fund | Semiannual Report 2020 |
Notes to Financial Statements (continued)
October 31, 2020 (Unaudited)
October 31, 2020 (Unaudited)
Realized gains in certain countries
may be subject to foreign taxes at the Fund level, based on statutory rates. The Fund accrues for such foreign taxes on realized and unrealized gains at the appropriate rate for each jurisdiction, as applicable. The
amount, if any, is disclosed as a liability on the Statement of Assets and Liabilities.
Distributions to shareholders
Distributions from net investment
income, if any, are declared daily and paid monthly. Net realized capital gains, if any, are distributed at least annually. Income distributions and capital gain distributions are determined in accordance with federal
income tax regulations, which may differ from GAAP.
Guarantees and indemnifications
Under the Trust’s
organizational documents and, in some cases, by contract, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Trust or its funds. In addition,
certain of the Fund’s contracts with its service providers contain general indemnification clauses. The Fund’s maximum exposure under these arrangements is unknown since the amount of any future claims
that may be made against the Fund cannot be determined, and the Fund has no historical basis for predicting the likelihood of any such claims.
Recent accounting pronouncement
Accounting Standards Update 2020-04
Reference Rate Reform
In March 2020, the Financial
Accounting Standards Board issued Accounting Standards Update (ASU) No. 2020-04 Reference Rate Reform – Facilitation of the Effects of Reference Rate Reform on Financial Statements. This standard provides
exceptions for applying GAAP to contract modifications, hedging relationships and other transactions affected by reference rate reform if certain criteria are met. The standard is elective and effective on March 12,
2020 through December 31, 2022. The Fund expects that the adoption of the guidance will not have a material impact on its financial statements.
Note 3. Fees and other
transactions with affiliates
Management services fees
The Fund has entered into a
Management Agreement with Columbia Management Investment Advisers, LLC (the Investment Manager), a wholly-owned subsidiary of Ameriprise Financial, Inc. (Ameriprise Financial). Under the Management Agreement, the
Investment Manager provides the Fund with investment research and advice, as well as administrative and accounting services. The management services fee is an annual fee that is equal to a percentage of the
Fund’s daily net assets that declines from 0.50% to 0.34% as the Fund’s net assets increase. The annualized effective management services fee rate for the six months ended October 31, 2020 was 0.48% of the
Fund’s average daily net assets.
Compensation of board members
Members of the Board of Trustees
who are not officers or employees of the Investment Manager or Ameriprise Financial are compensated for their services to the Fund as disclosed in the Statement of Operations. These members of the Board of Trustees
may participate in a Deferred Compensation Plan (the Deferred Plan) which may be terminated at any time. Obligations of the Deferred Plan will be paid solely out of the Fund’s assets, and all amounts payable
under the Deferred Plan constitute a general unsecured obligation of the Fund.
Compensation of Chief Compliance
Officer
The Board of Trustees has appointed
a Chief Compliance Officer for the Fund in accordance with federal securities regulations. As disclosed in the Statement of Operations, a portion of the Chief Compliance Officer’s total compensation is allocated
to the Fund, along with other allocations to affiliated registered investment companies managed by the Investment Manager and its affiliates, based on relative net assets.
| Columbia Total Return Bond Fund | Semiannual Report 2020 | 61 |
Notes to Financial Statements (continued)
October 31, 2020 (Unaudited)
October 31, 2020 (Unaudited)
Transfer agency fees
Under a Transfer and Dividend
Disbursing Agent Agreement, Columbia Management Investment Services Corp. (the Transfer Agent), an affiliate of the Investment Manager and a wholly-owned subsidiary of Ameriprise Financial, is responsible for
providing transfer agency services to the Fund. The Transfer Agent has contracted with DST Asset Manager Solutions, Inc. (DST) to serve as sub-transfer agent. The Transfer Agent pays the fees of DST for services as
sub-transfer agent and DST is not entitled to reimbursement for such fees from the Fund (with the exception of out-of-pocket fees).
The Fund pays the Transfer Agent a
monthly transfer agency fee based on the number or the average value of accounts, depending on the type of account. In addition, the Fund pays the Transfer Agent a fee for shareholder services based on the number of
accounts or on a percentage of the average aggregate value of the Fund’s shares maintained in omnibus accounts up to the lesser of the amount charged by the financial intermediary or a cap established by the
Board of Trustees from time to time.
The Transfer Agent also receives
compensation from the Fund for various shareholder services and reimbursements for certain out-of-pocket fees. Total transfer agency fees for Institutional 2 Class and Institutional 3 Class shares are subject to an
annual limitation of not more than 0.07% and 0.02%, respectively, of the average daily net assets attributable to each share class. In addition, effective September 1, 2020 through August 31, 2021, Institutional 2
Class shares are subject to a contractual transfer agency fee annual limitation of not more than 0.05% and Institutional 3 Class shares are subject to a contractual transfer agency fee annual limitation of not more
than 0.00% of the average daily net assets attributable to each share class.
For the six months ended October
31, 2020, the Fund’s annualized effective transfer agency fee rates as a percentage of average daily net assets of each class were as follows:
| Effective rate (%) | |
| Class A | 0.12 |
| Advisor Class | 0.12 |
| Class C | 0.12 |
| Institutional Class | 0.12 |
| Institutional 2 Class | 0.06 |
| Institutional 3 Class | 0.01 |
| Class R | 0.12 |
An annual minimum account balance
fee of $20 may apply to certain accounts with a value below the applicable share class’s initial minimum investment requirements to reduce the impact of small accounts on transfer agency fees. These minimum
account balance fees are remitted to the Fund and recorded as part of expense reductions in the Statement of Operations. For the six months ended October 31, 2020, these minimum account balance fees reduced total
expenses of the Fund by $1,460.
Distribution and service fees
The Fund has entered into an
agreement with Columbia Management Investment Distributors, Inc. (the Distributor), an affiliate of the Investment Manager and a wholly-owned subsidiary of Ameriprise Financial, for distribution and shareholder
services. The Board of Trustees has approved, and the Fund has adopted, distribution and shareholder service plans (the Plans) applicable to certain share classes, which set the distribution and service fees for the
Fund. These fees are calculated daily and are intended to compensate the Distributor and/or eligible selling and/or servicing agents for selling shares of the Fund and providing services to investors.
Under the Plans, the Fund pays a
monthly service fee to the Distributor at the maximum annual rate of 0.25% of the average daily net assets attributable to Class A and Class C shares of the Fund. Also under the Plans, the Fund pays a
monthly distribution fee to the Distributor at the maximum annual rates of 0.10%, 0.75% and 0.50% of the average daily net assets attributable to Class A, Class C and Class R shares of the Fund,
respectively.
| 62 | Columbia Total Return Bond Fund | Semiannual Report 2020 |
Notes to Financial Statements (continued)
October 31, 2020 (Unaudited)
October 31, 2020 (Unaudited)
Although the Fund may pay
distribution and service fees up to a maximum annual rate of 0.35% of the Fund’s average daily net assets attributable to Class A shares (comprised of up to 0.10% for distribution services and up to 0.25% for
shareholder services), the Fund currently limits such fees to an aggregate fee of not more than 0.25% of the Fund’s average daily net assets attributable to Class A shares.
Sales charges
Sales charges, including front-end
charges and contingent deferred sales charges (CDSCs), received by the Distributor for distributing Fund shares for the six months ended October 31, 2020, if any, are listed below:
| Front End (%) | CDSC (%) | Amount ($) | |
| Class A | 3.00 | 0.50 - 1.00(a) | 275,914 |
| Class C | — | 1.00(b) | 286 |
| (a) | This charge is imposed on certain investments of between $1 million and $50 million redeemed within 18 months after purchase, as follows: 1.00% if redeemed within 12 months after purchase, and 0.50% if redeemed more than 12, but less than 18, months after purchase, with certain limited exceptions. |
| (b) | This charge applies to redemptions within 12 months after purchase, with certain limited exceptions. |
The Fund’s other share
classes are not subject to sales charges.
Expenses waived/reimbursed by the
Investment Manager and its affiliates
The Investment Manager and certain
of its affiliates have contractually agreed to waive fees and/or reimburse expenses (excluding certain fees and expenses described below) for the period(s) disclosed below, unless sooner terminated at the sole
discretion of the Board of Trustees, so that the Fund’s net operating expenses, after giving effect to fees waived/expenses reimbursed and any balance credits and/or overdraft charges from the Fund’s
custodian, do not exceed the following annual rate(s) as a percentage of the class’ average daily net assets:
| September 1, 2020 through August 31, 2021 | Prior to September 1, 2020 | |
| Class A | 0.75% | 0.75% |
| Advisor Class | 0.50 | 0.50 |
| Class C | 1.50 | 1.50 |
| Institutional Class | 0.50 | 0.50 |
| Institutional 2 Class | 0.43 | 0.42 |
| Institutional 3 Class | 0.38 | 0.37 |
| Class R | 1.00 | 1.00 |
Under the agreement governing
these fee waivers and/or expense reimbursement arrangements, the following fees and expenses are excluded from the waiver/reimbursement commitment, and therefore will be paid by the Fund, if applicable: taxes
(including foreign transaction taxes), expenses associated with investments in affiliated and non-affiliated pooled investment vehicles (including mutual funds and exchange-traded funds), transaction costs and
brokerage commissions, costs related to any securities lending program, dividend expenses associated with securities sold short, inverse floater program fees and expenses, transaction charges and interest on borrowed
money, interest, infrequent and/or unusual expenses and any other expenses the exclusion of which is specifically approved by the Board of Trustees. This agreement may be modified or amended only with approval from
the Investment Manager, certain of its affiliates and the Fund. In addition to the contractual agreement, the Investment Manager and certain of its affiliates have voluntarily agreed to waive fees and/or reimburse
Fund expenses (excluding certain fees and expenses described above) so that Fund level expenses (expenses directly attributable to the Fund and not to a specific share class) are waived proportionately across all
share classes. This arrangement may be revised or discontinued at any time. Reflected in the contractual cap commitment, effective September 1, 2020 through August 31, 2021, is the Transfer Agent’s contractual
agreement to limit total transfer agency fees to an annual rate of not more than 0.05% for Institutional 2 Class and 0.00% for Institutional 3 Class of the average daily net assets attributable to each share class,
unless sooner terminated at the sole discretion of the Board of Trustees. Any fees waived and/or expenses reimbursed under the expense reimbursement arrangements described above are not recoverable by the Investment
Manager or its affiliates in future periods.
| Columbia Total Return Bond Fund | Semiannual Report 2020 | 63 |
Notes to Financial Statements (continued)
October 31, 2020 (Unaudited)
October 31, 2020 (Unaudited)
Note 4. Federal tax
information
The timing and character of
income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP because of temporary or permanent book to tax differences.
At October 31, 2020, the
approximate cost of all investments for federal income tax purposes and the aggregate gross approximate unrealized appreciation and depreciation based on that cost was:
| Federal tax cost ($) | Gross unrealized appreciation ($) | Gross unrealized (depreciation) ($) | Net unrealized appreciation ($) |
| 3,043,490,000 | 107,644,000 | (68,112,000) | 39,532,000 |
Tax cost of investments and
unrealized appreciation/(depreciation) may also include timing differences that do not constitute adjustments to tax basis.
Management of the Fund has
concluded that there are no significant uncertain tax positions in the Fund that would require recognition in the financial statements. However, management’s conclusion may be subject to review and adjustment at
a later date based on factors including, but not limited to, new tax laws, regulations, and administrative interpretations (including relevant court decisions). Generally, the Fund’s federal tax returns for the
prior three fiscal years remain subject to examination by the Internal Revenue Service.
Note 5. Portfolio
information
The cost of purchases and
proceeds from sales of securities, excluding short-term investments and derivatives, if any, aggregated to $5,093,760,553 and $4,782,281,109, respectively, for the six months ended October 31, 2020, of which
$4,187,003,386 and $4,128,790,328, respectively, were U.S. government securities. The amount of purchase and sale activity impacts the portfolio turnover rate reported in the Financial Highlights.
Note 6. Affiliated money
market fund
The Fund invests in Columbia
Short-Term Cash Fund, an affiliated money market fund established for the exclusive use by the Fund and other affiliated funds (the Affiliated MMF). The income earned by the Fund from such investments is included as
Dividends - affiliated issuers in the Statement of Operations. As an investing fund, the Fund indirectly bears its proportionate share of the expenses of the Affiliated MMF. The Affiliated MMF prices its shares with a
floating net asset value. In addition, the Board of Trustees of the Affiliated MMF may impose a fee on redemptions (sometimes referred to as a liquidity fee) or temporarily suspend redemptions (sometimes referred to
as imposing a redemption gate) in the event its liquidity falls below regulatory limits.
Note 7. Interfund
lending
Pursuant to an exemptive order
granted by the Securities and Exchange Commission, the Fund participates in a program (the Interfund Program) allowing each participating Columbia Fund (each, a Participating Fund) to lend money directly to and,
except for closed-end funds and money market funds, borrow money directly from other Participating Funds for temporary purposes. The amounts eligible for borrowing and lending under the Interfund Program are subject
to certain restrictions.
Interfund loans are subject to the
risk that the borrowing fund could be unable to repay the loan when due, and a delay in repayment to the lending fund could result in lost opportunities and/or additional lending costs. The exemptive order is subject
to conditions intended to mitigate conflicts of interest arising from the Investment Manager’s relationship with each Participating Fund.
The Fund did not borrow or lend
money under the Interfund Program during the six months ended October 31, 2020.
Note 8. Line of credit
The Fund has access to a
revolving credit facility with a syndicate of banks led by Citibank, N.A., Wells Fargo Bank, N.A. and JPMorgan Chase Bank, N.A. whereby the Fund may borrow for the temporary funding of shareholder redemptions or for
other temporary or emergency purposes. Pursuant to a December 1, 2020 amendment, the credit facility, which is a collective
| 64 | Columbia Total Return Bond Fund | Semiannual Report 2020 |
Notes to Financial Statements (continued)
October 31, 2020 (Unaudited)
October 31, 2020 (Unaudited)
agreement between the Fund and certain other funds
managed by the Investment Manager or an affiliated investment manager, severally and not jointly, permits collective borrowings up to $950 million. Interest is charged to each participating fund based on its
borrowings at a rate equal to the higher of (i) the federal funds effective rate, (ii) the one-month LIBOR rate and (iii) the overnight bank funding rate, plus in each case, 1.25%. Each borrowing under the credit
facility matures no later than 60 days after the date of borrowing. The Fund also pays a commitment fee equal to its pro rata share of the unused amount of the credit facility at a rate of 0.15% per annum. The
commitment fee is included in other expenses in the Statement of Operations. This agreement expires annually in December unless extended or renewed. Prior to the December 1, 2020 amendment, the Fund has access to a
revolving credit facility with a syndicate of banks led by Citibank, N.A., HSBC Bank USA, N.A. and JPMorgan Chase Bank, N.A. which permitted collective borrowings up to 1 billion. Interest was charged to each
participating fund based on its borrowings at a rate equal to the higher of (i) the federal funds effective rate, (ii) the one-month LIBOR rate and (iii) the overnight bank funding rate, plus in each case, 1.00%.
The Fund had no borrowings during
the six months ended October 31, 2020.
Note 9. Significant
risks
Credit risk
Credit risk is the risk that the
value of debt instruments in the Fund’s portfolio may decline because the issuer defaults or otherwise becomes unable or unwilling, or is perceived to be unable or unwilling, to honor its financial obligations,
such as making payments to the Fund when due. Credit rating agencies assign credit ratings to certain debt instruments to indicate their credit risk. Lower rated or unrated debt instruments held by the Fund may
present increased credit risk as compared to higher-rated debt instruments.
High-yield investments risk
Securities and other debt
instruments held by the Fund that are rated below investment grade (commonly called "high-yield" or "junk" bonds) and unrated debt instruments of comparable quality expose the Fund to a greater risk of loss of
principal and income than a fund that invests solely or primarily in investment grade debt instruments. In addition, these investments have greater price fluctuations, are less liquid and are more likely to experience
a default than higher-rated debt instruments. High-yield debt instruments are considered to be predominantly speculative with respect to the issuer’s capacity to pay interest and repay principal.
Interest rate risk
Interest rate risk is the risk of
losses attributable to changes in interest rates. In general, if prevailing interest rates rise, the values of debt securities tend to fall, and if interest rates fall, the values of debt securities tend to rise.
Actions by governments and central banking authorities can result in increases in interest rates. Increasing interest rates may negatively affect the value of debt securities held by the Fund, resulting in a negative
impact on the Fund’s performance and net asset value per share. In general, the longer the maturity or duration of a debt security, the greater its sensitivity to changes in interest rates. The Fund is subject
to the risk that the income generated by its investments may not keep pace with inflation.
LIBOR replacement risk
The elimination of London
Inter-Bank Offered Rate (LIBOR), among other "inter-bank offered" reference rates, may adversely affect the interest rates on, and value of, certain Fund investments for which the value is tied to LIBOR. The U.K.
Financial Conduct Authority has announced that it intends to stop compelling or inducing banks to submit LIBOR rates after 2021. However, it remains unclear if LIBOR will continue to exist in its current, or a
modified, form. Alternatives to LIBOR have been established or are in development in most major currencies including the Secured Overnight Financing Rate (SOFR) that is intended to replace U.S. dollar LIBOR. Markets
are slowly developing in response to these new reference rates. Uncertainty related to the liquidity impact of the change in rates, and how to appropriately adjust these rates at the time of transition, poses risks
for the Fund. These risks are likely to persist until new reference rates and fallbacks for both legacy and new instruments and contracts are commercially accepted and market practices become settled.
| Columbia Total Return Bond Fund | Semiannual Report 2020 | 65 |
Notes to Financial Statements (continued)
October 31, 2020 (Unaudited)
October 31, 2020 (Unaudited)
Liquidity risk
Liquidity risk is the risk
associated with a lack of marketability of investments which may make it difficult to sell the investment at a desirable time or price. Changing regulatory, market or other conditions or environments (for example, the
interest rate or credit environments) may adversely affect the liquidity of the Fund’s investments. The Fund may have to accept a lower selling price for the holding, sell other investments, or forego another,
more appealing investment opportunity. Generally, the less liquid the market at the time the Fund sells a portfolio investment, the greater the risk of loss or decline of value to the Fund. A less liquid market can
lead to an increase in Fund redemptions, which may negatively impact Fund performance and net asset value per share, including, for example, if the Fund is forced to sell securities in a down market.
Market and environment risk
The Fund may incur losses due to
declines in the value of one or more securities in which it invests. These declines may be due to factors affecting a particular issuer, or the result of, among other things, political, regulatory, market, economic or
social developments affecting the relevant market(s) more generally. In addition, turbulence in financial markets and reduced liquidity in equity, credit and/or fixed income markets may negatively affect many issuers,
which could adversely affect the Fund, including causing difficulty in assigning prices to hard-to-value assets in thinly traded and closed markets, significant redemptions and operational challenges. Global economies
and financial markets are increasingly interconnected, and conditions and events in one country, region or financial market may adversely impact issuers in a different country, region or financial market. These risks
may be magnified if certain events or developments adversely interrupt the global supply chain; in these and other circumstances, such risks might affect companies worldwide. As a result, local, regional or global
events such as terrorism, war, natural disasters, disease/virus outbreaks and epidemics or other public health issues, recessions, depressions or other events – or the potential for such events – could
have a significant negative impact on global economic and market conditions.
The Fund performance may also be
significantly negatively impacted by the economic impact of the coronavirus disease 2019 (COVID-19) pandemic. The COVID-19 public health crisis has become a pandemic that has resulted in, and may continue to result
in, significant global economic and societal disruption and market volatility due to disruptions in market access, resource availability, facilities operations, imposition of tariffs, export controls and supply chain
disruption, among others. Such disruptions may be caused, or exacerbated by, quarantines and travel restrictions, workforce displacement and loss in human and other resources. The uncertainty surrounding the
magnitude, duration, reach, costs and effects of the global pandemic, as well as actions that have been or could be taken by governmental authorities or other third parties, present unknowns that are yet to unfold.
The impacts, as well as the uncertainty over impacts to come, of COVID-19 – and any other infectious illness outbreaks, epidemics and pandemics that may arise in the future – could negatively affect global
economies and markets in ways that cannot necessarily be foreseen. In addition, the impact of infectious illness outbreaks and epidemics in emerging market countries may be greater due to generally less established
healthcare systems, governments and financial markets. Public health crises caused by the COVID-19 outbreak may exacerbate other pre-existing political, social and economic risks in certain countries or globally. The
disruptions caused by COVID-19 could prevent the Fund from executing advantageous investment decisions in a timely manner and negatively impact the Fund’s ability to achieve its investment objectives. Any such
event(s) could have a significant adverse impact on the value and risk profile of the Fund.
The Investment Manager and its
affiliates have systematically implemented strategies to address the operating environment spurred by the COVID-19 pandemic. To promote the safety and security of our employees and to assure the continuity of our
business operations, we have implemented a work from home protocol for virtually all of our employee population, restricted business travel, and provided resources for complying with the guidance from the World Health
Organization, the U.S. Centers for Disease Control and governments. Our operations teams seek to operate without significant disruptions in service. Our pandemic strategy takes into consideration that a pandemic could
be widespread and may occur in multiple waves, affecting different communities at different times with varying levels of severity. We cannot, however, predict the impact that natural or man-made disasters, including
the COVID-19 pandemic, may have on the ability of our employees and third-party service providers to continue ordinary business operations and technology functions over near- or longer-term periods.
| 66 | Columbia Total Return Bond Fund | Semiannual Report 2020 |
Notes to Financial Statements (continued)
October 31, 2020 (Unaudited)
October 31, 2020 (Unaudited)
Mortgage- and other asset-backed
securities risk
The value of any mortgage-backed
and other asset-backed securities including collateralized debt obligations, if any, held by the Fund may be affected by, among other things, changes or perceived changes in: interest rates; factors concerning the
interests in and structure of the issuer or the originator of the mortgages or other assets; the creditworthiness of the entities that provide any supporting letters of credit, surety bonds or other credit enhancements;
or the market’s assessment of the quality of underlying assets. Payment of principal and interest on some mortgage-backed securities (but not the market value of the securities themselves) may be guaranteed by
the full faith and credit of a particular U.S. Government agency, authority, enterprise or instrumentality, and some, but not all, are also insured or guaranteed by the U.S. Government. Mortgage-backed securities
issued by non-governmental issuers (such as commercial banks, savings and loan institutions, private mortgage insurance companies, mortgage bankers and other secondary market issuers) may entail greater risk than
obligations guaranteed by the U.S. Government. Mortgage- and other asset-backed securities are subject to liquidity risk and prepayment risk. A decline or flattening of housing values may cause delinquencies in
mortgages (especially sub-prime or non-prime mortgages) underlying mortgage-backed securities and thereby adversely affect the ability of the mortgage-backed securities issuer to make principal and/or interest
payments to mortgage-backed securities holders, including the Fund. Rising or high interest rates tend to extend the duration of mortgage- and other asset-backed securities, making their prices more volatile and more
sensitive to changes in interest rates.
Shareholder concentration risk
At October 31, 2020, one
unaffiliated shareholder of record owned 12.0% of the outstanding shares of the Fund in one or more accounts. The Fund has no knowledge about whether any portion of those shares was owned beneficially. Affiliated
shareholders of record owned 59.0% of the outstanding shares of the Fund in one or more accounts. Subscription and redemption activity by concentrated accounts may have a significant effect on the operations of the
Fund. In the case of a large redemption, the Fund may be forced to sell investments at inopportune times, including its liquid positions, which may result in Fund losses and the Fund holding a higher percentage of
less liquid positions. Large redemptions could result in decreased economies of scale and increased operating expenses for non-redeeming Fund shareholders.
Note 10. Subsequent
events
Management has evaluated the
events and transactions that have occurred through the date the financial statements were issued and noted no items requiring adjustment of the financial statements or additional disclosure.
Note 11. Information
regarding pending and settled legal proceedings
Ameriprise Financial and certain
of its affiliates have historically been involved in a number of legal, arbitration and regulatory proceedings, including routine litigation, class actions, and governmental actions, concerning matters arising in
connection with the conduct of their business activities. Ameriprise Financial believes that the Fund is not currently the subject of, and that neither Ameriprise Financial nor any of its affiliates are the subject
of, any pending legal, arbitration or regulatory proceedings that are likely to have a material adverse effect on the Fund or the ability of Ameriprise Financial or its affiliates to perform under their contracts with
the Fund. Ameriprise Financial is required to make quarterly (10-Q), annual (10-K) and, as necessary, 8-K filings with the Securities and Exchange Commission (SEC) on legal and regulatory matters that relate to
Ameriprise Financial and its affiliates. Copies of these filings may be obtained by accessing the SEC website at www.sec.gov.
There can be no assurance that
these matters, or the adverse publicity associated with them, will not result in increased Fund redemptions, reduced sale of Fund shares or other adverse consequences to the Fund. Further, although we believe
proceedings are not likely to have a material adverse effect on the Fund or the ability of Ameriprise Financial or its affiliates to perform under their contracts with the Fund, these proceedings are subject to
uncertainties and, as such, we are unable to estimate the possible loss or range of loss that may result. An adverse outcome in one or more of these proceedings could result in adverse judgments, settlements, fines,
penalties or other relief that could have a material adverse effect on the consolidated financial condition or results of operations of Ameriprise Financial or one or more of its affiliates that provides services to
the Funds.
| Columbia Total Return Bond Fund | Semiannual Report 2020 | 67 |
Board Consideration
and Approval of ManagementAgreement
On June 17, 2020, the Board of
Trustees (the Board) and the Trustees who are not interested persons (as defined in the Investment Company Act of 1940) (the Independent Trustees) of Columbia Funds Series Trust I (the Trust) unanimously approved the
continuation of the Management Agreement (the Management Agreement) with Columbia Management Investment Advisers, LLC (the Investment Manager) with respect to Columbia Total Return Bond Fund (the Fund), a series of
the Trust. As detailed below, the Board’s Advisory Fees and Expenses Committee (the Committee) and the Board met on multiple occasions to review and discuss, among themselves, with the management team of the
Investment Manager and with an independent fee consultant, materials provided by the Investment Manager, the independent fee consultant and others before determining to approve the continuation of the Management
Agreement.
In connection with their
deliberations regarding the continuation of the Management Agreement, the Committee and the Board evaluated materials requested from the Investment Manager regarding the Fund and the Management Agreement, and
discussed these materials with representatives of the Investment Manager at Committee meetings held on March 10, 2020, April 30, 2020 and June 17, 2020 and at Board meetings held on March 11, 2020 and June 17, 2020.
In addition, the Board and its various committees consider matters bearing on the Management Agreement at other meetings throughout the year and in prior years and meet regularly with senior management of the Trust
and the Investment Manager. Through the Board’s Investment Oversight Committees, Trustees also meet with selected portfolio managers of the funds the Trustees oversee and with other investment personnel at
various times throughout the year. The Committee and the Board also consulted with the independent fee consultant, Fund counsel and the Independent Trustees’ independent legal counsel, who advised on various
matters with respect to the Committee’s and the Board’s considerations and otherwise assisted the Committee and the Board in their deliberations. On June 17, 2020, the Committee recommended that the Board
approve the continuation of the Management Agreement. On June 17, 2020, the Board, including the Independent Trustees, voting separately, unanimously approved the continuation of the Management Agreement for the
Fund.
The Committee and the Board
considered all information that they, their legal counsel or the Investment Manager believed reasonably necessary to evaluate and to determine whether to recommend for approval or approve the continuation of the
Management Agreement. The information and factors considered by the Committee and the Board in recommending for approval or approving the continuation of the Management Agreement for the Fund included the
following:
| • | Information on the investment performance of the Fund relative to the performance of a group of mutual funds determined to be comparable to the Fund by an independent third-party data provider, as well as performance relative to benchmarks; |
| • | Information on the Fund’s management fees and total expenses, including information comparing the Fund’s expenses to those of a group of comparable mutual funds, as determined by the independent third-party data provider; |
| • | The Investment Manager’s agreement to contractually limit or cap total operating expenses for the Fund through August 31, 2021 so that total operating expenses (excluding certain fees and expenses, such as transaction costs and certain other investment related expenses, interest, taxes, acquired fund fees and expenses, and infrequent and/or unusual expenses) would not exceed a specified annual rate, as a percentage of the Fund’s net assets; |
| • | The terms and conditions of the Management Agreement; |
| • | The current and proposed terms and conditions of other agreements and arrangements with affiliates of the Investment Manager relating to the operations of the Fund, including agreements with respect to the provision of distribution, transfer agency and shareholder services to the Fund; |
| • | Descriptions of various functions performed by the Investment Manager under the Management Agreement, including portfolio management and portfolio trading practices; |
| • | Information regarding any recently negotiated management fees of similarly-managed portfolios of other institutional clients of the Investment Manager; |
| • | Information regarding the reputation, regulatory history and resources of the Investment Manager, including information regarding senior management, portfolio managers and other personnel; |
| 68 | Columbia Total Return Bond Fund | Semiannual Report 2020 |
Board Consideration and Approval of
Management
Agreement (continued)
| • | Information regarding the capabilities of the Investment Manager with respect to compliance monitoring services, including an assessment of the Investment Manager’s compliance system by the Fund’s Chief Compliance Officer; and |
| • | The profitability to the Investment Manager and its affiliates from their relationships with the Fund. |
Nature, extent and quality of
services provided under the Management Agreement
The Committee and the Board
considered the nature, extent and quality of services provided to the Fund by the Investment Manager and its affiliates under the Management Agreement and under separate agreements for the provision of transfer agency
and shareholder services, and the resources dedicated to the Fund and the other Columbia Funds by the Investment Manager and its affiliates. The Committee and the Board considered, among other things, the Investment
Manager’s ability to attract, motivate and retain highly qualified research, advisory and supervisory investment professionals (including compensation programs for personnel involved in fund management,
reputation and other attributes), the portfolio management services provided by those investment professionals, and the quality of the Investment Manager’s investment research capabilities and trade execution
services. The Committee and the Board also considered the potential benefits to shareholders of investing in a mutual fund that is part of a fund complex offering exposure to a variety of asset classes and investment
disciplines and providing a variety of fund and shareholder services.
The Committee and the Board also
considered the professional experience and qualifications of the senior personnel of the Investment Manager, which included consideration of the Investment Manager’s experience with funds using an investment
strategy similar to that used by the Investment Manager for the Fund. The Committee and the Board noted the compliance programs of and the compliance-related resources provided to the Fund by the Investment Manager
and its affiliates and the resources dedicated by the Investment Manager and its affiliates to risk management, and considered the Investment Manager’s ability to provide administrative services to the Fund and
coordinate the activities of the Fund’s other service providers. After reviewing these and related factors, the Committee and the Board concluded, within the context of their overall conclusions, that the
nature, extent and quality of the services provided to the Fund under the Management Agreement supported the continuation of the Management Agreement.
Investment performance
The Committee and the Board
reviewed information about the performance of the Fund over various time periods, including performance information relative to benchmarks, information that compared the performance of the Fund to the performance of a
group of comparable mutual funds as determined by the independent third-party data provider, and information and analysis provided by the independent fee consultant. The Committee and the Board also reviewed a
description of the third party’s methodology for identifying the Fund’s peer groups for purposes of performance and expense comparisons.
The Committee and the Board noted
that, through December 31, 2019, the Fund’s performance was in the forty-second, fifteenth and seventh percentile (where the best performance would be in the first percentile) of its category selected by the
independent third-party data provider for the purposes of performance comparisons for the one-, three- and five-year periods, respectively.
The Committee and the Board also
considered the Investment Manager’s performance and reputation generally, the Investment Manager’s historical responsiveness to Board concerns about performance, and the Investment Manager’s
willingness to take steps intended to improve performance. After reviewing these and related factors, the Committee and the Board concluded, within the context of their overall conclusions, that the performance of the
Fund and the Investment Manager was sufficient, in light of other considerations, to support the continuation of the Management Agreement.
Investment management fee rates
and other expenses
The Committee and the Board
considered the management fees charged to the Fund under the Management Agreement as well as the total expenses incurred by the Fund. In assessing the reasonableness of the fees under the Management Agreement, the
Committee and the Board considered, among other information, the Fund’s total expense ratio as a percentage of average daily net assets. The Committee and the Board considered data provided by the independent
third-party data provider and the independent fee consultant. The Committee and the Board noted that, as of December 31, 2019, the Fund’s actual management fee and net total expense ratio were ranked in the
third and second quintiles,
| Columbia Total Return Bond Fund | Semiannual Report 2020 | 69 |
Board Consideration and Approval of
Management
Agreement (continued)
respectively, (where the lowest fees and expenses
would be in the first quintile) against the Fund’s expense universe as determined by the independent third-party data provider for purposes of expense comparison. The Committee and the Board also took into
account the fee waiver and expense limitation arrangements agreed to by the Investment Manager, as noted above.
The Committee and the Board also
received and considered information about the management fees charged by the Investment Manager to institutional accounts. In considering the fees charged to those accounts, the Committee and the Board took into
account, among other things, the Investment Manager’s representations about the differences between managing mutual funds as compared to other types of accounts, including differences in the services provided,
differences in the risk profile of such business for the Investment Manager and the additional resources required to manage mutual funds effectively. The Committee and the Board also received and considered
information about the fees charged by the Investment Manager for sub-advisory services it provides to comparable unaffiliated funds. In evaluating the Fund’s management fees, the Committee and the Board also
took into account the demands, complexity and quality of the investment management of the Fund.
After reviewing these and related
factors, the Committee and the Board concluded, within the context of their overall conclusions, that the management fee rates and expenses of the Fund, in light of other considerations, supported the continuation of
the Management Agreement.
Costs of services provided and
profitability
The Committee and the Board also
took note of the costs the Investment Manager and its affiliates incur in connection with the services provided and the profitability to the Investment Manager and its affiliates from their relationships with the
Fund, and the efforts undertaken by the Investment Manager and its affiliates to manage efficiently their costs to provide such services.
The Committee and the Board also
considered the compensation directly or indirectly received by the Investment Manager’s affiliates in connection with their relationships with the Fund. The Committee and the Board reviewed information provided
by management as to the profitability to the Investment Manager and its affiliates of their relationships with the Fund, information about the allocation of expenses used to calculate profitability, and comparisons of
profitability levels realized in 2019 to profitability levels realized in 2018. When reviewing profitability, the Committee and the Board also considered court cases in which adviser profitability was an issue in
whole or in part, the performance of similarly managed funds, the performance of the Fund, and the expense ratio of the Fund. In addition, the Committee and the Board considered information provided by the Investment
Manager regarding the Investment Manager’s financial condition and comparing its profitability to that of other asset management firms that are, or are subsidiaries of, publicly traded companies. In this regard,
the Committee and the Board also considered data provided by the independent fee consultant.
After reviewing these and related
factors, the Committee and the Board concluded, within the context of their overall conclusions, that the costs of services provided and the profitability to the Investment Manager and its affiliates from their
relationships with the Fund supported the continuation of the Management Agreement.
Economies of scale
The Committee and the Board
considered the potential existence of economies of scale in the provision by the Investment Manager of services to the Fund, to groups of related funds, and to the Investment Manager’s investment advisory
clients as a whole, and whether those economies of scale were shared with the Fund through breakpoints in investment management fees or other means, such as expense limitation arrangements and additional investments
by the Investment Manager in investment, trading, compliance and other resources. The Committee and the Board noted that the management fee schedules for the Fund contained breakpoints that would reduce the fee rate
on assets above specified threshold levels.
In considering these matters, the
Committee and the Board also considered the costs of the services provided and the profitability to the Investment Manager and its affiliates from their relationships with the Fund, as noted above. After reviewing
these and related factors, the Committee and the Board concluded, within the context of their overall conclusions, that the extent to which any economies of scale were expected to be shared with the Fund supported the
continuation of the Management Agreement.
| 70 | Columbia Total Return Bond Fund | Semiannual Report 2020 |
Board Consideration and Approval of
Management
Agreement (continued)
Other benefits to the Investment Manager
The Committee and the Board
received and considered information regarding “fall-out” or ancillary benefits received by the Investment Manager and its affiliates as a result of their relationships with the Fund, such as the engagement
of the Investment Manager’s affiliates to provide distribution, transfer agency and shareholder services to the Fund. In this regard, among other matters, the Committee and the Board considered that the
Fund’s distributor retains a portion of the distribution fees from the Fund and receives a portion of the sales charges on sales or redemptions of certain classes of shares of the Fund. The Committee and the
Board also considered the benefits of research made available to the Investment Manager by reason of brokerage commissions generated by the Fund’s securities transactions, and reviewed information about the
Investment Manager’s practices with respect to considering brokerage and research services when allocating portfolio transactions. In this connection, the Board also noted that the amount of research made
available to the Investment Manager by reason of brokerage commissions had been declining over time, and may decline further. The Committee and the Board recognized that the Investment Manager’s profitability
would be somewhat lower without these benefits.
Conclusion
The Committee and the Board
reviewed all of the above considerations in reaching their decisions to recommend or approve the continuation of the Management Agreement. In their deliberations, the Trustees did not identify any particular
information that was all-important or controlling, and individual Trustees may have attributed different weights to the various factors. Based on their evaluation of all factors that they deemed to be material,
including those factors described above, and assisted by the advice of independent legal counsel, the Board, including the Independent Trustees, voting separately, unanimously approved the continuation of the
Management Agreement.
| Columbia Total Return Bond Fund | Semiannual Report 2020 | 71 |
Please read and consider the
investment objectives, risks, charges and expenses for any fund carefully before investing. For a prospectus and summary prospectus, which contains this and other important information about the Fund, go to
columbiathreadneedleus.com/investor/. The Fund is distributed by Columbia Management Investment Distributors, Inc., member FINRA, and managed by Columbia Management Investment Advisers, LLC.
columbiathreadneedleus.com/investor/. The Fund is distributed by Columbia Management Investment Distributors, Inc., member FINRA, and managed by Columbia Management Investment Advisers, LLC.
Columbia Threadneedle Investments
(Columbia Threadneedle) is the global brand name of the Columbia and Threadneedle group of companies. All rights reserved.
© 2020 Columbia Management Investment
Advisers, LLC.
columbiathreadneedleus.com/investor/
SAR166_04_K01_(12/20)
Columbia
Multi-Asset Income Fund
Beginning on January 1, 2021, as
permitted by regulations adopted by the Securities and Exchange Commission, paper copies of the Fund’s annual and semiannual shareholder reports like this one will no longer be sent by mail, unless you
specifically request paper copies of the reports. Instead, the reports will be made available on the Fund’s website (columbiathreadneedleus.com/investor/), and each time a report is posted you will be notified
by mail and provided with a website address to access the report.
If you have already elected to
receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You may elect to receive shareholder reports and other communications from the Fund electronically
at any time by contacting your financial intermediary (such as a broker-dealer or bank) or, for Fund shares held directly with the Fund, by calling 800.345.6611 or by enrolling in “eDelivery” by logging
into your account at columbiathreadneedleus.com/investor/.
You may elect to receive all future
shareholder reports in paper free of charge. If you invest through a financial intermediary, you can contact your financial intermediary to request that you continue receiving paper copies of your shareholder reports.
If you invest directly with the Fund, you can call 800.345.6611 to let the Fund know you wish to continue receiving paper copies of your shareholder reports. Your election to receive paper reports will apply to all
Columbia Funds held in your account if you invest through a financial intermediary or all Columbia Funds held with the fund complex if you invest directly with the Fund.
Not Federally Insured • No
Financial Institution Guarantee • May Lose Value
Table of Contents
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| 30 | |
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| 38 | |
| 54 |
Columbia Multi-Asset Income Fund
(the Fund) mails one shareholder report to each shareholder address, unless such shareholder elected to receive shareholder reports from the Fund electronically. If you would like more than one report, please call
shareholder services at 800.345.6611 and additional reports will be sent to you.
Proxy voting policies and
procedures
The policy of the Board of Trustees
is to vote the proxies of the companies in which the Fund holds investments consistent with the procedures as stated in the Statement of Additional Information (SAI). You may obtain a copy of the SAI without charge by
calling 800.345.6611; contacting your financial intermediary; visiting columbiathreadneedleus.com/investor/; or searching the website of the Securities and Exchange Commission (SEC) at sec.gov. Information regarding
how the Fund voted proxies relating to portfolio securities is filed with the SEC by August 31st for the most recent 12-month period ending June 30th of that year, and is available without charge by visiting
columbiathreadneedleus.com/investor/, or searching the website of the SEC at sec.gov.
Quarterly schedule of
investments
The Fund files a complete schedule
of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-PORT. The Fund’s Form N-PORT filings are available on the SEC’s website at sec.gov. The Fund’s
complete schedule of portfolio holdings, as filed on Form N-PORT, can also be obtained without charge, upon request, by calling 800.345.6611.
Additional Fund information
For more information about the
Fund, please visit columbiathreadneedleus.com/investor/ or call 800.345.6611. Customer Service Representatives are available to answer your questions Monday through Friday from 8 a.m. to 7 p.m. Eastern time.
Fund investment manager
Columbia Management Investment Advisers, LLC (the
Investment Manager)
225 Franklin Street
Boston, MA 02110
Fund distributor
Columbia Management Investment Distributors,
Inc.
225 Franklin Street
Boston, MA 02110
Fund transfer agent
Columbia Management Investment Services Corp.
P.O. Box 219104
Kansas City, MO 64121-9104
Columbia Multi-Asset Income
Fund | Semiannual Report 2020
Fund at a Glance
(Unaudited)
(Unaudited)
Investment objective
The Fund
seeks to provide shareholders with a high level of current income, with a secondary objective of total return.
The Board
of Trustees of the Fund has approved a Plan of Liquidation and Termination (the Plan). Under the terms of the Plan, it is anticipated that the Fund will be liquidated on or about February 5, 2021 (the Liquidation
Date).
Portfolio management
Anwiti Bahuguna, Ph.D.
Lead Portfolio Manager
Managed Fund since 2015
Dan Boncarosky, CFA
Portfolio Manager
Managed Fund since 2015
| Columbia Multi-Asset Income Fund | Semiannual Report 2020 | 3 |
Fund at a Glance (continued)
(Unaudited)
(Unaudited)
| Portfolio breakdown (%) (at October 31, 2020) | |
| Asset-Backed Securities — Non-Agency | 1.6 |
| Commercial Mortgage-Backed Securities - Non-Agency | 2.2 |
| Common Stocks | 9.5 |
| Convertible Bonds | 0.1 |
| Convertible Preferred Stocks | 0.6 |
| Corporate Bonds & Notes | 22.4 |
| Equity-Linked Notes | 19.3 |
| Exchange-Traded Equity Funds | 2.4 |
| Exchange-Traded Fixed Income Funds | 13.0 |
| Foreign Government Obligations | 10.6 |
| Money Market Funds | 6.6 |
| Residential Mortgage-Backed Securities - Agency | 0.5 |
| Residential Mortgage-Backed Securities - Non-Agency | 7.6 |
| Senior Loans | 0.2 |
| U.S. Treasury Obligations | 3.4 |
| Total | 100.0 |
Percentages indicated are based
upon total investments excluding investments in derivatives, if any. The Fund’s portfolio composition is subject to change.
| 4 | Columbia Multi-Asset Income Fund | Semiannual Report 2020 |
Understanding Your Fund’s
Expenses
(Unaudited)
(Unaudited)
As an investor, you incur two types
of costs. There are shareholder transaction costs, which generally include sales charges on purchases and may include redemption fees. There are also ongoing fund costs, which generally include management fees,
distribution and/or service fees, and other fund expenses. The following information is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to help you compare these costs with
the ongoing costs of investing in other mutual funds.
Analyzing your Fund’s
expenses
To illustrate these ongoing
costs, we have provided examples and calculated the expenses paid by investors in each share class of the Fund during the period. The actual and hypothetical information in the table is based on an initial investment
of $1,000 at the beginning of the period indicated and held for the entire period. Expense information is calculated two ways and each method provides you with different information. The amount listed in the
“Actual” column is calculated using the Fund’s actual operating expenses and total return for the period. You may use the Actual information, together with the amount invested, to estimate the
expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the results by the expenses paid during the period under
the “Actual” column. The amount listed in the “Hypothetical” column assumes a 5% annual rate of return before expenses (which is not the Fund’s actual return) and then applies the
Fund’s actual expense ratio for the period to the hypothetical return. You should not use the hypothetical account values and expenses to estimate either your actual account balance at the end of the period or
the expenses you paid during the period. See “Compare with other funds” below for details on how to use the hypothetical data.
Compare with other funds
Since all mutual funds are
required to include the same hypothetical calculations about expenses in shareholder reports, you can use this information to compare the ongoing cost of investing in the Fund with other funds. To do so, compare the
hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds. As you compare hypothetical examples of other funds, it is important to note that hypothetical examples are
meant to highlight the ongoing costs of investing in a fund only and do not reflect any transaction costs, such as sales charges, or redemption or exchange fees. Therefore, the hypothetical calculations are useful in
comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. If transaction costs were included in these calculations, your costs would be higher.
| May 1, 2020 — October 31, 2020 | |||||||
| Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | ||||
| Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | |
| Class A | 1,000.00 | 1,000.00 | 1,087.10 | 1,020.51 | 4.76 | 4.61 | 0.91 |
| Advisor Class | 1,000.00 | 1,000.00 | 1,088.40 | 1,021.76 | 3.46 | 3.35 | 0.66 |
| Class C | 1,000.00 | 1,000.00 | 1,083.00 | 1,016.75 | 8.67 | 8.39 | 1.66 |
| Institutional Class | 1,000.00 | 1,000.00 | 1,087.20 | 1,021.76 | 3.45 | 3.35 | 0.66 |
| Institutional 2 Class | 1,000.00 | 1,000.00 | 1,087.40 | 1,021.91 | 3.30 | 3.19 | 0.63 |
| Institutional 3 Class | 1,000.00 | 1,000.00 | 1,087.90 | 1,022.26 | 2.93 | 2.84 | 0.56 |
Expenses paid during the period
are equal to the annualized expense ratio for each class as indicated above, multiplied by the average account value over the period and then multiplied by the number of days in the Fund’s most recent fiscal
half year and divided by 365.
Expenses do not include fees and
expenses incurred indirectly by the Fund from its investment in underlying funds, including affiliated and non-affiliated pooled investment vehicles, such as mutual funds and exchange-traded funds.
Had Columbia Management Investment
Advisers, LLC and/or certain of its affiliates not waived/reimbursed certain fees and expenses, account value at the end of the period would have been reduced.
| Columbia Multi-Asset Income Fund | Semiannual Report 2020 | 5 |
Portfolio of Investments
October 31, 2020 (Unaudited)
October 31, 2020 (Unaudited)
(Percentages represent value of
investments compared to net assets)
Investments in securities
The accompanying Notes to Financial
Statements are an integral part of this statement.
| 6 | Columbia Multi-Asset Income Fund | Semiannual Report 2020 |
Portfolio of Investments (continued)
October 31, 2020 (Unaudited)
October 31, 2020 (Unaudited)
The accompanying Notes to Financial
Statements are an integral part of this statement.
| Columbia Multi-Asset Income Fund | Semiannual Report 2020 | 7 |
Portfolio of Investments (continued)
October 31, 2020 (Unaudited)
October 31, 2020 (Unaudited)
The accompanying Notes to Financial
Statements are an integral part of this statement.
| 8 | Columbia Multi-Asset Income Fund | Semiannual Report 2020 |
Portfolio of Investments (continued)
October 31, 2020 (Unaudited)
October 31, 2020 (Unaudited)
The accompanying Notes to Financial
Statements are an integral part of this statement.
| Columbia Multi-Asset Income Fund | Semiannual Report 2020 | 9 |
Portfolio of Investments (continued)
October 31, 2020 (Unaudited)
October 31, 2020 (Unaudited)
The accompanying Notes to Financial
Statements are an integral part of this statement.
| 10 | Columbia Multi-Asset Income Fund | Semiannual Report 2020 |
Portfolio of Investments (continued)
October 31, 2020 (Unaudited)
October 31, 2020 (Unaudited)
The accompanying Notes to Financial
Statements are an integral part of this statement.
| Columbia Multi-Asset Income Fund | Semiannual Report 2020 | 11 |
Portfolio of Investments (continued)
October 31, 2020 (Unaudited)
October 31, 2020 (Unaudited)
The accompanying Notes to Financial
Statements are an integral part of this statement.
| 12 | Columbia Multi-Asset Income Fund | Semiannual Report 2020 |
Portfolio of Investments (continued)
October 31, 2020 (Unaudited)
October 31, 2020 (Unaudited)
The accompanying Notes to Financial
Statements are an integral part of this statement.
| Columbia Multi-Asset Income Fund | Semiannual Report 2020 | 13 |
Portfolio of Investments (continued)
October 31, 2020 (Unaudited)
October 31, 2020 (Unaudited)
The accompanying Notes to Financial
Statements are an integral part of this statement.
| 14 | Columbia Multi-Asset Income Fund | Semiannual Report 2020 |
Portfolio of Investments (continued)
October 31, 2020 (Unaudited)
October 31, 2020 (Unaudited)
The accompanying Notes to Financial
Statements are an integral part of this statement.
| Columbia Multi-Asset Income Fund | Semiannual Report 2020 | 15 |
Portfolio of Investments (continued)
October 31, 2020 (Unaudited)
October 31, 2020 (Unaudited)
The accompanying Notes to Financial
Statements are an integral part of this statement.
| 16 | Columbia Multi-Asset Income Fund | Semiannual Report 2020 |
Portfolio of Investments (continued)
October 31, 2020 (Unaudited)
October 31, 2020 (Unaudited)
The accompanying Notes to Financial
Statements are an integral part of this statement.
| Columbia Multi-Asset Income Fund | Semiannual Report 2020 | 17 |
Portfolio of Investments (continued)
October 31, 2020 (Unaudited)
October 31, 2020 (Unaudited)
The accompanying Notes to Financial
Statements are an integral part of this statement.
| 18 | Columbia Multi-Asset Income Fund | Semiannual Report 2020 |
Portfolio of Investments (continued)
October 31, 2020 (Unaudited)
October 31, 2020 (Unaudited)
The accompanying Notes to Financial
Statements are an integral part of this statement.
| Columbia Multi-Asset Income Fund | Semiannual Report 2020 | 19 |
Portfolio of Investments (continued)
October 31, 2020 (Unaudited)
October 31, 2020 (Unaudited)
The accompanying Notes to Financial
Statements are an integral part of this statement.
| 20 | Columbia Multi-Asset Income Fund | Semiannual Report 2020 |
Portfolio of Investments (continued)
October 31, 2020 (Unaudited)
October 31, 2020 (Unaudited)
The accompanying Notes to Financial
Statements are an integral part of this statement.
| Columbia Multi-Asset Income Fund | Semiannual Report 2020 | 21 |
Portfolio of Investments (continued)
October 31, 2020 (Unaudited)
October 31, 2020 (Unaudited)
The accompanying Notes to Financial
Statements are an integral part of this statement.
| 22 | Columbia Multi-Asset Income Fund | Semiannual Report 2020 |
Portfolio of Investments (continued)
October 31, 2020 (Unaudited)
October 31, 2020 (Unaudited)
The accompanying Notes to Financial
Statements are an integral part of this statement.
| Columbia Multi-Asset Income Fund | Semiannual Report 2020 | 23 |
Portfolio of Investments (continued)
October 31, 2020 (Unaudited)
October 31, 2020 (Unaudited)
At October 31, 2020,
securities and/or cash totaling $1,625,691 were pledged as collateral.
The accompanying Notes to Financial Statements are
an integral part of this statement.
| 24 | Columbia Multi-Asset Income Fund | Semiannual Report 2020 |
Portfolio of Investments (continued)
October 31, 2020 (Unaudited)
October 31, 2020 (Unaudited)
Investments in derivatives
| Long futures contracts | ||||||
| Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
| S&P 500 Index E-mini | 108 | 12/2020 | USD | 17,629,380 | — | (354,237) |
| U.S. Treasury 10-Year Note | 132 | 12/2020 | USD | 18,244,875 | — | (163,208) |
| Total | — | (517,445) | ||||
| Cleared credit default swap contracts - sell protection | ||||||||||||
| Reference entity | Counterparty | Maturity date | Receive fixed rate (%) | Payment frequency | Implied credit spread (%)* | Notional currency | Notional amount | Value ($) | Upfront payments ($) | Upfront receipts ($) | Unrealized appreciation ($) | Unrealized depreciation ($) |
| Markit CDX North America Investment Grade Index, Series 35 | Morgan Stanley | 12/20/2025 | 1.000 | Quarterly | 0.661 | USD | 3,958,000 | (21,710) | — | — | — | (21,710) |
| * | 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. |
Notes to Portfolio of
Investments
| (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 October 31, 2020, the total value of these securities amounted to $80,060,114, which represents 52.34% of total net assets. |
| (b) | Variable rate security. The interest rate shown was the current rate as of October 31, 2020. |
| (c) | 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 October 31, 2020. |
| (d) | Payment-in-kind security. Interest can be paid by issuing additional par of the security or in cash. |
| (e) | Represents a security purchased on a when-issued basis. |
| (f) | 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 October 31, 2020. |
| (g) | Represents securities that have defaulted on payment of interest. The Fund has stopped accruing interest on these securities. At October 31, 2020, the total value of these securities amounted to $88,117, which represents 0.06% of total net assets. |
| (h) | By investing in the equity-linked note, the Fund gains exposure to the underlying investments that make up the custom basket without having to own the underlying investments directly. The components of the basket are available on the Columbia Multi-Asset Income Fund’s page of columbiathreadneedleus.com website. |
| (i) | Principal and interest may not be guaranteed by a governmental entity. |
| (j) | Represents interest only securities which have the right to receive the monthly interest payments on an underlying pool of mortgage loans. |
| (k) | Represents fair value as determined in good faith under procedures approved by the Board of Trustees. At October 31, 2020, the total value of these securities amounted to $335,351, which represents 0.22% of total net assets. |
| (l) | Valuation based on significant unobservable inputs. |
| (m) | The stated interest rate represents the weighted average interest rate at October 31, 2020 of contracts within the senior loan facility. Interest rates on contracts are primarily determined either weekly, monthly or quarterly by reference to the indicated base lending rate and spread and the reset period. These base lending rates are primarily the LIBOR and other short-term rates. Base lending rates may be subject to a floor or minimum rate. The interest rate for senior loans purchased on a when-issued or delayed delivery basis will be determined upon settlement, therefore no interest rate is disclosed. Senior loans often require prepayments from excess cash flows or permit the borrowers to repay at their election. The degree to which borrowers repay, cannot be predicted with accuracy. As a result, remaining maturities of senior loans may be less than the stated maturities. Generally, the Fund is contractually obligated to receive approval from the agent bank and/or borrower prior to the disposition of a senior loan. |
| (n) | The rate shown is the seven-day current annualized yield at October 31, 2020. |
The accompanying Notes to Financial Statements are
an integral part of this statement.
| Columbia Multi-Asset Income Fund | Semiannual Report 2020 | 25 |
Portfolio of Investments (continued)
October 31, 2020 (Unaudited)
October 31, 2020 (Unaudited)
Notes to Portfolio of Investments (continued)
| (o) | As defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended October 31, 2020 are as follows: |
| Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Realized gain (loss)($) | Dividends($) | End of period shares |
| Columbia Short-Term Cash Fund, 0.128% | ||||||||
| 9,936,961 | 49,608,983 | (49,596,016) | (2,916) | 9,947,012 | (471) | 10,608 | 9,948,007 | |
Abbreviation Legend
| CMO | Collateralized Mortgage Obligation |
| LIBOR | London Interbank Offered Rate |
Currency Legend
| USD | US Dollar |
Fair value measurements
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’s 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. 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.
The accompanying Notes to Financial Statements are
an integral part of this statement.
| 26 | Columbia Multi-Asset Income Fund | Semiannual Report 2020 |
Portfolio of Investments (continued)
October 31, 2020 (Unaudited)
October 31, 2020 (Unaudited)
Fair value measurements (continued)
The following table is a summary of the inputs used to value the Fund’s investments at October 31, 2020:
The following table is a summary of the inputs used to value the Fund’s investments at October 31, 2020:
| Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | |
| Investments in Securities | ||||
| Asset-Backed Securities — Non-Agency | — | 2,412,238 | — | 2,412,238 |
| Commercial Mortgage-Backed Securities - Non-Agency | — | 3,318,362 | — | 3,318,362 |
| Common Stocks | ||||
| Communication Services | 682,084 | — | — | 682,084 |
| Consumer Discretionary | 388,871 | — | — | 388,871 |
| Consumer Staples | 1,205,126 | — | — | 1,205,126 |
| Energy | 629,071 | — | — | 629,071 |
| Financials | 1,532,831 | — | — | 1,532,831 |
| Health Care | 1,561,047 | — | — | 1,561,047 |
| Industrials | 599,211 | — | — | 599,211 |
| Information Technology | 1,205,019 | — | — | 1,205,019 |
| Materials | 165,840 | — | — | 165,840 |
| Real Estate | 5,939,837 | — | — | 5,939,837 |
| Utilities | 358,306 | — | — | 358,306 |
| Total Common Stocks | 14,267,243 | — | — | 14,267,243 |
| Convertible Bonds | — | 93,408 | — | 93,408 |
| Convertible Preferred Stocks | ||||
| Communication Services | — | 78,120 | — | 78,120 |
| Consumer Discretionary | — | 60,200 | — | 60,200 |
| Financials | — | 58,285 | — | 58,285 |
| Health Care | — | 247,876 | — | 247,876 |
| Industrials | — | 62,628 | — | 62,628 |
| Utilities | — | 411,745 | — | 411,745 |
| Total Convertible Preferred Stocks | — | 918,854 | — | 918,854 |
| Corporate Bonds & Notes | — | 33,734,508 | — | 33,734,508 |
| Equity-Linked Notes | — | 29,086,549 | — | 29,086,549 |
| Exchange-Traded Equity Funds | 3,573,320 | — | — | 3,573,320 |
| Exchange-Traded Fixed Income Funds | 19,508,425 | — | — | 19,508,425 |
| Foreign Government Obligations | — | 15,967,175 | — | 15,967,175 |
| Residential Mortgage-Backed Securities - Agency | — | 732,314 | — | 732,314 |
| Residential Mortgage-Backed Securities - Non-Agency | — | 11,189,652 | 335,351 | 11,525,003 |
| Senior Loans | — | 269,888 | — | 269,888 |
| U.S. Treasury Obligations | 5,146,545 | — | — | 5,146,545 |
| Money Market Funds | 9,947,012 | — | — | 9,947,012 |
| Total Investments in Securities | 52,442,545 | 97,722,948 | 335,351 | 150,500,844 |
| Investments in Derivatives | ||||
| Liability | ||||
| Futures Contracts | (517,445) | — | — | (517,445) |
| Swap Contracts | — | (21,710) | — | (21,710) |
| Total | 51,925,100 | 97,701,238 | 335,351 | 149,961,689 |
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.
Derivative instruments are valued at
unrealized appreciation (depreciation).
The Fund does not hold any
significant investments (greater than one percent of net assets) categorized as Level 3.
The accompanying Notes to Financial Statements are
an integral part of this statement.
| Columbia Multi-Asset Income Fund | Semiannual Report 2020 | 27 |
Statement of Assets and Liabilities
October 31, 2020 (Unaudited)
October 31, 2020 (Unaudited)
| Assets | |
| Investments in securities, at value | |
| Unaffiliated issuers (cost $139,884,908) | $140,553,832 |
| Affiliated issuers (cost $9,945,966) | 9,947,012 |
| Margin deposits on: | |
| Futures contracts | 1,500,600 |
| Swap contracts | 125,091 |
| Receivable for: | |
| Investments sold | 252,727 |
| Investments sold on a delayed delivery basis | 10,200 |
| Dividends | 38,343 |
| Interest | 967,500 |
| Foreign tax reclaims | 5,434 |
| Expense reimbursement due from Investment Manager | 925 |
| Prepaid expenses | 730 |
| Trustees’ deferred compensation plan | 33,126 |
| Total assets | 153,435,520 |
| Liabilities | |
| Due to custodian | 7,842 |
| Payable for: | |
| Investments purchased | 47,864 |
| Investments purchased on a delayed delivery basis | 103,322 |
| Capital shares purchased | 2,982 |
| Variation margin for futures contracts | 227,790 |
| Variation margin for swap contracts | 2,045 |
| Management services fees | 2,771 |
| Distribution and/or service fees | 84 |
| Transfer agent fees | 845 |
| Compensation of board members | 315 |
| Compensation of chief compliance officer | 6 |
| Other expenses | 52,771 |
| Trustees’ deferred compensation plan | 33,126 |
| Total liabilities | 481,763 |
| Net assets applicable to outstanding capital stock | $152,953,757 |
| Represented by | |
| Paid in capital | 166,021,017 |
| Total distributable earnings (loss) | (13,067,260) |
| Total - representing net assets applicable to outstanding capital stock | $152,953,757 |
The accompanying Notes to Financial Statements are
an integral part of this statement.
| 28 | Columbia Multi-Asset Income Fund | Semiannual Report 2020 |
Statement of Assets and Liabilities (continued)
October 31, 2020 (Unaudited)
October 31, 2020 (Unaudited)
| Class A | |
| Net assets | $3,040,127 |
| Shares outstanding | 334,524 |
| Net asset value per share | $9.09 |
| Maximum sales charge | 4.75% |
| Maximum offering price per share (calculated by dividing the net asset value per share by 1.0 minus the maximum sales charge for Class A shares) | $9.54 |
| Advisor Class | |
| Net assets | $560,197 |
| Shares outstanding | 61,643 |
| Net asset value per share | $9.09 |
| Class C | |
| Net assets | $2,312,418 |
| Shares outstanding | 254,488 |
| Net asset value per share | $9.09 |
| Institutional Class | |
| Net assets | $2,804,714 |
| Shares outstanding | 308,586 |
| Net asset value per share | $9.09 |
| Institutional 2 Class | |
| Net assets | $25,059 |
| Shares outstanding | 2,757 |
| Net asset value per share | $9.09 |
| Institutional 3 Class | |
| Net assets | $144,211,242 |
| Shares outstanding | 15,905,425 |
| Net asset value per share | $9.07 |
The accompanying Notes to Financial Statements are
an integral part of this statement.
| Columbia Multi-Asset Income Fund | Semiannual Report 2020 | 29 |
Statement of Operations
Six Months Ended October 31, 2020 (Unaudited)
Six Months Ended October 31, 2020 (Unaudited)
| Net investment income | |
| Income: | |
| Dividends — unaffiliated issuers | $826,588 |
| Dividends — affiliated issuers | 10,608 |
| Interest | 4,357,369 |
| Total income | 5,194,565 |
| Expenses: | |
| Management services fees | 501,756 |
| Distribution and/or service fees | |
| Class A | 4,643 |
| Class C | 12,152 |
| Transfer agent fees | |
| Class A | 2,001 |
| Advisor Class | 518 |
| Class C | 1,308 |
| Institutional Class | 1,469 |
| Institutional 2 Class | 6 |
| Institutional 3 Class | 5,298 |
| Compensation of board members | 9,643 |
| Custodian fees | 12,576 |
| Printing and postage fees | 5,517 |
| Registration fees | 43,459 |
| Audit fees | 19,804 |
| Legal fees | 1,977 |
| Compensation of chief compliance officer | 27 |
| Other | 921 |
| Total expenses | 623,075 |
| Fees waived or expenses reimbursed by Investment Manager and its affiliates | (171,899) |
| Total net expenses | 451,176 |
| Net investment income | 4,743,389 |
| Realized and unrealized gain (loss) — net | |
| Net realized gain (loss) on: | |
| Investments — unaffiliated issuers | (3,727,518) |
| Investments — affiliated issuers | (471) |
| Foreign currency translations | 7 |
| Futures contracts | 2,690,408 |
| Swap contracts | 48,746 |
| Net realized loss | (988,828) |
| Net change in unrealized appreciation (depreciation) on: | |
| Investments — unaffiliated issuers | 10,678,307 |
| Investments — affiliated issuers | (2,916) |
| Foreign currency translations | 92 |
| Futures contracts | (1,789,967) |
| Swap contracts | (150,331) |
| Net change in unrealized appreciation (depreciation) | 8,735,185 |
| Net realized and unrealized gain | 7,746,357 |
| Net increase in net assets resulting from operations | $12,489,746 |
The accompanying Notes to
Financial Statements are an integral part of this statement.
| 30 | Columbia Multi-Asset Income Fund | Semiannual Report 2020 |
Statement of Changes in Net Assets
| Six Months Ended October 31, 2020 (Unaudited) | Year Ended April 30, 2020 | |
| Operations | ||
| Net investment income | $4,743,389 | $8,773,581 |
| Net realized loss | (988,828) | (2,666,870) |
| Net change in unrealized appreciation (depreciation) | 8,735,185 | (10,873,791) |
| Net increase (decrease) in net assets resulting from operations | 12,489,746 | (4,767,080) |
| Distributions to shareholders | ||
| Net investment income and net realized gains | ||
| Class A | (113,737) | (220,529) |
| Advisor Class | (29,081) | (51,958) |
| Class C | (64,526) | (70,219) |
| Institutional Class | (86,780) | (335,417) |
| Institutional 2 Class | (560) | (2,914) |
| Institutional 3 Class | (4,582,101) | (8,141,919) |
| Total distributions to shareholders | (4,876,785) | (8,822,956) |
| Increase in net assets from capital stock activity | 3,013,523 | 9,193,188 |
| Total increase (decrease) in net assets | 10,626,484 | (4,396,848) |
| Net assets at beginning of period | 142,327,273 | 146,724,121 |
| Net assets at end of period | $152,953,757 | $142,327,273 |
The accompanying Notes to
Financial Statements are an integral part of this statement.
| Columbia Multi-Asset Income Fund | Semiannual Report 2020 | 31 |
Statement of Changes in Net Assets (continued)
| Six Months Ended | Year Ended | |||
| October 31, 2020 (Unaudited) | April 30, 2020 | |||
| Shares | Dollars ($) | Shares | Dollars ($) | |
| Capital stock activity | ||||
| Class A | ||||
| Subscriptions | 21,971 | 201,896 | 194,075 | 1,826,012 |
| Distributions reinvested | 12,253 | 111,511 | 23,341 | 216,891 |
| Redemptions | (144,538) | (1,301,248) | (104,337) | (922,039) |
| Net increase (decrease) | (110,314) | (987,841) | 113,079 | 1,120,864 |
| Advisor Class | ||||
| Subscriptions | 828 | 7,500 | 62,352 | 593,250 |
| Distributions reinvested | 3,113 | 28,221 | 5,462 | 50,421 |
| Redemptions | (77,393) | (721,464) | (10,913) | (102,236) |
| Net increase (decrease) | (73,452) | (685,743) | 56,901 | 541,435 |
| Class C | ||||
| Subscriptions | 16,190 | 144,643 | 185,991 | 1,752,696 |
| Distributions reinvested | 6,507 | 59,251 | 7,230 | 66,612 |
| Redemptions | (31,367) | (290,149) | (42,345) | (387,097) |
| Net increase (decrease) | (8,670) | (86,255) | 150,876 | 1,432,211 |
| Institutional Class | ||||
| Subscriptions | 67,348 | 610,517 | 482,505 | 4,524,737 |
| Distributions reinvested | 8,643 | 78,744 | 33,877 | 319,371 |
| Redemptions | (38,237) | (352,489) | (654,328) | (5,144,476) |
| Net increase (decrease) | 37,754 | 336,772 | (137,946) | (300,368) |
| Institutional 2 Class | ||||
| Subscriptions | 4,570 | 42,700 | 8,703 | 85,001 |
| Distributions reinvested | 30 | 269 | 254 | 2,381 |
| Redemptions | (5,499) | (49,442) | (11,716) | (102,994) |
| Net decrease | (899) | (6,473) | (2,759) | (15,612) |
| Institutional 3 Class | ||||
| Subscriptions | 1,719,016 | 15,522,712 | — | — |
| Distributions reinvested | 504,322 | 4,581,800 | 878,588 | 8,141,369 |
| Redemptions | (1,734,381) | (15,661,449) | (201,399) | (1,726,711) |
| Net increase | 488,957 | 4,443,063 | 677,189 | 6,414,658 |
| Total net increase | 333,376 | 3,013,523 | 857,340 | 9,193,188 |
The accompanying Notes to Financial Statements are
an integral part of this statement.
| 32 | Columbia Multi-Asset Income Fund | Semiannual Report 2020 |
Financial Highlights
The following table is intended to
help you understand the Fund’s financial performance. Certain information reflects financial results for a single share of a class held for the periods shown. Per share net investment income (loss) amounts are
calculated based on average shares outstanding during the period. Total return assumes reinvestment of all dividends and distributions, if any. Total return does not reflect payment of sales charges, if any. Total
return and portfolio turnover are not annualized for periods of less than one year. The portfolio turnover rate is calculated without regard to purchase and sales transactions of short-term instruments and certain
derivatives, if any. If such transactions were included, the Fund’s portfolio turnover rate may be higher.
| Net asset value, beginning of period | Net investment income | Net realized and unrealized gain (loss) | Total from investment operations | Distributions from net investment income | Total distributions to shareholders | |
| Class A | ||||||
| Six Months Ended 10/31/2020 (Unaudited) | $8.62 | 0.27 | 0.48 | 0.75 | (0.28) | (0.28) |
| Year Ended 4/30/2020 | $9.38 | 0.50 | (0.75) | (0.25) | (0.51) | (0.51) |
| Year Ended 4/30/2019 | $9.54 | 0.57 | (0.11) | 0.46 | (0.62) | (0.62) |
| Year Ended 4/30/2018 | $9.78 | 0.53 | (0.31) | 0.22 | (0.46) | (0.46) |
| Year Ended 4/30/2017 | $9.43 | 0.56 | 0.26 | 0.82 | (0.47) | (0.47) |
| Year Ended 4/30/2016 | $10.05 | 0.57 | (0.65) | (0.08) | (0.54) | (0.54) |
| Advisor Class | ||||||
| Six Months Ended 10/31/2020 (Unaudited) | $8.62 | 0.27 | 0.49 | 0.76 | (0.29) | (0.29) |
| Year Ended 4/30/2020 | $9.38 | 0.53 | (0.76) | (0.23) | (0.53) | (0.53) |
| Year Ended 4/30/2019 | $9.54 | 0.59 | (0.10) | 0.49 | (0.65) | (0.65) |
| Year Ended 4/30/2018 | $9.78 | 0.56 | (0.31) | 0.25 | (0.49) | (0.49) |
| Year Ended 4/30/2017 | $9.43 | 0.61 | 0.23 | 0.84 | (0.49) | (0.49) |
| Year Ended 4/30/2016 | $10.05 | 0.56 | (0.62) | (0.06) | (0.56) | (0.56) |
| Class C | ||||||
| Six Months Ended 10/31/2020 (Unaudited) | $8.62 | 0.24 | 0.47 | 0.71 | (0.24) | (0.24) |
| Year Ended 4/30/2020 | $9.38 | 0.44 | (0.76) | (0.32) | (0.44) | (0.44) |
| Year Ended 4/30/2019 | $9.54 | 0.49 | (0.10) | 0.39 | (0.55) | (0.55) |
| Year Ended 4/30/2018 | $9.78 | 0.46 | (0.31) | 0.15 | (0.39) | (0.39) |
| Year Ended 4/30/2017 | $9.43 | 0.49 | 0.26 | 0.75 | (0.40) | (0.40) |
| Year Ended 4/30/2016 | $10.05 | 0.48 | (0.63) | (0.15) | (0.47) | (0.47) |
| Institutional Class | ||||||
| Six Months Ended 10/31/2020 (Unaudited) | $8.63 | 0.28 | 0.47 | 0.75 | (0.29) | (0.29) |
| Year Ended 4/30/2020 | $9.38 | 0.52 | (0.74) | (0.22) | (0.53) | (0.53) |
| Year Ended 4/30/2019 | $9.55 | 0.60 | (0.12) | 0.48 | (0.65) | (0.65) |
| Year Ended 4/30/2018 | $9.79 | 0.55 | (0.30) | 0.25 | (0.49) | (0.49) |
| Year Ended 4/30/2017 | $9.43 | 0.59 | 0.26 | 0.85 | (0.49) | (0.49) |
| Year Ended 4/30/2016 | $10.06 | 0.56 | (0.63) | (0.07) | (0.56) | (0.56) |
| Institutional 2 Class | ||||||
| Six Months Ended 10/31/2020 (Unaudited) | $8.63 | 0.27 | 0.48 | 0.75 | (0.29) | (0.29) |
| Year Ended 4/30/2020 | $9.38 | 0.53 | (0.75) | (0.22) | (0.53) | (0.53) |
| Year Ended 4/30/2019 | $9.55 | 0.61 | (0.13) | 0.48 | (0.65) | (0.65) |
| Year Ended 4/30/2018 | $9.78 | 0.55 | (0.29) | 0.26 | (0.49) | (0.49) |
| Year Ended 4/30/2017 | $9.43 | 0.57 | 0.28 | 0.85 | (0.50) | (0.50) |
| Year Ended 4/30/2016 | $10.05 | 0.57 | (0.63) | (0.06) | (0.56) | (0.56) |
The accompanying Notes to Financial
Statements are an integral part of this statement.
| 34 | Columbia Multi-Asset Income Fund | Semiannual Report 2020 |
Financial Highlights (continued)
| Net asset value, end of period | Total return | Total gross expense ratio to average net assets(a) | Total net expense ratio to average net assets(a),(b) | Net investment income ratio to average net assets | Portfolio turnover | Net assets, end of period (000’s) | |
| Class A | |||||||
| Six Months Ended 10/31/2020 (Unaudited) | $9.09 | 8.71% | 1.14%(c) | 0.91%(c) | 5.83%(c) | 38% | $3,040 |
| Year Ended 4/30/2020 | $8.62 | (2.97%) | 1.16% | 0.90%(d) | 5.39% | 82% | $3,837 |
| Year Ended 4/30/2019 | $9.38 | 5.06% | 1.23% | 0.91% | 6.17% | 60% | $3,111 |
| Year Ended 4/30/2018 | $9.54 | 2.27% | 1.24% | 0.93% | 5.41% | 76% | $1,395 |
| Year Ended 4/30/2017 | $9.78 | 8.88% | 1.27% | 0.94% | 5.83% | 69% | $800 |
| Year Ended 4/30/2016 | $9.43 | (0.62%) | 1.34% | 0.91% | 6.15% | 70% | $138 |
| Advisor Class | |||||||
| Six Months Ended 10/31/2020 (Unaudited) | $9.09 | 8.84% | 0.89%(c) | 0.66%(c) | 5.97%(c) | 38% | $560 |
| Year Ended 4/30/2020 | $8.62 | (2.72%) | 0.91% | 0.65%(d) | 5.71% | 82% | $1,165 |
| Year Ended 4/30/2019 | $9.38 | 5.33% | 0.98% | 0.66% | 6.37% | 60% | $733 |
| Year Ended 4/30/2018 | $9.54 | 2.53% | 0.99% | 0.68% | 5.74% | 76% | $362 |
| Year Ended 4/30/2017 | $9.78 | 9.17% | 1.05% | 0.69% | 6.57% | 69% | $160 |
| Year Ended 4/30/2016 | $9.43 | (0.36%) | 1.10% | 0.64% | 5.99% | 70% | $9 |
| Class C | |||||||
| Six Months Ended 10/31/2020 (Unaudited) | $9.09 | 8.30% | 1.89%(c) | 1.66%(c) | 5.15%(c) | 38% | $2,312 |
| Year Ended 4/30/2020 | $8.62 | (3.70%) | 1.91% | 1.65%(d) | 4.75% | 82% | $2,270 |
| Year Ended 4/30/2019 | $9.38 | 4.28% | 1.98% | 1.66% | 5.29% | 60% | $1,053 |
| Year Ended 4/30/2018 | $9.54 | 1.51% | 1.99% | 1.68% | 4.63% | 76% | $1,019 |
| Year Ended 4/30/2017 | $9.78 | 8.07% | 2.02% | 1.69% | 5.10% | 69% | $668 |
| Year Ended 4/30/2016 | $9.43 | (1.37%) | 2.12% | 1.65% | 5.24% | 70% | $101 |
| Institutional Class | |||||||
| Six Months Ended 10/31/2020 (Unaudited) | $9.09 | 8.72% | 0.89%(c) | 0.66%(c) | 6.18%(c) | 38% | $2,805 |
| Year Ended 4/30/2020 | $8.63 | (2.61%) | 0.90% | 0.64%(d) | 5.54% | 82% | $2,337 |
| Year Ended 4/30/2019 | $9.38 | 5.21% | 0.98% | 0.66% | 6.43% | 60% | $3,834 |
| Year Ended 4/30/2018 | $9.55 | 2.53% | 0.99% | 0.68% | 5.63% | 76% | $1,571 |
| Year Ended 4/30/2017 | $9.79 | 9.27% | 1.03% | 0.69% | 6.24% | 69% | $1,383 |
| Year Ended 4/30/2016 | $9.43 | (0.47%) | 1.11% | 0.65% | 5.99% | 70% | $313 |
| Institutional 2 Class | |||||||
| Six Months Ended 10/31/2020 (Unaudited) | $9.09 | 8.74% | 0.86%(c) | 0.63%(c) | 6.05%(c) | 38% | $25 |
| Year Ended 4/30/2020 | $8.63 | (2.58%) | 0.88% | 0.62% | 5.70% | 82% | $32 |
| Year Ended 4/30/2019 | $9.38 | 5.26% | 0.91% | 0.60% | 6.59% | 60% | $60 |
| Year Ended 4/30/2018 | $9.55 | 2.68% | 0.93% | 0.64% | 5.60% | 76% | $10 |
| Year Ended 4/30/2017 | $9.78 | 9.22% | 0.93% | 0.64% | 5.99% | 69% | $13 |
| Year Ended 4/30/2016 | $9.43 | (0.34%) | 1.06% | 0.60% | 6.03% | 70% | $9 |
The accompanying Notes to Financial
Statements are an integral part of this statement.
| Columbia Multi-Asset Income Fund | Semiannual Report 2020 | 35 |
Financial Highlights (continued)
| Net asset value, beginning of period | Net investment income | Net realized and unrealized gain (loss) | Total from investment operations | Distributions from net investment income | Total distributions to shareholders | |
| Institutional 3 Class | ||||||
| Six Months Ended 10/31/2020 (Unaudited) | $8.61 | 0.29 | 0.46 | 0.75 | (0.29) | (0.29) |
| Year Ended 4/30/2020 | $9.36 | 0.53 | (0.74) | (0.21) | (0.54) | (0.54) |
| Year Ended 4/30/2019 | $9.53 | 0.59 | (0.10) | 0.49 | (0.66) | (0.66) |
| Year Ended 4/30/2018 | $9.76 | 0.56 | (0.29) | 0.27 | (0.50) | (0.50) |
| Year Ended 4/30/2017(e) | $9.78 | 0.11 | (0.05)(f) | 0.06 | (0.08) | (0.08) |
| Notes to Financial Highlights | |
| (a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
| (b) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
| (c) | Annualized. |
| (d) | The benefits derived from expense reductions had an impact of less than 0.01%. |
| (e) | Institutional 3 Class shares commenced operations on March 1, 2017. Per share data and total return reflect activity from that date. |
| (f) | Calculation of the net gain (loss) per share (both realized and unrealized) does not correlate to the aggregate realized and unrealized gain (loss) presented in the Statement of Operations due to the timing of subscriptions and redemptions of Fund shares in relation to fluctuations in the market value of the portfolio. |
The accompanying Notes to
Financial Statements are an integral part of this statement.
| 36 | Columbia Multi-Asset Income Fund | Semiannual Report 2020 |
Financial Highlights (continued)
| Net asset value, end of period | Total return | Total gross expense ratio to average net assets(a) | Total net expense ratio to average net assets(a),(b) | Net investment income ratio to average net assets | Portfolio turnover | Net assets, end of period (000’s) | |
| Institutional 3 Class | |||||||
| Six Months Ended 10/31/2020 (Unaudited) | $9.07 | 8.79% | 0.79%(c) | 0.56%(c) | 6.25%(c) | 38% | $144,211 |
| Year Ended 4/30/2020 | $8.61 | (2.52%) | 0.82% | 0.56% | 5.72% | 82% | $132,688 |
| Year Ended 4/30/2019 | $9.36 | 5.33% | 0.85% | 0.55% | 6.35% | 60% | $137,933 |
| Year Ended 4/30/2018 | $9.53 | 2.73% | 0.87% | 0.58% | 5.70% | 76% | $130,926 |
| Year Ended 4/30/2017(e) | $9.76 | 0.66% | 0.93%(c) | 0.60%(c) | 7.22%(c) | 69% | $127,555 |
The accompanying Notes to Financial Statements are
an integral part of this statement.
| Columbia Multi-Asset Income Fund | Semiannual Report 2020 | 37 |
Notes to Financial Statements
October 31, 2020 (Unaudited)
October 31, 2020 (Unaudited)
Note 1. Organization
Columbia Multi-Asset Income Fund
(the Fund), a series of Columbia Funds Series Trust I (the Trust), is a diversified fund. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management
investment company organized as a Massachusetts business trust.
Fund shares
The Trust may issue an unlimited
number of shares (without par value). The Fund offers each of the share classes listed in the Statement of Assets and Liabilities. Although all share classes generally have identical voting, dividend and liquidation
rights, each share class votes separately when required by the Trust’s organizational documents or by law. Each share class has its own expense and sales charge structure. Different share classes may have
different minimum initial investment amounts and pay different net investment income distribution amounts to the extent the expenses of distributing such share classes vary. Distributions to shareholders in a
liquidation will be proportional to the net asset value of each share class.
As described in the Fund’s
prospectus, Class A and Class C shares are offered to the general public for investment. Class C shares automatically convert to Class A shares after 10 years. Advisor Class, Institutional Class, Institutional 2 Class
and Institutional 3 Class shares are available for purchase through authorized investment professionals to omnibus retirement plans or to institutional investors and to certain other investors as also described in the
Fund’s prospectus.
Note 2. Summary of
significant accounting policies
Basis of preparation
The Fund is an investment company
that applies the accounting and reporting guidance in the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946, Financial Services - Investment Companies (ASC 946). The financial statements are prepared in accordance with U.S. generally accepted accounting principles (GAAP), which requires
management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities, the disclosure of contingent assets and liabilities at the date of the financial statements and the
reported amounts of income and expenses during the reporting period. Actual results could differ from those estimates.
The following is a summary of
significant accounting policies followed by the Fund in the preparation of its financial statements.
Security valuation
Equity securities listed on an
exchange are valued at the closing price or last trade on their primary exchange at the close of business of the New York Stock Exchange. Securities with a closing price not readily available or not listed on any
exchange are valued at the mean between the closing bid and asked prices. Listed preferred stocks convertible into common stocks are valued using an evaluated price from a pricing service.
Debt securities generally are
valued by pricing services approved by the Board of Trustees based upon market transactions for normal, institutional-size trading units of similar securities. The services may use various pricing techniques that take
into account, as applicable, factors such as yield, quality, coupon rate, maturity, type of issue, trading characteristics and other data, as well as approved independent broker-dealer quotes. Debt securities for
which quotations are not readily available or not believed to be reflective of market value may also be valued based upon a bid quote from an approved independent broker-dealer. Debt securities maturing in 60 days or
less are valued primarily at amortized market value, unless this method results in a valuation that management believes does not approximate fair value.
Asset- and mortgage-backed
securities are generally valued by pricing services, which utilize pricing models that incorporate the securities’ cash flow and loan performance data. These models also take into account available market data,
including trades, market quotations, and benchmark yield curves for identical or similar securities. Factors used to identify similar securities may include, but are not limited to, issuer, collateral type, vintage,
prepayment speeds, collateral performance, credit ratings, credit enhancement and expected life. Asset-backed securities for which quotations are readily available may also be valued based upon an over-the-counter or
exchange bid quote from an approved independent broker-dealer. Debt securities maturing in 60 days or less are valued primarily at amortized market value, unless this method results in a valuation that management
believes does not approximate fair value.
| 38 | Columbia Multi-Asset Income Fund | Semiannual Report 2020 |
Notes to Financial Statements (continued)
October 31, 2020 (Unaudited)
October 31, 2020 (Unaudited)
Senior loan securities for which
reliable market quotations are readily available are generally valued by pricing services at the average of the bids received.
Foreign equity securities are
valued based on the closing price or last trade on their primary exchange at the close of business of the New York Stock Exchange. If any foreign equity security closing prices are not readily available, the
securities are valued at the mean of the latest quoted bid and ask prices on such exchanges or markets. Foreign currency exchange rates are determined at the scheduled closing time of the New York Stock Exchange. Many
securities markets and exchanges outside the U.S. close prior to the close of the New York Stock Exchange; therefore, the closing prices for securities in such markets or on such exchanges may not fully reflect events
that occur after such close but before the close of the New York Stock Exchange. In those situations, foreign securities will be fair valued pursuant to a policy adopted by the Board of Trustees. Under the policy, the
Fund may utilize a third-party pricing service to determine these fair values. The third-party pricing service takes into account multiple factors, including, but not limited to, movements in the U.S. securities
markets, certain depositary receipts, futures contracts and foreign exchange rates that have occurred subsequent to the close of the foreign exchange or market, to determine a good faith estimate that reasonably
reflects the current market conditions as of the close of the New York Stock Exchange. The fair value of a security is likely to be different from the quoted or published price, if available.
Investments in open-end investment
companies (other than exchange-traded funds (ETFs)), are valued at the latest net asset value reported by those companies as of the valuation time.
Futures and options on futures
contracts are valued based upon the settlement price at the close of regular trading on their principal exchanges or, in the absence of a settlement price, at the mean of the latest quoted bid and ask prices.
Swap transactions are valued
through an independent pricing service or broker, or if neither is available, through an internal model based upon observable inputs.
Investments for which market
quotations are not readily available, or that have quotations which management believes are not reflective of market value or reliable, are valued at fair value as determined in good faith under procedures approved by
and under the general supervision of the Board of Trustees. If a security or class of securities (such as foreign securities) is valued at fair value, such value is likely to be different from the quoted or published
price for the security, if available.
The determination of fair value
often requires significant judgment. To determine fair value, management may use assumptions including but not limited to future cash flows and estimated risk premiums. Multiple inputs from various sources may be used
to determine fair value.
GAAP requires 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. This information is disclosed following
the Fund’s Portfolio of Investments.
Foreign currency transactions and
translations
The values of all assets and
liabilities denominated in foreign currencies are generally translated into U.S. dollars at exchange rates determined at the close of regular trading on the New York Stock Exchange. Net realized and unrealized gains
(losses) on foreign currency transactions and translations include gains (losses) arising from the fluctuation in exchange rates between trade and settlement dates on securities transactions, gains (losses) arising
from the disposition of foreign currency and currency gains (losses) between the accrual and payment dates on dividends, interest income and foreign withholding taxes.
For financial statement purposes,
the Fund does not distinguish that portion of gains (losses) on investments which is due to changes in foreign exchange rates from that which is due to changes in market prices of the investments. Such fluctuations
are included with the net realized and unrealized gains (losses) on investments in the Statement of Operations.
| Columbia Multi-Asset Income Fund | Semiannual Report 2020 | 39 |
Notes to Financial Statements (continued)
October 31, 2020 (Unaudited)
October 31, 2020 (Unaudited)
Derivative instruments
The Fund invests in certain
derivative instruments, as detailed below, in seeking to meet its investment objectives. Derivatives are instruments whose values depend on, or are derived from, in whole or in part, the value of one or more
securities, currencies, commodities, indices, or other assets or instruments. Derivatives may be used to increase investment flexibility (including to maintain cash reserves while maintaining desired exposure to
certain assets), for risk management (hedging) purposes, to facilitate trading, to reduce transaction costs and to pursue higher investment returns. The Fund may also use derivative instruments to mitigate certain
investment risks, such as foreign currency exchange rate risk, interest rate risk and credit risk. Derivatives may involve various risks, including the potential inability of the counterparty to fulfill its
obligations under the terms of the contract, the potential for an illiquid secondary market (making it difficult for the Fund to sell or terminate, including at favorable prices) and the potential for market movements
which may expose the Fund to gains or losses in excess of the amount shown in the Statement of Assets and Liabilities. The notional amounts of derivative instruments, if applicable, are not recorded in the financial
statements.
A derivative instrument may suffer
a marked-to-market loss if the value of the contract decreases due to an unfavorable change in the market rates or values of the underlying instrument. Losses can also occur if the counterparty does not perform its
obligations under the contract. The Fund’s risk of loss from counterparty credit risk on over-the-counter derivatives is generally limited to the aggregate unrealized gain netted against any collateral held by
the Fund and the amount of any variation margin held by the counterparty, plus any replacement costs or related amounts. With exchange-traded or centrally cleared derivatives, there is reduced counterparty credit risk
to the Fund since the clearinghouse or central counterparty (CCP) provides some protection in the case of clearing member default. The clearinghouse or CCP stands between the buyer and the seller of the contract;
therefore, additional counterparty credit risk is failure of the clearinghouse or CCP. However, credit risk still exists in exchange-traded or centrally cleared derivatives with respect to initial and variation margin
that is held in a broker’s customer account. While clearing brokers are required to segregate customer margin from their own assets, in the event that a clearing broker becomes insolvent or goes into bankruptcy
and at that time there is a shortfall in the aggregate amount of margin held by the clearing broker for all its clients, U.S. bankruptcy laws will typically allocate that shortfall on a pro-rata basis across all the
clearing broker’s customers (including the Fund), potentially resulting in losses to the Fund.
In order to better define its
contractual rights and to secure rights that will help the Fund mitigate its counterparty risk, the Fund may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (ISDA Master Agreement)
or similar agreement with its derivatives counterparties. An ISDA Master Agreement is an agreement between the Fund and a counterparty that governs over-the-counter derivatives and foreign exchange forward contracts
and contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. Under an ISDA Master Agreement, the Fund may, under certain circumstances, offset
with the counterparty certain derivative instrument’s payables and/or receivables with collateral held and/or posted and create one single net payment. The provisions of the ISDA Master Agreement typically
permit a single net payment in the event of default (close-out netting), including the bankruptcy or insolvency of the counterparty. Note, however, that bankruptcy or insolvency laws of a particular jurisdiction may
impose restrictions on or prohibitions against the right of offset or netting in bankruptcy, insolvency or other events.
Collateral (margin) requirements
differ by type of derivative. Margin requirements are established by the clearinghouse or CCP for exchange-traded and centrally cleared derivatives. Brokers can ask for margin in excess of the minimum in certain
circumstances. Collateral terms for most over-the-counter derivatives are subject to regulatory requirements to exchange variation margin with trading counterparties and may have contract specific margin terms as
well. For over-the-counter derivatives traded under an ISDA Master Agreement, the collateral requirements are typically calculated by netting the marked-to-market amount for each transaction under such agreement and
comparing that amount to the value of any variation margin currently pledged by the Fund and/or the counterparty. Generally, the amount of collateral due from or to a party has to exceed a minimum transfer amount
threshold (e.g., $250,000) before a transfer has to be made. To the extent amounts due to the Fund from its counterparties are not fully collateralized, contractually or otherwise, the Fund bears the risk of loss from
counterparty nonperformance. The Fund may also pay interest expense on cash collateral received from the broker. Any interest expense paid by the Fund is shown on the Statement of Operations. The Fund attempts to
mitigate counterparty risk by only entering into agreements with counterparties that it believes have the financial resources to honor their obligations and by monitoring the financial stability of those
counterparties.
| 40 | Columbia Multi-Asset Income Fund | Semiannual Report 2020 |
Notes to Financial Statements (continued)
October 31, 2020 (Unaudited)
October 31, 2020 (Unaudited)
Certain ISDA Master Agreements
allow counterparties of over-the-counter derivatives transactions to terminate derivatives contracts prior to maturity in the event the Fund’s net asset value declines by a stated percentage over a specified
time period or if the Fund fails to meet certain terms of the ISDA Master Agreement, which would cause the Fund to accelerate payment of any net liability owed to the counterparty. The Fund also has termination rights
if the counterparty fails to meet certain terms of the ISDA Master Agreement. In determining whether to exercise such termination rights, the Fund would consider, in addition to counterparty credit risk, whether
termination would result in a net liability owed from the counterparty.
For financial reporting purposes,
the Fund does not offset derivative assets and derivative liabilities that are subject to netting arrangements in the Statement of Assets and Liabilities.
Futures contracts
Futures contracts are
exchange-traded and represent commitments for the future purchase or sale of an asset at a specified price on a specified date. The Fund bought and sold futures contracts to produce incremental earnings, to manage the
duration and yield curve exposure of the Fund versus the benchmark, to manage exposure to movements in interest rates and to manage exposure to the securities market. These instruments may be used for other purposes
in future periods. Upon entering into futures contracts, the Fund bears risks that it may not achieve the anticipated benefits of the futures contracts and may realize a loss. Additional risks include counterparty
credit risk, the possibility of an illiquid market, and that a change in the value of the contract or option may not correlate with changes in the value of the underlying asset.
Upon entering into a futures
contract, the Fund deposits cash or securities with the broker, known as a futures commission merchant (FCM), in an amount sufficient to meet the initial margin requirement. The initial margin deposit must be
maintained at an established level over the life of the contract. Cash deposited as initial margin is recorded in the Statement of Assets and Liabilities as margin deposits. Securities deposited as initial margin are
designated in the Portfolio of Investments. Subsequent payments (variation margin) are made or received by the Fund each day. The variation margin payments are equal to the daily change in the contract value and are
recorded as variation margin receivable or payable and are offset in unrealized gains or losses. The Fund recognizes a realized gain or loss when the contract is closed or expires. Futures contracts involve, to
varying degrees, risk of loss in excess of the variation margin disclosed in the Statement of Assets and Liabilities.
Swap contracts
Swap contracts are negotiated in
the over-the-counter market and may be entered into as a bilateral contract or centrally cleared (centrally cleared swap contract). In a centrally cleared swap contract, immediately following execution of the swap
contract with a broker, the swap contract is novated to a central counterparty (the CCP) and the CCP becomes the Fund’s counterparty to the centrally cleared swap contract. The Fund is required to deposit
initial margin with the futures commission merchant (FCM), which pledges it through to the CCP in the form of cash or securities in an amount that varies depending on the size and risk profile of the particular swap
contract. Securities deposited as initial margin are designated in the Portfolio of Investments and cash deposited is recorded in the Statement of Assets and Liabilities as margin deposits. For a bilateral swap
contract, the Fund has credit exposure to the broker, but exchanges daily variation margin with the broker based on the mark-to-market value of the swap contract to minimize that exposure. For centrally cleared swap
contracts, the Fund has minimal credit exposure to the FCM because the CCP stands between the Fund and the relevant buyer/seller on the other side of the contract. Swap contracts are marked-to-market daily and changes
in value are recorded as unrealized appreciation (depreciation). The daily change in valuation of centrally cleared swap contracts, if any, is recorded as a receivable or payable for variation margin in the Statement
of Assets and Liabilities.
Entering into these contracts
involves, to varying degrees, elements of interest, liquidity and counterparty credit risk in excess of the amounts recognized in the Statement of Assets and Liabilities. Such risks involve the possibility that there
may be unfavorable changes in interest rates, market conditions or other conditions, that it may be difficult to initiate a swap transaction or liquidate a position at an advantageous time or price which may result in
significant losses, and that the FCM or CCP may not fulfill its obligation under the contract.
| Columbia Multi-Asset Income Fund | Semiannual Report 2020 | 41 |
Notes to Financial Statements (continued)
October 31, 2020 (Unaudited)
October 31, 2020 (Unaudited)
Credit default swap contracts
The Fund entered into credit
default swap contracts to increase or decrease its credit exposure to a specific debt security or a basket of debt securities, as a protection buyer to reduce overall credit exposure. These instruments may be used for
other purposes in future periods. Credit default swap contracts are transactions in which one party pays fixed periodic payments to a counterparty in consideration for an agreement from the counterparty to make a
specific payment should a specified credit event(s) take place. Although specified credit events are contract specific, credit events are typically bankruptcy, failure to pay, restructuring, obligation acceleration,
obligation default, or repudiation/moratorium.
As the purchaser of a credit
default swap contract, the Fund purchases protection by paying a periodic interest rate on the notional amount to the counterparty. The interest amount is accrued daily as a component of unrealized appreciation
(depreciation) and is recorded as a realized loss upon payment. If a credit event as specified in the contract occurs, the Fund may have the option either to deliver the reference obligation to the seller in exchange
for a cash payment of its par amount, or to receive a net cash settlement equal to the par amount less an agreed-upon value of the reference obligation as of the date of the credit event. The difference between the
value of the obligation or cash delivered and the notional amount received will be recorded as a realized gain (loss).
As the seller of a credit default
swap contract, the Fund sells protection to a buyer and will generally receive a periodic interest rate on a notional amount. The interest amount is accrued daily as a component of unrealized appreciation
(depreciation) and is recorded as a realized gain upon receipt of the payment. If a credit event as specified in the contract with the counterparty occurs, the Fund may either be required to accept the reference
obligation from the buyer in exchange for a cash payment of its notional amount, or to pay the buyer a net cash settlement equal to the notional amount less an agreed-upon value of the reference obligation (recovery
value) as of the date of the credit event. The difference between the value of the obligation or cash received and the notional amount paid will be recorded as a realized gain (loss). The maximum potential amount of
undiscounted future payments the Fund could be required to make as the seller of protection under a credit default swap contract is equal to the notional amount of the reference obligation. These potential amounts may
be partially offset by any recovery values of the respective reference obligations or upfront receipts upon entering into the agreement. The notional amounts and market values of all credit default swap contracts in
which the Fund is the seller of protection, if any, are disclosed in the Credit Default Swap Contracts Outstanding schedule following the Portfolio of Investments.
As a protection seller, the Fund
bears the risk of loss from the credit events specified in the contract with the counterparty. For credit default swap contracts on credit indices, quoted market prices and resulting market values serve as an
indicator of the current status of the payment/performance risk. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the reference entity’s
credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the contract.
Any upfront payments or receipts by
the Fund upon entering into a credit default swap contract is recorded as an asset or liability, respectively, and amortized daily as a component of realized gain (loss) in the Statement of Operations. Credit default
swap contracts are valued daily, and the change in value is recorded as unrealized appreciation (depreciation) until the termination of the swap, at which time a realized gain (loss) is recorded.
Credit default swap contracts can
involve greater risks than if a fund had invested in the reference obligation directly since, in addition to general market risks, credit default swaps are subject to counterparty credit risk, leverage risk, hedging
risk, correlation risk and liquidity risk.
Effects of derivative transactions in
the financial statements
The following tables are intended
to provide additional information about the effect of derivatives on the financial statements of the Fund, including: the fair value of derivatives by risk category and the location of those fair values in the
Statement of Assets and Liabilities; and the impact of derivative transactions over the period in the Statement of Operations, including realized and unrealized gains (losses). The derivative instrument schedules
following the Portfolio of Investments present additional information regarding derivative instruments outstanding at the end of the period, if any.
| 42 | Columbia Multi-Asset Income Fund | Semiannual Report 2020 |
Notes to Financial Statements (continued)
October 31, 2020 (Unaudited)
October 31, 2020 (Unaudited)
The following table is a summary of
the fair value of derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) at October 31, 2020:
| Liability derivatives | ||
| Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
| Credit risk | Component of total distributable earnings (loss) — unrealized depreciation on swap contracts | 21,710* |
| Equity risk | Component of total distributable earnings (loss) — unrealized depreciation on futures contracts | 354,237* |
| Interest rate risk | Component of total distributable earnings (loss) — unrealized depreciation on futures contracts | 163,208* |
| Total | 539,155 |
| * | Includes cumulative appreciation (depreciation) as reported in the tables following the Portfolio of Investments. Only the current day’s variation margin is reported in receivables or payables in the Statement of Assets and Liabilities. |
The following table indicates the
effect of derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) in the Statement of Operations for the six months ended October 31, 2020:
| Amount of realized gain (loss) on derivatives recognized in income | |||
| Risk exposure category | Futures contracts ($) | Swap contracts ($) | Total ($) |
| Credit risk | — | 48,746 | 48,746 |
| Interest rate risk | 2,690,408 | — | 2,690,408 |
| Total | 2,690,408 | 48,746 | 2,739,154 |
| Change in unrealized appreciation (depreciation) on derivatives recognized in income | |||
| Risk exposure category | Futures contracts ($) | Swap contracts ($) | Total ($) |
| Credit risk | — | (150,331) | (150,331) |
| Equity risk | (354,237) | — | (354,237) |
| Interest rate risk | (1,435,730) | — | (1,435,730) |
| Total | (1,789,967) | (150,331) | (1,940,298) |
The following table is a summary
of the average outstanding volume by derivative instrument for the six months ended October 31, 2020:
| Derivative instrument | Average notional amounts ($)* |
| Futures contracts — long | 37,909,129 |
| Credit default swap contracts — sell protection | 6,449,500 |
| * | Based on the ending quarterly outstanding amounts for the six months ended October 31, 2020. |
Investments in senior loans
The Fund may invest in senior loan
assignments. When the Fund purchases an assignment of a senior loan, the Fund typically has direct rights against the borrower; provided, however, that the Fund’s rights may be more limited than the lender from
which it acquired the assignment and the Fund may be able to enforce its rights only through an administrative agent. Although certain senior loan assignments are secured by collateral, the Fund could experience
delays or limitations in realizing such collateral or have its interest subordinated to other indebtedness of the obligor. In the event that the administrator or collateral agent of a loan becomes insolvent or enters
into receivership or bankruptcy, the Fund may incur costs and delays in realizing payment or may suffer a loss of principal and/or interest. The risk of loss is greater for unsecured or subordinated loans. In
addition, senior loan assignments are vulnerable to market, economic or other conditions or events that may reduce the demand for senior loan assignments and certain senior loan assignments which were liquid when
purchased, may become illiquid.
| Columbia Multi-Asset Income Fund | Semiannual Report 2020 | 43 |
Notes to Financial Statements (continued)
October 31, 2020 (Unaudited)
October 31, 2020 (Unaudited)
The Fund may enter into senior loan
assignments where all or a portion of the loan may be unfunded. The Fund is obligated to fund these commitments at the borrower’s discretion. These commitments, if any, are generally traded and priced in the
same manner as other senior loan securities and are disclosed as unfunded senior loan commitments in the Fund’s Portfolio of Investments with a corresponding payable for investments purchased. The Fund
designates cash or liquid securities to cover these commitments.
Asset- and mortgage-backed
securities
The Fund may invest in asset-backed
and mortgage-backed securities. The maturity dates shown represent the original maturity of the underlying obligation. Actual maturity may vary based upon prepayment activity on these obligations. All, or a portion,
of the obligation may be prepaid at any time because the underlying asset may be prepaid. As a result, decreasing market interest rates could result in an increased level of prepayment. An increased prepayment rate
will have the effect of shortening the maturity of the security. Unless otherwise noted, the coupon rates presented are fixed rates.
Delayed delivery securities
The Fund may trade securities on
other than normal settlement terms, including securities purchased or sold on a “when-issued” or "forward commitment" basis. This may increase risk to the Fund since the other party to the transaction may
fail to deliver, which could cause the Fund to subsequently invest at less advantageous prices. The Fund designates cash or liquid securities in an amount equal to the delayed delivery commitment.
Equity-linked notes
The Fund may invest in
equity-linked notes (ELNs). An ELN is a debt instrument, generally valued based on a quotation received from a counterparty, which is based on the value of a single equity security, basket of equity securities or an
index of equity securities (each, an Underlying Equity). An ELN typically provides interest income, thereby offering a yield advantage over investing directly in an Underlying Equity. However, the holder of an ELN may
have limited or no benefit from any appreciation in the Underlying Equity, but is exposed to various risks, including, without limitation, volatility, issuer and market risk. The Fund may purchase ELNs that trade on a
securities exchange or those that trade on the over-the-counter markets, including securities offered and sold under Rule 144A of the Securities Act of 1933, as amended. The Fund may also purchase an ELN in a
privately negotiated transaction with the issuer of the ELN (or its broker-dealer affiliate).
Interest only and principal only
securities
The Fund may invest in Interest
Only (IO) or Principal Only (PO) securities. IOs are stripped securities entitled to receive all of the security’s interest, but none of its principal. IOs are particularly sensitive to changes in interest rates
and therefore subject to greater fluctuations in price than typical interest bearing debt securities. IOs are also subject to credit risk because the Fund may not receive all or part of the interest payments if the
issuer, obligor, guarantor or counterparty defaults on its obligation. Payments received for IOs are included in interest income on the Statement of Operations. Because no principal will be received at the maturity of
an IO, adjustments are made to the cost of the security on a monthly basis until maturity. These adjustments are included in interest income on the Statement of Operations. POs are stripped securities entitled to
receive the principal from the underlying obligation, but not the interest. POs are particularly sensitive to changes in interest rates and therefore are subject to fluctuations in price. POs are also subject to
credit risk because the Fund may not receive all or part of its principal if the issuer, obligor, guarantor or counterparty defaults on its obligation. The Fund may also invest in IO or PO stripped mortgage-backed
securities. Payments received for POs are treated as reductions to the cost and par value of the securities.
| 44 | Columbia Multi-Asset Income Fund | Semiannual Report 2020 |
Notes to Financial Statements (continued)
October 31, 2020 (Unaudited)
October 31, 2020 (Unaudited)
Offsetting of assets and
liabilities
The following table presents the
Fund’s gross and net amount of assets and liabilities available for offset under netting arrangements as well as any related collateral received or pledged by the Fund as of October 31, 2020:
| Morgan Stanley ($) | |
| Liabilities | |
| Centrally cleared credit default swap contracts (a) | 2,045 |
| Total financial and derivative net assets | (2,045) |
| Total collateral received (pledged) (b) | (2,045) |
| Net amount (c) | (0) |
| (a) | Centrally cleared swaps are included within payable/receivable for variation margin on the Statement of Assets and Liabilities. |
| (b) | In some instances, the actual collateral received and/or pledged may be more than the amount shown due to overcollateralization. |
| (c) | Represents the net amount due from/(to) counterparties in the event of default. |
Security transactions
Security transactions are accounted
for on the trade date. Cost is determined and gains (losses) are based upon the specific identification method for both financial statement and federal income tax purposes.
The trade date for senior loans
purchased in the primary market is the date on which the loan is allocated. The trade date for senior loans purchased in the secondary market is the date on which the transaction is entered into.
Income recognition
Interest income is recorded on an
accrual basis. Market premiums and discounts, including original issue discounts, are amortized and accreted, respectively, over the expected life of the security on all debt securities, unless otherwise noted. The
Fund classifies gains and losses realized on prepayments received on mortgage-backed securities as adjustments to interest income.
The Fund may place a debt security
on non-accrual status and reduce related interest income when it becomes probable that the interest will not be collected and the amount of uncollectible interest can be reasonably estimated. A defaulted debt security
is removed from non-accrual status when the issuer resumes interest payments or when collectibility of interest is reasonably assured.
Corporate actions and dividend
income are generally recorded net of any non-reclaimable tax withholdings, on the ex-dividend date or upon receipt of ex-dividend notification in the case of certain foreign securities.
The Fund may receive distributions
from holdings in equity securities, business development companies (BDCs), exchange-traded funds (ETFs), limited partnerships (LPs), other regulated investment companies (RICs), and real estate investment trusts
(REITs), which report information as to the tax character of their distributions annually. These distributions are allocated to dividend income, capital gain and return of capital based on actual information reported.
Return of capital is recorded as a reduction of the cost basis of securities held. If the Fund no longer owns the applicable securities, return of capital is recorded as a realized gain. With respect to REITs, to the
extent actual information has not yet been reported, estimates for return of capital are made by Columbia Management Investment Advisers, LLC (the Investment Manager), a wholly-owned subsidiary of Ameriprise
Financial, Inc. (Ameriprise Financial). The Investment Manager’s estimates are subsequently adjusted when the actual character of the distributions is disclosed by the REITs, which could result in a
proportionate change in return of capital to shareholders.
Awards from class action litigation
are recorded as a reduction of cost basis if the Fund still owns the applicable securities on the payment date. If the Fund no longer owns the applicable securities on the payment date, the proceeds are recorded as
realized gains.
The value of additional securities
received as an income payment through a payment in kind, if any, is recorded as interest income and increases the cost basis of such securities.
| Columbia Multi-Asset Income Fund | Semiannual Report 2020 | 45 |
Notes to Financial Statements (continued)
October 31, 2020 (Unaudited)
October 31, 2020 (Unaudited)
The Fund may receive other income
from senior loans, including amendment fees, consent fees and commitment fees. These fees are recorded as income when received by the Fund. These amounts are included in Interest Income in the Statement of
Operations.
Expenses
General expenses of the Trust are
allocated to the Fund and other funds of the Trust based upon relative net assets or other expense allocation methodologies determined by the nature of the expense. Expenses directly attributable to the Fund are
charged to the Fund. Expenses directly attributable to a specific class of shares are charged to that share class.
Determination of class net asset
value
All income, expenses (other than
class-specific expenses, which are charged to that share class, as shown in the Statement of Operations) and realized and unrealized gains (losses) are allocated to each class of the Fund on a daily basis, based on
the relative net assets of each class, for purposes of determining the net asset value of each class.
Federal income tax status
The Fund intends to qualify each
year as a regulated investment company under Subchapter M of the Internal Revenue Code, as amended, and will distribute substantially all of its investment company taxable income and net capital gain, if any, for its
tax year, and as such will not be subject to federal income taxes. In addition, the Fund intends to distribute in each calendar year substantially all of its ordinary income, capital gain net income and certain other
amounts, if any, such that the Fund should not be subject to federal excise tax. Therefore, no federal income or excise tax provision is recorded.
Foreign taxes
The Fund may be subject to foreign
taxes on income, gains on investments or currency repatriation, a portion of which may be recoverable. The Fund will accrue such taxes and recoveries, as applicable, based upon its current interpretation of tax rules
and regulations that exist in the markets in which it invests.
Realized gains in certain countries
may be subject to foreign taxes at the Fund level, based on statutory rates. The Fund accrues for such foreign taxes on realized and unrealized gains at the appropriate rate for each jurisdiction, as applicable. The
amount, if any, is disclosed as a liability on the Statement of Assets and Liabilities.
Distributions to shareholders
Distributions from net investment
income, if any, are declared and paid monthly. Net realized capital gains, if any, are distributed at least annually. Income distributions and capital gain distributions are determined in accordance with federal
income tax regulations, which may differ from GAAP.
Guarantees and indemnifications
Under the Trust’s
organizational documents and, in some cases, by contract, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Trust or its funds. In addition,
certain of the Fund’s contracts with its service providers contain general indemnification clauses. The Fund’s maximum exposure under these arrangements is unknown since the amount of any future claims
that may be made against the Fund cannot be determined, and the Fund has no historical basis for predicting the likelihood of any such claims.
Note 3. Fees and other
transactions with affiliates
Management services fees
The Fund has entered into a
Management Agreement with Columbia Management Investment Advisers, LLC (the Investment Manager), a wholly-owned subsidiary of Ameriprise Financial, Inc. (Ameriprise Financial). Under the Management Agreement, the
Investment Manager provides the Fund with investment research and advice, as well as administrative and accounting services. The management services fee is an annual fee that is equal to a percentage of the
Fund’s daily net assets that declines from 0.66% to 0.51% as the Fund’s net assets increase. The annualized effective management services fee rate for the six months ended October 31, 2020 was 0.66% of the
Fund’s average daily net assets.
| 46 | Columbia Multi-Asset Income Fund | Semiannual Report 2020 |
Notes to Financial Statements (continued)
October 31, 2020 (Unaudited)
October 31, 2020 (Unaudited)
Subadvisory agreement
The Fund’s Board of Trustees
has approved a subadvisory agreement between the Investment Manager and Threadneedle International Limited (Threadneedle), an affiliate of the Investment Manager and an indirect wholly-owned subsidiary of Ameriprise
Financial. As of October 31, 2020, Threadneedle is not providing services to the Fund pursuant to the subadvisory agreement.
Compensation of board members
Members of the Board of Trustees
who are not officers or employees of the Investment Manager or Ameriprise Financial are compensated for their services to the Fund as disclosed in the Statement of Operations. These members of the Board of Trustees
may participate in a Deferred Compensation Plan (the Deferred Plan) which may be terminated at any time. Obligations of the Deferred Plan will be paid solely out of the Fund’s assets, and all amounts payable
under the Deferred Plan constitute a general unsecured obligation of the Fund.
Compensation of Chief Compliance
Officer
The Board of Trustees has appointed
a Chief Compliance Officer for the Fund in accordance with federal securities regulations. As disclosed in the Statement of Operations, a portion of the Chief Compliance Officer’s total compensation is allocated
to the Fund, along with other allocations to affiliated registered investment companies managed by the Investment Manager and its affiliates, based on relative net assets.
Transactions with affiliates
For the six months ended October
31, 2020, the Fund engaged in purchase and/or sale transactions with affiliates and/or accounts that have a common investment manager (or affiliated investment managers), common directors/trustees, and/or common
officers. Those purchase and sale transactions complied with provisions of Rule 17a-7 under the 1940 Act and were $376,400 and $0, respectively.
Transfer agency fees
Under a Transfer and Dividend
Disbursing Agent Agreement, Columbia Management Investment Services Corp. (the Transfer Agent), an affiliate of the Investment Manager and a wholly-owned subsidiary of Ameriprise Financial, is responsible for
providing transfer agency services to the Fund. The Transfer Agent has contracted with DST Asset Manager Solutions, Inc. (DST) to serve as sub-transfer agent. The Transfer Agent pays the fees of DST for services as
sub-transfer agent and DST is not entitled to reimbursement for such fees from the Fund (with the exception of out-of-pocket fees).
The Fund pays the Transfer Agent a
monthly transfer agency fee based on the number or the average value of accounts, depending on the type of account. In addition, the Fund pays the Transfer Agent a fee for shareholder services based on the number of
accounts or on a percentage of the average aggregate value of the Fund’s shares maintained in omnibus accounts up to the lesser of the amount charged by the financial intermediary or a cap established by the
Board of Trustees from time to time.
The Transfer Agent also receives
compensation from the Fund for various shareholder services and reimbursements for certain out-of-pocket fees. Total transfer agency fees for Institutional 2 Class and Institutional 3 Class shares are subject to an
annual limitation of not more than 0.07% and 0.02%, respectively, of the average daily net assets attributable to each share class.
| Columbia Multi-Asset Income Fund | Semiannual Report 2020 | 47 |
Notes to Financial Statements (continued)
October 31, 2020 (Unaudited)
October 31, 2020 (Unaudited)
For the six months ended October
31, 2020, the Fund’s annualized effective transfer agency fee rates as a percentage of average daily net assets of each class were as follows:
| Effective rate (%) | |
| Class A | 0.11 |
| Advisor Class | 0.11 |
| Class C | 0.11 |
| Institutional Class | 0.11 |
| Institutional 2 Class | 0.07 |
| Institutional 3 Class | 0.01 |
An annual minimum account balance
fee of $20 may apply to certain accounts with a value below the applicable share class’s initial minimum investment requirements to reduce the impact of small accounts on transfer agency fees. These minimum
account balance fees are remitted to the Fund and recorded as part of expense reductions in the Statement of Operations. For the six months ended October 31, 2020, no minimum account balance fees were charged by the
Fund.
Distribution and service fees
The Fund has entered into an
agreement with Columbia Management Investment Distributors, Inc. (the Distributor), an affiliate of the Investment Manager and a wholly-owned subsidiary of Ameriprise Financial, for distribution and shareholder
services. The Board of Trustees has approved, and the Fund has adopted, distribution and shareholder service plans (the Plans) applicable to certain share classes, which set the distribution and service fees for the
Fund. These fees are calculated daily and are intended to compensate the Distributor and/or eligible selling and/or servicing agents for selling shares of the Fund and providing services to investors.
Under the Plans, the Fund pays a
monthly service fee to the Distributor at the maximum annual rate of 0.25% of the average daily net assets attributable to Class A and Class C shares of the Fund. Also under the Plans, the Fund pays a monthly
distribution fee to the Distributor at the maximum annual rate of 0.75% of the average daily net assets attributable to Class C shares of the Fund.
Sales charges
Sales charges, including front-end
charges and contingent deferred sales charges (CDSCs), received by the Distributor for distributing Fund shares for the six months ended October 31, 2020, if any, are listed below:
| Front End (%) | CDSC (%) | Amount ($) | |
| Class A | 4.75 | 0.50 - 1.00(a) | 3,406 |
| Class C | — | 1.00(b) | 399 |
| (a) | This charge is imposed on certain investments of between $1 million and $50 million redeemed within 18 months after purchase, as follows: 1.00% if redeemed within 12 months after purchase, and 0.50% if redeemed more than 12, but less than 18, months after purchase, with certain limited exceptions. |
| (b) | This charge applies to redemptions within 12 months after purchase, with certain limited exceptions. |
The Fund’s other share
classes are not subject to sales charges.
| 48 | Columbia Multi-Asset Income Fund | Semiannual Report 2020 |
Notes to Financial Statements (continued)
October 31, 2020 (Unaudited)
October 31, 2020 (Unaudited)
Expenses waived/reimbursed by the
Investment Manager and its affiliates
The Investment Manager and certain
of its affiliates have contractually agreed to waive fees and/or reimburse expenses (excluding certain fees and expenses described below) for the period(s) disclosed below, unless sooner terminated at the sole
discretion of the Board of Trustees, so that the Fund’s net operating expenses, including indirect expenses of the underlying funds, after giving effect to fees waived/expenses reimbursed and any balance credits
and/or overdraft charges from the Fund’s custodian, do not exceed the following annual rate(s) as a percentage of the class’ average daily net assets:
| September 1, 2020 through August 31, 2021 | Prior to September 1, 2020 | |
| Class A | 0.99% | 0.99% |
| Advisor Class | 0.74 | 0.74 |
| Class C | 1.74 | 1.74 |
| Institutional Class | 0.74 | 0.74 |
| Institutional 2 Class | 0.71 | 0.70 |
| Institutional 3 Class | 0.65 | 0.64 |
Under the agreement governing
these fee waivers and/or expense reimbursement arrangements, the following fees and expenses are excluded from the waiver/reimbursement commitment, and therefore will be paid by the Fund, if applicable: taxes
(including foreign transaction taxes), transaction costs and brokerage commissions, costs related to any securities lending program, dividend expenses associated with securities sold short, inverse floater program
fees and expenses, transaction charges and interest on borrowed money, interest, infrequent and/or unusual expenses and any other expenses the exclusion of which is specifically approved by the Board of Trustees. This
agreement may be modified or amended only with approval from the Investment Manager, certain of its affiliates and the Fund. Any fees waived and/or expenses reimbursed under the expense reimbursement arrangements
described above are not recoverable by the Investment Manager or its affiliates in future periods.
Note 4. Federal tax
information
The timing and character of
income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP because of temporary or permanent book to tax differences.
At October 31, 2020, the
approximate cost of all investments for federal income tax purposes and the aggregate gross approximate unrealized appreciation and depreciation based on that cost was:
| Federal tax cost ($) | Gross unrealized appreciation ($) | Gross unrealized (depreciation) ($) | Net unrealized appreciation ($) |
| 149,831,000 | 6,632,000 | (6,501,000) | 131,000 |
Tax cost of investments and
unrealized appreciation/(depreciation) may also include timing differences that do not constitute adjustments to tax basis.
The following capital loss
carryforwards, determined at April 30, 2020, may be available to reduce future net realized gains on investments, if any, to the extent permitted by the Internal Revenue Code.
| No expiration short-term ($) | No expiration long-term ($) | Total ($) |
| (11,291,288) | — | (11,291,288) |
Management of the Fund has
concluded that there are no significant uncertain tax positions in the Fund that would require recognition in the financial statements. However, management’s conclusion may be subject to review and adjustment at
a later date based on factors including, but not limited to, new tax laws, regulations, and administrative interpretations (including relevant court decisions). Generally, the Fund’s federal tax returns for the
prior three fiscal years remain subject to examination by the Internal Revenue Service.
| Columbia Multi-Asset Income Fund | Semiannual Report 2020 | 49 |
Notes to Financial Statements (continued)
October 31, 2020 (Unaudited)
October 31, 2020 (Unaudited)
Note 5. Portfolio
information
The cost of purchases and
proceeds from sales of securities, excluding short-term investments and derivatives, if any, aggregated to $55,868,096 and $52,813,640, respectively, for the six months ended October 31, 2020, of which $708,596 and
$672,767, respectively, were U.S. government securities. The amount of purchase and sale activity impacts the portfolio turnover rate reported in the Financial Highlights.
Note 6. Affiliated money
market fund
The Fund invests in Columbia
Short-Term Cash Fund, an affiliated money market fund established for the exclusive use by the Fund and other affiliated funds (the Affiliated MMF). The income earned by the Fund from such investments is included as
Dividends - affiliated issuers in the Statement of Operations. As an investing fund, the Fund indirectly bears its proportionate share of the expenses of the Affiliated MMF. The Affiliated MMF prices its shares with a
floating net asset value. In addition, the Board of Trustees of the Affiliated MMF may impose a fee on redemptions (sometimes referred to as a liquidity fee) or temporarily suspend redemptions (sometimes referred to
as imposing a redemption gate) in the event its liquidity falls below regulatory limits.
Note 7. Interfund
lending
Pursuant to an exemptive order
granted by the Securities and Exchange Commission, the Fund participates in a program (the Interfund Program) allowing each participating Columbia Fund (each, a Participating Fund) to lend money directly to and,
except for closed-end funds and money market funds, borrow money directly from other Participating Funds for temporary purposes. The amounts eligible for borrowing and lending under the Interfund Program are subject
to certain restrictions.
Interfund loans are subject to the
risk that the borrowing fund could be unable to repay the loan when due, and a delay in repayment to the lending fund could result in lost opportunities and/or additional lending costs. The exemptive order is subject
to conditions intended to mitigate conflicts of interest arising from the Investment Manager’s relationship with each Participating Fund.
The Fund did not borrow or lend
money under the Interfund Program during the six months ended October 31, 2020.
Note 8. Line of credit
The Fund has access to a
revolving credit facility with a syndicate of banks led by Citibank, N.A., Wells Fargo Bank, N.A. and JPMorgan Chase Bank, N.A. whereby the Fund may borrow for the temporary funding of shareholder redemptions or for
other temporary or emergency purposes. Pursuant to a December 1, 2020 amendment, the credit facility, which is a collective agreement between the Fund and certain other funds managed by the Investment Manager or an
affiliated investment manager, severally and not jointly, permits collective borrowings up to $950 million. Interest is charged to each participating fund based on its borrowings at a rate equal to the higher of (i)
the federal funds effective rate, (ii) the one-month LIBOR rate and (iii) the overnight bank funding rate, plus in each case, 1.25%. Each borrowing under the credit facility matures no later than 60 days after the
date of borrowing. The Fund also pays a commitment fee equal to its pro rata share of the unused amount of the credit facility at a rate of 0.15% per annum. The commitment fee is included in other expenses in the
Statement of Operations. This agreement expires annually in December unless extended or renewed. Prior to the December 1, 2020 amendment, the Fund has access to a revolving credit facility with a syndicate of banks
led by Citibank, N.A., HSBC Bank USA, N.A. and JPMorgan Chase Bank, N.A. which permitted collective borrowings up to 1 billion. Interest was charged to each participating fund based on its borrowings at a rate equal
to the higher of (i) the federal funds effective rate, (ii) the one-month LIBOR rate and (iii) the overnight bank funding rate, plus in each case, 1.00%.
The Fund had no borrowings during
the six months ended October 31, 2020.
| 50 | Columbia Multi-Asset Income Fund | Semiannual Report 2020 |
Notes to Financial Statements (continued)
October 31, 2020 (Unaudited)
October 31, 2020 (Unaudited)
Note 9. Significant
risks
Credit risk
Credit risk is the risk that the
value of debt instruments in the Fund’s portfolio may decline because the issuer defaults or otherwise becomes unable or unwilling, or is perceived to be unable or unwilling, to honor its financial obligations,
such as making payments to the Fund when due. Credit rating agencies assign credit ratings to certain debt instruments to indicate their credit risk. Lower rated or unrated debt instruments held by the Fund may
present increased credit risk as compared to higher-rated debt instruments.
Foreign securities and emerging
market countries risk
Investing in foreign securities may
involve certain risks not typically associated with investing in U.S. securities, such as increased currency volatility and risks associated with political, regulatory, economic, social, diplomatic and other
conditions or events occurring in the country or region, which may result in significant market volatility. In addition, certain foreign securities may not be as liquid as U.S. securities. Investing in emerging
markets may increase these risks and expose the Fund to elevated risks associated with increased inflation, deflation or currency devaluation. To the extent that the Fund concentrates its investment exposure to any
one or a few specific countries, the Fund will be particularly susceptible to the risks associated with the conditions, events or other factors impacting those countries or regions and may, therefore, have a greater
risk than that of a fund that is more geographically diversified.
Interest rate risk
Interest rate risk is the risk of
losses attributable to changes in interest rates. In general, if prevailing interest rates rise, the values of debt securities tend to fall, and if interest rates fall, the values of debt securities tend to rise.
Actions by governments and central banking authorities can result in increases in interest rates. Increasing interest rates may negatively affect the value of debt securities held by the Fund, resulting in a negative
impact on the Fund’s performance and net asset value per share. In general, the longer the maturity or duration of a debt security, the greater its sensitivity to changes in interest rates. The Fund is subject
to the risk that the income generated by its investments may not keep pace with inflation.
Liquidity risk
Liquidity risk is the risk
associated with a lack of marketability of investments which may make it difficult to sell the investment at a desirable time or price. Changing regulatory, market or other conditions or environments (for example, the
interest rate or credit environments) may adversely affect the liquidity of the Fund’s investments. The Fund may have to accept a lower selling price for the holding, sell other investments, or forego another,
more appealing investment opportunity. Generally, the less liquid the market at the time the Fund sells a portfolio investment, the greater the risk of loss or decline of value to the Fund. A less liquid market can
lead to an increase in Fund redemptions, which may negatively impact Fund performance and net asset value per share, including, for example, if the Fund is forced to sell securities in a down market.
Market and environment risk
The Fund may incur losses due to
declines in the value of one or more securities in which it invests. These declines may be due to factors affecting a particular issuer, or the result of, among other things, political, regulatory, market, economic or
social developments affecting the relevant market(s) more generally. In addition, turbulence in financial markets and reduced liquidity in equity, credit and/or fixed income markets may negatively affect many issuers,
which could adversely affect the Fund, including causing difficulty in assigning prices to hard-to-value assets in thinly traded and closed markets, significant redemptions and operational challenges. Global economies
and financial markets are increasingly interconnected, and conditions and events in one country, region or financial market may adversely impact issuers in a different country, region or financial market. These risks
may be magnified if certain events or developments adversely interrupt the global supply chain; in these and other circumstances, such risks might affect companies worldwide. As a result, local, regional or global
events such as terrorism, war, natural disasters, disease/virus outbreaks and epidemics or other public health issues, recessions, depressions or other events – or the potential for such events – could
have a significant negative impact on global economic and market conditions.
| Columbia Multi-Asset Income Fund | Semiannual Report 2020 | 51 |
Notes to Financial Statements (continued)
October 31, 2020 (Unaudited)
October 31, 2020 (Unaudited)
The Fund performance may also be
significantly negatively impacted by the economic impact of the coronavirus disease 2019 (COVID-19) pandemic. The COVID-19 public health crisis has become a pandemic that has resulted in, and may continue to result
in, significant global economic and societal disruption and market volatility due to disruptions in market access, resource availability, facilities operations, imposition of tariffs, export controls and supply chain
disruption, among others. Such disruptions may be caused, or exacerbated by, quarantines and travel restrictions, workforce displacement and loss in human and other resources. The uncertainty surrounding the
magnitude, duration, reach, costs and effects of the global pandemic, as well as actions that have been or could be taken by governmental authorities or other third parties, present unknowns that are yet to unfold.
The impacts, as well as the uncertainty over impacts to come, of COVID-19 – and any other infectious illness outbreaks, epidemics and pandemics that may arise in the future – could negatively affect global
economies and markets in ways that cannot necessarily be foreseen. In addition, the impact of infectious illness outbreaks and epidemics in emerging market countries may be greater due to generally less established
healthcare systems, governments and financial markets. Public health crises caused by the COVID-19 outbreak may exacerbate other pre-existing political, social and economic risks in certain countries or globally. The
disruptions caused by COVID-19 could prevent the Fund from executing advantageous investment decisions in a timely manner and negatively impact the Fund’s ability to achieve its investment objectives. Any such
event(s) could have a significant adverse impact on the value and risk profile of the Fund.
The Investment Manager and its
affiliates have systematically implemented strategies to address the operating environment spurred by the COVID-19 pandemic. To promote the safety and security of our employees and to assure the continuity of our
business operations, we have implemented a work from home protocol for virtually all of our employee population, restricted business travel, and provided resources for complying with the guidance from the World Health
Organization, the U.S. Centers for Disease Control and governments. Our operations teams seek to operate without significant disruptions in service. Our pandemic strategy takes into consideration that a pandemic could
be widespread and may occur in multiple waves, affecting different communities at different times with varying levels of severity. We cannot, however, predict the impact that natural or man-made disasters, including
the COVID-19 pandemic, may have on the ability of our employees and third-party service providers to continue ordinary business operations and technology functions over near- or longer-term periods.
Shareholder concentration risk
At October 31, 2020, affiliated
shareholders of record owned 94.3% of the outstanding shares of the Fund in one or more accounts. Subscription and redemption activity by concentrated accounts may have a significant effect on the operations of the
Fund. In the case of a large redemption, the Fund may be forced to sell investments at inopportune times, including its liquid positions, which may result in Fund losses and the Fund holding a higher percentage of
less liquid positions. Large redemptions could result in decreased economies of scale and increased operating expenses for non-redeeming Fund shareholders.
Note 10. Subsequent
events
Management has evaluated the
events and transactions that have occurred through the date the financial statements were issued. Other than as noted below, there were no items requiring adjustment of the financial statements or additional
disclosure.
The Board of Trustees of the Fund
has approved a Plan of Liquidation and Termination pursuant to which the Fund will be liquidated and terminated. Effective January 11, 2021, the fund will no longer be open to new investors, and any applicable
contingent deferred sales charges will be waived on redemptions and exchanges out of the fund. It is currently anticipated that the Fund will be liquidated on or about February 5, 2021, at which time the Fund’s
shareholders will receive a liquidating distribution in an amount equal to the net asset value of their Fund shares.
Note 11. Information
regarding pending and settled legal proceedings
Ameriprise Financial and certain
of its affiliates have historically been involved in a number of legal, arbitration and regulatory proceedings, including routine litigation, class actions, and governmental actions, concerning matters arising in
connection with the conduct of their business activities. Ameriprise Financial believes that the Fund is not currently the subject of, and that neither Ameriprise Financial nor any of its affiliates are the subject
of, any pending legal, arbitration or regulatory proceedings that are likely to have a material adverse effect on the Fund or the ability of Ameriprise Financial or its affiliates
| 52 | Columbia Multi-Asset Income Fund | Semiannual Report 2020 |
Notes to Financial Statements (continued)
October 31, 2020 (Unaudited)
October 31, 2020 (Unaudited)
to perform under their contracts with the Fund.
Ameriprise Financial is required to make quarterly (10-Q), annual (10-K) and, as necessary, 8-K filings with the Securities and Exchange Commission (SEC) on legal and regulatory matters that relate to Ameriprise
Financial and its affiliates. Copies of these filings may be obtained by accessing the SEC website at www.sec.gov.
There can be no assurance that
these matters, or the adverse publicity associated with them, will not result in increased Fund redemptions, reduced sale of Fund shares or other adverse consequences to the Fund. Further, although we believe
proceedings are not likely to have a material adverse effect on the Fund or the ability of Ameriprise Financial or its affiliates to perform under their contracts with the Fund, these proceedings are subject to
uncertainties and, as such, we are unable to estimate the possible loss or range of loss that may result. An adverse outcome in one or more of these proceedings could result in adverse judgments, settlements, fines,
penalties or other relief that could have a material adverse effect on the consolidated financial condition or results of operations of Ameriprise Financial or one or more of its affiliates that provides services to
the Funds.
| Columbia Multi-Asset Income Fund | Semiannual Report 2020 | 53 |
Board Consideration
and Approval of Managementand Subadvisory Agreements
On June 17, 2020, the Board of
Trustees (the Board) and the Trustees who are not interested persons (as defined in the Investment Company Act of 1940) (the Independent Trustees) of Columbia Funds Series Trust I (the Trust) unanimously approved the
continuation of the Management Agreement (the Management Agreement) with Columbia Management Investment Advisers, LLC (the Investment Manager) and the Subadvisory Agreement (the Subadvisory Agreement) between the
Investment Manager and Threadneedle International Limited (the Subadviser) with respect to Columbia Multi-Asset Income Fund (the Fund), a series of the Trust. As detailed below, the Board’s Advisory Fees and
Expenses Committee (the Committee) and the Board met on multiple occasions to review and discuss, among themselves, with the management team of the Investment Manager and with an independent fee consultant, materials
provided by the Investment Manager, the independent fee consultant and others before determining to approve the continuation of the Management Agreement and the Subadvisory Agreement (collectively, the Agreements).
In connection with their
deliberations regarding the continuation of the Management Agreement and the Subadvisory Agreement, the Committee and the Board evaluated materials requested from the Investment Manager regarding the Fund and the
Agreements, and discussed these materials with representatives of the Investment Manager at Committee meetings held on March 10, 2020, April 30, 2020 and June 17, 2020 and at Board meetings held on March 11, 2020 and
June 17, 2020. In addition, the Board and its various committees consider matters bearing on the Agreements at other meetings throughout the year and in prior years and meet regularly with senior management of the
Trust and the Investment Manager. Through the Board’s Investment Oversight Committees, Trustees also meet with selected portfolio managers of the funds the Trustees oversee and with other investment personnel at
various times throughout the year. The Committee and the Board also consulted with the independent fee consultant, Fund counsel and the Independent Trustees’ independent legal counsel, who advised on various
matters with respect to the Committee’s and the Board’s considerations and otherwise assisted the Committee and the Board in their deliberations. On June 17, 2020, the Committee recommended that the Board
approve the continuation of the Management Agreement and the Subadvisory Agreement. On June 17, 2020, the Board, including the Independent Trustees, voting separately, unanimously approved the continuation of the
Management Agreement and the Subadvisory Agreement for the Fund.
The Committee and the Board
considered all information that they, their legal counsel or the Investment Manager believed reasonably necessary to evaluate and to determine whether to recommend for approval or approve the continuation of the
Management Agreement and the Subadvisory Agreement. The information and factors considered by the Committee and the Board in recommending for approval or approving the continuation of the Management Agreement and the
Subadvisory Agreement for the Fund included the following:
| • | Information on the investment performance of the Fund relative to the performance of a group of mutual funds determined to be comparable to the Fund by an independent third-party data provider, as well as performance relative to benchmarks; |
| • | Information on the Fund’s management fees and total expenses, including information comparing the Fund’s expenses to those of a group of comparable mutual funds, as determined by the independent third-party data provider; |
| • | The Investment Manager’s agreement to contractually limit or cap total operating expenses for the Fund through August 31, 2021 so that total operating expenses (excluding certain fees and expenses, such as transaction costs and certain other investment related expenses, interest, taxes, and infrequent and/or unusual expenses) would not exceed a specified annual rate, as a percentage of the Fund’s net assets; |
| • | The terms and conditions of the Agreements; |
| • | The subadvisory fees payable by the Investment Manager under the Subadvisory Agreement; |
| • | The current and proposed terms and conditions of other agreements and arrangements with affiliates of the Investment Manager relating to the operations of the Fund, including agreements with respect to the provision of distribution, transfer agency and shareholder services to the Fund; |
| • | Descriptions of various functions performed by the Investment Manager and the Subadviser under the Agreements, including portfolio management and portfolio trading practices; |
| 54 | Columbia Multi-Asset Income Fund | Semiannual Report 2020 |
Board Consideration and Approval of
Management
and Subadvisory Agreements (continued)
| • | Information regarding any recently negotiated management fees of similarly-managed portfolios of other institutional clients of the Investment Manager; |
| • | Information regarding the reputation, regulatory history and resources of the Investment Manager and Subadviser, including information regarding senior management, portfolio managers and other personnel; |
| • | Information regarding the capabilities of the Investment Manager and the Subadviser with respect to compliance monitoring services, including an assessment of the Investment Manager’s and the Subadviser’s compliance system by the Fund’s Chief Compliance Officer; and |
| • | The profitability to the Investment Manager and its affiliates from their relationships with the Fund. |
Nature, extent and quality of
services provided under the Agreements
The Committee and the Board
considered the nature, extent and quality of services provided to the Fund by the Investment Manager, the Subadviser and the Investment Manager’s affiliates under the Agreements and under separate agreements for
the provision of transfer agency and shareholder services, and the resources dedicated to the Fund and the other Columbia Funds by the Investment Manager, the Subadviser and the Investment Manager’s affiliates.
The Committee and the Board considered, among other things, the Investment Manager’s ability to attract, motivate and retain highly qualified research, advisory and supervisory investment professionals
(including compensation programs for personnel involved in fund management, reputation and other attributes), the portfolio management services provided by those investment professionals, and the quality of the
Investment Manager’s and the Subadviser’s investment research capabilities and trade execution services. The Committee and the Board also considered the potential benefits to shareholders of investing in a
mutual fund that is part of a fund complex offering exposure to a variety of asset classes and investment disciplines and providing a variety of fund and shareholder services.
The Committee and the Board also
considered the professional experience and qualifications of the senior personnel of the Investment Manager and the Subadviser, which included consideration of the Investment Manager’s and the Subadviser’s
experience with funds using an investment strategy similar to that used by the Investment Manager and the Subadviser for the Fund. The Committee and the Board noted the compliance programs of and the
compliance-related resources provided to the Fund by the Investment Manager and its affiliates and the resources dedicated by the Investment Manager and its affiliates to risk management, and considered the Investment
Manager’s ability to provide administrative services to the Fund and coordinate the activities of the Fund’s other service providers. The Board also noted that, based on information provided by the
Investment Manager, the Board had approved the Subadviser’s code of ethics and compliance program, and that the Chief Compliance Officer of the Funds reports to the Trustees on the Subadviser’s compliance
program.
After reviewing these and related
factors, the Committee and the Board concluded, within the context of their overall conclusions, that the nature, extent and quality of the services provided to the Fund under the Agreements supported the continuation
of the Management Agreement and the Subadvisory Agreement.
Investment performance
The Committee and the Board
reviewed information about the performance of the Fund over various time periods, including performance information relative to benchmarks, information that compared the performance of the Fund to the performance of a
group of comparable mutual funds as determined by the independent third-party data provider, and information and analysis provided by the independent fee consultant. The Committee and the Board also reviewed a
description of the third party’s methodology for identifying the Fund’s peer groups for purposes of performance and expense comparisons. Although the Fund’s performance lagged that of a relevant peer
group for certain (although not necessarily all) periods, the Committee and the Board concluded that other factors relevant to performance were sufficient, in light of other considerations, to support continuation of
the Management Agreement and the Subadvisory Agreement. Those factors included one or more of the following: (i) that the Fund’s performance, although lagging in certain recent periods, was stronger over the
longer term; (ii) that the underperformance was attributable, to a significant extent, to investment decisions that were reasonable and consistent with the Fund’s investment strategy and policies and that the
Fund was performing within a reasonable range of expectations, given those investment decisions, market conditions and the Fund’s investment strategy; (iii) that the Fund’s performance was competitive when
compared to other relevant performance benchmarks or peer groups; and (iv) that the
| Columbia Multi-Asset Income Fund | Semiannual Report 2020 | 55 |
Board Consideration and Approval of
Management
and Subadvisory Agreements (continued)
Investment Manager or Subadviser had taken or was
taking steps designed to help improve the Fund’s investment performance, including, but not limited to, replacing portfolio managers, enhancing the resources supporting the portfolio managers, or modifying
investment strategies.
The Committee and the Board noted
that, through December 31, 2019, the Fund’s performance was in the forty-first and fifty-eighth percentile (where the best performance would be in the first percentile) of its category selected by the
independent third-party data provider for the purposes of performance comparisons for the one- and three-year periods, respectively.
The Committee and the Board also
considered the Investment Manager’s and Subadviser’s performance and reputation generally, the Investment Manager’s historical responsiveness to Board concerns about performance, and the Investment
Manager’s willingness to take steps intended to improve performance. After reviewing these and related factors, the Committee and the Board concluded, within the context of their overall conclusions, that the
performance of the Fund, the Investment Manager and the Subadviser were sufficient, in light of other considerations, to support the continuation of the Management Agreement and the Subadvisory Agreement.
Investment management fee rates
and other expenses
The Committee and the Board
considered the management fees charged to the Fund under the Management Agreement and the Subadvisory Agreement, as well as the total expenses incurred by the Fund. In assessing the reasonableness of the fees under
the Management Agreement, the Committee and the Board considered, among other information, the Fund’s total expense ratio as a percentage of average daily net assets. The Committee and the Board considered data
provided by the independent third-party data provider and the independent fee consultant. The Committee and the Board noted that, as of December 31, 2019, the Fund’s actual management fee and net total expense
ratio were both ranked in the first quintile (where the lowest fees and expenses would be in the first quintile) against the Fund’s expense universe as determined by the independent third-party data provider for
purposes of expense comparison. The Committee and the Board also considered the fees that the Subadviser charges to its other clients, and noted that the Investment Manager pays the fees of the Subadviser. The
Committee and the Board noted that the Subadviser was not currently expected to manage any assets under its Subadvisory Agreement, but that the Investment Manager could, in the future, allocate investments to be
managed by the Subadviser. The Committee and the Board also took into account the fee waiver and expense limitation arrangements agreed to by the Investment Manager, as noted above.
The Committee and the Board also
received and considered information about the management fees charged by the Investment Manager to institutional accounts. In considering the fees charged to those accounts, the Committee and the Board took into
account, among other things, the Investment Manager’s representations about the differences between managing mutual funds as compared to other types of accounts, including differences in the services provided,
differences in the risk profile of such business for the Investment Manager and the additional resources required to manage mutual funds effectively. The Committee and the Board also received and considered
information about the fees charged by the Investment Manager for sub-advisory services it provides to comparable unaffiliated funds. In evaluating the Fund’s management fees, the Committee and the Board also
took into account the demands, complexity and quality of the investment management of the Fund.
After reviewing these and related
factors, the Committee and the Board concluded, within the context of their overall conclusions, that the management fee rates and expenses of the Fund, in light of other considerations, supported the continuation of
the Management Agreement and the Subadvisory Agreement.
Costs of services provided and
profitability
The Committee and the Board also
took note of the costs the Investment Manager and its affiliates incur in connection with the services provided and the profitability to the Investment Manager and its affiliates from their relationships with the
Fund, and the efforts undertaken by the Investment Manager and its affiliates to manage efficiently their costs to provide such services.
The Committee and the Board also
considered the compensation directly or indirectly received by the Investment Manager’s affiliates in connection with their relationships with the Fund. The Committee and the Board reviewed information provided
by management as to the profitability to the Investment Manager and its affiliates of their relationships with the Fund, including
| 56 | Columbia Multi-Asset Income Fund | Semiannual Report 2020 |
Board Consideration and Approval of
Management
and Subadvisory Agreements (continued)
with respect to funds for which unaffiliated
subadvisers provide services information about the allocation of expenses used to calculate profitability, and comparisons of profitability levels realized in 2019 to profitability levels realized in 2018. When
reviewing profitability, the Committee and the Board also considered court cases in which adviser profitability was an issue in whole or in part, the performance of similarly managed funds, the performance of the
Fund, and the expense ratio of the Fund. In addition, the Committee and the Board considered information provided by the Investment Manager regarding the Investment Manager’s financial condition and comparing
its profitability to that of other asset management firms that are, or are subsidiaries of, publicly traded companies. In this regard, the Committee and the Board also considered data provided by the independent fee
consultant. Because the Subadvisory Agreement was negotiated at arms-length by the Investment Manager, which is responsible for payments to the Subadviser thereunder, the Committee and the Board did not consider the
profitability to the Subadviser from its relationship with the Fund.
After reviewing these and related
factors, the Committee and the Board concluded, within the context of their overall conclusions, that the costs of services provided and the profitability to the Investment Manager and its affiliates from their
relationships with the Fund supported the continuation of the Management Agreement and the Subadvisory Agreement.
Economies of scale
The Committee and the Board
considered the potential existence of economies of scale in the provision by the Investment Manager of services to the Fund, to groups of related funds, and to the Investment Manager’s investment advisory
clients as a whole, and whether those economies of scale were shared with the Fund through breakpoints in investment management fees or other means, such as expense limitation arrangements and additional investments
by the Investment Manager in investment, trading, compliance and other resources. The Committee and the Board noted that the management fee schedules for the Fund contained breakpoints that would reduce the fee rate
on assets above specified threshold levels.
The Committee and the Board noted
that the Subadvisory Agreement did not contain breakpoints. The Committee and the Board noted that absent a shareholder vote, the Investment Manager would bear any increase in fees payable under the Subadvisory
Agreement. The Committee and the Board also noted the potential challenges of seeking to tailor the Management Agreement breakpoints to those of a subadvisory agreement in this context, and the effect that capacity
constraints on a subadviser’s ability to manage assets could potentially have on the ability of the Investment Manager to achieve economies of scale, as new subadvisers may need to be added as the Fund grows,
increasing the Investment Manager’s cost of compensating and overseeing the Fund’s subadvisers.
In considering these matters, the
Committee and the Board also considered the costs of the services provided and the profitability to the Investment Manager and its affiliates from their relationships with the Fund, as noted above. After reviewing
these and related factors, the Committee and the Board concluded, within the context of their overall conclusions, that the extent to which any economies of scale were expected to be shared with the Fund supported the
continuation of the Management Agreement and the Subadvisory Agreement.
Other benefits to the Investment
Manager and Subadviser
The Committee and the Board
received and considered information regarding “fall-out” or ancillary benefits received by the Investment Manager and its affiliates as a result of their relationships with the Fund, such as the engagement
of the Investment Manager’s affiliates to provide distribution, transfer agency and shareholder services to the Fund. In this regard, among other matters, the Committee and the Board considered that the
Fund’s distributor retains a portion of the distribution fees from the Fund and receives a portion of the sales charges on sales or redemptions of certain classes of shares of the Fund. The Committee and the
Board also considered the benefits of research made available to the Investment Manager and the Subadviser by reason of brokerage commissions generated by the Fund’s securities transactions, and reviewed
information about the Investment Manager’s practices with respect to considering brokerage and research services when allocating portfolio transactions. In this connection, the Board also noted that the amount
of research made available to the Investment Manager by reason of brokerage commissions had been declining over time, and may decline further. The Committee and the Board recognized that the Investment Manager’s
profitability would be somewhat lower without these benefits.
| Columbia Multi-Asset Income Fund | Semiannual Report 2020 | 57 |
Board Consideration and Approval of
Management
and Subadvisory Agreements (continued)
Conclusion
The Committee and the Board
reviewed all of the above considerations in reaching their decisions to recommend or approve the continuation of the Management Agreement and the Subadvisory Agreement. In their deliberations, the Trustees did not
identify any particular information that was all-important or controlling, and individual Trustees may have attributed different weights to the various factors. Based on their evaluation of all factors that they
deemed to be material, including those factors described above, and assisted by the advice of independent legal counsel, the Board, including the Independent Trustees, voting separately, unanimously approved the
continuation of the Management Agreement and the Subadvisory Agreement.
| 58 | Columbia Multi-Asset Income Fund | Semiannual Report 2020 |
Please read and consider the
investment objectives, risks, charges and expenses for any fund carefully before investing. For a prospectus and summary prospectus, which contains this and other important information about the Fund, go to
columbiathreadneedleus.com/investor/. The Fund is distributed by Columbia Management Investment Distributors, Inc., member FINRA, and managed by Columbia Management Investment Advisers, LLC.
columbiathreadneedleus.com/investor/. The Fund is distributed by Columbia Management Investment Distributors, Inc., member FINRA, and managed by Columbia Management Investment Advisers, LLC.
Columbia Threadneedle Investments
(Columbia Threadneedle) is the global brand name of the Columbia and Threadneedle group of companies. All rights reserved.
© 2020 Columbia Management Investment
Advisers, LLC.
columbiathreadneedleus.com/investor/
SAR261_04_K01_(12/20)
Multi-Manager
Directional Alternative Strategies Fund
Beginning on January 1, 2021, as
permitted by regulations adopted by the Securities and Exchange Commission, paper copies of the Fund’s annual and semiannual shareholder reports like this one will no longer be sent by mail, unless you
specifically request paper copies of the reports. Instead, the reports will be made available on the Fund’s website (columbiathreadneedleus.com/investor/), and each time a report is posted you will be notified
by mail and provided with a website address to access the report.
If you have already elected to
receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You may elect to receive shareholder reports and other communications from the Fund electronically
at any time by contacting your financial intermediary (such as a broker-dealer or bank) or, for Fund shares held directly with the Fund, by calling 800.345.6611 or by enrolling in “eDelivery” by logging
into your account at columbiathreadneedleus.com/investor/.
You may elect to receive all future
shareholder reports in paper free of charge. If you invest through a financial intermediary, you can contact your financial intermediary to request that you continue receiving paper copies of your shareholder reports.
If you invest directly with the Fund, you can call 800.345.6611 to let the Fund know you wish to continue receiving paper copies of your shareholder reports. Your election to receive paper reports will apply to all
Columbia Funds held in your account if you invest through a financial intermediary or all Columbia Funds held with the fund complex if you invest directly with the Fund.
Not Federally Insured • No
Financial Institution Guarantee • May Lose Value
Table of Contents
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| 29 | |
| 30 | |
| 31 | |
| 32 | |
| 46 |
Multi-Manager Directional
Alternative Strategies Fund (the Fund) mails one shareholder report to each shareholder address, unless such shareholder elected to receive shareholder reports from the Fund electronically. If you would like more than
one report, please call shareholder services at 800.345.6611 and additional reports will be sent to you.
Proxy voting policies and
procedures
The policy of the Board of Trustees
is to vote the proxies of the companies in which the Fund holds investments consistent with the procedures as stated in the Statement of Additional Information (SAI). You may obtain a copy of the SAI without charge by
calling 800.345.6611; contacting your financial intermediary; visiting columbiathreadneedleus.com/investor/; or searching the website of the Securities and Exchange Commission (SEC) at sec.gov. Information regarding
how the Fund voted proxies relating to portfolio securities is filed with the SEC by August 31st for the most recent 12-month period ending June 30th of that year, and is available without charge by visiting
columbiathreadneedleus.com/investor/, or searching the website of the SEC at sec.gov.
Quarterly schedule of
investments
The Fund files a complete schedule
of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-PORT. The Fund’s Form N-PORT is available on the SEC’s website at sec.gov. The Fund’s complete
schedule of portfolio holdings, as filed on Form N-PORT, can also be obtained without charge, upon request, by calling 800.345.6611.
Additional Fund information
For more information about the
Fund, please visit columbiathreadneedleus.com/investor/ or call 800.345.6611. Customer Service Representatives are available to answer your questions Monday through Friday from 8 a.m. to 7 p.m. Eastern time.
You may obtain the current net
asset value (NAV) of Fund shares at no cost by calling 800.345.6611 or by sending an e-mail to serviceinquiries@columbiathreadneedle.com.
Fund investment manager
Columbia Management Investment Advisers, LLC (the
Investment Manager)
225 Franklin Street
Boston, MA 02110
Fund distributor
Columbia Management Investment Distributors,
Inc.
225 Franklin Street
Boston, MA 02110
Fund transfer agent
Columbia Management Investment Services Corp.
P.O. Box 219104
Kansas City, MO 64121-9104
Multi-Manager Directional Alternative Strategies
Fund | Semiannual Report 2020
Fund at a Glance
(Unaudited)
(Unaudited)
Investment objective
The Fund
seeks capital appreciation.
Portfolio management
Boston Partners Global Investors, Inc.
Joseph Feeney, Jr., CFA
Eric Connerly, CFA
AQR Capital Management, LLC
Michele Aghassi, Ph.D.
Andrea Frazzini, Ph.D.
Ronen Israel
Lars Nielsen
Wells Capital Management Incorporated
Harindra de Silva, CFA
Dennis Bein, CFA
David Krider, CFA
| Multi-Manager Directional Alternative Strategies Fund | Semiannual Report 2020 | 3 |
Fund at a Glance (continued)
(Unaudited)
(Unaudited)
| 4 | Multi-Manager Directional Alternative Strategies Fund | Semiannual Report 2020 |
Understanding Your Fund’s
Expenses
(Unaudited)
(Unaudited)
As an investor, you incur two types
of costs. There are shareholder transaction costs, which may include redemption fees. There are also ongoing fund costs, which generally include management fees, distribution and/or service fees, and other fund
expenses. The following information is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to help you compare these costs with the ongoing costs of investing in other mutual
funds.
Analyzing your Fund’s
expenses
To illustrate these ongoing
costs, we have provided examples and calculated the expenses paid by investors in each share class of the Fund during the period. The actual and hypothetical information in the table is based on an initial investment
of $1,000 at the beginning of the period indicated and held for the entire period. Expense information is calculated two ways and each method provides you with different information. The amount listed in the
“Actual” column is calculated using the Fund’s actual operating expenses and total return for the period. You may use the Actual information, together with the amount invested, to estimate the
expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the results by the expenses paid during the period under
the “Actual” column. The amount listed in the “Hypothetical” column assumes a 5% annual rate of return before expenses (which is not the Fund’s actual return) and then applies the
Fund’s actual expense ratio for the period to the hypothetical return. You should not use the hypothetical account values and expenses to estimate either your actual account balance at the end of the period or
the expenses you paid during the period. See “Compare with other funds” below for details on how to use the hypothetical data.
Compare with other funds
Since all mutual funds are
required to include the same hypothetical calculations about expenses in shareholder reports, you can use this information to compare the ongoing cost of investing in the Fund with other funds. To do so, compare the
hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds. As you compare hypothetical examples of other funds, it is important to note that hypothetical examples are
meant to highlight the ongoing costs of investing in a fund only and do not reflect any transaction costs, such as redemption or exchange fees. Therefore, the hypothetical calculations are useful in comparing ongoing
costs only, and will not help you determine the relative total costs of owning different funds. If transaction costs were included in these calculations, your costs would be higher.
| May 1, 2020 — October 31, 2020 | |||||||
| Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | ||||
| Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | |
| Institutional Class | 1,000.00 | 1,000.00 | 1,018.30 | 1,011.68 | 13.51 | 13.46 | 2.67 |
Expenses paid during the period
are equal to the annualized expense ratio for each class as indicated above, multiplied by the average account value over the period and then multiplied by the number of days in the Fund’s most recent fiscal
half year and divided by 365.
Expenses do not include fees and
expenses incurred indirectly by the Fund from its investment in underlying funds, including affiliated and non-affiliated pooled investment vehicles, such as mutual funds and exchange-traded funds.
Had Columbia Management Investment
Advisers, LLC and/or certain of its affiliates not waived/reimbursed certain fees and expenses, account value at the end of the period would have been reduced.
The Fund is offered only through
certain wrap fee programs sponsored and/or managed by Ameriprise Financial, Inc. or its affiliates. Participants in wrap fee programs pay other fees that are not included in the above table. Please refer to the wrap
program documents for information about the fees charged.
| Multi-Manager Directional Alternative Strategies Fund | Semiannual Report 2020 | 5 |
Portfolio of Investments
October 31, 2020 (Unaudited)
October 31, 2020 (Unaudited)
(Percentages represent value of
investments compared to net assets)
Investments in securities
The accompanying Notes to Financial
Statements are an integral part of this statement.
| 6 | Multi-Manager Directional Alternative Strategies Fund | Semiannual Report 2020 |
Portfolio of Investments (continued)
October 31, 2020 (Unaudited)
October 31, 2020 (Unaudited)
The accompanying Notes to Financial
Statements are an integral part of this statement.
| Multi-Manager Directional Alternative Strategies Fund | Semiannual Report 2020 | 7 |
Portfolio of Investments (continued)
October 31, 2020 (Unaudited)
October 31, 2020 (Unaudited)
The accompanying Notes to Financial
Statements are an integral part of this statement.
| 8 | Multi-Manager Directional Alternative Strategies Fund | Semiannual Report 2020 |
Portfolio of Investments (continued)
October 31, 2020 (Unaudited)
October 31, 2020 (Unaudited)
The accompanying Notes to Financial
Statements are an integral part of this statement.
| Multi-Manager Directional Alternative Strategies Fund | Semiannual Report 2020 | 9 |
Portfolio of Investments (continued)
October 31, 2020 (Unaudited)
October 31, 2020 (Unaudited)
The accompanying Notes to Financial
Statements are an integral part of this statement.
| 10 | Multi-Manager Directional Alternative Strategies Fund | Semiannual Report 2020 |
Portfolio of Investments (continued)
October 31, 2020 (Unaudited)
October 31, 2020 (Unaudited)
The accompanying Notes to Financial
Statements are an integral part of this statement.
| Multi-Manager Directional Alternative Strategies Fund | Semiannual Report 2020 | 11 |
Portfolio of Investments (continued)
October 31, 2020 (Unaudited)
October 31, 2020 (Unaudited)
The accompanying Notes to Financial
Statements are an integral part of this statement.
| 12 | Multi-Manager Directional Alternative Strategies Fund | Semiannual Report 2020 |
Portfolio of Investments (continued)
October 31, 2020 (Unaudited)
October 31, 2020 (Unaudited)
The accompanying Notes to Financial
Statements are an integral part of this statement.
| Multi-Manager Directional Alternative Strategies Fund | Semiannual Report 2020 | 13 |
Portfolio of Investments (continued)
October 31, 2020 (Unaudited)
October 31, 2020 (Unaudited)
The accompanying Notes to Financial
Statements are an integral part of this statement.
| 14 | Multi-Manager Directional Alternative Strategies Fund | Semiannual Report 2020 |
Portfolio of Investments (continued)
October 31, 2020 (Unaudited)
October 31, 2020 (Unaudited)
The accompanying Notes to Financial
Statements are an integral part of this statement.
| Multi-Manager Directional Alternative Strategies Fund | Semiannual Report 2020 | 15 |
Portfolio of Investments (continued)
October 31, 2020 (Unaudited)
October 31, 2020 (Unaudited)
The accompanying Notes to Financial
Statements are an integral part of this statement.
| 16 | Multi-Manager Directional Alternative Strategies Fund | Semiannual Report 2020 |
Portfolio of Investments (continued)
October 31, 2020 (Unaudited)
October 31, 2020 (Unaudited)
The accompanying Notes to Financial
Statements are an integral part of this statement.
| Multi-Manager Directional Alternative Strategies Fund | Semiannual Report 2020 | 17 |
Portfolio of Investments (continued)
October 31, 2020 (Unaudited)
October 31, 2020 (Unaudited)
The accompanying Notes to Financial
Statements are an integral part of this statement.
| 18 | Multi-Manager Directional Alternative Strategies Fund | Semiannual Report 2020 |
Portfolio of Investments (continued)
October 31, 2020 (Unaudited)
October 31, 2020 (Unaudited)
The accompanying Notes to Financial
Statements are an integral part of this statement.
| Multi-Manager Directional Alternative Strategies Fund | Semiannual Report 2020 | 19 |
Portfolio of Investments (continued)
October 31, 2020 (Unaudited)
October 31, 2020 (Unaudited)
The accompanying Notes to Financial
Statements are an integral part of this statement.
| 20 | Multi-Manager Directional Alternative Strategies Fund | Semiannual Report 2020 |
Portfolio of Investments (continued)
October 31, 2020 (Unaudited)
October 31, 2020 (Unaudited)
At October 31, 2020,
securities and/or cash totaling $163,907,593 were pledged as collateral.
The accompanying Notes to Financial Statements are
an integral part of this statement.
| Multi-Manager Directional Alternative Strategies Fund | Semiannual Report 2020 | 21 |
Portfolio of Investments (continued)
October 31, 2020 (Unaudited)
October 31, 2020 (Unaudited)
Investments in derivatives
| Forward foreign currency exchange contracts | |||||
| Currency to be sold | Currency to be purchased | Counterparty | Settlement date | Unrealized appreciation ($) | Unrealized depreciation ($) |
| 10,500 AUD | 7,552 USD | Citi | 12/16/2020 | 170 | — |
| 114,500 CAD | 86,632 USD | Citi | 12/16/2020 | 671 | — |
| 44,500 CHF | 49,315 USD | Citi | 12/16/2020 | 717 | — |
| 1,272,000 DKK | 202,006 USD | Citi | 12/16/2020 | 2,789 | — |
| 881,004 EUR | 1,043,832 USD | Citi | 12/16/2020 | 16,688 | — |
| 13,500 GBP | 17,796 USD | Citi | 12/16/2020 | 301 | — |
| 52,500 HKD | 6,772 USD | Citi | 12/16/2020 | 1 | — |
| 8,000 ILS | 2,347 USD | Citi | 12/16/2020 | 1 | — |
| 116,500 NOK | 12,474 USD | Citi | 12/16/2020 | 272 | — |
| 1,500 NZD | 997 USD | Citi | 12/16/2020 | 5 | — |
| 2,402,500 SEK | 274,213 USD | Citi | 12/16/2020 | 4,066 | — |
| 44,500 SGD | 32,793 USD | Citi | 12/16/2020 | 215 | — |
| 336,479 USD | 462,496 AUD | Citi | 12/16/2020 | — | (11,314) |
| 1,076,347 USD | 1,412,004 CAD | Citi | 12/16/2020 | — | (16,288) |
| 847,357 USD | 768,000 CHF | Citi | 12/16/2020 | — | (8,634) |
| 126,854 USD | 797,500 DKK | Citi | 12/16/2020 | — | (1,952) |
| 2,120,772 USD | 1,787,505 EUR | Citi | 12/16/2020 | — | (36,757) |
| 682,426 USD | 516,000 GBP | Citi | 12/16/2020 | — | (13,724) |
| 169,476 USD | 1,314,000 HKD | Citi | 12/16/2020 | 11 | — |
| 31,354 USD | 106,500 ILS | Citi | 12/16/2020 | — | (127) |
| 1,248,107 USD | 132,382,000 JPY | Citi | 12/16/2020 | 17,128 | — |
| 102,894 USD | 923,992 NOK | Citi | 12/16/2020 | — | (6,122) |
| 7,845 USD | 12,000 NZD | Citi | 12/16/2020 | 90 | — |
| 8,032 USD | 12,000 NZD | Citi | 12/16/2020 | — | (97) |
| 5,226 USD | 46,500 SEK | Citi | 12/16/2020 | 2 | — |
| 255,253 USD | 2,234,000 SEK | Citi | 12/16/2020 | — | (4,053) |
| 149,636 USD | 204,500 SGD | Citi | 12/16/2020 | 80 | — |
| 7,364 USD | 10,000 SGD | Citi | 12/16/2020 | — | (43) |
| 10,500 AUD | 7,552 USD | JPMorgan | 12/16/2020 | 170 | — |
| 114,500 CAD | 86,632 USD | JPMorgan | 12/16/2020 | 671 | — |
| 44,500 CHF | 49,315 USD | JPMorgan | 12/16/2020 | 717 | — |
| 1,272,000 DKK | 202,005 USD | JPMorgan | 12/16/2020 | 2,789 | — |
| 880,996 EUR | 1,043,822 USD | JPMorgan | 12/16/2020 | 16,687 | — |
| 13,500 GBP | 17,796 USD | JPMorgan | 12/16/2020 | 301 | — |
| 52,500 HKD | 6,772 USD | JPMorgan | 12/16/2020 | 1 | — |
| 8,000 ILS | 2,347 USD | JPMorgan | 12/16/2020 | 1 | — |
| 116,500 NOK | 12,474 USD | JPMorgan | 12/16/2020 | 272 | — |
| 1,500 NZD | 997 USD | JPMorgan | 12/16/2020 | 5 | — |
| 2,402,500 SEK | 274,212 USD | JPMorgan | 12/16/2020 | 4,066 | — |
| 44,500 SGD | 32,793 USD | JPMorgan | 12/16/2020 | 215 | — |
| 336,485 USD | 462,504 AUD | JPMorgan | 12/16/2020 | — | (11,314) |
| 1,076,342 USD | 1,411,996 CAD | JPMorgan | 12/16/2020 | — | (16,289) |
| 847,358 USD | 768,000 CHF | JPMorgan | 12/16/2020 | — | (8,635) |
| 126,854 USD | 797,500 DKK | JPMorgan | 12/16/2020 | — | (1,952) |
| 2,120,763 USD | 1,787,495 EUR | JPMorgan | 12/16/2020 | — | (36,759) |
| 682,427 USD | 516,000 GBP | JPMorgan | 12/16/2020 | — | (13,725) |
| 169,477 USD | 1,314,000 HKD | JPMorgan | 12/16/2020 | 11 | — |
| 31,354 USD | 106,500 ILS | JPMorgan | 12/16/2020 | — | (127) |
| 1,248,109 USD | 132,382,000 JPY | JPMorgan | 12/16/2020 | 17,126 | — |
| 102,895 USD | 924,008 NOK | JPMorgan | 12/16/2020 | — | (6,122) |
| 7,845 USD | 12,000 NZD | JPMorgan | 12/16/2020 | 90 | — |
| 8,032 USD | 12,000 NZD | JPMorgan | 12/16/2020 | — | (97) |
| 5,226 USD | 46,500 SEK | JPMorgan | 12/16/2020 | 2 | — |
| 255,253 USD | 2,234,000 SEK | JPMorgan | 12/16/2020 | — | (4,054) |
The accompanying Notes to Financial Statements are
an integral part of this statement.
| 22 | Multi-Manager Directional Alternative Strategies Fund | Semiannual Report 2020 |
Portfolio of Investments (continued)
October 31, 2020 (Unaudited)
October 31, 2020 (Unaudited)
| Forward foreign currency exchange contracts (continued) | |||||
| Currency to be sold | Currency to be purchased | Counterparty | Settlement date | Unrealized appreciation ($) | Unrealized depreciation ($) |
| 149,636 USD | 204,500 SGD | JPMorgan | 12/16/2020 | 80 | — |
| 7,364 USD | 10,000 SGD | JPMorgan | 12/16/2020 | — | (43) |
| Total | 86,411 | (198,228) | |||
| Long futures contracts | ||||||
| Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
| Amsterdam Index | 5 | 11/2020 | EUR | 532,500 | — | (36,743) |
| CAC40 Index | 19 | 11/2020 | EUR | 872,100 | — | (75,466) |
| DAX Index | 3 | 12/2020 | EUR | 867,300 | — | (145,371) |
| FTSE 100 Index | 19 | 12/2020 | GBP | 1,057,065 | — | (98,810) |
| FTSE/MIB Index | 2 | 12/2020 | EUR | 179,010 | — | (22,921) |
| Hang Seng Index | 1 | 11/2020 | HKD | 1,207,850 | — | (3,016) |
| IBEX 35 Index | 3 | 11/2020 | EUR | 193,149 | — | (16,124) |
| MSCI Singapore Index | 6 | 11/2020 | SGD | 165,390 | — | (4,483) |
| OMXS30 Index | 21 | 11/2020 | SEK | 3,610,950 | — | (26,908) |
| S&P 500 Index E-mini | 137 | 12/2020 | USD | 22,363,195 | — | (517,420) |
| S&P/TSX 60 Index | 8 | 12/2020 | CAD | 1,480,640 | — | (46,725) |
| SPI 200 Index | 7 | 12/2020 | AUD | 1,030,750 | — | (1,324) |
| TOPIX Index | 17 | 12/2020 | JPY | 267,410,000 | — | (37,575) |
| Total | — | (1,032,886) | ||||
| Total return swap contracts | ||||||||||||
| Fund receives | Fund pays | Payment frequency | Counterparty | Maturity date | Notional currency | Notional amount | Value ($) | Periodic payments receivable (payable) ($) | Upfront payments ($) | Upfront receipts ($) | Unrealized appreciation ($) | Unrealized depreciation ($) |
| Total return on a portfolio of long and short positions† | 1-Month AUD BBSW, 1-Month HKD HIBOR or 1-Month JPY BBA LIBOR based on the local currencies of the positions within the swap | Monthly | JPMorgan | 01/14/2021 | USD | 58,768,164 | 313,188 | — | — | — | 313,188 | — |
| 1-Month USD LIBOR minus 0.500% | Total return on Formosa Petrochemical Corp. | Monthly | Macquarie | 12/21/2021 | USD | 180,241 | 4,053 | (21) | — | — | 4,032 | — |
| 1-Day Overnight Fed Funds Effective Rate minus 3.000% | Total return on Formosa Petrochemical Corp. | Monthly | Macquarie | 12/21/2021 | USD | 108,124 | 760 | — | — | — | 760 | — |
| 1-Month USD LIBOR minus 1.642% | Total return on SillaJen, Inc. | Monthly | Macquarie | 12/21/2021 | USD | 34,895 | (146)†† | (95) | — | — | — | (241) |
| 1-Day HKD HIBOR minus 0.500% | Total return on Semiconductor Manufacturing International Corp. | Monthly | Macquarie | 12/21/2021 | HKD | 305,867 | (3,323) | — | — | — | — | (3,323) |
The accompanying Notes to Financial Statements are
an integral part of this statement.
| Multi-Manager Directional Alternative Strategies Fund | Semiannual Report 2020 | 23 |
Portfolio of Investments (continued)
October 31, 2020 (Unaudited)
October 31, 2020 (Unaudited)
| Total return swap contracts (continued) | ||||||||||||
| Fund receives | Fund pays | Payment frequency | Counterparty | Maturity date | Notional currency | Notional amount | Value ($) | Periodic payments receivable (payable) ($) | Upfront payments ($) | Upfront receipts ($) | Unrealized appreciation ($) | Unrealized depreciation ($) |
| 1-Month HKD HIBOR minus 1.500% | Total return on Semiconductor Manufacturing International Corp. | Monthly | Macquarie | 12/21/2021 | HKD | 865,155 | (12,604) | (32) | — | — | — | (12,636) |
| Total return on Samsung Electronics Co., Ltd. | 1-Month USD LIBOR plus 0.800% | Monthly | Macquarie | 12/21/2021 | USD | 1,329,704 | (79,145) | 6,300 | — | — | — | (72,845) |
| Total return on a portfolio of long and short positions† | 1-Day Overnight Fed Funds Effective Rate, EONIA or SONIA based on the local currencies of the positions within the swap | Monthly | Morgan Stanley International | 10/29/2021 | USD | 136,728,183 | (460,202) | — | — | — | — | (460,202) |
| Total | (237,419) | 6,152 | — | — | 317,980 | (549,247) | ||||||
| † | By investing in the total return swap contract, the Fund gains exposure to the underlying investments that make up the custom basket/index without having to own the underlying investments directly. The components of the custom basket/index are available on Multi-Manager Directional Alternative Strategies Fund’s page of columbiathreadneedleus.com website. |
| †† | Valuation based on significant unobservable inputs. |
| Total return swap contracts on futures | ||||||||
| Reference instrument* | Counterparty | Expiration date | Trading currency | Notional amount long(short) | Upfront payments ($) | Upfront receipts ($) | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
| Swiss Market Index DEC 20 | Citi | 12/2020 | CHF | 190,760 | — | — | — | (21,121) |
| Hang Seng Index NOV 20 | JPMorgan | 11/2020 | HKD | 1,207,850 | — | — | — | (3,372) |
| Swiss Market Index DEC 20 | JPMorgan | 12/2020 | CHF | 286,140 | — | — | — | (30,978) |
| Swiss Market Index DEC 20 | Morgan Stanley International | 12/2020 | CHF | 667,660 | — | — | — | (34,819) |
| Total | — | — | — | (90,290) | ||||
| * | If the notional amount of the swap contract is long and the swap contract’s value is positive (negative), the Fund will receive (pay) the total return. If the notional amount of the swap contract is short and the swap contract’s value is positive (negative), the Fund will pay (receive) the total return. Receipts and payments occur upon termination of the contract. |
| Reference index and values for swap contracts as of period end | ||
| Reference index | Reference rate | |
| 1-Day Overnight Fed Funds Effective Rate | Overnight Federal Funds Effective Rate | 0.090% |
| 1-Month HKD HIBOR | Hong Kong Interbank Offered Rate | 0.403% |
| 1-Month USD LIBOR | London Interbank Offered Rate | 0.140% |
| EONIA index | Euro Overnight Index Average | (0.472%) |
| SONIA | Sterling Overnight Index Average | 0.055% |
| 1-Month AUD BBSW | Bank Bill Swap Rate | 0.052% |
| 1-Month JPY BBA LIBOR | London Interbank Offered Rate | (0.090%) |
| 1-Day HKD HIBOR | Hong Kong Interbank Offered Rate | 0.321% |
The accompanying Notes to Financial Statements are
an integral part of this statement.
| 24 | Multi-Manager Directional Alternative Strategies Fund | Semiannual Report 2020 |
Portfolio of Investments (continued)
October 31, 2020 (Unaudited)
October 31, 2020 (Unaudited)
Notes to Portfolio of
Investments
| (a) | Non-income producing investment. |
| (b) | This security or a portion of this security has been pledged as collateral in connection with investments sold short. |
| (c) | The rate shown is the seven-day current annualized yield at October 31, 2020. |
| (d) | 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. The value of the holdings and transactions in these affiliated companies during the period ended October 31, 2020 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, 0.128% | ||||||||
| 26,997,662 | 94,273,676 | (100,117,261) | (7,861) | 21,146,216 | 40 | 27,154 | 21,148,330 | |
Abbreviation Legend
| ADR | American Depositary Receipt |
| SDR | Swedish Depositary Receipt |
Currency Legend
| AUD | Australian Dollar |
| CAD | Canada Dollar |
| CHF | Swiss Franc |
| DKK | Danish Krone |
| EUR | Euro |
| GBP | British Pound |
| HKD | Hong Kong Dollar |
| ILS | Israeli Shekel |
| JPY | Japanese Yen |
| NOK | Norwegian Krone |
| NZD | New Zealand Dollar |
| SEK | Swedish Krona |
| SGD | Singapore Dollar |
| USD | US Dollar |
Fair value measurements
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’s 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. 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.
The accompanying Notes to Financial Statements are
an integral part of this statement.
| Multi-Manager Directional Alternative Strategies Fund | Semiannual Report 2020 | 25 |
Portfolio of Investments (continued)
October 31, 2020 (Unaudited)
October 31, 2020 (Unaudited)
Fair value measurements (continued)
Foreign equity securities actively traded in markets where there is a significant delay in the local close relative to the New York Stock Exchange are classified as Level 2. The values of these securities may include an adjustment to reflect the impact of market movements following the close of local trading, as described in Note 2 to the financial statements – Security valuation.
Foreign equity securities actively traded in markets where there is a significant delay in the local close relative to the New York Stock Exchange are classified as Level 2. The values of these securities may include an adjustment to reflect the impact of market movements following the close of local trading, as described in Note 2 to the financial statements – Security valuation.
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.
The following table is a summary of
the inputs used to value the Fund’s investments at October 31, 2020:
| Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | |
| Investments in Securities | ||||
| Common Stocks | ||||
| Communication Services | 10,036,031 | 6,380,602 | — | 16,416,633 |
| Consumer Discretionary | 20,685,776 | 7,490,056 | — | 28,175,832 |
| Consumer Staples | 8,273,915 | 5,973,000 | — | 14,246,915 |
| Energy | 5,686,205 | 539,044 | — | 6,225,249 |
| Financials | 12,190,838 | 4,999,995 | — | 17,190,833 |
| Health Care | 15,803,518 | 10,615,748 | — | 26,419,266 |
| Industrials | 19,262,409 | 5,826,603 | — | 25,089,012 |
| Information Technology | 27,841,121 | 4,906,261 | — | 32,747,382 |
| Materials | 10,603,644 | 4,720,012 | — | 15,323,656 |
| Real Estate | — | 2,019,691 | — | 2,019,691 |
| Utilities | 732,583 | 1,418,297 | — | 2,150,880 |
| Total Common Stocks | 131,116,040 | 54,889,309 | — | 186,005,349 |
| Preferred Stocks | ||||
| Consumer Discretionary | — | 94,647 | — | 94,647 |
| Consumer Staples | — | 142,949 | — | 142,949 |
| Total Preferred Stocks | — | 237,596 | — | 237,596 |
| Money Market Funds | 21,146,216 | — | — | 21,146,216 |
| Total Investments in Securities | 152,262,256 | 55,126,905 | — | 207,389,161 |
| Investments in Securities Sold Short | ||||
| Common Stocks | ||||
| Communication Services | (1,732,503) | (3,364,649) | — | (5,097,152) |
| Consumer Discretionary | (8,600,332) | (6,927,314) | — | (15,527,646) |
| Consumer Staples | (2,841,138) | (2,293,941) | — | (5,135,079) |
| Energy | (3,368,909) | (2,785,626) | — | (6,154,535) |
| Financials | (7,902,464) | (4,055,895) | — | (11,958,359) |
| Health Care | (4,797,668) | (3,214,239) | — | (8,011,907) |
| Industrials | (5,260,695) | (6,559,925) | — | (11,820,620) |
| Information Technology | (5,190,249) | (834,513) | — | (6,024,762) |
| Materials | (3,832,350) | (7,516,199) | — | (11,348,549) |
| Real Estate | (2,229,765) | (78,738) | — | (2,308,503) |
| Utilities | (384,395) | (432,529) | — | (816,924) |
| Total Common Stocks | (46,140,468) | (38,063,568) | — | (84,204,036) |
The accompanying Notes to Financial Statements are
an integral part of this statement.
| 26 | Multi-Manager Directional Alternative Strategies Fund | Semiannual Report 2020 |
Portfolio of Investments (continued)
October 31, 2020 (Unaudited)
October 31, 2020 (Unaudited)
Fair value measurements (continued)
| Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | |
| Preferred Stocks | ||||
| Health Care | — | (216,720) | — | (216,720) |
| Materials | — | (85,648) | — | (85,648) |
| Total Preferred Stocks | — | (302,368) | — | (302,368) |
| Rights | ||||
| Industrials | — | (505,315) | — | (505,315) |
| Total Rights | — | (505,315) | — | (505,315) |
| Total Investments in Securities Sold Short | (46,140,468) | (38,871,251) | — | (85,011,719) |
| Total Investments in Securities, Net of Securities Sold Short | 106,121,788 | 16,255,654 | — | 122,377,442 |
| Investments in Derivatives | ||||
| Asset | ||||
| Forward Foreign Currency Exchange Contracts | — | 86,411 | — | 86,411 |
| Swap Contracts | — | 317,980 | — | 317,980 |
| Liability | ||||
| Forward Foreign Currency Exchange Contracts | — | (198,228) | — | (198,228) |
| Futures Contracts | (1,032,886) | — | — | (1,032,886) |
| Swap Contracts | — | (639,296) | (241) | (639,537) |
| Total | 105,088,902 | 15,822,521 | (241) | 120,911,182 |
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. These assets include certain foreign securities for which a third party statistical pricing service may be employed for purposes of fair market valuation. The model utilized by such third party statistical
pricing service takes into account a security’s correlation to available market data including, but not limited to, intraday index, ADR, and exchange-traded fund movements.
Derivative instruments are valued at
unrealized appreciation (depreciation).
The Fund does not hold any
significant investments (greater than one percent of net assets) categorized as Level 3.
The accompanying Notes to Financial Statements are
an integral part of this statement.
| Multi-Manager Directional Alternative Strategies Fund | Semiannual Report 2020 | 27 |
Statement of Assets and Liabilities
October 31, 2020 (Unaudited)
October 31, 2020 (Unaudited)
| Assets | |
| Investments in securities, at value | |
| Unaffiliated issuers (cost $172,532,156) | $186,242,945 |
| Affiliated issuers (cost $21,142,705) | 21,146,216 |
| Cash | 360,000 |
| Foreign currency (cost $616,661) | 615,271 |
| Cash collateral held at broker for: | |
| Swap contracts | 9,607,135 |
| Securities sold short | 92,236,470 |
| Other(a) | 3,430,000 |
| Margin deposits on: | |
| Futures contracts | 2,677,211 |
| Unrealized appreciation on forward foreign currency exchange contracts | 86,411 |
| Unrealized appreciation on swap contracts | 317,980 |
| Receivable for: | |
| Investments sold | 2,693,154 |
| Capital shares sold | 125,806 |
| Dividends | 170,142 |
| Foreign tax reclaims | 266,846 |
| Variation margin for futures contracts | 14,306 |
| Expense reimbursement due from Investment Manager | 1,204 |
| Prepaid expenses | 1,113 |
| Trustees’ deferred compensation plan | 29,733 |
| Other assets | 604 |
| Total assets | 320,022,547 |
| Liabilities | |
| Securities sold short, at value (proceeds $88,990,107) | 85,011,719 |
| Unrealized depreciation on forward foreign currency exchange contracts | 198,228 |
| Unrealized depreciation on swap contracts | 639,537 |
| Payable for: | |
| Investments purchased | 2,318,846 |
| Capital shares purchased | 417,502 |
| Dividends and interest on securities sold short | 84,935 |
| Variation margin for futures contracts | 336,171 |
| Management services fees | 10,144 |
| Transfer agent fees | 44,424 |
| Compensation of board members | 216 |
| Compensation of chief compliance officer | 10 |
| Other expenses | 46,137 |
| Trustees’ deferred compensation plan | 29,733 |
| Total liabilities | 89,137,602 |
| Net assets applicable to outstanding capital stock | $230,884,945 |
| Represented by | |
| Paid in capital | 240,339,093 |
| Total distributable earnings (loss) | (9,454,148) |
| Total - representing net assets applicable to outstanding capital stock | $230,884,945 |
| Institutional Class | |
| Net assets | $230,884,945 |
| Shares outstanding | 37,805,033 |
| Net asset value per share | $6.11 |
| (a) | Includes collateral related to forward foreign currency exchange contracts and swap contracts. |
The accompanying Notes to Financial Statements are
an integral part of this statement.
| 28 | Multi-Manager Directional Alternative Strategies Fund | Semiannual Report 2020 |
Statement of Operations
Six Months Ended October 31, 2020 (Unaudited)
Six Months Ended October 31, 2020 (Unaudited)
| Net investment income | |
| Income: | |
| Dividends — unaffiliated issuers | $1,768,306 |
| Dividends — affiliated issuers | 27,154 |
| Foreign taxes withheld | (93,716) |
| Total income | 1,701,744 |
| Expenses: | |
| Management services fees | 1,865,575 |
| Transfer agent fees | |
| Institutional Class | 261,271 |
| Compensation of board members | 10,325 |
| Custodian fees | 144,428 |
| Printing and postage fees | 26,223 |
| Registration fees | 19,671 |
| Audit fees | 25,274 |
| Legal fees | 3,039 |
| Interest on collateral | 40 |
| Dividends and interest on securities sold short | 971,249 |
| Interest on interfund lending | 35 |
| Compensation of chief compliance officer | 41 |
| Other | 6,780 |
| Total expenses | 3,333,951 |
| Fees waived or expenses reimbursed by Investment Manager and its affiliates | (211,339) |
| Total net expenses | 3,122,612 |
| Net investment loss | (1,420,868) |
| Realized and unrealized gain (loss) — net | |
| Net realized gain (loss) on: | |
| Investments — unaffiliated issuers | 12,211,869 |
| Investments — affiliated issuers | 40 |
| Foreign currency translations | 221,931 |
| Forward foreign currency exchange contracts | 488,028 |
| Futures contracts | 6,755,830 |
| Securities sold short | (18,092,422) |
| Swap contracts | (3,556,960) |
| Net realized loss | (1,971,684) |
| Net change in unrealized appreciation (depreciation) on: | |
| Investments — unaffiliated issuers | 10,589,029 |
| Investments — affiliated issuers | (7,861) |
| Foreign currency translations | 122,340 |
| Forward foreign currency exchange contracts | (81,888) |
| Futures contracts | (3,795,909) |
| Securities sold short | 1,091,138 |
| Swap contracts | (266,645) |
| Net change in unrealized appreciation (depreciation) | 7,650,204 |
| Net realized and unrealized gain | 5,678,520 |
| Net increase in net assets resulting from operations | $4,257,652 |
The accompanying Notes to
Financial Statements are an integral part of this statement.
| Multi-Manager Directional Alternative Strategies Fund | Semiannual Report 2020 | 29 |
Statement of Changes in Net Assets
| Six Months Ended October 31, 2020 (Unaudited) | Year Ended April 30, 2020 | |
| Operations | ||
| Net investment loss | $(1,420,868) | $(334,973) |
| Net realized loss | (1,971,684) | (17,415,393) |
| Net change in unrealized appreciation (depreciation) | 7,650,204 | (9,948,318) |
| Net increase (decrease) in net assets resulting from operations | 4,257,652 | (27,698,684) |
| Distributions to shareholders | ||
| Net investment income and net realized gains | ||
| Class A | — | (3,881) |
| Institutional Class | — | (1,969,137) |
| Total distributions to shareholders | — | (1,973,018) |
| Increase (decrease) in net assets from capital stock activity | 5,468,385 | (1,696,451) |
| Total increase (decrease) in net assets | 9,726,037 | (31,368,153) |
| Net assets at beginning of period | 221,158,908 | 252,527,061 |
| Net assets at end of period | $230,884,945 | $221,158,908 |
| Six Months Ended | Year Ended | |||
| October 31, 2020 (Unaudited) | April 30, 2020 | |||
| Shares | Dollars ($) | Shares | Dollars ($) | |
| Capital stock activity | ||||
| Class A | ||||
| Distributions reinvested | — | — | 550 | 3,815 |
| Redemptions | — | — | (81,210) | (562,971) |
| Net decrease | — | — | (80,660) | (559,156) |
| Institutional Class | ||||
| Subscriptions | 4,836,327 | 29,379,834 | 7,489,953 | 49,620,671 |
| Distributions reinvested | — | — | 286,212 | 1,969,137 |
| Redemptions | (3,893,665) | (23,911,449) | (8,100,665) | (52,727,103) |
| Net increase (decrease) | 942,662 | 5,468,385 | (324,500) | (1,137,295) |
| Total net increase (decrease) | 942,662 | 5,468,385 | (405,160) | (1,696,451) |
The accompanying Notes to Financial Statements are
an integral part of this statement.
| 30 | Multi-Manager Directional Alternative Strategies Fund | Semiannual Report 2020 |
Financial Highlights
The following table is intended to
help you understand the Fund’s financial performance. Certain information reflects financial results for a single share of a class held for the periods shown. Per share net investment income (loss) amounts are
calculated based on average shares outstanding during the period. Total return assumes reinvestment of all dividends and distributions, if any. Total return does not reflect payment of sales charges, if any. Total
return and portfolio turnover are not annualized for periods of less than one year. The portfolio turnover rate is calculated without regard to purchase and sales transactions of short-term instruments and certain
derivatives, if any. If such transactions were included, the Fund’s portfolio turnover rate may be higher.
| Institutional Class | Six Months Ended October 31, 2020 (Unaudited) | Year Ended April 30, | |||
| 2020 | 2019 | 2018 | 2017 (a) | ||
| Per share data | |||||
| Net asset value, beginning of period | $6.00 | $6.78 | $10.82 | $10.60 | $10.25 |
| Income (loss) from investment operations: | |||||
| Net investment loss | (0.04) | (0.01) | (0.01) | (0.09) | (0.01) |
| Net realized and unrealized gain (loss) | 0.15 | (0.72) | (0.80) | 0.92 | 0.36 |
| Total from investment operations | 0.11 | (0.73) | (0.81) | 0.83 | 0.35 |
| Distributions to shareholders | |||||
| Distributions from net investment income | — | — | (0.06) | (0.18) | — |
| Distributions from net realized gains | — | (0.05) | (3.17) | (0.43) | — |
| Total distributions to shareholders | — | (0.05) | (3.23) | (0.61) | — |
| Net asset value, end of period | $6.11 | $6.00 | $6.78 | $10.82 | $10.60 |
| Total return | 1.83% | (10.81%) | (5.65%) | 7.67% | 3.41% |
| Ratios to average net assets | |||||
| Total gross expenses(b) | 2.85%(c),(d),(e),(f) | 2.31%(d),(e) | 2.16%(d),(e),(f) | 2.36%(d) | 2.49%(c),(d) |
| Total net expenses(b),(g) | 2.67%(c),(d),(e),(f) | 2.19%(d),(e) | 2.12%(d),(e),(f) | 2.36%(d) | 2.29%(c),(d) |
| Net investment loss | (1.22%)(c) | (0.14%) | (0.11%) | (0.83%) | (0.05%)(c) |
| Supplemental data | |||||
| Net assets, end of period (in thousands) | $230,885 | $221,159 | $251,976 | $290,666 | $1,049,952 |
| Portfolio turnover | 126% | 197% | 146%(h) | 158% | 100% |
| Notes to Financial Highlights | |
| (a) | Institutional Class shares commenced operations on January 3, 2017. Per share data and total return reflect activity from that date. |
| (b) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
| (c) | Annualized. |
| (d) | Ratios include dividends and interest on securities sold short. If dividends and interest on securities sold short had been excluded, annualized expenses would have been lower by: |
| Class | 10/31/2020 | 4/30/2020 | 4/30/2019 | 4/30/2018 | 4/30/2017 |
| Institutional Class | 0.83% | 0.32% | 0.19% | 0.40% | 0.46% |
| (e) | Ratios include interest on collateral expense which is less than 0.01%. |
| (f) | Ratios include interfund lending expense which is less than 0.01%. |
| (g) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
| (h) | The rate for the year ended April 30, 2019, as disclosed in the April 30, 2020 and 2019 financial statements was calculated and presented incorrectly and has been corrected. |
The accompanying Notes to Financial Statements are
an integral part of this statement.
| Multi-Manager Directional Alternative Strategies Fund | Semiannual Report 2020 | 31 |
Notes to Financial Statements
October 31, 2020 (Unaudited)
October 31, 2020 (Unaudited)
Note 1. Organization
Multi-Manager Directional
Alternative Strategies Fund (the Fund), a series of Columbia Funds Series Trust I (the Trust), is a non-diversified fund. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as
an open-end management investment company organized as a Massachusetts business trust.
Fund shares
The Trust may issue an unlimited
number of shares (without par value). The Fund is offered only through certain wrap fee programs sponsored and/or managed by Ameriprise Financial, Inc. (Ameriprise Financial) or its affiliates. The Fund offers each of
the share classes listed in the Statement of Assets and Liabilities which are not subject to any front-end sales charge or contingent deferred sales charge.
Note 2. Summary of
significant accounting policies
Basis of preparation
The Fund is an investment company
that applies the accounting and reporting guidance in the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946, Financial Services - Investment Companies (ASC 946). The financial statements are prepared in accordance with U.S. generally accepted accounting principles (GAAP), which requires
management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities, the disclosure of contingent assets and liabilities at the date of the financial statements and the
reported amounts of income and expenses during the reporting period. Actual results could differ from those estimates.
The following is a summary of
significant accounting policies followed by the Fund in the preparation of its financial statements.
Security valuation
Equity securities listed on an
exchange are valued at the closing price or last trade on their primary exchange at the close of business of the New York Stock Exchange. Securities with a closing price not readily available or not listed on any
exchange are valued at the mean between the closing bid and asked prices. Listed preferred stocks convertible into common stocks are valued using an evaluated price from a pricing service.
Foreign equity securities are
valued based on the closing price or last trade on their primary exchange at the close of business of the New York Stock Exchange. If any foreign equity security closing prices are not readily available, the
securities are valued at the mean of the latest quoted bid and ask prices on such exchanges or markets. Foreign currency exchange rates are determined at the scheduled closing time of the New York Stock Exchange. Many
securities markets and exchanges outside the U.S. close prior to the close of the New York Stock Exchange; therefore, the closing prices for securities in such markets or on such exchanges may not fully reflect events
that occur after such close but before the close of the New York Stock Exchange. In those situations, foreign securities will be fair valued pursuant to a policy adopted by the Board of Trustees. Under the policy, the
Fund may utilize a third-party pricing service to determine these fair values. The third-party pricing service takes into account multiple factors, including, but not limited to, movements in the U.S. securities
markets, certain depositary receipts, futures contracts and foreign exchange rates that have occurred subsequent to the close of the foreign exchange or market, to determine a good faith estimate that reasonably
reflects the current market conditions as of the close of the New York Stock Exchange. The fair value of a security is likely to be different from the quoted or published price, if available.
Investments in open-end investment
companies (other than exchange-traded funds (ETFs)), are valued at the latest net asset value reported by those companies as of the valuation time.
Forward foreign currency exchange
contracts are marked-to-market based upon foreign currency exchange rates provided by a pricing service.
Futures and options on futures
contracts are valued based upon the settlement price at the close of regular trading on their principal exchanges or, in the absence of a settlement price, at the mean of the latest quoted bid and ask prices.
| 32 | Multi-Manager Directional Alternative Strategies Fund | Semiannual Report 2020 |
Notes to Financial Statements (continued)
October 31, 2020 (Unaudited)
October 31, 2020 (Unaudited)
Swap transactions are valued
through an independent pricing service or broker, or if neither is available, through an internal model based upon observable inputs.
Investments for which market
quotations are not readily available, or that have quotations which management believes are not reflective of market value or reliable, are valued at fair value as determined in good faith under procedures approved by
and under the general supervision of the Board of Trustees. If a security or class of securities (such as foreign securities) is valued at fair value, such value is likely to be different from the quoted or published
price for the security, if available.
The determination of fair value
often requires significant judgment. To determine fair value, management may use assumptions including but not limited to future cash flows and estimated risk premiums. Multiple inputs from various sources may be used
to determine fair value.
GAAP requires 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. This information is disclosed following
the Fund’s Portfolio of Investments.
Foreign currency transactions and
translations
The values of all assets and
liabilities denominated in foreign currencies are generally translated into U.S. dollars at exchange rates determined at the close of regular trading on the New York Stock Exchange. Net realized and unrealized gains
(losses) on foreign currency transactions and translations include gains (losses) arising from the fluctuation in exchange rates between trade and settlement dates on securities transactions, gains (losses) arising
from the disposition of foreign currency and currency gains (losses) between the accrual and payment dates on dividends, interest income and foreign withholding taxes.
For financial statement purposes,
the Fund does not distinguish that portion of gains (losses) on investments which is due to changes in foreign exchange rates from that which is due to changes in market prices of the investments. Such fluctuations
are included with the net realized and unrealized gains (losses) on investments in the Statement of Operations.
Derivative instruments
The Fund invests in certain
derivative instruments, as detailed below, in seeking to meet its investment objectives. Derivatives are instruments whose values depend on, or are derived from, in whole or in part, the value of one or more
securities, currencies, commodities, indices, or other assets or instruments. Derivatives may be used to increase investment flexibility (including to maintain cash reserves while maintaining desired exposure to
certain assets), for risk management (hedging) purposes, to facilitate trading, to reduce transaction costs and to pursue higher investment returns. The Fund may also use derivative instruments to mitigate certain
investment risks, such as foreign currency exchange rate risk, interest rate risk and credit risk. Derivatives may involve various risks, including the potential inability of the counterparty to fulfill its
obligations under the terms of the contract, the potential for an illiquid secondary market (making it difficult for the Fund to sell or terminate, including at favorable prices) and the potential for market movements
which may expose the Fund to gains or losses in excess of the amount shown in the Statement of Assets and Liabilities. The notional amounts of derivative instruments, if applicable, are not recorded in the financial
statements.
A derivative instrument may suffer
a marked-to-market loss if the value of the contract decreases due to an unfavorable change in the market rates or values of the underlying instrument. Losses can also occur if the counterparty does not perform its
obligations under the contract. The Fund’s risk of loss from counterparty credit risk on over-the-counter derivatives is generally limited to the aggregate unrealized gain netted against any collateral held by
the Fund and the amount of any variation margin held by the counterparty, plus any replacement costs or related amounts. With exchange-traded or centrally cleared derivatives, there is reduced counterparty credit risk
to the Fund since the clearinghouse or central counterparty (CCP) provides some protection in the case of clearing member default. The clearinghouse or CCP stands between the buyer and the seller of the contract;
therefore, additional counterparty credit risk is failure of the clearinghouse or CCP. However, credit risk still exists in exchange-traded or centrally cleared derivatives with respect to initial and variation margin
that is held in a broker’s customer account. While clearing brokers are required to segregate customer margin from their own assets, in
| Multi-Manager Directional Alternative Strategies Fund | Semiannual Report 2020 | 33 |
Notes to Financial Statements (continued)
October 31, 2020 (Unaudited)
October 31, 2020 (Unaudited)
the event that a clearing broker becomes insolvent
or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the clearing broker for all its clients, U.S. bankruptcy laws will typically allocate that shortfall on a
pro-rata basis across all the clearing broker’s customers (including the Fund), potentially resulting in losses to the Fund.
In order to better define its
contractual rights and to secure rights that will help the Fund mitigate its counterparty risk, the Fund may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (ISDA Master Agreement)
or similar agreement with its derivatives counterparties. An ISDA Master Agreement is an agreement between the Fund and a counterparty that governs over-the-counter derivatives and foreign exchange forward contracts
and contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. Under an ISDA Master Agreement, the Fund may, under certain circumstances, offset
with the counterparty certain derivative instrument’s payables and/or receivables with collateral held and/or posted and create one single net payment. The provisions of the ISDA Master Agreement typically
permit a single net payment in the event of default (close-out netting), including the bankruptcy or insolvency of the counterparty. Note, however, that bankruptcy or insolvency laws of a particular jurisdiction may
impose restrictions on or prohibitions against the right of offset or netting in bankruptcy, insolvency or other events.
Collateral (margin) requirements
differ by type of derivative. Margin requirements are established by the clearinghouse or CCP for exchange-traded and centrally cleared derivatives. Brokers can ask for margin in excess of the minimum in certain
circumstances. Collateral terms for most over-the-counter derivatives are subject to regulatory requirements to exchange variation margin with trading counterparties and may have contract specific margin terms as
well. For over-the-counter derivatives traded under an ISDA Master Agreement, the collateral requirements are typically calculated by netting the marked-to-market amount for each transaction under such agreement and
comparing that amount to the value of any variation margin currently pledged by the Fund and/or the counterparty. Generally, the amount of collateral due from or to a party has to exceed a minimum transfer amount
threshold (e.g., $250,000) before a transfer has to be made. To the extent amounts due to the Fund from its counterparties are not fully collateralized, contractually or otherwise, the Fund bears the risk of loss from
counterparty nonperformance. The Fund may also pay interest expense on cash collateral received from the broker. Any interest expense paid by the Fund is shown on the Statement of Operations. The Fund attempts to
mitigate counterparty risk by only entering into agreements with counterparties that it believes have the financial resources to honor their obligations and by monitoring the financial stability of those
counterparties.
Certain ISDA Master Agreements
allow counterparties of over-the-counter derivatives transactions to terminate derivatives contracts prior to maturity in the event the Fund’s net asset value declines by a stated percentage over a specified
time period or if the Fund fails to meet certain terms of the ISDA Master Agreement, which would cause the Fund to accelerate payment of any net liability owed to the counterparty. The Fund also has termination rights
if the counterparty fails to meet certain terms of the ISDA Master Agreement. In determining whether to exercise such termination rights, the Fund would consider, in addition to counterparty credit risk, whether
termination would result in a net liability owed from the counterparty.
For financial reporting purposes,
the Fund does not offset derivative assets and derivative liabilities that are subject to netting arrangements in the Statement of Assets and Liabilities.
Forward foreign currency exchange
contracts
Forward foreign currency exchange
contracts are over-the-counter agreements between two parties to buy and sell a currency at a set price on a future date. The Fund utilized forward foreign currency exchange contracts to hedge the currency exposure
associated with some or all of the Fund’s securities, to shift U.S. dollar exposure to achieve a representative weighted mix of major currencies in its benchmark and to recover an underweight country exposure in
its portfolio. These instruments may be used for other purposes in future periods.
The values of forward foreign
currency exchange contracts fluctuate daily with changes in foreign currency exchange rates. Changes in the value of these contracts are recorded as unrealized appreciation or depreciation until the contract is
exercised or has expired. The Fund will realize a gain or loss when the forward foreign currency exchange contract is closed or expires. Non-deliverable forward foreign currency exchange contracts are settled with the
counterparty in U.S. dollars without delivery of foreign currency.
| 34 | Multi-Manager Directional Alternative Strategies Fund | Semiannual Report 2020 |
Notes to Financial Statements (continued)
October 31, 2020 (Unaudited)
October 31, 2020 (Unaudited)
The use of forward foreign currency
exchange contracts does not eliminate fluctuations in the prices of the Fund’s portfolio securities. The risks of forward foreign currency exchange contracts include movement in the values of the foreign
currencies relative to the U.S. dollar (or other foreign currencies) and the possibility that counterparties will not complete their contractual obligations, which may be in excess of the amount reflected, if any, in
the Statement of Assets and Liabilities.
Futures contracts
Futures contracts are
exchange-traded and represent commitments for the future purchase or sale of an asset at a specified price on a specified date. The Fund bought and sold futures contracts to manage exposure to the securities market.
These instruments may be used for other purposes in future periods. Upon entering into futures contracts, the Fund bears risks that it may not achieve the anticipated benefits of the futures contracts and may realize
a loss. Additional risks include counterparty credit risk, the possibility of an illiquid market, and that a change in the value of the contract or option may not correlate with changes in the value of the underlying
asset.
Upon entering into a futures
contract, the Fund deposits cash or securities with the broker, known as a futures commission merchant (FCM), in an amount sufficient to meet the initial margin requirement. The initial margin deposit must be
maintained at an established level over the life of the contract. Cash deposited as initial margin is recorded in the Statement of Assets and Liabilities as margin deposits. Securities deposited as initial margin are
designated in the Portfolio of Investments. Subsequent payments (variation margin) are made or received by the Fund each day. The variation margin payments are equal to the daily change in the contract value and are
recorded as variation margin receivable or payable and are offset in unrealized gains or losses. The Fund recognizes a realized gain or loss when the contract is closed or expires. Futures contracts involve, to
varying degrees, risk of loss in excess of the variation margin disclosed in the Statement of Assets and Liabilities.
Swap contracts
Swap contracts are negotiated in
the over-the-counter market and may be entered into as a bilateral contract or centrally cleared (centrally cleared swap contract). In a centrally cleared swap contract, immediately following execution of the swap
contract with a broker, the swap contract is novated to a central counterparty (the CCP) and the CCP becomes the Fund’s counterparty to the centrally cleared swap contract. The Fund is required to deposit
initial margin with the futures commission merchant (FCM), which pledges it through to the CCP in the form of cash or securities in an amount that varies depending on the size and risk profile of the particular swap
contract. Securities deposited as initial margin are designated in the Portfolio of Investments and cash deposited is recorded in the Statement of Assets and Liabilities as margin deposits. For a bilateral swap
contract, the Fund has credit exposure to the broker, but exchanges daily variation margin with the broker based on the mark-to-market value of the swap contract to minimize that exposure. For centrally cleared swap
contracts, the Fund has minimal credit exposure to the FCM because the CCP stands between the Fund and the relevant buyer/seller on the other side of the contract. Swap contracts are marked-to-market daily and changes
in value are recorded as unrealized appreciation (depreciation). The daily change in valuation of centrally cleared swap contracts, if any, is recorded as a receivable or payable for variation margin in the Statement
of Assets and Liabilities.
Entering into these contracts
involves, to varying degrees, elements of interest, liquidity and counterparty credit risk in excess of the amounts recognized in the Statement of Assets and Liabilities. Such risks involve the possibility that there
may be unfavorable changes in interest rates, market conditions or other conditions, that it may be difficult to initiate a swap transaction or liquidate a position at an advantageous time or price which may result in
significant losses, and that the FCM or CCP may not fulfill its obligation under the contract.
Total return basket swap contracts
The Fund entered into total return
basket swap transactions. These instruments allow the Fund to manage exposure to a custom basket of securities and foreign markets (both long and short exposures) without owning or taking physical custody of such
securities. Under the terms of the contract, payments made by the Fund or the counterparty are based on the total return of the reference assets within the basket in return for a specified interest rate. The contract
allows the Investment Manager of the Fund to alter the composition of the custom basket by trading in and out of the notional reference security positions at its discretion.
| Multi-Manager Directional Alternative Strategies Fund | Semiannual Report 2020 | 35 |
Notes to Financial Statements (continued)
October 31, 2020 (Unaudited)
October 31, 2020 (Unaudited)
The total return basket swap is
valued daily, and the change in value is recorded as unrealized appreciation (depreciation). The swap resets monthly at which time the Fund settles in cash with the counterparty. Payments received (or made) by the
Fund are recorded as realized gains (losses). Total return basket swaps are subject to the risk associated with the investment in the reference securities within the basket. The risk in the case of short swaps
transactions is unlimited based on the potential for unlimited increases in the market value of the reference securities in the basket. The risk may be offset if the Fund holds any of the reference securities. The
risk in the case of long swap transactions is limited to the current notional amount of the swap.
Total return swap contracts
The Fund entered into total return
swap contracts to manage long or short exposure to the total return on a specified reference security in return for periodic payments based on a fixed or variable interest rate. These instruments may be used for other
purposes in future periods. Total return swap contracts may be used to obtain exposure to an underlying reference security, instrument, or other asset or index or market without owning, taking physical custody of, or
short selling any such security, instrument or asset in a market.
Total return swap contracts are
valued daily, and the change in value is recorded as unrealized appreciation (depreciation) until the termination of the swap, at which time the Fund will realize a gain (loss). Periodic payments received (or made) by
the Fund over the term of the contract are recorded as realized gains (losses). Total return swap contracts are subject to the risk associated with the investment in the underlying reference security, instrument or
asset. The risk in the case of short total return swap contracts is unlimited based on the potential for unlimited increases in the market value of the underlying reference security, instrument or asset. This risk may
be offset if the Fund holds any of the underlying reference security, instrument or asset. The risk in the case of long total return swap contracts is limited to the current notional amount of the total return swap
contract.
Effects of derivative transactions in
the financial statements
The following tables are intended
to provide additional information about the effect of derivatives on the financial statements of the Fund, including: the fair value of derivatives by risk category and the location of those fair values in the
Statement of Assets and Liabilities; and the impact of derivative transactions over the period in the Statement of Operations, including realized and unrealized gains (losses). The derivative instrument schedules
following the Portfolio of Investments present additional information regarding derivative instruments outstanding at the end of the period, if any.
The following table is a summary of
the fair value of derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) at October 31, 2020:
| Asset derivatives | ||
| Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
| Equity risk | Component of total distributable earnings (loss) — unrealized appreciation on swap contracts | 317,980* |
| Foreign exchange risk | Unrealized appreciation on forward foreign currency exchange contracts | 86,411 |
| Total | 404,391 |
| Liability derivatives | ||
| Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
| Equity risk | Component of total distributable earnings (loss) — unrealized depreciation on futures contracts | 1,032,886* |
| Equity risk | Component of total distributable earnings (loss) — unrealized depreciation on swap contracts | 639,537* |
| Foreign exchange risk | Unrealized depreciation on forward foreign currency exchange contracts | 198,228 |
| Total | 1,870,651 |
| * | Includes cumulative appreciation (depreciation) as reported in the tables following the Portfolio of Investments. Only the current day’s variation margin is reported in receivables or payables in the Statement of Assets and Liabilities. |
| 36 | Multi-Manager Directional Alternative Strategies Fund | Semiannual Report 2020 |
Notes to Financial Statements (continued)
October 31, 2020 (Unaudited)
October 31, 2020 (Unaudited)
The following table indicates the
effect of derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) in the Statement of Operations for the six months ended October 31, 2020:
| Amount of realized gain (loss) on derivatives recognized in income | ||||
| Risk exposure category | Forward foreign currency exchange contracts ($) | Futures contracts ($) | Swap contracts ($) | Total ($) |
| Equity risk | — | 6,755,830 | (3,556,960) | 3,198,870 |
| Foreign exchange risk | 488,028 | — | — | 488,028 |
| Total | 488,028 | 6,755,830 | (3,556,960) | 3,686,898 |
| Change in unrealized appreciation (depreciation) on derivatives recognized in income | ||||
| Risk exposure category | Forward foreign currency exchange contracts ($) | Futures contracts ($) | Swap contracts ($) | Total ($) |
| Equity risk | — | (3,795,909) | (266,645) | (4,062,554) |
| Foreign exchange risk | (81,888) | — | — | (81,888) |
| Total | (81,888) | (3,795,909) | (266,645) | (4,144,442) |
The following table is a summary
of the average outstanding volume by derivative instrument for the six months ended October 31, 2020:
| Derivative instrument | Average notional amounts ($)* |
| Futures contracts — long | 30,881,664 |
| Derivative instrument | Average unrealized appreciation ($)* | Average unrealized depreciation ($)* |
| Forward foreign currency exchange contracts | 306,179 | (187,794) |
| Total return swap contracts | 210,699 | (553,261) |
| * | Based on the ending quarterly outstanding amounts for the six months ended October 31, 2020. |
Short sales
The Fund may sell a security it
does not own in anticipation of a decline in the fair value of the security. When the Fund sells a security short, it must borrow the security sold short and deliver it to the broker-dealer through which it made the
short sale. The Fund is required to maintain a margin account with the broker and to pledge assets to the broker as collateral for the borrowed security. Securities pledged as collateral are designated in the
Portfolio of Investments. In addition, cash collateral is recorded as cash collateral held at broker in the Statement of Assets and Liabilities. The Fund can purchase the same security at the current market price and
deliver it to the broker to close out the short sale. The Fund is obligated to pay the broker a fee for borrowing the security and may receive rebate income from the investment of collateral. The net amount of income
or fees is included in "Interest income" (for net income received) or “Dividends and interest on securities sold short” (for net expense) in the Statement of Operations. A short position is reported as a
liability at fair value in the Statement of Assets and Liabilities. The Fund must also pay the broker for any dividends accrued (recognized on ex-date) on the borrowed security. This amount is recorded as an expense
in the Statement of Operations. The Fund will record a gain if the security declines in value, and will realize a loss if the security appreciates. Such gain, limited to the price at which the Fund sold the security
short, or such loss, potentially unlimited in size because the short position loses value as the market price of the security sold short increases, will be recognized upon the termination of a short sale.
| Multi-Manager Directional Alternative Strategies Fund | Semiannual Report 2020 | 37 |
Notes to Financial Statements (continued)
October 31, 2020 (Unaudited)
October 31, 2020 (Unaudited)
Offsetting of assets and
liabilities
The following table presents the
Fund’s gross and net amount of assets and liabilities available for offset under netting arrangements as well as any related collateral received or pledged by the Fund as of October 31, 2020:
| Citi ($) | JPMorgan ($) (a) | JPMorgan ($) (a) | Macquarie ($) | Morgan Stanley ($) | Morgan Stanley International ($) | Total ($) | |
| Assets | |||||||
| Forward foreign currency exchange contracts | 43,207 | 43,204 | - | - | - | - | 86,411 |
| OTC total return swap contracts (b) | - | 313,188 | - | 4,792 | - | - | 317,980 |
| Total assets | 43,207 | 356,392 | - | 4,792 | - | - | 404,391 |
| Liabilities | |||||||
| Forward foreign currency exchange contracts | 99,111 | 99,117 | - | - | - | - | 198,228 |
| OTC total return swap contracts (b) | - | - | - | 89,045 | - | 460,202 | 549,247 |
| OTC total return swap contracts on futures (b) | 21,121 | 34,350 | - | - | - | 34,819 | 90,290 |
| Securities borrowed | - | - | 34,106,763 | - | 50,904,956 | - | 85,011,719 |
| Total liabilities | 120,232 | 133,467 | 34,106,763 | 89,045 | 50,904,956 | 495,021 | 85,849,484 |
| Total financial and derivative net assets | (77,025) | 222,925 | (34,106,763) | (84,253) | (50,904,956) | (495,021) | (85,445,093) |
| Total collateral received (pledged) (c) | (77,025) | - | (34,106,763) | (84,253) | (50,904,956) | (495,021) | (85,668,018) |
| Net amount (d) | - | 222,925 | - | - | - | - | 222,925 |
| (a) | Exposure can only be netted across transactions governed under the same master agreement with the same legal entity. |
| (b) | Over-the-Counter (OTC) swap contracts are presented at market value plus periodic payments receivable (payable), which is comprised of unrealized appreciation, unrealized depreciation, upfront payments and upfront receipts. |
| (c) | In some instances, the actual collateral received and/or pledged may be more than the amount shown due to overcollateralization. |
| (d) | Represents the net amount due from/(to) counterparties in the event of default. |
Security transactions
Security transactions are accounted
for on the trade date. Cost is determined and gains (losses) are based upon the specific identification method for both financial statement and federal income tax purposes.
Income recognition
Corporate actions and dividend
income are generally recorded net of any non-reclaimable tax withholdings, on the ex-dividend date or upon receipt of ex-dividend notification in the case of certain foreign securities.
The Fund may receive distributions
from holdings in equity securities, business development companies (BDCs), exchange-traded funds (ETFs), limited partnerships (LPs), other regulated investment companies (RICs), and real estate investment trusts
(REITs), which report information as to the tax character of their distributions annually. These distributions are allocated to dividend income, capital gain and return of capital based on actual information reported.
Return of capital is recorded as a reduction of the cost basis of securities held. If the Fund no longer owns the applicable securities, return of capital is recorded as a realized gain. With respect to REITs, to the
extent actual information has not yet been reported, estimates for return of capital are made by Columbia Management Investment Advisers, LLC (the Investment Manager), a wholly-owned subsidiary of Ameriprise
Financial, Inc. (Ameriprise Financial). The Investment Manager’s estimates are subsequently adjusted when the actual character of the distributions is disclosed by the REITs, which could result in a
proportionate change in return of capital to shareholders.
Awards from class action litigation
are recorded as a reduction of cost basis if the Fund still owns the applicable securities on the payment date. If the Fund no longer owns the applicable securities on the payment date, the proceeds are recorded as
realized gains.
| 38 | Multi-Manager Directional Alternative Strategies Fund | Semiannual Report 2020 |
Notes to Financial Statements (continued)
October 31, 2020 (Unaudited)
October 31, 2020 (Unaudited)
Expenses
General expenses of the Trust are
allocated to the Fund and other funds of the Trust based upon relative net assets or other expense allocation methodologies determined by the nature of the expense. Expenses directly attributable to the Fund are
charged to the Fund. Expenses directly attributable to a specific class of shares are charged to that share class.
Determination of class net asset
value
All income, expenses (other than
class-specific expenses, which are charged to that share class, as shown in the Statement of Operations) and realized and unrealized gains (losses) are allocated to each class of the Fund on a daily basis, based on
the relative net assets of each class, for purposes of determining the net asset value of each class.
Federal income tax status
The Fund intends to qualify each
year as a regulated investment company under Subchapter M of the Internal Revenue Code, as amended, and will distribute substantially all of its investment company taxable income and net capital gain, if any, for its
tax year, and as such will not be subject to federal income taxes. In addition, the Fund intends to distribute in each calendar year substantially all of its ordinary income, capital gain net income and certain other
amounts, if any, such that the Fund should not be subject to federal excise tax. Therefore, no federal income or excise tax provision is recorded.
Foreign taxes
The Fund may be subject to foreign
taxes on income, gains on investments or currency repatriation, a portion of which may be recoverable. The Fund will accrue such taxes and recoveries, as applicable, based upon its current interpretation of tax rules
and regulations that exist in the markets in which it invests.
Realized gains in certain countries
may be subject to foreign taxes at the Fund level, based on statutory rates. The Fund accrues for such foreign taxes on realized and unrealized gains at the appropriate rate for each jurisdiction, as applicable. The
amount, if any, is disclosed as a liability on the Statement of Assets and Liabilities.
Distributions to shareholders
Distributions from net investment
income, if any, are declared and paid annually. Net realized capital gains, if any, are distributed at least annually. Income distributions and capital gain distributions are determined in accordance with federal
income tax regulations, which may differ from GAAP.
Guarantees and indemnifications
Under the Trust’s
organizational documents and, in some cases, by contract, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Trust or its funds. In addition,
certain of the Fund’s contracts with its service providers contain general indemnification clauses. The Fund’s maximum exposure under these arrangements is unknown since the amount of any future claims
that may be made against the Fund cannot be determined, and the Fund has no historical basis for predicting the likelihood of any such claims.
Note 3. Fees and other
transactions with affiliates
Management services fees
The Fund has entered into a
Management Agreement with Columbia Management Investment Advisers, LLC (the Investment Manager), a wholly-owned subsidiary of Ameriprise Financial, Inc. (Ameriprise Financial). Under the Management Agreement, the
Investment Manager provides the Fund with investment research and advice, as well as administrative and accounting services. The Investment Manager is responsible for the ultimate oversight of investments made by the
Fund. The Fund’s subadvisers (see Subadvisory agreements below) have the primary responsibility for the day-to-day portfolio management of their portion of the Fund. The management services fee is an annual fee
that is equal to 1.60% of the Fund’s daily net assets.
| Multi-Manager Directional Alternative Strategies Fund | Semiannual Report 2020 | 39 |
Notes to Financial Statements (continued)
October 31, 2020 (Unaudited)
October 31, 2020 (Unaudited)
Subadvisory agreements
The Investment Manager has entered
into Subadvisory Agreements with AQR Capital Management, LLC, Boston Partners Global Investors, Inc. and Wells Capital Management Incorporated, each of which subadvises a portion of the assets of the Fund. New
investments in the Fund, net of any redemptions, are allocated in accordance with the Investment Manager’s determination, subject to the oversight of the Fund’s Board of Trustees. Each subadviser’s
proportionate share of investments in the Fund will vary due to market fluctuations. The Investment Manager compensates each subadviser to manage the investment of the Fund’s assets.
Compensation of board members
Members of the Board of Trustees
who are not officers or employees of the Investment Manager or Ameriprise Financial are compensated for their services to the Fund as disclosed in the Statement of Operations. These members of the Board of Trustees
may participate in a Deferred Compensation Plan (the Deferred Plan) which may be terminated at any time. Obligations of the Deferred Plan will be paid solely out of the Fund’s assets, and all amounts payable
under the Deferred Plan constitute a general unsecured obligation of the Fund.
Compensation of Chief Compliance
Officer
The Board of Trustees has appointed
a Chief Compliance Officer for the Fund in accordance with federal securities regulations. As disclosed in the Statement of Operations, a portion of the Chief Compliance Officer’s total compensation is allocated
to the Fund, along with other allocations to affiliated registered investment companies managed by the Investment Manager and its affiliates, based on relative net assets.
Transfer agency fees
Under a Transfer and Dividend
Disbursing Agent Agreement, Columbia Management Investment Services Corp. (the Transfer Agent), an affiliate of the Investment Manager and a wholly-owned subsidiary of Ameriprise Financial, is responsible for
providing transfer agency services to the Fund. The Transfer Agent has contracted with DST Asset Manager Solutions, Inc. (DST) to serve as sub-transfer agent. The Transfer Agent pays the fees of DST for services as
sub-transfer agent and DST is not entitled to reimbursement for such fees from the Fund (with the exception of out-of-pocket fees).
The Fund pays the Transfer Agent a
monthly transfer agency fee based on the number or the average value of accounts, depending on the type of account. In addition, the Fund pays the Transfer Agent a fee for shareholder services based on the number of
accounts or on a percentage of the average aggregate value of the Fund’s shares maintained in omnibus accounts up to the lesser of the amount charged by the financial intermediary or a cap established by the
Board of Trustees from time to time.
The Transfer Agent also receives
compensation from the Fund for various shareholder services and reimbursements for certain out-of-pocket fees.
For the six months ended October
31, 2020, the Fund’s annualized effective transfer agency fee rates as a percentage of average daily net assets of each class were as follows:
| Effective rate (%) | |
| Institutional Class | 0.22 |
Distribution and service fees
The Fund has an agreement with
Columbia Management Investment Distributors, Inc. (the Distributor), an affiliate of the Investment Manager and a wholly-owned subsidiary of Ameriprise Financial, for distribution and shareholder services. The Fund
does not pay the Distributor a fee for the distribution services it provides to the Fund.
| 40 | Multi-Manager Directional Alternative Strategies Fund | Semiannual Report 2020 |
Notes to Financial Statements (continued)
October 31, 2020 (Unaudited)
October 31, 2020 (Unaudited)
Expenses waived/reimbursed by the
Investment Manager and its affiliates
The Investment Manager and certain
of its affiliates have contractually agreed to waive fees and/or reimburse expenses (excluding certain fees and expenses described below) for the period(s) disclosed below, unless sooner terminated at the sole
discretion of the Board of Trustees, so that the Fund’s net operating expenses, after giving effect to fees waived/expenses reimbursed and any balance credits and/or overdraft charges from the Fund’s
custodian, do not exceed the following annual rate(s) as a percentage of the class’ average daily net assets:
| Fee rate(s) contractual through August 31, 2021 | |
| Institutional Class | 1.84% |
Under the agreement governing
these fee waivers and/or expense reimbursement arrangements, the following fees and expenses are excluded from the waiver/reimbursement commitment, and therefore will be paid by the Fund, if applicable: taxes
(including foreign transaction taxes), expenses associated with investments in affiliated and non-affiliated pooled investment vehicles (including mutual funds and exchange-traded funds), transaction costs and
brokerage commissions, costs related to any securities lending program, dividend expenses associated with securities sold short, inverse floater program fees and expenses, transaction charges and interest on borrowed
money, interest, infrequent and/or unusual expenses and any other expenses the exclusion of which is specifically approved by the Board of Trustees. This agreement may be modified or amended only with approval from
the Investment Manager, certain of its affiliates and the Fund. Any fees waived and/or expenses reimbursed under the expense reimbursement arrangements described above are not recoverable by the Investment Manager or
its affiliates in future periods.
Note 4. Federal tax
information
The timing and character of
income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP because of temporary or permanent book to tax differences.
At October 31, 2020, the
approximate cost of all investments for federal income tax purposes and the aggregate gross approximate unrealized appreciation and depreciation based on that cost was:
| Federal tax cost ($) | Gross unrealized appreciation ($) | Gross unrealized (depreciation) ($) | Net unrealized appreciation ($) |
| 104,685,000 | 30,394,000 | (14,168,000) | 16,226,000 |
Tax cost of investments and
unrealized appreciation/(depreciation) may also include timing differences that do not constitute adjustments to tax basis.
Under current tax rules, regulated
investment companies can elect to treat certain late-year ordinary losses incurred and post-October capital losses (capital losses realized after October 31) as arising on the first day of the following taxable year.
The Fund will elect to treat the following late-year ordinary losses and post-October capital losses at April 30, 2020 as arising on May 1, 2020.
| Late year ordinary losses ($) | Post-October capital losses ($) |
| 5,507,645 | 6,651,262 |
Management of the Fund has
concluded that there are no significant uncertain tax positions in the Fund that would require recognition in the financial statements. However, management’s conclusion may be subject to review and adjustment at
a later date based on factors including, but not limited to, new tax laws, regulations, and administrative interpretations (including relevant court decisions). Generally, the Fund’s federal tax returns for the
prior three fiscal years remain subject to examination by the Internal Revenue Service.
| Multi-Manager Directional Alternative Strategies Fund | Semiannual Report 2020 | 41 |
Notes to Financial Statements (continued)
October 31, 2020 (Unaudited)
October 31, 2020 (Unaudited)
Note 5. Portfolio
information
The cost of purchases and
proceeds from sales of securities, excluding short-term investments and derivatives, if any, aggregated to $348,966,035 and $346,960,080, respectively, for the six months ended October 31, 2020. The amount of purchase
and sale activity impacts the portfolio turnover rate reported in the Financial Highlights.
Note 6. Affiliated money
market fund
The Fund invests in Columbia
Short-Term Cash Fund, an affiliated money market fund established for the exclusive use by the Fund and other affiliated funds (the Affiliated MMF). The income earned by the Fund from such investments is included as
Dividends - affiliated issuers in the Statement of Operations. As an investing fund, the Fund indirectly bears its proportionate share of the expenses of the Affiliated MMF. The Affiliated MMF prices its shares with a
floating net asset value. In addition, the Board of Trustees of the Affiliated MMF may impose a fee on redemptions (sometimes referred to as a liquidity fee) or temporarily suspend redemptions (sometimes referred to
as imposing a redemption gate) in the event its liquidity falls below regulatory limits.
Note 7. Interfund
lending
Pursuant to an exemptive order
granted by the Securities and Exchange Commission, the Fund participates in a program (the Interfund Program) allowing each participating Columbia Fund (each, a Participating Fund) to lend money directly to and,
except for closed-end funds and money market funds, borrow money directly from other Participating Funds for temporary purposes. The amounts eligible for borrowing and lending under the Interfund Program are subject
to certain restrictions.
Interfund loans are subject to the
risk that the borrowing fund could be unable to repay the loan when due, and a delay in repayment to the lending fund could result in lost opportunities and/or additional lending costs. The exemptive order is subject
to conditions intended to mitigate conflicts of interest arising from the Investment Manager’s relationship with each Participating Fund.
The Fund’s activity in the
Interfund Program during the six months ended October 31, 2020 was as follows:
| Borrower or lender | Average loan balance ($) | Weighted average interest rate (%) | Number of days with outstanding loans |
| Borrower | 420,000 | 0.60 | 5 |
Interest expense incurred by the
Fund is recorded as Interfund lending in the Statement of Operations. The Fund had no outstanding interfund loans at October 31, 2020.
Note 8. Line of credit
The Fund has access to a
revolving credit facility with a syndicate of banks led by Citibank, N.A., Wells Fargo Bank, N.A. and JPMorgan Chase Bank, N.A. whereby the Fund may borrow for the temporary funding of shareholder redemptions or for
other temporary or emergency purposes. Pursuant to a December 1, 2020 amendment, the credit facility, which is a collective agreement between the Fund and certain other funds managed by the Investment Manager or an
affiliated investment manager, severally and not jointly, permits collective borrowings up to $950 million. Interest is charged to each participating fund based on its borrowings at a rate equal to the higher of (i)
the federal funds effective rate, (ii) the one-month LIBOR rate and (iii) the overnight bank funding rate, plus in each case, 1.25%. Each borrowing under the credit facility matures no later than 60 days after the
date of borrowing. The Fund also pays a commitment fee equal to its pro rata share of the unused amount of the credit facility at a rate of 0.15% per annum. The commitment fee is included in other expenses in the
Statement of Operations. This agreement expires annually in December unless extended or renewed. Prior to the December 1, 2020 amendment, the Fund has access to a revolving credit facility with a syndicate of banks
led by Citibank, N.A., HSBC Bank USA, N.A. and JPMorgan Chase Bank, N.A. which permitted collective borrowings up to 1 billion. Interest was charged to each participating fund based on its borrowings at a rate equal
to the higher of (i) the federal funds effective rate, (ii) the one-month LIBOR rate and (iii) the overnight bank funding rate, plus in each case, 1.00%.
The Fund had no borrowings during
the six months ended October 31, 2020.
| 42 | Multi-Manager Directional Alternative Strategies Fund | Semiannual Report 2020 |
Notes to Financial Statements (continued)
October 31, 2020 (Unaudited)
October 31, 2020 (Unaudited)
Note 9. Significant
risks
Alternative strategies investment
risk
An investment in alternative
investment strategies (Alternative Strategies) involves risks, which may be significant. Alternative Strategies may include strategies, instruments or other assets, such as derivatives, that seek investment returns
uncorrelated with the broad equity and fixed income/debt markets, as well as those providing exposure to other markets (such as commodity markets), including but not limited to absolute (positive) return strategies.
Alternative Strategies may fail to achieve their desired performance, market or other exposure, or their returns (or lack thereof) may be more correlated with the broad equity and/or fixed income/debt markets than was
anticipated, and the Fund may lose money.
Derivatives risk
Losses involving derivative
instruments may be substantial, because a relatively small movement in the underlying reference (which is generally the price, rate or other economic indicator associated with a security(ies), commodity, currency or
index or other instrument or asset) may result in a substantial loss for the Fund. In addition to the potential for increased losses, the use of derivative instruments may lead to increased volatility within the Fund.
Derivatives will typically increase the Fund’s exposure to principal risks to which it is otherwise exposed, and may expose the Fund to additional risks, including correlation risk, counterparty risk, hedging
risk, leverage risk, liquidity risk and pricing risk.
Market and environment risk
The Fund may incur losses due to
declines in the value of one or more securities in which it invests. These declines may be due to factors affecting a particular issuer, or the result of, among other things, political, regulatory, market, economic or
social developments affecting the relevant market(s) more generally. In addition, turbulence in financial markets and reduced liquidity in equity, credit and/or fixed income markets may negatively affect many issuers,
which could adversely affect the Fund, including causing difficulty in assigning prices to hard-to-value assets in thinly traded and closed markets, significant redemptions and operational challenges. Global economies
and financial markets are increasingly interconnected, and conditions and events in one country, region or financial market may adversely impact issuers in a different country, region or financial market. These risks
may be magnified if certain events or developments adversely interrupt the global supply chain; in these and other circumstances, such risks might affect companies worldwide. As a result, local, regional or global
events such as terrorism, war, natural disasters, disease/virus outbreaks and epidemics or other public health issues, recessions, depressions or other events – or the potential for such events – could
have a significant negative impact on global economic and market conditions.
The Fund performance may also be
significantly negatively impacted by the economic impact of the coronavirus disease 2019 (COVID-19) pandemic. The COVID-19 public health crisis has become a pandemic that has resulted in, and may continue to result
in, significant global economic and societal disruption and market volatility due to disruptions in market access, resource availability, facilities operations, imposition of tariffs, export controls and supply chain
disruption, among others. Such disruptions may be caused, or exacerbated by, quarantines and travel restrictions, workforce displacement and loss in human and other resources. The uncertainty surrounding the
magnitude, duration, reach, costs and effects of the global pandemic, as well as actions that have been or could be taken by governmental authorities or other third parties, present unknowns that are yet to unfold.
The impacts, as well as the uncertainty over impacts to come, of COVID-19 – and any other infectious illness outbreaks, epidemics and pandemics that may arise in the future – could negatively affect global
economies and markets in ways that cannot necessarily be foreseen. In addition, the impact of infectious illness outbreaks and epidemics in emerging market countries may be greater due to generally less established
healthcare systems, governments and financial markets. Public health crises caused by the COVID-19 outbreak may exacerbate other pre-existing political, social and economic risks in certain countries or globally. The
disruptions caused by COVID-19 could prevent the Fund from executing advantageous investment decisions in a timely manner and negatively impact the Fund’s ability to achieve its investment objectives. Any such
event(s) could have a significant adverse impact on the value and risk profile of the Fund.
The Investment Manager and its
affiliates have systematically implemented strategies to address the operating environment spurred by the COVID-19 pandemic. To promote the safety and security of our employees and to assure the continuity of our
business operations, we have implemented a work from home protocol for virtually all of our employee population, restricted
| Multi-Manager Directional Alternative Strategies Fund | Semiannual Report 2020 | 43 |
Notes to Financial Statements (continued)
October 31, 2020 (Unaudited)
October 31, 2020 (Unaudited)
business travel, and provided resources for
complying with the guidance from the World Health Organization, the U.S. Centers for Disease Control and governments. Our operations teams seek to operate without significant disruptions in service. Our pandemic
strategy takes into consideration that a pandemic could be widespread and may occur in multiple waves, affecting different communities at different times with varying levels of severity. We cannot, however, predict
the impact that natural or man-made disasters, including the COVID-19 pandemic, may have on the ability of our employees and third-party service providers to continue ordinary business operations and technology
functions over near- or longer-term periods.
Non-diversification risk
A non-diversified fund is permitted
to invest a greater percentage of its total assets in fewer issuers than a diversified fund. This increases the risk that a change in the value of any one investment held by the Fund could affect the overall value of
the Fund more than it would affect that of a diversified fund holding a greater number of investments. Accordingly, the Fund’s value will likely be more volatile than the value of a more diversified fund.
Shareholder concentration risk
At October 31, 2020, affiliated
shareholders of record owned 100.0% of the outstanding shares of the Fund in one or more accounts. Subscription and redemption activity by concentrated accounts may have a significant effect on the operations of the
Fund. In the case of a large redemption, the Fund may be forced to sell investments at inopportune times, including its liquid positions, which may result in Fund losses and the Fund holding a higher percentage of
less liquid positions. Large redemptions could result in decreased economies of scale and increased operating expenses for non-redeeming Fund shareholders.
Short selling risk
Leverage occurs when the Fund
increases its assets available for investment using borrowings, short sales, derivatives, or similar instruments or techniques. Because short sales involve borrowing securities and then selling them, the Fund’s
short sales effectively leverage the Fund’s assets. The Fund’s assets that are used as collateral to secure the Fund’s obligations to return the securities sold short may decrease in value while the
short positions are outstanding, which may force the Fund to use its other assets to increase the collateral. Leverage can create an interest expense that may lower the Fund’s overall returns. Leverage presents
the opportunity for increased net income and capital gains, but may also exaggerate the Fund’s volatility and risk of loss. There can be no guarantee that a leveraging strategy will be successful.
Note 10. Subsequent
events
Management has evaluated the
events and transactions that have occurred through the date the financial statements were issued and noted no items requiring adjustment of the financial statements or additional disclosure.
Note 11. Information
regarding pending and settled legal proceedings
Ameriprise Financial and certain
of its affiliates have historically been involved in a number of legal, arbitration and regulatory proceedings, including routine litigation, class actions, and governmental actions, concerning matters arising in
connection with the conduct of their business activities. Ameriprise Financial believes that the Fund is not currently the subject of, and that neither Ameriprise Financial nor any of its affiliates are the subject
of, any pending legal, arbitration or regulatory proceedings that are likely to have a material adverse effect on the Fund or the ability of Ameriprise Financial or its affiliates to perform under their contracts with
the Fund. Ameriprise Financial is required to make quarterly (10-Q), annual (10-K) and, as necessary, 8-K filings with the Securities and Exchange Commission (SEC) on legal and regulatory matters that relate to
Ameriprise Financial and its affiliates. Copies of these filings may be obtained by accessing the SEC website at www.sec.gov.
There can be no assurance that
these matters, or the adverse publicity associated with them, will not result in increased Fund redemptions, reduced sale of Fund shares or other adverse consequences to the Fund. Further, although we believe
proceedings are not likely to have a material adverse effect on the Fund or the ability of Ameriprise Financial or its affiliates to perform under their contracts with the Fund, these proceedings are subject to
uncertainties and, as such, we are unable to estimate the possible loss or range of loss that may result. An adverse outcome in one or more of these proceedings could
| 44 | Multi-Manager Directional Alternative Strategies Fund | Semiannual Report 2020 |
Notes to Financial Statements (continued)
October 31, 2020 (Unaudited)
October 31, 2020 (Unaudited)
result in adverse judgments, settlements, fines,
penalties or other relief that could have a material adverse effect on the consolidated financial condition or results of operations of Ameriprise Financial or one or more of its affiliates that provides services to
the Funds.
| Multi-Manager Directional Alternative Strategies Fund | Semiannual Report 2020 | 45 |
Board Consideration
and Approval of Managementand Subadvisory Agreements
On June 17, 2020, the Board of
Trustees (the Board) and the Trustees who are not interested persons (as defined in the Investment Company Act of 1940) (the Independent Trustees) of Columbia Funds Series Trust I (the Trust) unanimously approved the
continuation of the Management Agreement (the Management Agreement) with Columbia Management Investment Advisers, LLC (the Investment Manager) and the Subadvisory Agreements (the Subadvisory Agreements) between the
Investment Manager and AQR Capital Management, LLC, Boston Partners Global Investors, Inc. and Wells Capital Management Incorporated (the Subadvisers) with respect to Multi-Manager Directional Alternative Strategies
Fund (the Fund), a series of the Trust. As detailed below, the Board’s Advisory Fees and Expenses Committee (the Committee) and the Board met on multiple occasions to review and discuss, among themselves, with
the management team of the Investment Manager and with an independent fee consultant, materials provided by the Investment Manager, the independent fee consultant and others before determining to approve the
continuation of the Management Agreement and the Subadvisory Agreements (collectively, the Agreements).
In connection with their
deliberations regarding the continuation of the Management Agreement and the Subadvisory Agreements, the Committee and the Board evaluated materials requested from the Investment Manager regarding the Fund and the
Agreements, and discussed these materials with representatives of the Investment Manager at Committee meetings held on March 10, 2020, April 30, 2020 and June 17, 2020 and at Board meetings held on March 11, 2020 and
June 17, 2020. In addition, the Board and its various committees consider matters bearing on the Agreements at other meetings throughout the year and in prior years and meet regularly with senior management of the
Trust and the Investment Manager. Through the Board’s Investment Oversight Committees, Trustees also meet with selected portfolio managers of the funds the Trustees oversee and with other investment personnel at
various times throughout the year. The Committee and the Board also consulted with the independent fee consultant, Fund counsel and the Independent Trustees’ independent legal counsel, who advised on various
matters with respect to the Committee’s and the Board’s considerations and otherwise assisted the Committee and the Board in their deliberations. On June 17, 2020, the Committee recommended that the Board
approve the continuation of the Management Agreement and the Subadvisory Agreements. On June 17, 2020, the Board, including the Independent Trustees, voting separately, unanimously approved the continuation of the
Management Agreement and the Subadvisory Agreements for the Fund.
The Committee and the Board
considered all information that they, their legal counsel or the Investment Manager believed reasonably necessary to evaluate and to determine whether to recommend for approval or approve the continuation of the
Management Agreement and the Subadvisory Agreements. The information and factors considered by the Committee and the Board in recommending for approval or approving the continuation of the Management Agreement and the
Subadvisory Agreements for the Fund included the following:
| • | Information on the investment performance of the Fund relative to the performance of a group of mutual funds determined to be comparable to the Fund by the Investment Manager, as well as performance relative to benchmarks; |
| • | Information on the Fund’s management fees and total expenses, including information comparing the Fund’s expenses to those of a group of comparable mutual funds, as determined by the Investment Manager; |
| • | The Investment Manager’s agreement to contractually limit or cap total operating expenses for the Fund through August 31, 2021 so that total operating expenses (excluding certain fees and expenses, such as transaction costs and certain other investment related expenses, interest, taxes, acquired fund fees and expenses, and infrequent and/or unusual expenses) would not exceed a specified annual rate, as a percentage of the Fund’s net assets; |
| • | The terms and conditions of the Agreements; |
| • | The subadvisory fees payable by the Investment Manager under the Subadvisory Agreements; |
| • | The current and proposed terms and conditions of other agreements and arrangements with affiliates of the Investment Manager relating to the operations of the Fund, including agreements with respect to the provision of transfer agency and shareholder services to the Fund; |
| • | Descriptions of various functions performed by the Investment Manager and the Subadvisers under the Agreements, including portfolio management and portfolio trading practices; |
| 46 | Multi-Manager Directional Alternative Strategies Fund | Semiannual Report 2020 |
Board Consideration and Approval of
Management
and Subadvisory Agreements (continued)
| • | Information regarding any recently negotiated management fees of similarly-managed portfolios of other institutional clients of the Investment Manager; |
| • | Information regarding the reputation, regulatory history and resources of the Investment Manager and Subadvisers, including information regarding senior management, portfolio managers and other personnel; |
| • | Information regarding the capabilities of the Investment Manager and the Subadvisers with respect to compliance monitoring services, including an assessment of the Investment Manager’s and the Subadvisers’ compliance systems by the Fund’s Chief Compliance Officer; and |
| • | The profitability to the Investment Manager and its affiliates from their relationships with the Fund. |
Nature, extent and quality of
services provided under the Agreements
The Committee and the Board
considered the nature, extent and quality of services provided to the Fund by the Investment Manager, the Subadvisers and the Investment Manager’s affiliates under the Agreements and under separate agreements
for the provision of transfer agency and shareholder services, and the resources dedicated to the Fund and the other Columbia Funds by the Investment Manager, the Subadvisers and the Investment Manager’s
affiliates. The Committee and the Board considered, among other things, the Investment Manager’s ability to attract, motivate and retain highly qualified research, advisory and supervisory investment
professionals (including compensation programs for personnel involved in fund management, reputation and other attributes), the portfolio management services provided by those investment professionals, and the quality
of the Investment Manager’s and the Subadvisers’ investment research capabilities and trade execution services. The Committee and the Board also considered the potential benefits to shareholders of
investing in a mutual fund that is part of a fund complex offering exposure to a variety of asset classes and investment disciplines and providing a variety of fund and shareholder services.
The Committee and the Board also
considered the professional experience and qualifications of the senior personnel of the Investment Manager and the Subadvisers, which included consideration of the Investment Manager’s and each
Subadviser’s experience with funds using an investment strategy similar to that used by the Investment Manager and the Subadvisers for the Fund. The Committee and the Board noted the compliance programs of and
the compliance-related resources provided to the Fund by the Investment Manager and its affiliates and the resources dedicated by the Investment Manager and its affiliates to risk management, and considered the
Investment Manager’s ability to provide administrative services to the Fund and coordinate the activities of the Fund’s other service providers. The Board also noted that, based on information provided by
the Investment Manager, the Board had approved each Subadviser’s code of ethics and compliance program, and that the Chief Compliance Officer of the Funds reports to the Trustees on each Subadviser’s
compliance program.
The Committee and the Board
considered the diligence and selection process undertaken by the Investment Manager to select each Subadviser, including the Investment Manager’s rationale for recommending the continuation of the Subadvisory
Agreements, and the process for monitoring each Subadviser’s ongoing performance of services for the Fund. As part of these deliberations, the Committee and the Board considered the ability of the Investment
Manager, subject to the approval of the Board, to modify or enter into new subadvisory agreements without a shareholder vote pursuant to an exemptive order of the Securities and Exchange Commission. The Committee and
the Board also considered the scope of services provided to the Fund by the Investment Manager that are distinct from and in addition to those provided by the Subadvisers, including cash flow management, treasury
services, risk oversight, investment oversight and Subadviser selection, oversight and transition management. After reviewing these and related factors, the Committee and the Board concluded, within the context of
their overall conclusions, that the nature, extent and quality of the services provided to the Fund under the Agreements supported the continuation of the Management Agreement and the Subadvisory Agreements.
Investment performance
The Committee and the Board
reviewed information about the performance of the Fund over various time periods, including performance information relative to benchmarks, information that compared the performance of the Fund to the performance of a
group of comparable mutual funds as determined by the Investment Manager, and information and analysis provided by the independent fee consultant. The Committee and the Board also reviewed a description of the
Investment Manager’s methodology for identifying the Fund’s peer groups for purposes of performance and expense comparisons. Although the
| Multi-Manager Directional Alternative Strategies Fund | Semiannual Report 2020 | 47 |
Board Consideration and Approval of
Management
and Subadvisory Agreements (continued)
Fund’s performance lagged that of a relevant
peer group for certain (although not necessarily all) periods, the Committee and the Board concluded that other factors relevant to performance were sufficient, in light of other considerations, to support
continuation of the Management Agreement and the Subadvisory Agreements. Those factors included one or more of the following: (i) that the Fund’s performance, although lagging in certain recent periods, was
stronger over the longer term; (ii) that the underperformance was attributable, to a significant extent, to investment decisions that were reasonable and consistent with the Fund’s investment strategy and
policies and that the Fund was performing within a reasonable range of expectations, given those investment decisions, market conditions and the Fund’s investment strategy; (iii) that the Fund’s
performance was competitive when compared to other relevant performance benchmarks or peer groups; and (iv) that the Investment Manager or Subadvisers had taken or were taking steps designed to help improve the
Fund’s investment performance, including, but not limited to, replacing portfolio managers, enhancing the resources supporting the portfolio managers, or modifying investment strategies.
The Committee and the Board noted
that, through December 31, 2019, the Fund’s performance was in the forty-first and fifty-sixth percentile (where the best performance would be in the first percentile) of its category selected by the Investment
Manager for the purposes of performance comparisons for the one- and three-year periods, respectively.
The Committee and the Board also
considered the Investment Manager’s and Subadvisers’ performance and reputation generally, the Investment Manager’s evaluation of each Subadviser’s contribution to the Fund’s broader
investment mandate, the Investment Manager’s historical responsiveness to Board concerns about performance, and the Investment Manager’s willingness to take steps intended to improve performance. After
reviewing these and related factors, the Committee and the Board concluded, within the context of their overall conclusions, that the performance of the Fund, the Investment Manager and the Subadvisers were
sufficient, in light of other considerations, to support the continuation of the Management Agreement and the Subadvisory Agreements.
Investment management fee rates
and other expenses
The Committee and the Board
considered the management fees charged to the Fund under the Management Agreement and the Subadvisory Agreements, as well as the total expenses incurred by the Fund. In assessing the reasonableness of the fees under
the Management Agreement, the Committee and the Board considered, among other information, the Fund’s total expense ratio as a percentage of average daily net assets. The Committee and the Board considered data
provided by the Investment Manager and the independent fee consultant. The Committee and the Board noted that, as of December 31, 2019, the Fund’s actual management fee and net total expense ratio were ranked in
the third and second quintiles, respectively, (where the lowest fees and expenses would be in the first quintile) against the Fund’s expense universe as determined by the Investment Manager for purposes of
expense comparison. The Committee and the Board also considered the fees that the Subadvisers charge to their other clients, to the extent publicly available, and noted that the Investment Manager pays the fees of the
Subadvisers. The Committee and the Board also took into account the fee waiver and expense limitation arrangements agreed to by the Investment Manager, as noted above.
The Committee and the Board also
received and considered information about the management fees charged by the Investment Manager to institutional accounts. In considering the fees charged to those accounts, the Committee and the Board took into
account, among other things, the Investment Manager’s representations about the differences between managing mutual funds as compared to other types of accounts, including differences in the services provided,
differences in the risk profile of such business for the Investment Manager and the additional resources required to manage mutual funds effectively. The Committee and the Board also received and considered
information about the fees charged by the Investment Manager for sub-advisory services it provides to comparable unaffiliated funds. In evaluating the Fund’s management fees, the Committee and the Board also
took into account the demands, complexity and quality of the investment management of the Fund.
After reviewing these and related
factors, the Committee and the Board concluded, within the context of their overall conclusions, that the management fee rates and expenses of the Fund, in light of other considerations, supported the continuation of
the Management Agreement and the Subadvisory Agreements.
| 48 | Multi-Manager Directional Alternative Strategies Fund | Semiannual Report 2020 |
Board Consideration and Approval of
Management
and Subadvisory Agreements (continued)
Costs of services provided and profitability
The Committee and the Board also
took note of the costs the Investment Manager and its affiliates incur in connection with the services provided and the profitability to the Investment Manager and its affiliates from their relationships with the
Fund, and the efforts undertaken by the Investment Manager and its affiliates to manage efficiently their costs to provide such services.
The Committee and the Board also
considered the compensation directly or indirectly received by the Investment Manager’s affiliates in connection with their relationships with the Fund. The Committee and the Board reviewed information provided
by management as to the profitability to the Investment Manager and its affiliates of their relationships with the Fund, including with respect to funds for which unaffiliated subadvisers provide services information
about the allocation of expenses used to calculate profitability, and comparisons of profitability levels realized in 2019 to profitability levels realized in 2018. When reviewing profitability, the Committee and the
Board also considered court cases in which adviser profitability was an issue in whole or in part, the performance of similarly managed funds, the performance of the Fund, and the expense ratio of the Fund. In
addition, the Committee and the Board considered information provided by the Investment Manager regarding the Investment Manager’s financial condition and comparing its profitability to that of other asset
management firms that are, or are subsidiaries of, publicly traded companies. In this regard, the Committee and the Board also considered data provided by the independent fee consultant. Because the Subadvisory
Agreements were negotiated at arms-length by the Investment Manager, which is responsible for payments to the Subadvisers thereunder, the Committee and the Board did not consider the profitability to each Subadviser
from its relationship with the Fund.
After reviewing these and related
factors, the Committee and the Board concluded, within the context of their overall conclusions, that the costs of services provided and the profitability to the Investment Manager and its affiliates from their
relationships with the Fund supported the continuation of the Management Agreement and the Subadvisory Agreements.
Economies of scale
The Committee and the Board
considered the potential existence of economies of scale in the provision by the Investment Manager of services to the Fund, to groups of related funds, and to the Investment Manager’s investment advisory
clients as a whole, and whether those economies of scale were shared with the Fund through breakpoints in investment management fees or other means, such as expense limitation arrangements and additional investments
by the Investment Manager in investment, trading, compliance and other resources.
The Committee and the Board noted
that the breakpoints, if any, in the Subadvisory Agreements did not occur at the same levels as the breakpoints in the Management Agreement. The Committee and the Board noted that absent a shareholder vote, the
Investment Manager would bear any increase in fees payable under the Subadvisory Agreements. The Committee and the Board also noted the potential challenges of seeking to tailor the Management Agreement breakpoints to
those of a subadvisory agreement in this context, and the effect that capacity constraints on a subadviser’s ability to manage assets could potentially have on the ability of the Investment Manager to achieve
economies of scale, as new subadvisers may need to be added as the Fund grows, increasing the Investment Manager’s cost of compensating and overseeing the Fund’s subadvisers.
In considering these matters, the
Committee and the Board also considered the costs of the services provided and the profitability to the Investment Manager and its affiliates from their relationships with the Fund, as noted above. After reviewing
these and related factors, the Committee and the Board concluded, within the context of their overall conclusions, that the extent to which any economies of scale were expected to be shared with the Fund supported the
continuation of the Management Agreement and the Subadvisory Agreements.
Other benefits to the Investment
Manager and Subadvisers
The Committee and the Board
received and considered information regarding “fall-out” or ancillary benefits received by the Investment Manager and its affiliates as a result of their relationships with the Fund, such as the engagement
of the Investment Manager’s affiliates to provide transfer agency and shareholder services to the Fund. The Committee and the Board also considered the benefits of research made available to the Investment
Manager and the Subadvisers by reason of brokerage commissions generated by the Fund’s securities transactions, and reviewed information about the Investment
| Multi-Manager Directional Alternative Strategies Fund | Semiannual Report 2020 | 49 |
Board Consideration and Approval of
Management
and Subadvisory Agreements (continued)
Manager’s practices with respect to
considering brokerage and research services when allocating portfolio transactions. In this connection, the Board also noted that the amount of research made available to the Investment Manager by reason of brokerage
commissions had been declining over time, and may decline further. The Committee and the Board recognized that the Investment Manager’s profitability would be somewhat lower without these benefits.
Conclusion
The Committee and the Board
reviewed all of the above considerations in reaching their decisions to recommend or approve the continuation of the Management Agreement and the Subadvisory Agreements. In their deliberations, the Trustees did not
identify any particular information that was all-important or controlling, and individual Trustees may have attributed different weights to the various factors. Based on their evaluation of all factors that they
deemed to be material, including those factors described above, and assisted by the advice of independent legal counsel, the Board, including the Independent Trustees, voting separately, unanimously approved the
continuation of the Management Agreement and the Subadvisory Agreements.
| 50 | Multi-Manager Directional Alternative Strategies Fund | Semiannual Report 2020 |
Please read and consider the
investment objectives, risks, charges and expenses for any fund carefully before investing. For a prospectus and summary prospectus, which contains this and other important information about the Fund, go to
columbiathreadneedleus.com/investor/. The Fund is distributed by Columbia Management Investment Distributors, Inc., member FINRA, and managed by Columbia Management Investment Advisers, LLC.
columbiathreadneedleus.com/investor/. The Fund is distributed by Columbia Management Investment Distributors, Inc., member FINRA, and managed by Columbia Management Investment Advisers, LLC.
Columbia Threadneedle Investments
(Columbia Threadneedle) is the global brand name of the Columbia and Threadneedle group of companies. All rights reserved.
© 2020 Columbia Management Investment
Advisers, LLC.
columbiathreadneedleus.com/investor/
SAR284_04_K01_(12/20)