UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-04367
Columbia Funds Series Trust I
(Exact name of registrant as specified in charter)
290 Congress Street
Boston, MA 02210
(Address of principal executive offices) (Zip code)
Daniel J. Beckman
c/o Columbia Management Investment Advisers, LLC
290 Congress Street
Boston, MA 02210
Ryan C. Larrenaga, Esq.
c/o Columbia Management Investment Advisers, LLC
290 Congress Street
Boston, MA 02210
(Name and address of agent for service)
Registrant's telephone number, including area code: (800) 345-6611
Date of fiscal year end: May 31
Date of reporting period: May 31, 2023
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 Multi
Strategy Alternatives Fund
Not FDIC or NCUA Insured •
No Financial Institution Guarantee • May Lose Value
Table of Contents
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If you elect to receive the
shareholder report for Columbia Multi Strategy Alternatives Fund (the Fund) in paper, mailed to you, the Fund mails one shareholder report to each shareholder address, unless such shareholder elects to receive
shareholder reports from the Fund electronically via e-mail or by having a paper notice mailed to you (Postcard Notice) that your Fund’s shareholder report is available at the Columbia funds’ website
(columbiathreadneedleus.com/investor/). If you would like more than one report in paper to be mailed to you, or would like to elect to receive reports via e-mail or access them through Postcard Notice, 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, is available on columbiathreadneedleus.com/investor/or 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)
290 Congress Street
Boston, MA 02210
Fund distributor
Columbia Management Investment Distributors,
Inc.
290 Congress Street
Boston, MA 02210
Fund transfer agent
Columbia Management Investment Services Corp.
P.O. Box 219104
Kansas City, MO 64121-9104
Columbia Multi Strategy Alternatives
Fund | Annual Report 2023
Fund at a Glance
(Unaudited)
(Unaudited)
Investment objective
The Fund
seeks to provide shareholders with absolute (positive) returns over a complete market cycle.
Portfolio management
Columbia Management Investment Advisers, LLC
Marc Khalamayzer, CFA
Joshua Kutin, CFA
Matthew Ferrelli, CFA
Dan Boncarosky, CFA
Brian Virginia
Corey Lorenzen, CFA
Jason Callan
Tom Heuer, CFA
Ryan Osborn, CFA
AQR Capital Management, LLC
Jordan Brooks, Ph.D.
Jonathan Fader
Lars Nielsen*
Yao Hua Ooi
* Lars Nielsen has announced his intention to retire from AQR Capital Management, LLC (AQR), effective December 31, 2023. As a result of this retirement, effective January 1, 2024, Clifford
Asness and John Liew will join the AQR portfolio management team.
PGIM Quantitative Solutions LLC
Marco Aiolfi, Ph.D.
Edward Tostanoski III, CFA
| Columbia Multi Strategy Alternatives Fund | Annual Report 2023 | 3 |
Fund at a Glance (continued)
(Unaudited)
(Unaudited)
Performance of a hypothetical $10,000 investment (January 28, 2015 — May 31, 2023)
The chart above shows the change in
value of a hypothetical $10,000 investment in Class A shares of Columbia Multi Strategy Alternatives Fund during the stated time period, and does not reflect the deduction of taxes that a shareholder may pay on Fund
distributions or on the redemption of Fund shares.
| 4 | Columbia Multi Strategy Alternatives Fund | Annual Report 2023 |
Manager Discussion of Fund Performance
(Unaudited)
(Unaudited)
Columbia Management Investment
Advisers, LLC (CMIA) serves as the investment manager for the Fund and attempts to achieve the Fund’s objective by managing a portion of the Fund’s assets and selecting one or more subadvisers to manage
other sleeves independently of each other and CMIA. Portions of the Fund’s assets are subadvised by AQR Capital Management, LLC (AQR) and PGIM Quantitative Solutions LLC (PGIM Quantitative Solutions). As of May
31, 2023, CMIA, AQR and PGIM Quantitative Solutions managed approximately 50.7%, 25.0% and 24.3% of the portfolio, respectively.
For the 12-month period that ended
May 31, 2023, Class A shares of Columbia Multi Strategy Alternatives Fund returned -1.38% excluding sales charges. To compare, the FTSE One-Month U.S. Treasury Bill Index returned 3.32% and the HFRX Global Hedge Fund
Index returned -1.26% over the same time period. As an absolute return fund, it employs a benchmark agnostic strategy and therefore comparisons to the FTSE One-Month U.S. Treasury Bill Index and the HFRX Global Hedge
Fund Index are for informational purposes only.
Market overview
During the reporting period, the
global economy grew despite elevated fears of a possible recession in many developed economies. Fears of a future economic slowdown in the United States were amplified by the aggressive policy tightening of the U.S.
Federal Reserve (Fed), which hiked its policy rate by 4.25% over the reporting period as U.S. inflation accelerated to a four decade high of 9.1% by June 2022. Through May 2023, the rate of year-over-year U.S.
inflation had decelerated to 4.9%, a meaningful reduction, though still considerably higher than the Fed’s 2% inflation target. With the exception of Japan, inflation pressures in developed markets outside the
United States also prompted aggressive monetary tightening, heightening fears that such tightening would contribute to an economic slowdown or recession.
Global markets during the reporting
period were largely driven by the rapidly evolving monetary policy environment and the outlook for when central bank interest rate increases might give way to a pause in tightening or possibly an easing of policy if
inflation decelerated enough or a recession ensued, or both. Global equity markets, as measured by the MSCI World Index (Net), advanced by 2.65% over the reporting period, with an 8.52% gain in the first five months
of 2023 more than offsetting a 5.95% decline in the final seven months of 2022. Global government bond yields rose materially over the reporting period with the largest increases in yield occurring on the front end of
the yield curve. The rapid rise in short rates and more modest increases in longer rates resulted in a sharply inverted U.S. yield curve.
The Bloomberg Commodity Index Total
Return declined by 22.48% over the reporting period as a surge in commodity prices in the first five months of 2022, gave way to a bear market, led by a sharp selloff in energy commodities. During the reporting
period, the U.S. dollar advanced as much as 12% through late September 2022 before declining through much of the rest of the reporting period as expectations for further tightening by the Fed were dialed back and
eventual easing priced in.
The Fund experienced an increase in
portfolio turnover during the period. The Fund introduced a new sleeve at the end of March 2023 that contributed to the increase in turnover.
CMIA
We employ the following
strategies in separate sleeves to manage our portion of the Fund’s portfolio: G10 Currency (this strategy typically invests in short-term debt obligations and currency-linked derivatives); Global Tactical Asset
Allocation (GTAA) (this strategy typically invests in stocks and bonds across traditional asset classes and markets through the use of derivatives such as futures and swaps); Mortgage Opportunities (this strategy
typically invests in mortgage- and other asset-backed securities); as well as a Liquidity sleeve (this strategy typically invests in U.S. government securities, high-quality short-term debt instruments, ETFs and
futures). An additional sleeve, the Commodity Futures Long/Short strategy, was added in March 2023. This strategy typically invests in derivatives, using long and short strategy exposures to commodity markets.
Notable detractors in the CMIA
portion of the Fund during the period
| • | The most significant detractor during the period came from the Mortgage Opportunities non-traditional bond strategy held within our portion of the portfolio, as the past 12-months have been one of the worst periods on record for the Mortgage Opportunities strategy as well as the overall agency mortgage-backed securities (MBS) sector. |
| Columbia Multi Strategy Alternatives Fund | Annual Report 2023 | 5 |
Manager Discussion of Fund Performance (continued)
(Unaudited)
(Unaudited)
| ○ | Wary of recession risk, we had meaningfully increased allocations to agency MBS, preferring long duration and higher quality credit risk in response to already elevated interest rates and deteriorating economic data. MBS cash flows (and duration) continued to extend as mortgage rates skyrocketed during the period in response to the Fed’s unprecedented hiking campaign. This rapid rise in mortgage rates caused prepayments and refinancing to grind to a halt. Markets also experienced a historic increase in interest rate volatility. Unfortunately, these dynamics drove both relative and absolute underperformance within the sleeve. |
| • | Within our G10 Currency strategy, long positions in the Swedish Krona (SEK), British Pound (GBP), Canadian Dollar (CAD), Norwegian Krone (NOK), and New Zealand Dollar (NZD) and short positions in the Swiss Franc (CHF) detracted from performance. |
| • | The GTAA strategy, which invests on a long/short basis across both equity and fixed-income markets, experienced another challenging year, as both equity and fixed-income positioning hurt performance in our portion of the Fund during the period. |
| ○ | Relative overweights (long positions) in emerging market equity and underweights to UK equities hurt performance in the period. |
| ○ | Relative long positions in United Kingdom and short positions in European fixed-income-related markets detracted from returns. |
| • | Within the Commodity Futures Long/Short strategy, losses came from grains, industrial metals and soft commodities. Within grains, longs in soybean meal and corn detracted most as grain markets sold off due to the extension of the Ukrainian Grain Corridor and better than expected production out of South America. |
Notable contributors in the CMIA
portion of the Fund during the period
| • | Within our G10 Currency strategy sleeve, short positions in foreign currencies, notably the Japanese Yen (JPY), Euro (EUR) and Australian Dollar (AUD), contributed to performance during the period and offset some of the detraction from the strategy’s long currency positions. |
| • | During this period, the G10 Currency strategy was generally positively correlated to risk assets and commodities, and negatively correlated to the U.S. Dollar and U.S. interest rates. |
| • | Within the Commodity Futures Long/Short strategy sleeve, short positioning in natural gas was the largest positive contributor within the sleeve as the natural gas market sold off due to plentiful storage and weak weather induced demand. |
AQR
Our portion of the Fund’s
portfolio delivered positive results during the period, surpassing the returns of the FTSE One-Month U.S. Treasury Bill Index and the HFRX Global Hedge Fund Index.
The Global Macro strategy we use to
manage our portion of the Fund’s portfolio aims to determine appropriate positioning based on a broad set of inputs, encompassing both systematic analysis of large quantities of economic and financial data as
well as discretionary analysis of qualitative information. The strategy is implemented using derivative instruments, as we believe derivatives offer the most liquid, lowest cost and efficient way to gain diversified
exposure across asset classes. The strategy primarily invests in liquid derivatives including global developed and emerging market exchange-traded futures, futures-related instruments, forward contracts, and interest
rate swaps across four major asset classes: commodities, currencies, fixed income (including government bonds and interest rates) and equities. Our portion of the Fund also invests in cash and cash-related
securities.
Notable contributors in the AQR
portion of the Fund during the period
| • | For systematic views, positions in fixed income and commodities contributed positively over the reporting period. Notably, directional strategies in fixed income and commodities were profitable over the period. |
| 6 | Columbia Multi Strategy Alternatives Fund | Annual Report 2023 |
Manager Discussion of Fund Performance (continued)
(Unaudited)
(Unaudited)
| ○ | Within fixed income, directional short positions in bonds and interest rates, as well as a yield curve flattener, benefited our portion of the Fund over the period as inflationary concerns led to global rate hikes and rising yields, particularly at the front end of the yield curve. |
| ○ | In commodities, directional positioning was profitable across commodity sectors. In particular, short positions in agricultural commodities such as wheat profited. Wheat supply remained high following Russia’s invasion of Ukraine due to the Black Sea grain export agreement. |
| ○ | Short positions in industrial metals, such as aluminum and zinc, also drove gains in recent months as prices fell in conjunction with poor industrial production data out of China. |
| • | For discretionary views, positive performance was driven by fixed income. Directional discretionary fixed-income positioning generally aligned with systematic positioning over the period, also benefiting from rising yields. |
| • | At the country level, exposures to the United Kingdom, United States and Canada were the top three contributors. |
Notable detractors in the AQR
portion of the Fund during the period
| • | For systematic views, equities and currencies detracted from our portion of the Fund. Notable detractors among these asset classes include emerging equity index selection and developed currency selection. From a factor perspective, momentum in equities and value in currencies detracted. |
| • | Within emerging equity index selection, time varying exposure to Brazil and a long position in Taiwan drove losses. |
| ○ | A short position in Brazil during the third quarter of 2022 detracted as markets began to price an end to the central bank’s rate hiking cycle, leading to a decrease in bond yields. |
| ○ | A long position in Brazil in the fourth quarter of 2022 detracted as President Lula da Silva signaled that he would prioritize social spending over fiscal austerity. |
| ○ | A long position in Taiwan detracted in 2022 as semiconductor companies underperformed amid a slowdown in demand. |
| • | Within developed currency selection, losses primarily came from a long position in the Australian dollar and a short position in the Swiss Franc. |
| • | The country positions that detracted the most from the strategy were Australia, Germany and Switzerland. |
PGIM Quantitative Solutions
Our portion of the Fund
underperformed the FTSE One-Month U.S. Treasury Bill Index during the reporting period. We believe that persistent return opportunities are generated by risk premia and mis-pricings. Further, we believe that a
systematic framework using a mix of fundamental and market-based factors can identify those investment opportunities. We utilize a fundamental understanding of the drivers of returns to determine the most suitable set
of factors for each asset class. In our Global Macro strategy, we have developed six independent absolute return strategies to harvest these investment opportunities, employing approximately 60 macroeconomic,
valuation and market-based inputs to inform our positioning. We believe our approach is sustainable and robust consistent with the regular variation in prices relative to fundamentals that occur over a business
cycle.
Notable detractors in the PGIM
Quantitative Solutions portion of the Fund during the period
| • | The largest detractor from performance in our portion of the Fund was our relative value positioning within the equity country selection. Over the period, we had losses from our underweights in Poland and Taiwan and overweight in South Korea. Our strategy suffered from the weak macro factor performance. |
| • | Currency selection also detracted, primarily driven by an overweight in the South African Rand and an underweight in the Polish Zloty. |
| • | From a country allocation perspective, the largest detracting positions over the period were long positioning of the South African Rand, the Norwegian Krone and the Canadian Dollar. |
| Columbia Multi Strategy Alternatives Fund | Annual Report 2023 | 7 |
Manager Discussion of Fund Performance (continued)
(Unaudited)
(Unaudited)
Notable contributors in the PGIM
Quantitative Solutions portion of the Fund during the period
| • | Our sovereign bond relative value strategy was the largest positive contributor to performance over the period. Within the strategy, we particularly benefited from positions in German, Canadian, and UK bonds. Risk and value factors drove gains. |
| • | Our top performing country allocation over the period was short positioning in the New Zealand Dollar, followed by positioning in the Turkey country equity and Swedish Krona. |
Market risk may affect a single issuer, sector of the economy, industry or the market as a whole. Alternative investments cover a broad range of strategies and structures designed to be low or non-correlated to traditional equity and fixed-income markets and involve substantial risks and are more
volatile than traditional investments, making them more suitable for investors with an above average-tolerance for risk. The Fund’s use of leverage allows for investment exposure in excess of net assets, thereby magnifying volatility of returns and risk of loss. Commodity investments may be affected by the overall market and industry- and commodity-specific factors, and may be more volatile and less liquid than other investments. Investing in
derivatives is a specialized activity that involves special risks that subject the Fund to significant loss potential, including when used as leverage, and may result in greater fluctuation in fund
value. Foreign investments subject the Fund to risks, including political, economic, market, social and others within a particular country, as well as to currency instabilities and less stringent
financial and accounting standards generally applicable to U.S. issuers. The sales price the Fund (or its underlying investments) could receive for any particular investment may differ from the Fund’s (or
underlying investments’) valuation of the investment. See the Fund’s prospectus for more information on these and other risks.
The views expressed in this report
reflect the current views of the respective parties who have contributed to this report. These views are not guarantees of future performance and involve certain risks, uncertainties and assumptions that are difficult
to predict, so actual outcomes and results may differ significantly from the views expressed. These views are subject to change at any time based upon economic, market or other conditions and the respective parties
disclaim any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a Columbia fund are based on numerous factors, may not be relied on as an
indication of trading intent on behalf of any particular Columbia fund. References to specific securities should not be construed as a recommendation or investment advice.
| 8 | Columbia Multi Strategy Alternatives Fund | Annual Report 2023 |
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 $1,000 = 8.6), then multiply the results by the expenses paid during the period under
the “Actual” column. The amount listed in the “Hypothetical” column assumes a 5% annual rate of return before expenses (which is not the Fund’s actual return) and then applies the
Fund’s actual expense ratio for the period to the hypothetical return. You should not use the hypothetical account values and expenses to estimate either your actual account balance at the end of the period or
the expenses you paid during the period. See “Compare with other funds” below for details on how to use the hypothetical data.
Compare with other funds
Since all mutual funds are
required to include the same hypothetical calculations about expenses in shareholder reports, you can use this information to compare the ongoing cost of investing in the Fund with other funds. To do so, compare the
hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds. As you compare hypothetical examples of other funds, it is important to note that hypothetical examples are
meant to highlight the ongoing costs of investing in a fund only and do not reflect any transaction costs, such as sales charges, or redemption or exchange fees. Therefore, the hypothetical calculations are useful in
comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. If transaction costs were included in these calculations, your costs would be higher.
| December 1, 2022 — May 31, 2023 | |||||||
| Account value at the beginning of the period ($) | 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 | 981.30 | 1,018.30 | 6.57 | 6.69 | 1.33 |
| Advisor Class | 1,000.00 | 1,000.00 | 982.50 | 1,019.55 | 5.34 | 5.44 | 1.08 |
| Class C | 1,000.00 | 1,000.00 | 977.80 | 1,014.61 | 10.21 | 10.40 | 2.07 |
| Institutional Class | 1,000.00 | 1,000.00 | 982.60 | 1,019.55 | 5.34 | 5.44 | 1.08 |
| Institutional 2 Class | 1,000.00 | 1,000.00 | 982.70 | 1,019.80 | 5.09 | 5.19 | 1.03 |
| Institutional 3 Class | 1,000.00 | 1,000.00 | 982.90 | 1,020.04 | 4.84 | 4.94 | 0.98 |
| Class R | 1,000.00 | 1,000.00 | 980.30 | 1,017.15 | 7.70 | 7.85 | 1.56 |
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 Strategy Alternatives Fund | Annual Report 2023 | 9 |
Consolidated Portfolio of Investments
May 31, 2023
May 31, 2023
(Percentages represent value of
investments compared to net assets)
Investments in securities
The accompanying Notes to Consolidated
Financial Statements are an integral part of this statement.
| 10 | Columbia Multi Strategy Alternatives Fund | Annual Report 2023 |
Consolidated Portfolio of Investments (continued)
May 31, 2023
May 31, 2023
The accompanying Notes to Consolidated
Financial Statements are an integral part of this statement.
| Columbia Multi Strategy Alternatives Fund | Annual Report 2023 | 11 |
Consolidated Portfolio of Investments (continued)
May 31, 2023
May 31, 2023
The accompanying Notes to Consolidated
Financial Statements are an integral part of this statement.
| 12 | Columbia Multi Strategy Alternatives Fund | Annual Report 2023 |
Consolidated Portfolio of Investments (continued)
May 31, 2023
May 31, 2023
The accompanying Notes to Consolidated
Financial Statements are an integral part of this statement.
| Columbia Multi Strategy Alternatives Fund | Annual Report 2023 | 13 |
Consolidated Portfolio of Investments (continued)
May 31, 2023
May 31, 2023
The accompanying Notes to Consolidated
Financial Statements are an integral part of this statement.
| 14 | Columbia Multi Strategy Alternatives Fund | Annual Report 2023 |
Consolidated Portfolio of Investments (continued)
May 31, 2023
May 31, 2023
The accompanying Notes to Consolidated
Financial Statements are an integral part of this statement.
| Columbia Multi Strategy Alternatives Fund | Annual Report 2023 | 15 |
Consolidated Portfolio of Investments (continued)
May 31, 2023
May 31, 2023
The accompanying Notes to Consolidated
Financial Statements are an integral part of this statement.
| 16 | Columbia Multi Strategy Alternatives Fund | Annual Report 2023 |
Consolidated Portfolio of Investments (continued)
May 31, 2023
May 31, 2023
The accompanying Notes to Consolidated
Financial Statements are an integral part of this statement.
| Columbia Multi Strategy Alternatives Fund | Annual Report 2023 | 17 |
Consolidated Portfolio of Investments (continued)
May 31, 2023
May 31, 2023
At May 31, 2023,
securities and/or cash totaling $104,875,526 were pledged as collateral.
Investments in
derivatives
| Forward foreign currency exchange contracts | |||||
| Currency to be sold | Currency to be purchased | Counterparty | Settlement date | Unrealized appreciation ($) | Unrealized depreciation ($) |
| 21,596,000 NOK | 2,023,010 USD | Barclays | 06/14/2023 | 76,286 | — |
| 649,895,000 NOK | 58,166,370 USD | Barclays | 06/14/2023 | — | (417,026) |
| 5,063,000 NZD | 3,061,683 USD | Barclays | 06/14/2023 | 12,400 | — |
| 5,288,553 USD | 8,070,000 AUD | Barclays | 06/14/2023 | — | (36,969) |
| 1,373,882 USD | 1,230,000 CHF | Barclays | 06/14/2023 | — | (21,389) |
| 5,867,442 USD | 5,456,000 EUR | Barclays | 06/14/2023 | — | (31,333) |
| 64,294,427 USD | 671,491,000 NOK | Barclays | 06/14/2023 | — | (3,764,308) |
| 1,833,000 GBP | 2,294,316 USD | Citi | 06/14/2023 | 13,547 | — |
| 64,238,547 USD | 50,724,000 GBP | Citi | 06/14/2023 | — | (1,123,587) |
The accompanying Notes to Consolidated Financial
Statements are an integral part of this statement.
| 18 | Columbia Multi Strategy Alternatives Fund | Annual Report 2023 |
Consolidated Portfolio of Investments (continued)
May 31, 2023
May 31, 2023
| Forward foreign currency exchange contracts (continued) | |||||
| Currency to be sold | Currency to be purchased | Counterparty | Settlement date | Unrealized appreciation ($) | Unrealized depreciation ($) |
| 61,250,606 USD | 634,763,000 SEK | Citi | 06/14/2023 | — | (2,716,960) |
| 103,505,750 AUD | 69,167,876 USD | Citi | 06/21/2023 | 1,792,740 | — |
| 6,488,750 AUD | 4,216,023 USD | Citi | 06/21/2023 | — | (7,708) |
| 36,939,000 BRL | 7,334,595 USD | Citi | 06/21/2023 | 75,967 | — |
| 129,333,000 BRL | 24,329,359 USD | Citi | 06/21/2023 | — | (1,084,975) |
| 59,849,000 CAD | 44,268,082 USD | Citi | 06/21/2023 | 157,364 | — |
| 38,446,000 CAD | 28,239,494 USD | Citi | 06/21/2023 | — | (96,495) |
| 1,244,000 CHF | 1,373,652 USD | Citi | 06/21/2023 | 4,608 | — |
| 61,758,000 CHF | 67,070,886 USD | Citi | 06/21/2023 | — | (894,863) |
| 73,966,000 CNH | 10,562,153 USD | Citi | 06/21/2023 | 151,806 | — |
| 1,542,013,560 COP | 347,278 USD | Citi | 06/21/2023 | 2,520 | — |
| 19,233,833,500 COP | 4,047,588 USD | Citi | 06/21/2023 | — | (252,655) |
| 391,500,000 CZK | 18,081,050 USD | Citi | 06/21/2023 | 456,347 | — |
| 103,389,000 CZK | 4,607,838 USD | Citi | 06/21/2023 | — | (46,569) |
| 63,314,250 EUR | 68,344,783 USD | Citi | 06/21/2023 | 591,191 | — |
| 34,749,500 EUR | 37,109,737 USD | Citi | 06/21/2023 | — | (76,258) |
| 4,109,000 GBP | 5,172,697 USD | Citi | 06/21/2023 | 59,147 | — |
| 56,777,625 GBP | 69,993,853 USD | Citi | 06/21/2023 | — | (664,520) |
| 175,000,000 HUF | 507,437 USD | Citi | 06/21/2023 | 5,345 | — |
| 6,184,026,000 HUF | 16,905,775 USD | Citi | 06/21/2023 | — | (836,795) |
| 89,460,187,851 IDR | 5,995,406 USD | Citi | 06/21/2023 | 30,291 | — |
| 53,263,671,795 IDR | 3,545,572 USD | Citi | 06/21/2023 | — | (5,996) |
| 38,983,000 ILS | 10,764,548 USD | Citi | 06/21/2023 | 308,272 | — |
| 359,744,875 INR | 4,350,972 USD | Citi | 06/21/2023 | 4,716 | — |
| 329,489,750 INR | 3,965,789 USD | Citi | 06/21/2023 | — | (14,939) |
| 10,921,695,000 JPY | 82,156,989 USD | Citi | 06/21/2023 | 3,529,108 | — |
| 580,000,000 JPY | 4,165,714 USD | Citi | 06/21/2023 | — | (9,844) |
| 41,159,466,000 KRW | 31,571,915 USD | Citi | 06/21/2023 | 461,450 | — |
| 1,400,000,000 KRW | 1,049,332 USD | Citi | 06/21/2023 | — | (8,861) |
| 14,000,000 MXN | 788,545 USD | Citi | 06/21/2023 | 409 | — |
| 387,897,000 MXN | 21,020,182 USD | Citi | 06/21/2023 | — | (816,654) |
| 747,000,000 NOK | 70,936,589 USD | Citi | 06/21/2023 | 3,576,170 | — |
| 97,428,000 NZD | 60,190,634 USD | Citi | 06/21/2023 | 1,514,686 | — |
| 344,448,000 PHP | 6,258,112 USD | Citi | 06/21/2023 | 138,872 | — |
| 1,555,000 PLN | 369,918 USD | Citi | 06/21/2023 | 3,160 | — |
| 69,770,000 PLN | 15,777,401 USD | Citi | 06/21/2023 | — | (678,362) |
| 617,600,500 SEK | 59,085,165 USD | Citi | 06/21/2023 | 2,111,515 | — |
| 133,166 SEK | 12,170 USD | Citi | 06/21/2023 | — | (114) |
| 5,406,000 SGD | 4,050,898 USD | Citi | 06/21/2023 | 50,603 | — |
| 3,522,000 SGD | 2,605,176 USD | Citi | 06/21/2023 | — | (1,010) |
| 208,869,000 TWD | 6,942,411 USD | Citi | 06/21/2023 | 137,019 | — |
| 568,965 USD | 875,749 AUD | Citi | 06/21/2023 | 1,087 | — |
| 81,806,649 USD | 120,344,750 AUD | Citi | 06/21/2023 | — | (3,470,481) |
| 20,649,220 USD | 107,213,332 BRL | Citi | 06/21/2023 | 418,530 | — |
| 16,617,437 USD | 83,823,000 BRL | Citi | 06/21/2023 | — | (145,959) |
| 36,486,017 USD | 49,704,500 CAD | Citi | 06/21/2023 | 147,864 | — |
| 37,589,548 USD | 50,675,000 CAD | Citi | 06/21/2023 | — | (240,376) |
| 15,627,329 USD | 14,280,250 CHF | Citi | 06/21/2023 | 88,333 | — |
| 36,183,117 USD | 32,376,125 CHF | Citi | 06/21/2023 | — | (552,630) |
| 10,434,191 USD | 73,966,000 CNH | Citi | 06/21/2023 | — | (23,844) |
| 5,708,220 USD | 27,170,668,000 COP | Citi | 06/21/2023 | 366,517 | — |
| 7,441,772 USD | 167,000,000 CZK | Citi | 06/21/2023 | 76,300 | — |
| 14,975,417 USD | 328,000,000 CZK | Citi | 06/21/2023 | — | (209,382) |
| 47,767,350 USD | 44,826,000 EUR | Citi | 06/21/2023 | 201,670 | — |
| 98,517,078 USD | 90,502,000 EUR | Citi | 06/21/2023 | — | (1,669,440) |
| 53,658,722 USD | 44,049,375 GBP | Citi | 06/21/2023 | 1,159,653 | — |
| 26,574,918 USD | 21,244,000 GBP | Citi | 06/21/2023 | — | (137,276) |
| 16,735,840 USD | 6,159,026,000 HUF | Citi | 06/21/2023 | 935,003 | — |
The accompanying Notes to Consolidated Financial
Statements are an integral part of this statement.
| Columbia Multi Strategy Alternatives Fund | Annual Report 2023 | 19 |
Consolidated Portfolio of Investments (continued)
May 31, 2023
May 31, 2023
| Forward foreign currency exchange contracts (continued) | |||||
| Currency to be sold | Currency to be purchased | Counterparty | Settlement date | Unrealized appreciation ($) | Unrealized depreciation ($) |
| 583,289 USD | 200,000,000 HUF | Citi | 06/21/2023 | — | (9,470) |
| 12,308,734 USD | 187,226,407,000 IDR | Citi | 06/21/2023 | 175,335 | — |
| 4,221,672 USD | 63,000,000,000 IDR | Citi | 06/21/2023 | — | (20,895) |
| 7,902,762 USD | 28,890,000 ILS | Citi | 06/21/2023 | — | (153,697) |
| 9,594,186 USD | 799,881,125 INR | Citi | 06/21/2023 | 69,573 | — |
| 3,261,295 USD | 268,022,249 INR | Citi | 06/21/2023 | — | (23,186) |
| 7,051,291 USD | 982,923,750 JPY | Citi | 06/21/2023 | 25,011 | — |
| 56,916,295 USD | 7,570,000,000 JPY | Citi | 06/21/2023 | — | (2,418,063) |
| 5,838,555 USD | 7,729,196,750 KRW | Citi | 06/21/2023 | 3,574 | — |
| 19,372,700 USD | 25,257,277,375 KRW | Citi | 06/21/2023 | — | (281,936) |
| 24,927,848 USD | 462,986,832 MXN | Citi | 06/21/2023 | 1,136,204 | — |
| 225,762 USD | 4,000,000 MXN | Citi | 06/21/2023 | — | (581) |
| 35,756,671 USD | 402,365,250 NOK | Citi | 06/21/2023 | 526,450 | — |
| 29,206,253 USD | 301,539,000 NOK | Citi | 06/21/2023 | — | (2,015,098) |
| 3,883,662 USD | 6,463,833 NZD | Citi | 06/21/2023 | 9,178 | — |
| 48,495,196 USD | 78,036,500 NZD | Citi | 06/21/2023 | — | (1,497,766) |
| 3,998,910 USD | 222,183,428 PHP | Citi | 06/21/2023 | — | (51,743) |
| 8,497,664 USD | 37,652,000 PLN | Citi | 06/21/2023 | 382,835 | — |
| 7,338,136 USD | 30,741,000 PLN | Citi | 06/21/2023 | — | (87,648) |
| 571,671 USD | 6,250,000 SEK | Citi | 06/21/2023 | 4,892 | — |
| 57,130,489 USD | 599,250,000 SEK | Citi | 06/21/2023 | — | (1,849,673) |
| 6,708,079 USD | 8,928,000 SGD | Citi | 06/21/2023 | — | (101,598) |
| 2,692,477 USD | 82,717,250 TWD | Citi | 06/21/2023 | 2,626 | — |
| 4,191,667 USD | 126,000,000 TWD | Citi | 06/21/2023 | — | (86,322) |
| 4,969,833 USD | 98,538,922 ZAR | Citi | 06/21/2023 | 17,929 | — |
| 14,596,972 USD | 273,294,923 ZAR | Citi | 06/21/2023 | — | (763,554) |
| 413,567,390 ZAR | 21,921,263 USD | Citi | 06/21/2023 | 987,649 | — |
| 1,500,000 ZAR | 75,611 USD | Citi | 06/21/2023 | — | (315) |
| 5,610,545,500 CLP | 6,968,061 USD | Citi | 06/22/2023 | 61,373 | — |
| 7,410,545,500 CLP | 9,058,590 USD | Citi | 06/22/2023 | — | (63,933) |
| 6,439,618 USD | 5,300,000,000 CLP | Citi | 06/22/2023 | 84,783 | — |
| 9,658,912 USD | 7,730,272,750 CLP | Citi | 06/22/2023 | — | (142,799) |
| 22,952,083 USD | 20,549,000 CHF | Citi | 06/27/2023 | — | (321,192) |
| 875,750 AUD | 574,005 USD | Citi | 09/20/2023 | 2,030 | — |
| 875,749 AUD | 570,883 USD | Citi | 09/20/2023 | — | (1,092) |
| 34,474,500 CAD | 25,354,361 USD | Citi | 09/20/2023 | — | (102,552) |
| 3,269,125 CHF | 3,660,431 USD | Citi | 09/20/2023 | 25,021 | — |
| 29,391,250 CHF | 32,642,599 USD | Citi | 09/20/2023 | — | (41,757) |
| 430,272,750 CLP | 526,290 USD | Citi | 09/20/2023 | 2,624 | — |
| 1,000,000,000 CLP | 1,214,760 USD | Citi | 09/20/2023 | — | (2,297) |
| 52,656,000 CNH | 7,498,229 USD | Citi | 09/20/2023 | 28,525 | — |
| 36,983,000 CNH | 5,246,083 USD | Citi | 09/20/2023 | — | (271) |
| 13,000,000 CZK | 586,855 USD | Citi | 09/20/2023 | 3,713 | — |
| 336,000,000 CZK | 15,046,580 USD | Citi | 09/20/2023 | — | (25,409) |
| 176,000 EUR | 190,265 USD | Citi | 09/20/2023 | 949 | — |
| 352,000 EUR | 377,834 USD | Citi | 09/20/2023 | — | (798) |
| 459,375 GBP | 568,664 USD | Citi | 09/20/2023 | — | (3,732) |
| 260,000,000 HUF | 729,590 USD | Citi | 09/20/2023 | 524 | — |
| 1,584,465,000 HUF | 4,430,582 USD | Citi | 09/20/2023 | — | (12,421) |
| 31,481,000 ILS | 8,517,263 USD | Citi | 09/20/2023 | 31,399 | — |
| 4,011,124 INR | 48,277 USD | Citi | 09/20/2023 | 15 | — |
| 8,022,250 INR | 96,488 USD | Citi | 09/20/2023 | — | (36) |
| 4,372,923,750 JPY | 31,826,517 USD | Citi | 09/20/2023 | — | (128,659) |
| 14,700,000,000 KRW | 11,207,558 USD | Citi | 09/20/2023 | 19,256 | — |
| 6,943,795,125 KRW | 5,276,592 USD | Citi | 09/20/2023 | — | (8,393) |
| 37,473,832 MXN | 2,062,376 USD | Citi | 09/20/2023 | — | (8,515) |
| 200,365,250 NOK | 17,887,468 USD | Citi | 09/20/2023 | — | (256,334) |
| 6,947,500 NZD | 4,233,611 USD | Citi | 09/20/2023 | 51,741 | — |
The accompanying Notes to Consolidated Financial
Statements are an integral part of this statement.
| 20 | Columbia Multi Strategy Alternatives Fund | Annual Report 2023 |
Consolidated Portfolio of Investments (continued)
May 31, 2023
May 31, 2023
| Forward foreign currency exchange contracts (continued) | |||||
| Currency to be sold | Currency to be purchased | Counterparty | Settlement date | Unrealized appreciation ($) | Unrealized depreciation ($) |
| 37,814,833 NZD | 22,729,105 USD | Citi | 09/20/2023 | — | (32,568) |
| 312,183,428 PHP | 5,530,088 USD | Citi | 09/20/2023 | 7,014 | — |
| 4,487,000 PLN | 1,062,545 USD | Citi | 09/20/2023 | 9,387 | — |
| 22,250,000 SEK | 2,076,164 USD | Citi | 09/20/2023 | 13,689 | — |
| 26,250,000 SEK | 2,412,786 USD | Citi | 09/20/2023 | — | (20,471) |
| 14,036,000 SGD | 10,411,996 USD | Citi | 09/20/2023 | — | (14,571) |
| 20,717,250 TWD | 680,906 USD | Citi | 09/20/2023 | — | (1,034) |
| 23,340,248 USD | 35,805,750 AUD | Citi | 09/20/2023 | 45,442 | — |
| 6,915,403 USD | 10,548,750 AUD | Citi | 09/20/2023 | — | (25,733) |
| 1,532,182 USD | 2,084,000 CAD | Citi | 09/20/2023 | 6,701 | — |
| 2,199,193 USD | 1,800,000,000 CLP | Citi | 09/20/2023 | — | (8,490) |
| 507,987 USD | 2,333,833,500 COP | Citi | 09/20/2023 | 3,050 | — |
| 6,332,315 USD | 28,642,013,560 COP | Citi | 09/20/2023 | — | (60,602) |
| 137,039 USD | 3,037,000 CZK | Citi | 09/20/2023 | — | (808) |
| 64,236,496 USD | 59,822,500 EUR | Citi | 09/20/2023 | 112,174 | — |
| 9,230,504 USD | 8,538,250 EUR | Citi | 09/20/2023 | — | (46,250) |
| 30,531,947 USD | 24,657,625 GBP | Citi | 09/20/2023 | 192,221 | — |
| 2,975,478 USD | 1,064,026,000 HUF | Citi | 09/20/2023 | 8,160 | — |
| 14,069 USD | 5,000,000 HUF | Citi | 09/20/2023 | — | (48) |
| 2,945,247 USD | 44,263,671,795 IDR | Citi | 09/20/2023 | 146 | — |
| 1,963,320 USD | 29,460,187,851 IDR | Citi | 09/20/2023 | — | (2,980) |
| 1,917,974 USD | 159,489,750 INR | Citi | 09/20/2023 | 1,013 | — |
| 1,682,911 USD | 139,744,875 INR | Citi | 09/20/2023 | — | (1,495) |
| 14,116,049 USD | 255,897,000 MXN | Citi | 09/20/2023 | 25,417 | — |
| 4,356,604 USD | 18,633,000 PLN | Citi | 09/20/2023 | 16,808 | — |
| 368,113 USD | 1,555,000 PLN | Citi | 09/20/2023 | — | (3,134) |
| 12,229 USD | 133,166 SEK | Citi | 09/20/2023 | 115 | — |
| 136,797 USD | 1,466,500 SEK | Citi | 09/20/2023 | — | (859) |
| 1,307,604 USD | 1,761,000 SGD | Citi | 09/20/2023 | 545 | — |
| 2,268,223 USD | 69,000,000 TWD | Citi | 09/20/2023 | 3,020 | — |
| 74,914 USD | 1,500,000 ZAR | Citi | 09/20/2023 | 285 | — |
| 75,357 USD | 1,500,000 ZAR | Citi | 09/20/2023 | — | (158) |
| 21,538,923 ZAR | 1,082,310 USD | Citi | 09/20/2023 | 2,504 | — |
| 184,538,922 ZAR | 9,222,193 USD | Citi | 09/20/2023 | — | (29,251) |
| 57,025,000 CHF | 64,395,736 USD | Goldman Sachs International | 06/14/2023 | 1,691,703 | — |
| 58,129,000 EUR | 64,301,719 USD | Goldman Sachs International | 06/14/2023 | 2,122,987 | — |
| 48,891,000 GBP | 60,884,940 USD | Goldman Sachs International | 06/14/2023 | 50,749 | — |
| 8,664,425,000 JPY | 64,523,138 USD | Goldman Sachs International | 06/14/2023 | 2,215,394 | — |
| 7,343,183 USD | 6,603,000 CHF | Goldman Sachs International | 06/14/2023 | — | (82,600) |
| 2,088,439 USD | 1,917,000 EUR | Goldman Sachs International | 06/14/2023 | — | (37,885) |
| 54,496,401 USD | 43,834,000 GBP | Goldman Sachs International | 06/14/2023 | 45,456 | — |
| 63,930,413 USD | 8,664,425,000 JPY | Goldman Sachs International | 06/14/2023 | — | (1,622,670) |
| 26,995,262 GBP | 33,585,885 USD | Goldman Sachs International | 06/27/2023 | — | (13,543) |
| 6,372,000 SEK | 605,863 USD | HSBC | 06/14/2023 | 18,279 | — |
| 38,020,000 SEK | 3,505,883 USD | HSBC | 06/14/2023 | — | (70) |
| 185,200,000 AUD | 122,883,068 USD | Morgan Stanley | 06/21/2023 | 2,330,585 | — |
| 36,705,000 BRL | 7,354,827 USD | Morgan Stanley | 06/21/2023 | 142,181 | — |
| 29,455,000 BRL | 5,550,792 USD | Morgan Stanley | 06/21/2023 | — | (237,206) |
| 28,200,000 CAD | 20,922,054 USD | Morgan Stanley | 06/21/2023 | 137,710 | — |
| 26,650,000 CAD | 19,497,850 USD | Morgan Stanley | 06/21/2023 | — | (144,092) |
| 6,550,000 CHF | 7,278,465 USD | Morgan Stanley | 06/21/2023 | 70,077 | — |
| 31,650,000 CHF | 34,077,200 USD | Morgan Stanley | 06/21/2023 | — | (754,174) |
| 1,450,000 EUR | 1,551,282 USD | Morgan Stanley | 06/21/2023 | — | (386) |
| 71,350,000 GBP | 86,797,821 USD | Morgan Stanley | 06/21/2023 | — | (1,995,518) |
| 1,419,625,000 INR | 17,250,440 USD | Morgan Stanley | 06/21/2023 | 99,250 | — |
| 8,325,000,000 JPY | 61,244,278 USD | Morgan Stanley | 06/21/2023 | 1,310,621 | — |
| 23,146,130,000 KRW | 17,860,288 USD | Morgan Stanley | 06/21/2023 | 365,240 | — |
| 103,600,000 MXN | 5,663,461 USD | Morgan Stanley | 06/21/2023 | — | (168,747) |
The accompanying Notes to Consolidated Financial
Statements are an integral part of this statement.
| Columbia Multi Strategy Alternatives Fund | Annual Report 2023 | 21 |
Consolidated Portfolio of Investments (continued)
May 31, 2023
May 31, 2023
| Forward foreign currency exchange contracts (continued) | |||||
| Currency to be sold | Currency to be purchased | Counterparty | Settlement date | Unrealized appreciation ($) | Unrealized depreciation ($) |
| 520,250,000 NOK | 50,105,966 USD | Morgan Stanley | 06/21/2023 | 3,192,635 | — |
| 95,350,000 NZD | 59,472,274 USD | Morgan Stanley | 06/21/2023 | 2,047,800 | — |
| 79,830,000 PLN | 18,026,863 USD | Morgan Stanley | 06/21/2023 | — | (801,624) |
| 584,000,000 SEK | 56,177,481 USD | Morgan Stanley | 06/21/2023 | 2,303,477 | — |
| 92,620,006 USD | 138,550,000 AUD | Morgan Stanley | 06/21/2023 | — | (2,433,470) |
| 7,983,843 USD | 40,815,000 BRL | Morgan Stanley | 06/21/2023 | 36,431 | — |
| 47,012,720 USD | 63,850,000 CAD | Morgan Stanley | 06/21/2023 | 46,868 | — |
| 23,802,930 USD | 32,050,000 CAD | Morgan Stanley | 06/21/2023 | — | (181,007) |
| 17,249,051 USD | 15,800,000 CHF | Morgan Stanley | 06/21/2023 | 139,123 | — |
| 44,207,400 USD | 41,150,000 EUR | Morgan Stanley | 06/21/2023 | — | (172,126) |
| 47,736,784 USD | 39,200,000 GBP | Morgan Stanley | 06/21/2023 | 1,046,662 | — |
| 50,608,559 USD | 40,650,000 GBP | Morgan Stanley | 06/21/2023 | — | (20,623) |
| 11,368,618 USD | 941,890,000 INR | Morgan Stanley | 06/21/2023 | 10,820 | — |
| 13,580,922 USD | 1,120,915,000 INR | Morgan Stanley | 06/21/2023 | — | (38,594) |
| 31,085,318 USD | 4,120,000,000 JPY | Morgan Stanley | 06/21/2023 | — | (1,424,457) |
| 439,350 USD | 587,955,000 KRW | Morgan Stanley | 06/21/2023 | 5,057 | — |
| 6,212,334 USD | 8,012,085,000 KRW | Morgan Stanley | 06/21/2023 | — | (156,384) |
| 19,807,936 USD | 367,165,000 MXN | Morgan Stanley | 06/21/2023 | 861,783 | — |
| 37,710,389 USD | 400,000,000 NOK | Morgan Stanley | 06/21/2023 | — | (1,640,553) |
| 60,573,894 USD | 97,100,000 NZD | Morgan Stanley | 06/21/2023 | — | (2,095,484) |
| 3,151,028 USD | 13,170,000 PLN | Morgan Stanley | 06/21/2023 | — | (44,787) |
| 75,047,632 USD | 793,250,000 SEK | Morgan Stanley | 06/21/2023 | — | (1,870,314) |
| 5,509,426 USD | 117,045,000 TRY | Morgan Stanley | 06/21/2023 | — | (225,356) |
| 26,371,803 USD | 484,340,000 ZAR | Morgan Stanley | 06/21/2023 | — | (1,855,879) |
| 445,570,000 ZAR | 24,051,589 USD | Morgan Stanley | 06/21/2023 | 1,498,093 | — |
| 91,450,000 AUD | 61,159,748 USD | UBS | 06/14/2023 | 1,648,295 | — |
| 101,056,000 NZD | 62,775,785 USD | UBS | 06/14/2023 | 1,912,990 | — |
| 123,912,634 USD | 196,099,000 NZD | UBS | 06/14/2023 | — | (5,808,481) |
| 33,583,996 USD | 26,995,262 GBP | UBS | 06/27/2023 | 15,432 | — |
| Total | 48,127,094 | (54,613,795) | |||
| Long futures contracts | ||||||
| Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
| 10-Year Mini Japanese Government Bond | 2 | 06/2023 | JPY | 29,722,000 | 4,998 | — |
| Australian 10-Year Bond | 505 | 06/2023 | AUD | 60,555,919 | 248,662 | — |
| Australian 10-Year Bond | 230 | 06/2023 | AUD | 27,579,923 | — | (251,478) |
| Bist 30 Index | 2,504 | 06/2023 | TRY | 145,037,940 | — | (359,659) |
| Brent Crude | 44 | 09/2023 | USD | 3,164,480 | — | (185,935) |
| Brent Crude | 2 | 11/2023 | USD | 142,700 | — | (17,786) |
| Brent Crude | 87 | 11/2023 | USD | 6,207,450 | — | (538,344) |
| Brent Crude | 45 | 01/2024 | USD | 3,186,900 | — | (116,044) |
| Cocoa | 38 | 09/2023 | USD | 1,147,220 | 17,007 | — |
| Coffee | 69 | 07/2023 | USD | 4,622,569 | — | (444,274) |
| Coffee | 23 | 09/2023 | USD | 1,516,706 | — | (7,164) |
| Coffee | 46 | 12/2023 | USD | 2,994,600 | — | (41,791) |
| Coffee | 1 | 03/2024 | USD | 64,969 | 147 | — |
| Coffee | 22 | 03/2024 | USD | 1,429,313 | — | (69,944) |
| Copper | 25 | 09/2023 | USD | 2,283,438 | — | (247,086) |
| Copper | 49 | 12/2023 | USD | 4,499,425 | — | (416,832) |
| Copper | 24 | 03/2024 | USD | 2,212,500 | — | (141,798) |
| Corn | 48 | 07/2023 | USD | 1,425,600 | 39,771 | — |
| Corn | 90 | 09/2023 | USD | 2,323,125 | — | (237,674) |
| Corn | 177 | 12/2023 | USD | 4,617,488 | — | (345,199) |
| Corn | 87 | 03/2024 | USD | 2,310,938 | — | (39,053) |
| Cotton | 174 | 07/2023 | USD | 7,262,760 | 33,562 | — |
| Cotton | 52 | 12/2023 | USD | 2,066,220 | — | (50,823) |
The accompanying Notes to Consolidated Financial
Statements are an integral part of this statement.
| 22 | Columbia Multi Strategy Alternatives Fund | Annual Report 2023 |
Consolidated Portfolio of Investments (continued)
May 31, 2023
May 31, 2023
| Long futures contracts (continued) | ||||||
| Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
| Cotton | 17 | 03/2024 | USD | 676,260 | — | (27,411) |
| DAX Index | 16 | 06/2023 | EUR | 6,266,000 | — | (142,340) |
| Euro-Bund | 29 | 06/2023 | EUR | 3,945,450 | 151,832 | — |
| Euro-OAT | 29 | 06/2023 | EUR | 3,785,660 | 139,852 | — |
| Euro-OAT | 95 | 06/2023 | EUR | 12,401,300 | — | (115,880) |
| Euro-Schatz | 73 | 09/2023 | EUR | 7,724,860 | 1,099 | — |
| Feeder Cattle | 32 | 08/2023 | USD | 3,826,800 | 44,065 | — |
| FTSE 100 Index | 41 | 06/2023 | GBP | 3,055,320 | — | (79,224) |
| FTSE 100 Index | 317 | 06/2023 | GBP | 23,622,840 | — | (1,251,426) |
| FTSE China A50 Index | 40 | 06/2023 | USD | 490,440 | — | (8,946) |
| FTSE Taiwan Index | 93 | 06/2023 | USD | 5,283,330 | 13,088 | — |
| FTSE Taiwan Index | 1 | 06/2023 | USD | 56,810 | 1,158 | — |
| FTSE/JSE Top 40 Index | 180 | 06/2023 | ZAR | 126,381,600 | — | (80,193) |
| FTSE/JSE Top 40 Index | 217 | 06/2023 | ZAR | 152,360,040 | — | (328,878) |
| FTSE/MIB Index | 102 | 06/2023 | EUR | 13,307,430 | 234,888 | — |
| FTSE/MIB Index | 93 | 06/2023 | EUR | 12,133,245 | — | (211,318) |
| Gas Oil | 15 | 09/2023 | USD | 988,500 | — | (83,177) |
| Gas Oil | 15 | 11/2023 | USD | 989,625 | — | (77,429) |
| Gas Oil | 31 | 01/2024 | USD | 2,032,050 | — | (150,130) |
| IBEX 35 Index | 1 | 06/2023 | EUR | 90,371 | — | (1,003) |
| IBEX 35 Index | 60 | 06/2023 | EUR | 5,422,260 | — | (94,775) |
| Japanese 10-Year Government Bond | 103 | 06/2023 | JPY | 15,305,800,000 | 1,567,418 | — |
| Japanese 10-Year Government Bond | 22 | 06/2023 | JPY | 3,269,200,000 | 539,901 | — |
| KOSPI 200 Index | 125 | 06/2023 | KRW | 10,593,750,000 | 107,295 | — |
| Lead | 168 | 07/2023 | USD | 8,458,800 | — | (328,281) |
| Lead | 8 | 09/2023 | USD | 402,750 | — | (24,458) |
| Lead | 8 | 11/2023 | USD | 403,350 | — | (24,445) |
| Lead | 16 | 01/2024 | USD | 808,100 | — | (39,484) |
| Lean Hogs | 27 | 10/2023 | USD | 812,160 | — | (92,513) |
| Lean Hogs | 55 | 12/2023 | USD | 1,595,550 | — | (142,181) |
| Lean Hogs | 26 | 02/2024 | USD | 806,780 | — | (20,797) |
| Live Cattle | 24 | 10/2023 | USD | 1,649,040 | 80,968 | — |
| Live Cattle | 46 | 12/2023 | USD | 3,228,280 | 105,928 | — |
| Live Cattle | 23 | 02/2024 | USD | 1,650,710 | 58,921 | — |
| Long Gilt | 563 | 09/2023 | GBP | 54,492,770 | 606,278 | — |
| Mexican Bolsa IPC Index | 2 | 06/2023 | MXN | 1,059,880 | — | (614) |
| Mexican Bolsa IPC Index | 137 | 06/2023 | MXN | 72,601,780 | — | (72,339) |
| MSCI Emerging Markets Index | 594 | 06/2023 | USD | 28,416,960 | — | (306,411) |
| Natural Gas | 167 | 06/2023 | USD | 3,784,220 | — | (429,571) |
| Natural Gas | 108 | 08/2023 | USD | 2,546,640 | — | (318,012) |
| Natural Gas | 87 | 10/2023 | USD | 2,545,620 | — | (172,052) |
| Natural Gas | 140 | 12/2023 | USD | 5,126,800 | — | (182,004) |
| Nickel | 8 | 09/2023 | USD | 990,576 | — | (147,440) |
| Nickel | 7 | 11/2023 | USD | 873,096 | — | (150,665) |
| Nickel | 15 | 01/2024 | USD | 1,886,310 | — | (278,090) |
| NY Harbor ULSD Heat Oil | 8 | 08/2023 | USD | 760,066 | — | (86,139) |
| NY Harbor ULSD Heat Oil | 8 | 10/2023 | USD | 762,989 | — | (81,967) |
| NY Harbor ULSD Heat Oil | 16 | 12/2023 | USD | 1,526,179 | — | (127,363) |
| OMXS30 Index | 422 | 06/2023 | SEK | 94,496,350 | — | (22,332) |
| Primary Aluminum | 33 | 09/2023 | USD | 1,859,946 | — | (113,719) |
| Primary Aluminum | 33 | 11/2023 | USD | 1,876,875 | — | (114,668) |
| Primary Aluminum | 64 | 01/2024 | USD | 3,675,968 | — | (138,773) |
| RBOB Gasoline | 16 | 06/2023 | USD | 1,642,234 | — | (80,821) |
| RBOB Gasoline | 12 | 08/2023 | USD | 1,163,434 | — | (43,344) |
| RBOB Gasoline | 13 | 10/2023 | USD | 1,121,266 | — | (72,853) |
| RBOB Gasoline | 27 | 12/2023 | USD | 2,266,072 | — | (156,760) |
| S&P/TSX 60 Index | 48 | 06/2023 | CAD | 11,295,360 | — | (228,576) |
| SGX CNX Nifty Index | 22 | 06/2023 | USD | 821,216 | 1,522 | — |
The accompanying Notes to Consolidated Financial
Statements are an integral part of this statement.
| Columbia Multi Strategy Alternatives Fund | Annual Report 2023 | 23 |
Consolidated Portfolio of Investments (continued)
May 31, 2023
May 31, 2023
| Long futures contracts (continued) | ||||||
| Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
| Soybean | 45 | 07/2023 | USD | 2,924,438 | — | (421,256) |
| Soybean | 81 | 11/2023 | USD | 4,643,325 | — | (529,480) |
| Soybean | 81 | 01/2024 | USD | 4,685,850 | — | (527,584) |
| Soybean Meal | 127 | 07/2023 | USD | 4,996,180 | — | (239,206) |
| Soybean Meal | 74 | 12/2023 | USD | 2,701,000 | — | (318,174) |
| Soybean Meal | 75 | 01/2024 | USD | 2,722,500 | — | (266,618) |
| Soybean Oil | 11 | 07/2023 | USD | 304,920 | — | (61,544) |
| Soybean Oil | 82 | 12/2023 | USD | 2,270,580 | — | (310,640) |
| Soybean Oil | 71 | 01/2024 | USD | 1,965,990 | — | (280,247) |
| SPI 200 Index | 98 | 06/2023 | AUD | 17,395,000 | 37,874 | — |
| SPI 200 Index | 180 | 06/2023 | AUD | 31,950,000 | — | (571,823) |
| Sugar #11 | 54 | 09/2023 | USD | 1,496,275 | 253,453 | — |
| Sugar #11 | 2 | 09/2023 | USD | 55,418 | — | (612) |
| Sugar #11 | 169 | 02/2024 | USD | 4,633,574 | 258,924 | — |
| TOPIX Index | 167 | 06/2023 | JPY | 3,550,420,000 | 975,236 | — |
| U.S. Treasury 10-Year Note | 120 | 09/2023 | USD | 13,736,250 | 7,302 | — |
| U.S. Treasury 2-Year Note | 766 | 09/2023 | USD | 157,664,345 | — | (258,706) |
| U.S. Treasury Ultra Bond | 90 | 09/2023 | USD | 12,318,750 | 170,693 | — |
| Wheat | 1 | 09/2023 | USD | 39,263 | 215 | — |
| Wheat | 19 | 09/2023 | USD | 745,988 | — | (55,397) |
| Wheat | 34 | 09/2023 | USD | 1,033,600 | — | (174,581) |
| Wheat | 39 | 12/2023 | USD | 1,522,950 | — | (123,486) |
| Wheat | 67 | 12/2023 | USD | 2,099,613 | — | (307,148) |
| Wheat | 2 | 03/2024 | USD | 64,200 | 152 | — |
| Wheat | 19 | 03/2024 | USD | 736,250 | — | (44,835) |
| Wheat | 31 | 03/2024 | USD | 995,100 | — | (80,629) |
| WIG 20 Index | 1,095 | 06/2023 | PLN | 41,719,500 | — | (395,022) |
| WTI Crude | 7 | 06/2023 | USD | 476,630 | — | (17,657) |
| WTI Crude | 50 | 08/2023 | USD | 3,407,000 | — | (208,031) |
| WTI Crude | 50 | 10/2023 | USD | 3,382,000 | — | (216,889) |
| WTI Crude | 101 | 12/2023 | USD | 6,771,040 | — | (533,821) |
| Zinc | 13 | 06/2023 | USD | 727,919 | — | (120,768) |
| Zinc | 18 | 09/2023 | USD | 1,012,725 | — | (271,940) |
| Zinc | 18 | 11/2023 | USD | 1,014,075 | — | (264,683) |
| Zinc | 35 | 01/2024 | USD | 1,975,313 | — | (382,933) |
| Total | 5,702,209 | (17,143,396) | ||||
| Short futures contracts | ||||||
| Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
| Australian 3-Year Bond | (43) | 06/2023 | AUD | (4,620,128) | 36,930 | — |
| Brent Crude | (39) | 06/2023 | USD | (2,831,400) | 124,564 | — |
| Brent Crude | (111) | 07/2023 | USD | (8,046,390) | 438,260 | — |
| CAC40 Index | (237) | 06/2023 | EUR | (16,825,815) | 483,389 | — |
| CAC40 Index | (74) | 06/2023 | EUR | (5,253,630) | 196,168 | — |
| Canadian Government 10-Year Bond | (338) | 09/2023 | CAD | (41,800,460) | — | (42,768) |
| Canadian Government 10-Year Bond | (282) | 09/2023 | CAD | (34,874,940) | — | (214,618) |
| Coffee | (169) | 07/2023 | USD | (11,321,944) | 227,269 | — |
| Copper | (8) | 06/2023 | USD | (1,616,000) | 98,854 | — |
| Copper | (147) | 07/2023 | USD | (13,365,975) | 1,128,042 | — |
| Copper | (8) | 07/2023 | USD | (727,400) | 91,689 | — |
| Copper | (6) | 09/2023 | USD | (1,213,800) | — | (3,728) |
| Corn | (136) | 07/2023 | USD | (4,039,200) | 116,896 | — |
| Corn | (128) | 07/2023 | USD | (3,801,600) | 15,461 | — |
| Corn | (66) | 07/2023 | USD | (1,960,200) | — | (652) |
| Cotton | (75) | 07/2023 | USD | (3,130,500) | 11,184 | — |
| Cotton | (10) | 07/2023 | USD | (417,400) | — | (989) |
The accompanying Notes to Consolidated Financial
Statements are an integral part of this statement.
| 24 | Columbia Multi Strategy Alternatives Fund | Annual Report 2023 |
Consolidated Portfolio of Investments (continued)
May 31, 2023
May 31, 2023
| Short futures contracts (continued) | ||||||
| Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
| DAX Index | (12) | 06/2023 | EUR | (4,699,500) | 92,713 | — |
| DJIA Index E-mini | (18) | 06/2023 | USD | (2,968,110) | — | (42,801) |
| Euro STOXX 50 Index | (302) | 06/2023 | EUR | (12,735,340) | 52,250 | — |
| Euro STOXX 50 Index | (24) | 06/2023 | EUR | (1,012,080) | — | (47,370) |
| Euro-Bobl | (22) | 06/2023 | EUR | (2,599,080) | — | (19,594) |
| Euro-BTP | (16) | 06/2023 | EUR | (1,855,360) | — | (25,724) |
| Euro-Bund | (302) | 06/2023 | EUR | (41,087,100) | — | (316,925) |
| Euro-Bund | (285) | 06/2023 | EUR | (38,774,250) | — | (1,407,242) |
| Euro-Buxl 30-Year | (6) | 06/2023 | EUR | (832,200) | — | (12,489) |
| Euro-OAT | (12) | 06/2023 | EUR | (1,566,480) | — | (13,518) |
| Euro-Schatz | (764) | 06/2023 | EUR | (80,693,680) | 152,281 | — |
| FTSE 100 Index | (308) | 06/2023 | GBP | (22,952,160) | 1,166,504 | — |
| FTSE Taiwan Index | (223) | 06/2023 | USD | (12,668,630) | — | (72,567) |
| Gas Oil | (69) | 07/2023 | USD | (4,531,575) | 291,551 | — |
| Gold 100 oz. | (38) | 08/2023 | USD | (7,531,980) | 4,469 | — |
| Gold 100 oz. | (8) | 08/2023 | USD | (1,585,680) | 3,913 | — |
| KLCI Index | (30) | 06/2023 | MYR | (2,083,500) | 3,087 | — |
| Lead | (5) | 06/2023 | USD | (252,565) | 12,249 | — |
| Lead | (1) | 09/2023 | USD | (50,344) | 704 | — |
| Lean Hogs | (19) | 06/2023 | USD | (627,570) | 60,744 | — |
| Lean Hogs | (70) | 07/2023 | USD | (2,333,100) | 56,060 | — |
| Live Cattle | (111) | 08/2023 | USD | (7,444,770) | — | (116,727) |
| Live Cattle | (158) | 08/2023 | USD | (10,597,060) | — | (328,605) |
| Long Gilt | (22) | 09/2023 | GBP | (2,129,380) | — | (300) |
| MSCI Emerging Markets Index | (2) | 06/2023 | USD | (95,680) | 1,964 | — |
| MSCI Singapore Index | (154) | 06/2023 | SGD | (4,378,990) | 62,881 | — |
| NASDAQ 100 Index E-mini | (12) | 06/2023 | USD | (3,432,120) | — | (327,042) |
| Natural Gas | (768) | 06/2023 | USD | (17,402,880) | 2,263,332 | — |
| Natural Gas | (208) | 06/2023 | USD | (4,713,280) | 250,229 | — |
| Nickel | (35) | 06/2023 | USD | (4,299,330) | 1,017,054 | — |
| Nickel | (7) | 06/2023 | USD | (859,866) | 116,670 | — |
| Nickel | (52) | 07/2023 | USD | (6,395,376) | 1,032,880 | — |
| Nickel | (8) | 09/2023 | USD | (990,576) | 41,329 | — |
| Nikkei 225 Index | (9) | 06/2023 | JPY | (277,650,000) | — | (178,924) |
| NY Harbor ULSD Heat Oil | (14) | 06/2023 | USD | (1,323,529) | 102,992 | — |
| NY Harbor ULSD Heat Oil | (13) | 06/2023 | USD | (1,228,991) | 61,843 | — |
| NY Harbor ULSD Heat Oil | (1) | 06/2023 | USD | (94,538) | 4,849 | — |
| OMXS30 Index | (105) | 06/2023 | SEK | (23,512,125) | 11,085 | — |
| Primary Aluminum | (102) | 06/2023 | USD | (5,718,375) | 229,901 | — |
| Primary Aluminum | (20) | 06/2023 | USD | (1,121,250) | 43,191 | — |
| Primary Aluminum | (218) | 07/2023 | USD | (12,254,325) | 312,467 | — |
| Primary Aluminum | (18) | 09/2023 | USD | (1,014,516) | — | (2,069) |
| RBOB Gasoline | (17) | 06/2023 | USD | (1,744,873) | 55,327 | — |
| Russell 2000 Index E-mini | (93) | 06/2023 | USD | (8,145,870) | 73,237 | — |
| S&P 500 Index E-mini | (377) | 06/2023 | USD | (78,990,925) | — | (998,714) |
| S&P 500 Index E-mini | (106) | 06/2023 | USD | (22,209,650) | — | (1,005,139) |
| S&P Mid 400 Index E-mini | (23) | 06/2023 | USD | (5,540,700) | 136,977 | — |
| S&P/TSX 60 Index | (90) | 06/2023 | CAD | (21,178,800) | 15,150 | — |
| S&P/TSX 60 Index | (27) | 06/2023 | CAD | (6,353,640) | 5,382 | — |
| SGX CNX Nifty Index | (62) | 06/2023 | USD | (2,314,336) | — | (20,601) |
| Silver | (35) | 07/2023 | USD | (4,127,725) | 322,563 | — |
| Silver | (5) | 07/2023 | USD | (589,675) | 46,035 | — |
| Soybean | (81) | 07/2023 | USD | (5,263,988) | 615,057 | — |
| Soybean | (58) | 07/2023 | USD | (3,769,275) | 287,637 | — |
| Soybean Meal | (59) | 07/2023 | USD | (2,321,060) | 290,676 | — |
| Soybean Oil | (158) | 07/2023 | USD | (4,379,760) | 631,082 | — |
| Soybean Oil | (38) | 07/2023 | USD | (1,053,360) | 183,176 | — |
| Sugar #11 | (31) | 06/2023 | USD | (870,083) | 22,093 | — |
The accompanying Notes to Consolidated Financial
Statements are an integral part of this statement.
| Columbia Multi Strategy Alternatives Fund | Annual Report 2023 | 25 |
Consolidated Portfolio of Investments (continued)
May 31, 2023
May 31, 2023
| Short futures contracts (continued) | ||||||
| Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
| Sugar #11 | (102) | 06/2023 | USD | (2,862,854) | — | (129,764) |
| Sugar #11 | (227) | 06/2023 | USD | (6,371,254) | — | (440,281) |
| Thai SET50 Index | (50) | 06/2023 | THB | (9,217,000) | 934 | — |
| TOPIX Index | (38) | 06/2023 | JPY | (807,880,000) | — | (292,992) |
| TOPIX Index | (106) | 06/2023 | JPY | (2,253,560,000) | — | (791,676) |
| U.S. Long Bond | (10) | 09/2023 | USD | (1,283,438) | — | (20,073) |
| U.S. Treasury 10-Year Note | (2,653) | 09/2023 | USD | (303,685,594) | — | (997,592) |
| U.S. Treasury 2-Year Note | (17) | 09/2023 | USD | (3,499,078) | — | (9,392) |
| U.S. Treasury 5-Year Note | (478) | 09/2023 | USD | (52,139,344) | — | (293,173) |
| U.S. Treasury Ultra Bond | (11) | 09/2023 | USD | (1,505,625) | — | (30,816) |
| U.S. Treasury Ultra Bond | (109) | 09/2023 | USD | (14,919,375) | — | (210,024) |
| Wheat | (233) | 07/2023 | USD | (6,923,013) | 953,856 | — |
| Wheat | (161) | 07/2023 | USD | (4,783,713) | 712,393 | — |
| Wheat | (112) | 07/2023 | USD | (3,327,800) | 642,284 | — |
| Wheat | (46) | 07/2023 | USD | (1,818,150) | 236,409 | — |
| WTI Crude | (157) | 06/2023 | USD | (10,690,130) | 1,229,474 | — |
| WTI Crude | (49) | 06/2023 | USD | (3,336,410) | 155,616 | — |
| Zinc | (39) | 06/2023 | USD | (2,183,756) | 560,546 | — |
| Zinc | (45) | 07/2023 | USD | (2,524,219) | 300,601 | — |
| Zinc | (13) | 09/2023 | USD | (731,413) | 17,349 | — |
| Total | 17,911,752 | (8,414,889) | ||||
| Call option contracts purchased | ||||||||
| Description | Counterparty | Trading currency | Notional amount | Number of contracts | Exercise price/Rate | Expiration date | Cost ($) | Value ($) |
| 10-Year OTC interest rate swap with Citi to receive exercise rate and pay SOFR | Citi | USD | 14,800,000 | 14,800,000 | 2.75 | 06/26/2023 | 480,630 | 8,688 |
| 10-Year OTC interest rate swap with Citi to receive exercise rate and pay SOFR | Citi | USD | 5,600,000 | 5,600,000 | 2.75 | 07/11/2023 | 196,000 | 7,794 |
| 10-Year OTC interest rate swap with Citi to receive exercise rate and pay SOFR | Citi | USD | 25,000,000 | 25,000,000 | 2.00 | 08/03/2023 | 421,250 | 7,945 |
| 10-Year OTC interest rate swap with Citi to receive exercise rate and pay SOFR | Citi | USD | 20,000,000 | 20,000,000 | 3.50 | 10/27/2023 | 710,000 | 672,904 |
| 10-Year OTC interest rate swap with Citi to receive exercise rate and pay SOFR | Citi | USD | 15,000,000 | 15,000,000 | 3.50 | 10/27/2023 | 570,000 | 504,678 |
| 10-Year OTC interest rate swap with Citi to receive exercise rate and pay SOFR | Citi | USD | 12,660,000 | 12,660,000 | 3.30 | 11/14/2023 | 405,120 | 330,427 |
| 10-Year OTC interest rate swap with Citi to receive exercise rate and pay SOFR | Citi | USD | 40,000,000 | 40,000,000 | 3.30 | 11/30/2023 | 1,060,000 | 1,104,236 |
| 10-Year OTC interest rate swap with Citi to receive exercise rate and pay SOFR | Citi | USD | 25,000,000 | 25,000,000 | 3.00 | 11/30/2023 | 768,750 | 429,532 |
| 10-Year OTC interest rate swap with Citi to receive exercise rate and pay SOFR | Citi | USD | 20,000,000 | 20,000,000 | 3.00 | 12/01/2023 | 690,000 | 345,554 |
| 10-Year OTC interest rate swap with Morgan Stanley to receive exercise rate and pay SOFR | Morgan Stanley | USD | 25,000,000 | 25,000,000 | 3.00 | 01/10/2024 | 853,750 | 497,400 |
| Total | 6,155,500 | 3,909,158 | ||||||
| Put option contracts purchased | ||||||||
| Description | Counterparty | Trading currency | Notional amount | Number of contracts | Exercise price/Rate | Expiration date | Cost ($) | Value ($) |
| 5-Year OTC interest rate swap with Morgan Stanley to receive SOFR and pay exercise rate | Morgan Stanley | USD | 40,000,000 | 40,000,000 | 3.75 | 08/25/2023 | 440,000 | 281,120 |
The accompanying Notes to
Consolidated Financial Statements are an integral part of this statement.
| 26 | Columbia Multi Strategy Alternatives Fund | Annual Report 2023 |
Consolidated Portfolio of Investments (continued)
May 31, 2023
May 31, 2023
| Call option contracts written | ||||||||
| Description | Counterparty | Trading currency | Notional amount | Number of contracts | Exercise price/Rate | Expiration date | Premium received ($) | Value ($) |
| 10-Year OTC interest rate swap with Citi to receive SOFR and pay exercise rate | Citi | USD | (25,000,000) | (25,000,000) | 2.90 | 6/05/2023 | (150,000) | (105) |
| 10-Year OTC interest rate swap with Morgan Stanley to receive SOFR and pay exercise rate | Morgan Stanley | USD | (30,000,000) | (30,000,000) | 2.90 | 6/05/2023 | (225,000) | (126) |
| Total | (375,000) | (231) | ||||||
| Put option contracts written | ||||||||
| Description | Counterparty | Trading currency | Notional amount | Number of contracts | Exercise price/Rate | Expiration date | Premium received ($) | Value ($) |
| 10-Year OTC interest rate swap with Citi to receive exercise rate and pay SOFR | Citi | USD | (17,500,000) | (17,500,000) | 3.30 | 06/15/2023 | (119,875) | (225,838) |
| 10-Year OTC interest rate swap with JPMorgan to receive exercise rate and pay SOFR | JPMorgan | USD | (20,000,000) | (20,000,000) | 3.30 | 06/15/2023 | (140,000) | (258,100) |
| 10-Year OTC interest rate swap with Morgan Stanley to receive exercise rate and pay SOFR | Morgan Stanley | USD | (30,000,000) | (30,000,000) | 3.25 | 06/12/2023 | (225,000) | (446,625) |
| 5-Year OTC interest rate swap with Morgan Stanley to receive exercise rate and pay SOFR | Morgan Stanley | USD | (30,000,000) | (30,000,000) | 3.45 | 06/01/2023 | (141,000) | (147,216) |
| Total | (625,875) | (1,077,779) | ||||||
| Cleared interest rate swap contracts | |||||||||||
| Fund receives | Fund pays | Payment frequency | Counterparty | Maturity date | Notional currency | Notional amount | Value ($) | Upfront payments ($) | Upfront receipts ($) | Unrealized appreciation ($) | Unrealized depreciation ($) |
| 3-Month NZD LIBOR | Fixed rate of 5.000% | Receives Quarterly, Pays SemiAnnually | JPMorgan | 06/11/2025 | NZD | 13,300,000 | 101,938 | — | — | 101,938 | — |
| 3-Month NZD LIBOR | Fixed rate of 4.500% | Receives Quarterly, Pays SemiAnnually | JPMorgan | 06/11/2025 | NZD | 1,000,000 | 5,002 | — | — | 5,002 | — |
| Fixed rate of 3.000% | 3-Month SEK STIBOR | Receives Annually, Pays Quarterly | JPMorgan | 06/18/2025 | SEK | 200,000 | — | — | — | — | — |
| Fixed rate of 3.500% | 6-Month NOK NIBOR | Receives Annually, Pays SemiAnnually | JPMorgan | 06/18/2025 | NOK | 500,000 | (568) | — | — | — | (568) |
| Fixed rate of 3.750% | SOFR | Receives Annually, Pays Annually | JPMorgan | 06/21/2025 | USD | 1,100,000 | (13,546) | — | — | — | (13,546) |
| 6-Month EURIBOR | Fixed rate of 2.500% | Receives SemiAnnually, Pays Annually | JPMorgan | 06/21/2025 | EUR | 17,000,000 | (69,222) | — | — | — | (69,222) |
| 3-Month NZD LIBOR | Fixed rate of 4.500% | Receives Quarterly, Pays SemiAnnually | JPMorgan | 09/10/2025 | NZD | 61,600,000 | 182,727 | — | — | 182,727 | — |
| 3-Month NZD LIBOR | Fixed rate of 5.000% | Receives Quarterly, Pays SemiAnnually | JPMorgan | 09/10/2025 | NZD | 55,800,000 | 160,891 | — | — | 160,891 | — |
| 3-Month AUD BBSW | Fixed rate of 3.500% | Receives Quarterly, Pays Quarterly | JPMorgan | 09/11/2025 | AUD | 70,200,000 | 342,974 | — | — | 342,974 | — |
| 3-Month AUD BBSW | Fixed rate of 4.000% | Receives Quarterly, Pays Quarterly | JPMorgan | 09/11/2025 | AUD | 51,000,000 | 205,938 | — | — | 205,938 | — |
| 3-Month SEK STIBOR | Fixed rate of 3.500% | Receives Quarterly, Pays Annually | JPMorgan | 09/17/2025 | SEK | 974,200,000 | 284,962 | — | — | 284,962 | — |
| Fixed rate of 4.000% | 6-Month NOK NIBOR | Receives Annually, Pays SemiAnnually | JPMorgan | 09/17/2025 | NOK | 173,000,000 | (57,003) | — | — | — | (57,003) |
| Fixed rate of 3.500% | 6-Month NOK NIBOR | Receives Annually, Pays SemiAnnually | JPMorgan | 09/17/2025 | NOK | 180,700,000 | (70,135) | — | — | — | (70,135) |
| Fixed rate of 3.000% | 6-Month NOK NIBOR | Receives Annually, Pays SemiAnnually | JPMorgan | 09/17/2025 | NOK | 214,000,000 | (245,308) | — | — | — | (245,308) |
| Fixed rate of 3.500% | CORRA | Receives SemiAnnually, Pays SemiAnnually | JPMorgan | 09/18/2025 | CAD | 88,400,000 | (162,400) | — | — | — | (162,400) |
| 6-Month EURIBOR | Fixed rate of 3.750% | Receives SemiAnnually, Pays Annually | JPMorgan | 09/20/2025 | EUR | 275,200,000 | 206,119 | — | — | 206,119 | — |
The accompanying Notes to Consolidated Financial
Statements are an integral part of this statement.
| Columbia Multi Strategy Alternatives Fund | Annual Report 2023 | 27 |
Consolidated Portfolio of Investments (continued)
May 31, 2023
May 31, 2023
| Cleared interest rate swap contracts (continued) | |||||||||||
| Fund receives | Fund pays | Payment frequency | Counterparty | Maturity date | Notional currency | Notional amount | Value ($) | Upfront payments ($) | Upfront receipts ($) | Unrealized appreciation ($) | Unrealized depreciation ($) |
| Fixed rate of 4.000% | SONIA | Receives Annually, Pays Annually | JPMorgan | 09/20/2025 | GBP | 25,300,000 | 33,870 | — | — | 33,870 | — |
| Fixed rate of 4.500% | SOFR | Receives Annually, Pays Annually | JPMorgan | 09/20/2025 | USD | 14,400,000 | 12,685 | — | — | 12,685 | — |
| Fixed rate of 3.500% | SOFR | Receives Annually, Pays Annually | JPMorgan | 09/20/2025 | USD | 2,000,000 | 1,706 | — | — | 1,706 | — |
| 6-Month EURIBOR | Fixed rate of 2.750% | Receives SemiAnnually, Pays Annually | JPMorgan | 09/20/2025 | EUR | 200,000 | (925) | — | — | — | (925) |
| Fixed rate of 4.500% | SOFR | Receives Annually, Pays Annually | JPMorgan | 09/20/2025 | USD | 12,700,000 | (64,516) | — | — | — | (64,516) |
| 6-Month EURIBOR | Fixed rate of 3.750% | Receives SemiAnnually, Pays Annually | JPMorgan | 09/20/2025 | EUR | 60,300,000 | (74,607) | — | — | — | (74,607) |
| Fixed rate of 3.500% | SOFR | Receives Annually, Pays Annually | JPMorgan | 09/20/2025 | USD | 17,100,000 | (138,735) | — | — | — | (138,735) |
| Fixed rate of 4.000% | SONIA | Receives Annually, Pays Annually | JPMorgan | 09/20/2025 | GBP | 139,600,000 | (2,281,089) | — | — | — | (2,281,089) |
| Fixed rate of 5.000% | 3-Month NZD LIBOR | Receives SemiAnnually, Pays Quarterly | JPMorgan | 12/10/2025 | NZD | 300,000 | — | — | — | — | — |
| Fixed rate of 3.500% | 3-Month AUD BBSW | Receives SemiAnnually, Pays Quarterly | JPMorgan | 12/11/2025 | AUD | 7,400,000 | 3,333 | — | — | 3,333 | — |
| 3-Month AUD BBSW | Fixed rate of 4.000% | Receives Quarterly, Pays SemiAnnually | JPMorgan | 12/11/2025 | AUD | 29,400,000 | — | — | — | — | — |
| Fixed rate of 3.500% | 3-Month AUD BBSW | Receives SemiAnnually, Pays Quarterly | JPMorgan | 12/11/2025 | AUD | 15,600,000 | (9,929) | — | — | — | (9,929) |
| 6-Month NOK NIBOR | Fixed rate of 3.500% | Receives SemiAnnually, Pays Annually | JPMorgan | 12/17/2025 | NOK | 12,000,000 | 883 | — | — | 883 | — |
| Fixed rate of 4.000% | 6-Month NOK NIBOR | Receives Annually, Pays SemiAnnually | JPMorgan | 12/17/2025 | NOK | 58,000,000 | — | — | — | — | — |
| Fixed rate of 3.500% | 3-Month SEK STIBOR | Receives Annually, Pays Quarterly | JPMorgan | 12/17/2025 | SEK | 36,000,000 | — | — | — | — | — |
| 6-Month NOK NIBOR | Fixed rate of 3.500% | Receives SemiAnnually, Pays Annually | JPMorgan | 12/17/2025 | NOK | 14,000,000 | (618) | — | — | — | (618) |
| Fixed rate of 4.000% | CORRA | Receives SemiAnnually, Pays SemiAnnually | JPMorgan | 12/18/2025 | CAD | 2,100,000 | — | — | — | — | — |
| Fixed rate of 3.500% | CORRA | Receives SemiAnnually, Pays SemiAnnually | JPMorgan | 12/18/2025 | CAD | 9,800,000 | (9,144) | — | — | — | (9,144) |
| 6-Month EURIBOR | Fixed rate of 3.550% | Receives SemiAnnually, Pays Annually | JPMorgan | 12/20/2025 | EUR | 173,300,000 | 52,230 | — | — | 52,230 | — |
| SOFR | Fixed rate of 4.190% | Receives Annually, Pays Annually | JPMorgan | 12/20/2025 | USD | 32,100,000 | — | — | — | — | — |
| Fixed rate of 4.250% | SONIA | Receives Annually, Pays Annually | JPMorgan | 12/20/2025 | GBP | 37,100,000 | — | — | — | — | — |
| 6-Month EURIBOR | Fixed rate of 3.550% | Receives SemiAnnually, Pays Annually | JPMorgan | 12/20/2025 | EUR | 42,700,000 | (155,712) | — | — | — | (155,712) |
| 6-Month AUD BBSW | Fixed rate of 4.000% | Receives SemiAnnually, Pays SemiAnnually | JPMorgan | 12/07/2028 | AUD | 200,000 | — | — | — | — | — |
| 3-Month NZD LIBOR | Fixed rate of 4.500% | Receives Quarterly, Pays SemiAnnually | JPMorgan | 12/13/2028 | NZD | 300,000 | — | — | — | — | — |
| CORRA | Fixed rate of 3.500% | Receives SemiAnnually, Pays SemiAnnually | JPMorgan | 12/18/2028 | CAD | 500,000 | — | — | — | — | — |
| 6-Month EURIBOR | Fixed rate of 3.190% | Receives SemiAnnually, Pays Annually | JPMorgan | 12/20/2028 | EUR | 500,000 | — | — | — | — | — |
| 6-Month NOK NIBOR | Fixed rate of 3.500% | Receives SemiAnnually, Pays Annually | JPMorgan | 12/20/2028 | NOK | 7,000,000 | — | — | — | — | — |
| 3-Month SEK STIBOR | Fixed rate of 3.000% | Receives Quarterly, Pays Annually | JPMorgan | 12/20/2028 | SEK | 3,000,000 | — | — | — | — | — |
The accompanying Notes to Consolidated Financial
Statements are an integral part of this statement.
| 28 | Columbia Multi Strategy Alternatives Fund | Annual Report 2023 |
Consolidated Portfolio of Investments (continued)
May 31, 2023
May 31, 2023
| Cleared interest rate swap contracts (continued) | |||||||||||
| Fund receives | Fund pays | Payment frequency | Counterparty | Maturity date | Notional currency | Notional amount | Value ($) | Upfront payments ($) | Upfront receipts ($) | Unrealized appreciation ($) | Unrealized depreciation ($) |
| SONIA | Fixed rate of 3.820% | Receives Annually, Pays Annually | JPMorgan | 12/20/2028 | GBP | 200,000 | — | — | — | — | — |
| SOFR | Fixed rate of 3.630% | Receives Annually, Pays Annually | JPMorgan | 12/20/2028 | USD | 200,000 | — | — | — | — | — |
| Fixed rate of 2.500% | 3-Month SEK STIBOR | Receives Annually, Pays Quarterly | JPMorgan | 06/15/2033 | SEK | 300,000 | (8) | — | — | — | (8) |
| Fixed rate of 2.500% | 6-Month EURIBOR | Receives Annually, Pays SemiAnnually | JPMorgan | 06/21/2033 | EUR | 3,900,000 | 17,703 | — | — | 17,703 | — |
| Fixed rate of 4.500% | 6-Month AUD BBSW | Receives SemiAnnually, Pays SemiAnnually | JPMorgan | 09/08/2033 | AUD | 1,100,000 | 3,586 | — | — | 3,586 | — |
| Fixed rate of 4.500% | 6-Month AUD BBSW | Receives SemiAnnually, Pays SemiAnnually | JPMorgan | 09/08/2033 | AUD | 4,200,000 | (17,556) | — | — | — | (17,556) |
| Fixed rate of 4.000% | 6-Month AUD BBSW | Receives SemiAnnually, Pays SemiAnnually | JPMorgan | 09/08/2033 | AUD | 23,900,000 | (195,826) | — | — | — | (195,826) |
| Fixed rate of 4.500% | 3-Month NZD LIBOR | Receives SemiAnnually, Pays Quarterly | JPMorgan | 09/14/2033 | NZD | 1,700,000 | (7,046) | — | — | — | (7,046) |
| Fixed rate of 4.000% | 3-Month NZD LIBOR | Receives SemiAnnually, Pays Quarterly | JPMorgan | 09/14/2033 | NZD | 900,000 | (8,037) | — | — | — | (8,037) |
| CORRA | Fixed rate of 3.000% | Receives SemiAnnually, Pays SemiAnnually | JPMorgan | 09/18/2033 | CAD | 11,300,000 | (30,786) | — | — | — | (30,786) |
| SONIA | Fixed rate of 3.250% | Receives Annually, Pays Annually | JPMorgan | 09/20/2033 | GBP | 42,800,000 | 2,157,173 | — | — | 2,157,173 | — |
| Fixed rate of 3.250% | 6-Month EURIBOR | Receives Annually, Pays SemiAnnually | JPMorgan | 09/20/2033 | EUR | 54,400,000 | 271,675 | — | — | 271,675 | — |
| Fixed rate of 3.500% | SOFR | Receives Annually, Pays Annually | JPMorgan | 09/20/2033 | USD | 1,400,000 | 876 | — | — | 876 | — |
| SONIA | Fixed rate of 3.250% | Receives Annually, Pays Annually | JPMorgan | 09/20/2033 | GBP | 2,300,000 | (10,845) | — | — | — | (10,845) |
| Fixed rate of 3.500% | SOFR | Receives Annually, Pays Annually | JPMorgan | 09/20/2033 | USD | 8,100,000 | (17,058) | — | — | — | (17,058) |
| 6-Month NOK NIBOR | Fixed rate of 3.000% | Receives SemiAnnually, Pays Annually | JPMorgan | 09/21/2033 | NOK | 54,000,000 | 80,623 | — | — | 80,623 | — |
| 3-Month SEK STIBOR | Fixed rate of 3.000% | Receives Quarterly, Pays Annually | JPMorgan | 09/21/2033 | SEK | 100,000 | — | — | — | — | — |
| Fixed rate of 4.000% | 6-Month AUD BBSW | Receives SemiAnnually, Pays SemiAnnually | JPMorgan | 12/08/2033 | AUD | 9,000,000 | 21,213 | — | — | 21,213 | — |
| 3-Month NZD LIBOR | Fixed rate of 4.500% | Receives Quarterly, Pays SemiAnnually | JPMorgan | 12/14/2033 | NZD | 300,000 | — | — | — | — | — |
| CORRA | Fixed rate of 3.500% | Receives SemiAnnually, Pays SemiAnnually | JPMorgan | 12/18/2033 | CAD | 1,100,000 | — | — | — | — | — |
| Fixed rate of 3.130% | 6-Month EURIBOR | Receives Annually, Pays SemiAnnually | JPMorgan | 12/20/2033 | EUR | 8,200,000 | 147,358 | — | — | 147,358 | — |
| SONIA | Fixed rate of 3.620% | Receives Annually, Pays Annually | JPMorgan | 12/20/2033 | GBP | 9,600,000 | — | — | — | — | — |
| Fixed rate of 3.480% | SOFR | Receives Annually, Pays Annually | JPMorgan | 12/20/2033 | USD | 6,600,000 | — | — | — | — | — |
| Fixed rate of 3.130% | 6-Month EURIBOR | Receives Annually, Pays SemiAnnually | JPMorgan | 12/20/2033 | EUR | 38,900,000 | (77,777) | — | — | — | (77,777) |
| 6-Month NOK NIBOR | Fixed rate of 3.500% | Receives SemiAnnually, Pays Annually | JPMorgan | 12/21/2033 | NOK | 23,000,000 | — | — | — | — | — |
| 3-Month SEK STIBOR | Fixed rate of 3.000% | Receives Quarterly, Pays Annually | JPMorgan | 12/21/2033 | SEK | 56,000,000 | — | — | — | — | — |
| 3-Month NZD LIBOR | Fixed rate of 4.488% | Receives Quarterly, Pays SemiAnnually | Morgan Stanley | 10/05/2032 | NZD | 16,000,000 | (105,956) | — | — | — | (105,956) |
| 3-Month NZD LIBOR | Fixed rate of 4.648% | Receives Quarterly, Pays SemiAnnually | Morgan Stanley | 11/03/2032 | NZD | 7,687,000 | (110,494) | — | — | — | (110,494) |
The accompanying Notes to Consolidated Financial
Statements are an integral part of this statement.
| Columbia Multi Strategy Alternatives Fund | Annual Report 2023 | 29 |
Consolidated Portfolio of Investments (continued)
May 31, 2023
May 31, 2023
| Cleared interest rate swap contracts (continued) | |||||||||||
| Fund receives | Fund pays | Payment frequency | Counterparty | Maturity date | Notional currency | Notional amount | Value ($) | Upfront payments ($) | Upfront receipts ($) | Unrealized appreciation ($) | Unrealized depreciation ($) |
| Fixed rate of 2.690% | 3-Month SEK STIBOR | Receives Annually, Pays Quarterly | Morgan Stanley | 02/03/2033 | SEK | 57,000,000 | (68,873) | — | — | — | (68,873) |
| Fixed rate of 3.298% | 3-Month SEK STIBOR | Receives Annually, Pays Quarterly | Morgan Stanley | 03/03/2033 | SEK | 29,000,000 | 85,668 | — | — | 85,668 | — |
| 3-Month NZD LIBOR | Fixed rate of 4.665% | Receives Quarterly, Pays SemiAnnually | Morgan Stanley | 03/03/2033 | NZD | 6,000,000 | (91,150) | — | — | — | (91,150) |
| Total | 286,264 | — | — | 4,381,133 | (4,094,869) | ||||||
| Cleared credit default swap contracts - buy protection | |||||||||||
| Reference entity | Counterparty | Maturity date | Pay fixed rate (%) | Payment frequency | Notional currency | Notional amount | Value ($) | Upfront payments ($) | Upfront receipts ($) | Unrealized appreciation ($) | Unrealized depreciation ($) |
| Markit CDX North America High Yield Index, Series 40 | Morgan Stanley | 06/20/2028 | 5.000 | Quarterly | USD | 2,250,000 | (44,117) | — | — | — | (44,117) |
| 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- | Morgan Stanley | 11/17/2059 | 3.000 | Monthly | 16.577 | USD | 500,000 | (163,881) | 292 | — | (96,670) | — | (66,919) |
| Markit CMBX North America Index, Series 10 BBB- | Morgan Stanley | 11/17/2059 | 3.000 | Monthly | 16.577 | USD | 1,200,000 | (393,313) | 700 | — | (271,847) | — | (120,766) |
| Markit CMBX North America Index, Series 10 BBB- | Morgan Stanley | 11/17/2059 | 3.000 | Monthly | 16.577 | USD | 2,000,000 | (655,522) | 1,167 | — | (307,973) | — | (346,382) |
| Markit CMBX North America Index, Series 10 BBB- | Morgan Stanley | 11/17/2059 | 3.000 | Monthly | 16.577 | USD | 3,500,000 | (1,147,162) | 2,042 | — | (640,494) | — | (504,626) |
| Markit CMBX North America Index, Series 10 BBB- | Morgan Stanley | 11/17/2059 | 3.000 | Monthly | 16.577 | USD | 5,000,000 | (1,638,804) | 2,917 | — | (938,117) | — | (697,770) |
| Total | (3,998,682) | 7,118 | — | (2,255,101) | — | (1,736,463) | |||||||
* 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.
The accompanying Notes to
Consolidated Financial Statements are an integral part of this statement.
| 30 | Columbia Multi Strategy Alternatives Fund | Annual Report 2023 |
Consolidated Portfolio of Investments (continued)
May 31, 2023
May 31, 2023
| 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 ($) | Unrealized depreciation ($) |
| SORA minus 0.004% | Total return on MSCI Singapore Net Return SGD Index | Monthly | JPMorgan | 06/21/2023 | SGD | 1,731,473 | 34,070 | 1,581 | — | — | 35,651 | — |
| SORA minus 0.004% | Total return on MSCI Singapore Net Return SGD Index | Monthly | JPMorgan | 06/21/2023 | SGD | 502,510 | 9,888 | 459 | — | — | 10,347 | — |
| ESTR minus 0.005% | Total return on MSCI Netherlands Net Return EUR Index | Monthly | JPMorgan | 06/21/2023 | EUR | 916,830 | 5,631 | 600 | — | — | 6,231 | — |
| 1-Month PLN WIBOR minus 0.010% | Total return on MSCI Poland Net Return PLN Index | Monthly | JPMorgan | 06/21/2023 | PLN | 539,383 | 2,662 | 297 | — | — | 2,959 | — |
| ESTR minus 0.017% | Total return on MSCI France net return EUR Index | Monthly | JPMorgan | 06/21/2023 | EUR | 1,508,104 | — | — | — | — | — | — |
| ESTR minus 0.005% | Total return on MSCI Netherlands Net Return EUR Index | Monthly | JPMorgan | 06/21/2023 | EUR | 3,505,691 | — | — | — | — | — | — |
| 1-Month CAD Canada Bankers’ Acceptances minus 0.009% | Total return on MSCI Canada Net Return CAD Index | Monthly | JPMorgan | 06/21/2023 | CAD | 1,776,798 | — | — | — | — | — | — |
| Total return on MSCI Mexico Net Return MXN Index | 28-Day MXN TIIE-Banxico plus 0.005% | Monthly | JPMorgan | 06/21/2023 | MXN | 256,279 | (156) | (28) | — | — | — | (184) |
| Total return on MSCI Spain Net Return EUR Index | ESTR minus 0.003% | Monthly | JPMorgan | 06/21/2023 | EUR | 107,918 | (1,107) | — | — | — | — | (1,107) |
| Total return on MSCI South Africa Net Return ZAR Index | 1-Month ZAR JIBAR plus 0.008% | Monthly | JPMorgan | 06/21/2023 | ZAR | 2,456,138 | (4,884) | (426) | — | — | — | (5,310) |
| ESTR minus 0.005% | Total return on MSCI Netherlands Net Return EUR Index | Monthly | JPMorgan | 06/21/2023 | EUR | 313,634 | (6,056) | 378 | — | — | — | (5,678) |
| ESTR minus 0.005% | Total return on MSCI Netherlands Net Return EUR Index | Monthly | JPMorgan | 06/21/2023 | EUR | 315,928 | (6,101) | 404 | — | — | — | (5,697) |
| Total return on MSCI South Africa Net Return ZAR Index | 1-Month ZAR JIBAR plus 0.008% | Monthly | JPMorgan | 06/21/2023 | ZAR | 3,389,519 | (6,741) | (587) | — | — | — | (7,328) |
| Total return on MSCI Spain Net Return EUR Index | ESTR minus 0.003% | Monthly | JPMorgan | 06/21/2023 | EUR | 586,668 | (7,655) | (55) | — | — | — | (7,710) |
| Total return on MSCI Spain Net Return EUR Index | ESTR minus 0.003% | Monthly | JPMorgan | 06/21/2023 | EUR | 570,199 | (7,663) | (107) | — | — | — | (7,770) |
The accompanying Notes to Consolidated Financial
Statements are an integral part of this statement.
| Columbia Multi Strategy Alternatives Fund | Annual Report 2023 | 31 |
Consolidated Portfolio of Investments (continued)
May 31, 2023
May 31, 2023
| 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 ($) | Unrealized depreciation ($) |
| Total return on MSCI South Africa Net Return ZAR Index | 1-Month ZAR JIBAR plus 0.008% | Monthly | JPMorgan | 06/21/2023 | ZAR | 4,148,492 | (8,250) | (719) | — | — | — | (8,969) |
| Total return on MSCI South Africa Net Return ZAR Index | 1-Month ZAR JIBAR plus 0.008% | Monthly | JPMorgan | 06/21/2023 | ZAR | 4,208,632 | (8,370) | (729) | — | — | — | (9,099) |
| Total return on MSCI South Africa Net Return ZAR Index | 1-Month ZAR JIBAR plus 0.008% | Monthly | JPMorgan | 06/21/2023 | ZAR | 4,385,445 | (8,722) | (760) | — | — | — | (9,482) |
| ESTR minus 0.005% | Total return on MSCI Netherlands Net Return EUR Index | Monthly | JPMorgan | 06/21/2023 | EUR | 562,628 | (10,864) | 678 | — | — | — | (10,186) |
| Total return on MSCI Spain Net Return EUR Index | ESTR minus 0.003% | Monthly | JPMorgan | 06/21/2023 | EUR | 565,241 | (11,402) | (808) | — | — | — | (12,210) |
| Total return on MSCI Italy Net Return EUR Index | ESTR minus 0.008% | Monthly | JPMorgan | 06/21/2023 | EUR | 317,187 | (12,010) | (396) | — | — | — | (12,406) |
| Total return on MSCI Spain Net Return EUR Index | ESTR minus 0.003% | Monthly | JPMorgan | 06/21/2023 | EUR | 608,551 | (12,275) | (564) | — | — | — | (12,839) |
| Total return on MSCI Spain Net Return EUR Index | ESTR minus 0.003% | Monthly | JPMorgan | 06/21/2023 | EUR | 637,518 | (17,052) | (477) | — | — | — | (17,529) |
| ESTR minus 0.005% | Total return on MSCI Netherlands Net Return EUR Index | Monthly | JPMorgan | 06/21/2023 | EUR | 1,010,130 | (19,507) | 1,218 | — | — | — | (18,289) |
| Total return on MSCI Spain Net Return EUR Index | ESTR minus 0.003% | Monthly | JPMorgan | 06/21/2023 | EUR | 595,436 | (18,881) | (390) | — | — | — | (19,271) |
| ESTR minus 0.005% | Total return on MSCI Netherlands Net Return EUR Index | Monthly | JPMorgan | 06/21/2023 | EUR | 1,185,306 | (22,889) | 1,500 | — | — | — | (21,389) |
| ESTR minus 0.005% | Total return on MSCI Netherlands Net Return EUR Index | Monthly | JPMorgan | 06/21/2023 | EUR | 2,482,295 | (47,935) | 3,174 | — | — | — | (44,761) |
| Total return on MSCI Italy Net Return EUR Index | ESTR minus 0.008% | Monthly | JPMorgan | 06/21/2023 | EUR | 6,872,061 | (260,220) | (10,076) | — | — | — | (270,296) |
| Total | (446,489) | (5,833) | — | — | 55,188 | (507,510) | ||||||
The accompanying Notes to
Consolidated Financial Statements are an integral part of this statement.
| 32 | Columbia Multi Strategy Alternatives Fund | Annual Report 2023 |
Consolidated Portfolio of Investments (continued)
May 31, 2023
May 31, 2023
| Total return swap contracts on futures | ||||||||
| Reference instrument* | Counterparty | Expiration date | Trading currency | Notional amount long(short) | Upfront payments ($) | Upfront receipts ($) | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
| DTOP Index Jun 23 | Goldman Sachs International | 06/2023 | ZAR | 1,513,920 | — | — | — | (5,214) |
| TAIEX Index Jun 23 | Goldman Sachs International | 06/2023 | TWD | 52,761,600 | — | — | 64,064 | — |
| WIG 20 Index Jun 23 | Goldman Sachs International | 06/2023 | PLN | (5,295,900) | — | — | — | (11,106) |
| Ibovespa Index Jun 23 | Morgan Stanley | 06/2023 | BRL | (53,106,376) | — | — | — | (242,284) |
| KOSPI 200 Index Jun 23 | Morgan Stanley | 06/2023 | KRW | (8,136,000,000) | — | — | — | (314,846) |
| Swiss Market Index Jun 23 | Morgan Stanley | 06/2023 | CHF | (2,692,560) | — | — | — | (199,717) |
| Ibovespa Index Jun 23 | Morgan Stanley International | 06/2023 | BRL | (10,359,560) | — | — | — | (36,722) |
| KOSPI 200 Index Jun 23 | Morgan Stanley International | 06/2023 | KRW | 4,407,000,000 | — | — | 142,372 | — |
| Swiss Market Index Jun 23 | Morgan Stanley International | 06/2023 | CHF | (12,004,330) | — | — | 274,347 | — |
| Total | — | — | 480,783 | (809,889) | ||||
| * | 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-Month CAD Canada Bankers’ Acceptances | Canada Bankers’ Acceptances | 4.721% |
| 1-Month PLN WIBOR | Warsaw Interbank Offer Rate | 6.850% |
| 1-Month ZAR JIBAR | Johannesburg Interbank Average Rate | 8.333% |
| 28-Day MXN TIIE-Banxico | Interbank Equilibrium Interest Rate | 11.497% |
| 3-Month AUD BBSW | Bank Bill Swap Rate | 3.982% |
| 3-Month NZD LIBOR | London Interbank Offered Rate | 5.690% |
| 3-Month SEK STIBOR | Stockholm Interbank Offered Rate | 3.705% |
| 6-Month AUD BBSW | Bank Bill Swap Rate | 4.170% |
| 6-Month EURIBOR | Euro Interbank Offered Rate | 3.746% |
| 6-Month NOK NIBOR | Norwegian Interbank Offered Rate | 4.370% |
| ESTR | Euro Short Term Rate | 3.144% |
| CORRA | Canadian Overnight Repo Rate Average | 4.500% |
| SOFR | Secured Overnight Financing Rate | 5.080% |
| SONIA | Sterling Overnight Index Average | 4.428% |
| SORA | Singapore Overnight Rate Average | 3.724% |
Notes to Consolidated 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 May 31, 2023, the total value of these securities amounted to $161,512,300, which represents 21.86% of total net assets. |
| (b) | Variable rate security. The interest rate shown was the current rate as of May 31, 2023. |
| (c) | Security represents a pool of loans that generate cash payments generally over fixed periods of time. Such securities entitle the security holders to receive distributions (i.e. principal and interest, net of fees and expenses) that are tied to the payments made by the borrower on the underlying loans. Due to the structure of the security the cash payments received are not known until the time of payment. The interest rate shown is the stated coupon rate as of May 31, 2023 and is not reflective of the cash flow payments. |
| (d) | Valuation based on significant unobservable inputs. |
The accompanying Notes to Consolidated Financial
Statements are an integral part of this statement.
| Columbia Multi Strategy Alternatives Fund | Annual Report 2023 | 33 |
Consolidated Portfolio of Investments (continued)
May 31, 2023
May 31, 2023
Notes to Consolidated Portfolio of
Investments (continued)
| (e) | Represents fair value as determined in good faith under procedures approved by the Board of Trustees. At May 31, 2023, the total value of these securities amounted to $7,201,445, which represents 0.97% of total net assets. |
| (f) | Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. The interest rate shown was the current rate as of May 31, 2023. |
| (g) | Represents interest only securities which have the right to receive the monthly interest payments on an underlying pool of mortgage loans. |
| (h) | Represents a security purchased on a when-issued basis. |
| (i) | This security or a portion of this security has been pledged as collateral in connection with derivative contracts. |
| (j) | The rate shown is the seven-day current annualized yield at May 31, 2023. |
| (k) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the year ended May 31, 2023 are as follows: |
| Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Realized gain (loss)($) | Dividends($) | End of period shares |
| Columbia Short-Term Cash Fund, 5.241% | ||||||||
| 325,728,447 | 867,469,360 | (887,815,657) | (9,506) | 305,372,644 | (31,686) | 11,362,489 | 305,525,407 | |
Abbreviation Legend
| CMO | Collateralized Mortgage Obligation |
| LIBOR | London Interbank Offered Rate |
| SOFR | Secured Overnight Financing Rate |
| TBA | To Be Announced |
Currency Legend
| AUD | Australian Dollar |
| BRL | Brazilian Real |
| CAD | Canada Dollar |
| CHF | Swiss Franc |
| CLP | Chilean Peso |
| CNH | Yuan Offshore Renminbi |
| COP | Colombian Peso |
| CZK | Czech Koruna |
| EUR | Euro |
| GBP | British Pound |
| HUF | Hungarian Forint |
| IDR | Indonesian Rupiah |
| ILS | Israeli Shekel |
| INR | Indian Rupee |
| JPY | Japanese Yen |
| KRW | South Korean Won |
| MXN | Mexican Peso |
| MYR | Malaysian Ringgit |
| NOK | Norwegian Krone |
| NZD | New Zealand Dollar |
| PHP | Philippine Peso |
| PLN | Polish Zloty |
| SEK | Swedish Krona |
| SGD | Singapore Dollar |
The accompanying Notes to Consolidated Financial
Statements are an integral part of this statement.
| 34 | Columbia Multi Strategy Alternatives Fund | Annual Report 2023 |
Consolidated Portfolio of Investments (continued)
May 31, 2023
May 31, 2023
Currency Legend (continued)
| THB | Thai Baht |
| TRY | Turkish Lira |
| TWD | New Taiwan Dollar |
| USD | US Dollar |
| ZAR | South African Rand |
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.
The Fund’s Board of Trustees
(the Board) has designated the Investment Manager, through its Valuation Committee (the Committee), as valuation designee, responsible for determining the fair value of the assets of the Fund for which market
quotations are not readily available using 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 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. Representatives of Columbia Management Investment
Advisers, LLC report to 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 May 31, 2023:
| Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | |
| Investments in Securities | ||||
| Asset-Backed Securities — Non-Agency | — | 28,971,320 | 3,583,903 | 32,555,223 |
| Commercial Mortgage-Backed Securities - Agency | — | 537,821 | — | 537,821 |
| Commercial Mortgage-Backed Securities - Non-Agency | — | 20,414,609 | — | 20,414,609 |
| Residential Mortgage-Backed Securities - Agency | — | 240,484,882 | — | 240,484,882 |
| Residential Mortgage-Backed Securities - Non-Agency | — | 100,550,369 | 11,685,826 | 112,236,195 |
| Treasury Bills | — | 156,925,886 | — | 156,925,886 |
| Call Option Contracts Purchased | — | 3,909,158 | — | 3,909,158 |
| Put Option Contracts Purchased | — | 281,120 | — | 281,120 |
| Money Market Funds | 305,372,644 | — | — | 305,372,644 |
| Total Investments in Securities | 305,372,644 | 552,075,165 | 15,269,729 | 872,717,538 |
| Investments in Derivatives |
The accompanying Notes to Consolidated Financial
Statements are an integral part of this statement.
| Columbia Multi Strategy Alternatives Fund | Annual Report 2023 | 35 |
Consolidated Portfolio of Investments (continued)
May 31, 2023
May 31, 2023
Fair value measurements (continued)
| Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | |
| Asset | ||||
| Forward Foreign Currency Exchange Contracts | — | 48,127,094 | — | 48,127,094 |
| Futures Contracts | 23,613,961 | — | — | 23,613,961 |
| Swap Contracts | — | 4,917,104 | — | 4,917,104 |
| Liability | ||||
| Forward Foreign Currency Exchange Contracts | — | (54,613,795) | — | (54,613,795) |
| Futures Contracts | (25,558,285) | — | — | (25,558,285) |
| Call Option Contracts Written | — | (231) | — | (231) |
| Put Option Contracts Written | — | (1,077,779) | — | (1,077,779) |
| Swap Contracts | — | (7,192,848) | — | (7,192,848) |
| Total | 303,428,320 | 542,234,710 | 15,269,729 | 860,932,759 |
See the Consolidated 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 05/31/2022 ($) | Increase (decrease) in accrued discounts/ premiums ($) | Realized gain (loss) ($) | Change in unrealized appreciation (depreciation)(a) ($) | Purchases ($) | Sales ($) | Transfers into Level 3 ($) | Transfers out of Level 3 ($) | Balance as of 05/31/2023 ($) | |
| Asset-Backed Securities — Non-Agency | 11,283,627 | (8,962,254) | (21,249) | 4,386,323 | 1,286,896 | (4,389,440) | — | — | 3,583,903 |
| Residential Mortgage-Backed Securities — Non-Agency | 12,074,645 | 22,067 | 3 | (23,663) | 5,649,375 | (6,036,601) | — | — | 11,685,826 |
| Total | 23,358,272 | (8,940,187) | (21,246) | 4,362,660 | 6,936,271 | (10,426,041) | — | — | 15,269,729 |
(a) Change in unrealized
appreciation (depreciation) relating to securities held at May 31, 2023 was $3,173,498 which is comprised of Asset-Backed Securities — Non-Agency of $3,205,106 and Residential Mortgage-Backed Securities —
Non-Agency of $(31,608).
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 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.
The accompanying Notes to Consolidated Financial
Statements are an integral part of this statement.
| 36 | Columbia Multi Strategy Alternatives Fund | Annual Report 2023 |
Consolidated Statement of Assets and
Liabilities
May 31, 2023
May 31, 2023
| Assets | |
| Investments in securities, at value | |
| Unaffiliated issuers (cost $586,806,032) | $563,154,616 |
| Affiliated issuers (cost $305,423,141) | 305,372,644 |
| Option contracts purchased (cost $6,595,500) | 4,190,278 |
| Cash | 6,347,893 |
| Foreign currency (cost $7,080,662) | 7,014,819 |
| Cash collateral held at broker for: | |
| Forward foreign currency exchange contracts | 2,160,000 |
| Swap contracts | 6,710,000 |
| TBA | 4,253,000 |
| Other(a) | 4,660,000 |
| Margin deposits on: | |
| Futures contracts | 52,561,182 |
| Swap contracts | 5,613,349 |
| Unrealized appreciation on forward foreign currency exchange contracts | 48,127,094 |
| Unrealized appreciation on swap contracts | 535,971 |
| Receivable for: | |
| Investments sold | 4,364,541 |
| Capital shares sold | 370,825 |
| Dividends | 1,333,229 |
| Interest | 1,217,902 |
| Variation margin for futures contracts | 6,853,090 |
| Variation margin for swap contracts | 2,519,580 |
| Expense reimbursement due from Investment Manager | 3,048 |
| Prepaid expenses | 4,814 |
| Trustees’ deferred compensation plan | 64,724 |
| Total assets | 1,027,432,599 |
| Liabilities | |
| Option contracts written, at value (premiums received $1,000,875) | 1,078,010 |
| Unrealized depreciation on forward foreign currency exchange contracts | 54,613,795 |
| Unrealized depreciation on swap contracts | 3,053,862 |
| Upfront receipts on swap contracts | 2,255,101 |
| Cash collateral due to broker for: | |
| Swap contracts | 430,000 |
| Payable for: | |
| Investments purchased | 3,812,184 |
| Investments purchased on a delayed delivery basis | 208,385,462 |
| Capital shares purchased | 1,200,338 |
| Variation margin for futures contracts | 8,995,551 |
| Variation margin for swap contracts | 4,350,418 |
| Management services fees | 19,424 |
| Distribution and/or service fees | 204 |
| Transfer agent fees | 88,574 |
| Compensation of board members | 22,524 |
| Other expenses | 91,480 |
| Trustees’ deferred compensation plan | 64,724 |
| Other liabilities | 67,155 |
| Total liabilities | 288,528,806 |
| Net assets applicable to outstanding capital stock | $738,903,793 |
| Represented by | |
| Paid in capital | 897,890,840 |
| Total distributable earnings (loss) | (158,987,047) |
| Total - representing net assets applicable to outstanding capital stock | $738,903,793 |
The accompanying Notes to Consolidated Financial
Statements are an integral part of this statement.
| Columbia Multi Strategy Alternatives Fund | Annual Report 2023 | 37 |
Consolidated Statement of Assets and
Liabilities (continued)
May 31, 2023
May 31, 2023
| Class A | |
| Net assets | $4,979,782 |
| Shares outstanding | 181,364 |
| Net asset value per share | $27.46 |
| 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) | $29.14 |
| Advisor Class | |
| Net assets | $1,449,123 |
| Shares outstanding | 52,095 |
| Net asset value per share | $27.82 |
| Class C | |
| Net assets | $6,190,959 |
| Shares outstanding | 234,348 |
| Net asset value per share | $26.42 |
| Institutional Class | |
| Net assets | $725,844,678 |
| Shares outstanding | 26,153,243 |
| Net asset value per share | $27.75 |
| Institutional 2 Class | |
| Net assets | $425,474 |
| Shares outstanding | 15,255 |
| Net asset value per share | $27.89 |
| Institutional 3 Class | |
| Net assets | $6,997 |
| Shares outstanding | 250 |
| Net asset value per share | $27.99 |
| Class R | |
| Net assets | $6,780 |
| Shares outstanding | 250 |
| Net asset value per share | $27.12 |
| (a) | Includes collateral related to option contracts purchased, option contracts written and swap contracts. |
The accompanying Notes to Consolidated Financial
Statements are an integral part of this statement.
| 38 | Columbia Multi Strategy Alternatives Fund | Annual Report 2023 |
Consolidated Statement of Operations
Year Ended May 31, 2023
Year Ended May 31, 2023
| Net investment income | |
| Income: | |
| Dividends — unaffiliated issuers | $333,247 |
| Dividends — affiliated issuers | 11,362,489 |
| Interest | 22,472,366 |
| Interfund lending | 6,038 |
| Total income | 34,174,140 |
| Expenses: | |
| Management services fees | 7,526,102 |
| Distribution and/or service fees | |
| Class A | 9,802 |
| Class C | 129,912 |
| Class R | 34 |
| Transfer agent fees | |
| Class A | 5,145 |
| Advisor Class | 1,345 |
| Class C | 16,741 |
| Institutional Class | 993,111 |
| Institutional 2 Class | 398 |
| Institutional 3 Class | 3 |
| Class R | 8 |
| Compensation of board members | 28,295 |
| Custodian fees | 132,382 |
| Printing and postage fees | 94,050 |
| Registration fees | 142,437 |
| Accounting services fees | 50,490 |
| Legal fees | 22,996 |
| Interest on collateral | 339,040 |
| Compensation of chief compliance officer | 146 |
| Other | 34,842 |
| Total expenses | 9,527,279 |
| Fees waived or expenses reimbursed by Investment Manager and its affiliates | (1,037,096) |
| Expense reduction | (20) |
| Total net expenses | 8,490,163 |
| Net investment income | 25,683,977 |
The accompanying Notes to Consolidated Financial
Statements are an integral part of this statement.
| Columbia Multi Strategy Alternatives Fund | Annual Report 2023 | 39 |
Consolidated Statement of Operations (continued)
Year Ended May 31, 2023
Year Ended May 31, 2023
| Realized and unrealized gain (loss) — net | |
| Net realized gain (loss) on: | |
| Investments — unaffiliated issuers | $(2,837,261) |
| Investments — affiliated issuers | (31,686) |
| Foreign currency translations | (2,258,708) |
| Forward foreign currency exchange contracts | 10,309,157 |
| Futures contracts | 724,135 |
| Option contracts purchased | (1,301,509) |
| Option contracts written | (2,252,288) |
| Swap contracts | (4,065,533) |
| Net realized loss | (1,713,693) |
| Net change in unrealized appreciation (depreciation) on: | |
| Investments — unaffiliated issuers | (11,921,942) |
| Investments — affiliated issuers | (9,506) |
| Foreign currency translations | (198,215) |
| Forward sale commitments | 726,562 |
| Forward foreign currency exchange contracts | (14,244,110) |
| Futures contracts | (7,758,566) |
| Option contracts purchased | (2,066,592) |
| Option contracts written | 3,068,327 |
| Swap contracts | (99,501) |
| Net change in unrealized appreciation (depreciation) | (32,503,543) |
| Net realized and unrealized loss | (34,217,236) |
| Net decrease in net assets resulting from operations | $(8,533,259) |
The accompanying Notes to
Consolidated Financial Statements are an integral part of this statement.
| 40 | Columbia Multi Strategy Alternatives Fund | Annual Report 2023 |
Consolidated Statement of Changes in Net
Assets
| Year Ended May 31, 2023 | Year Ended May 31, 2022 | |
| Operations | ||
| Net investment income | $25,683,977 | $10,042,916 |
| Net realized loss | (1,713,693) | (18,255,016) |
| Net change in unrealized appreciation (depreciation) | (32,503,543) | (19,304,538) |
| Net decrease in net assets resulting from operations | (8,533,259) | (27,516,638) |
| Distributions to shareholders | ||
| Net investment income and net realized gains | ||
| Class A | (26,674) | (36,833) |
| Advisor Class | (11,736) | (7,417) |
| Class C | — | (1,331) |
| Institutional Class | (5,902,262) | (19,479,617) |
| Institutional 2 Class | (4,687) | (16,578) |
| Institutional 3 Class | (63) | (176) |
| Class R | (21) | (132) |
| Total distributions to shareholders | (5,945,443) | (19,542,084) |
| Increase (decrease) in net assets from capital stock activity | (53,236,488) | 44,080,394 |
| Total decrease in net assets | (67,715,190) | (2,978,328) |
| Net assets at beginning of year | 806,618,983 | 809,597,311 |
| Net assets at end of year | $738,903,793 | $806,618,983 |
The accompanying Notes to
Consolidated Financial Statements are an integral part of this statement.
| Columbia Multi Strategy Alternatives Fund | Annual Report 2023 | 41 |
Consolidated Statement of Changes in Net
Assets (continued)
| Year Ended | Year Ended | |||
| May 31, 2023 | May 31, 2022 | |||
| Shares | Dollars ($) | Shares | Dollars ($) | |
| Capital stock activity | ||||
| Class A | ||||
| Subscriptions | 135,677 | 3,821,407 | 32,274 | 917,058 |
| Distributions reinvested | 956 | 26,635 | 1,319 | 36,684 |
| Redemptions | (31,633) | (886,353) | (15,870) | (452,919) |
| Net increase | 105,000 | 2,961,689 | 17,723 | 500,823 |
| Advisor Class | ||||
| Subscriptions | 44,369 | 1,270,112 | 21,107 | 632,532 |
| Distributions reinvested | 414 | 11,680 | 257 | 7,231 |
| Redemptions | (3,897) | (110,606) | (17,689) | (523,259) |
| Net increase | 40,886 | 1,171,186 | 3,675 | 116,504 |
| Class C | ||||
| Subscriptions | 246,693 | 6,652,400 | 480,979 | 13,056,328 |
| Distributions reinvested | — | — | 46 | 1,237 |
| Redemptions | (489,109) | (13,101,135) | (8,252) | (224,277) |
| Net increase (decrease) | (242,416) | (6,448,735) | 472,773 | 12,833,288 |
| Institutional Class | ||||
| Subscriptions | 5,650,727 | 159,865,346 | 7,526,146 | 219,144,305 |
| Distributions reinvested | 209,871 | 5,901,570 | 693,364 | 19,476,610 |
| Redemptions | (7,644,047) | (216,457,033) | (7,193,911) | (207,819,869) |
| Net increase (decrease) | (1,783,449) | (50,690,117) | 1,025,599 | 30,801,046 |
| Institutional 2 Class | ||||
| Subscriptions | — | — | 4,876 | 144,203 |
| Distributions reinvested | 164 | 4,627 | 581 | 16,407 |
| Redemptions | (8,284) | (235,138) | (11,164) | (331,877) |
| Net decrease | (8,120) | (230,511) | (5,707) | (171,267) |
| Total net increase (decrease) | (1,888,099) | (53,236,488) | 1,514,063 | 44,080,394 |
The accompanying Notes to Consolidated Financial
Statements are an integral part of this statement.
| 42 | Columbia Multi Strategy Alternatives Fund | Annual Report 2023 |
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| Columbia Multi Strategy Alternatives Fund | Annual Report 2023 | 43 |
Consolidated 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 ratios of expenses and net investment income are 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 | Total distributions to shareholders | |
| Class A | ||||||
| Year Ended 5/31/2023 | $28.00 | 0.98 | (1.36) | (0.38) | (0.16) | (0.16) |
| Year Ended 5/31/2022 | $29.65 | 0.47 | (1.52) | (1.05) | (0.60) | (0.60) |
| Year Ended 5/31/2021(e) | $27.84 | 0.19 | 1.62 | 1.81 | — | — |
| Year Ended 5/31/2020(e) | $29.79 | 0.28 | (2.23) | (1.95) | — | — |
| Year Ended 5/31/2019(e) | $34.63 | 0.32 | (5.16) | (4.84) | — | — |
| Advisor Class | ||||||
| Year Ended 5/31/2023 | $28.35 | 1.14 | (1.45) | (0.31) | (0.22) | (0.22) |
| Year Ended 5/31/2022 | $30.03 | 0.20 | (1.21) | (1.01) | (0.67) | (0.67) |
| Year Ended 5/31/2021(e) | $28.12 | 0.28 | 1.63 | 1.91 | — | — |
| Year Ended 5/31/2020(e) | $30.01 | 0.32 | (2.21) | (1.89) | — | — |
| Year Ended 5/31/2019(e) | $34.78 | 0.36 | (5.13) | (4.77) | — | — |
| Class C | ||||||
| Year Ended 5/31/2023 | $26.99 | 0.50 | (1.07) | (0.57) | — | — |
| Year Ended 5/31/2022 | $28.59 | 6.57 | (7.80) | (1.23) | (0.37) | (0.37) |
| Year Ended 5/31/2021(e) | $27.05 | (0.04) | 1.58 | 1.54 | — | — |
| Year Ended 5/31/2020(e) | $29.16 | 0.04 | (2.15) | (2.11) | — | — |
| Year Ended 5/31/2019(e) | $34.15 | 0.08 | (5.07) | (4.99) | — | — |
| Institutional Class | ||||||
| Year Ended 5/31/2023 | $28.30 | 0.93 | (1.25) | (0.32) | (0.23) | (0.23) |
| Year Ended 5/31/2022 | $29.97 | 0.34 | (1.34) | (1.00) | (0.67) | (0.67) |
| Year Ended 5/31/2021(e) | $28.07 | 0.28 | 1.62 | 1.90 | — | — |
| Year Ended 5/31/2020(e) | $29.96 | 0.32 | (2.21) | (1.89) | — | — |
| Year Ended 5/31/2019(e) | $34.73 | 0.40 | (5.17) | (4.77) | — | — |
| Institutional 2 Class | ||||||
| Year Ended 5/31/2023 | $28.44 | 0.89 | (1.20) | (0.31) | (0.24) | (0.24) |
| Year Ended 5/31/2022 | $30.12 | 0.33 | (1.33) | (1.00) | (0.68) | (0.68) |
| Year Ended 5/31/2021(e) | $28.19 | 0.34 | 1.59 | 1.93 | — | — |
| Year Ended 5/31/2020(e) | $30.07 | 0.40 | (2.28) | (1.88) | — | — |
| Year Ended 5/31/2019(e) | $34.84 | 0.44 | (5.21) | (4.77) | — | — |
The accompanying Notes to
Consolidated Financial Statements are an integral part of this statement.
| 44 | Columbia Multi Strategy Alternatives Fund | Annual Report 2023 |
Consolidated 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 | |||||||
| Year Ended 5/31/2023 | $27.46 | (1.38%) | 1.46%(c) | 1.32%(c),(d) | 3.54% | 660% | $4,980 |
| Year Ended 5/31/2022 | $28.00 | (3.54%) | 1.42%(c) | 1.30%(c),(d) | 1.62% | 352% | $2,138 |
| Year Ended 5/31/2021(e) | $29.65 | 6.50% | 1.40%(c),(f) | 1.27%(c),(f) | 0.66% | 555% | $1,739 |
| Year Ended 5/31/2020(e) | $27.84 | (6.58%) | 1.42%(c),(f) | 1.25%(c),(f) | 0.94% | 789% | $2,125 |
| Year Ended 5/31/2019(e) | $29.79 | (13.97%) | 1.45%(c) | 1.24%(c) | 0.98% | 0% | $3,103 |
| Advisor Class | |||||||
| Year Ended 5/31/2023 | $27.82 | (1.09%) | 1.22%(c) | 1.07%(c),(d) | 4.05% | 660% | $1,449 |
| Year Ended 5/31/2022 | $28.35 | (3.34%) | 1.16%(c) | 1.05%(c),(d) | 0.66% | 352% | $318 |
| Year Ended 5/31/2021(e) | $30.03 | 6.79% | 1.16%(c),(f) | 1.02%(c),(f) | 0.97% | 555% | $226 |
| Year Ended 5/31/2020(e) | $28.12 | (6.27%) | 1.17%(c),(f) | 0.99%(c),(f) | 1.15% | 789% | $133 |
| Year Ended 5/31/2019(e) | $30.01 | (13.79%) | 1.20%(c) | 1.01%(c) | 1.07% | 0% | $216 |
| Class C | |||||||
| Year Ended 5/31/2023 | $26.42 | (2.11%) | 2.19%(c) | 2.06%(c),(d) | 1.84% | 660% | $6,191 |
| Year Ended 5/31/2022 | $26.99 | (4.29%) | 2.17%(c) | 2.06%(c),(d) | 24.79% | 352% | $12,869 |
| Year Ended 5/31/2021(e) | $28.59 | 5.73% | 2.15%(c),(f) | 2.02%(c),(f) | (0.14%) | 555% | $114 |
| Year Ended 5/31/2020(e) | $27.05 | (7.27%) | 2.17%(c),(f) | 1.99%(c),(f) | 0.21% | 789% | $220 |
| Year Ended 5/31/2019(e) | $29.16 | (14.64%) | 2.20%(c) | 1.99%(c) | 0.22% | 0% | $493 |
| Institutional Class | |||||||
| Year Ended 5/31/2023 | $27.75 | (1.15%) | 1.20%(c) | 1.06%(c),(d) | 3.29% | 660% | $725,845 |
| Year Ended 5/31/2022 | $28.30 | (3.32%) | 1.17%(c) | 1.05%(c),(d) | 1.15% | 352% | $790,615 |
| Year Ended 5/31/2021(e) | $29.97 | 6.73% | 1.16%(c),(f) | 1.02%(c),(f) | 0.95% | 555% | $806,627 |
| Year Ended 5/31/2020(e) | $28.07 | (6.28%) | 1.17%(c),(f) | 1.00%(c),(f) | 1.17% | 789% | $614,500 |
| Year Ended 5/31/2019(e) | $29.96 | (13.71%) | 1.20%(c) | 0.99%(c) | 1.23% | 0% | $587,203 |
| Institutional 2 Class | |||||||
| Year Ended 5/31/2023 | $27.89 | (1.11%) | 1.13%(c) | 1.02%(c) | 3.12% | 660% | $425 |
| Year Ended 5/31/2022 | $28.44 | (3.29%) | 1.12%(c) | 1.01%(c) | 1.11% | 352% | $665 |
| Year Ended 5/31/2021(e) | $30.12 | 6.81% | 1.11%(c),(f) | 0.98%(c),(f) | 1.14% | 555% | $876 |
| Year Ended 5/31/2020(e) | $28.19 | (6.25%) | 1.10%(c),(f) | 0.92%(c),(f) | 1.28% | 789% | $124 |
| Year Ended 5/31/2019(e) | $30.07 | (13.66%) | 1.11%(c) | 0.90%(c) | 1.32% | 0% | $667 |
The accompanying Notes to
Consolidated Financial Statements are an integral part of this statement.
| Columbia Multi Strategy Alternatives Fund | Annual Report 2023 | 45 |
Consolidated 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 | Total distributions to shareholders | |
| Institutional 3 Class | ||||||
| Year Ended 5/31/2023 | $28.54 | 0.98 | (1.28) | (0.30) | (0.25) | (0.25) |
| Year Ended 5/31/2022 | $30.22 | 0.39 | (1.37) | (0.98) | (0.70) | (0.70) |
| Year Ended 5/31/2021(e) | $28.27 | 0.23 | 1.72 | 1.95 | — | — |
| Year Ended 5/31/2020(e) | $30.14 | 0.36 | (2.23) | (1.87) | — | — |
| Year Ended 5/31/2019(e) | $34.89 | 0.44 | (5.19) | (4.75) | — | — |
| Class R | ||||||
| Year Ended 5/31/2023 | $27.65 | 0.79 | (1.23) | (0.44) | (0.09) | (0.09) |
| Year Ended 5/31/2022 | $29.30 | 0.21 | (1.33) | (1.12) | (0.53) | (0.53) |
| Year Ended 5/31/2021(e) | $27.57 | 0.13 | 1.60 | 1.73 | — | — |
| Year Ended 5/31/2020(e) | $29.56 | 0.20 | (2.19) | (1.99) | — | — |
| Year Ended 5/31/2019(e) | $34.44 | 0.24 | (5.12) | (4.88) | — | — |
| Notes to Consolidated 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) | Ratios include interest on collateral expense. For the periods indicated below, if interest on collateral expense had been excluded, expenses would have been lower by: |
| Class | 5/31/2023 | 5/31/2022 | 5/31/2021 | 5/31/2020 | 5/31/2019 |
| Class A | 0.05% | 0.04% | 0.01% | 0.01% | 0.02% |
| Advisor Class | 0.05% | 0.04% | 0.01% | 0.01% | 0.02% |
| Class C | 0.04% | 0.04% | 0.01% | 0.01% | 0.02% |
| Institutional Class | 0.04% | 0.04% | 0.01% | 0.01% | 0.02% |
| Institutional 2 Class | 0.04% | 0.04% | 0.01% | 0.01% | 0.02% |
| Institutional 3 Class | 0.04% | 0.04% | less than 0.01% | 0.01% | 0.02% |
| Class R | 0.04% | 0.04% | 0.01% | 0.01% | 0.02% |
| (d) | The benefits derived from expense reductions had an impact of less than 0.01%. |
| (e) | 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. |
| (f) | Ratios include line of credit interest expense which is less than 0.01%. |
The accompanying Notes to
Consolidated Financial Statements are an integral part of this statement.
| 46 | Columbia Multi Strategy Alternatives Fund | Annual Report 2023 |
Consolidated 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 | |||||||
| Year Ended 5/31/2023 | $27.99 | (1.05%) | 1.08%(c) | 0.97%(c) | 3.43% | 660% | $7 |
| Year Ended 5/31/2022 | $28.54 | (3.21%) | 1.07%(c) | 0.96%(c) | 1.32% | 352% | $7 |
| Year Ended 5/31/2021(e) | $30.22 | 6.86% | 1.03%(c),(f) | 0.90%(c),(f) | 0.79% | 555% | $8 |
| Year Ended 5/31/2020(e) | $28.27 | (6.11%) | 1.05%(c),(f) | 0.88%(c),(f) | 1.30% | 789% | $14,960 |
| Year Ended 5/31/2019(e) | $30.14 | (13.65%) | 1.06%(c) | 0.84%(c) | 1.38% | 0% | $17,670 |
| Class R | |||||||
| Year Ended 5/31/2023 | $27.12 | (1.61%) | 1.66%(c) | 1.55%(c),(d) | 2.85% | 660% | $7 |
| Year Ended 5/31/2022 | $27.65 | (3.83%) | 1.66%(c) | 1.55%(c),(d) | 0.74% | 352% | $7 |
| Year Ended 5/31/2021(e) | $29.30 | 6.31% | 1.63%(c),(f) | 1.51%(c),(f) | 0.45% | 555% | $7 |
| Year Ended 5/31/2020(e) | $27.57 | (6.77%) | 1.63%(c),(f) | 1.47%(c),(f) | 0.71% | 789% | $7 |
| Year Ended 5/31/2019(e) | $29.56 | (14.17%) | 1.69%(c) | 1.48%(c) | 0.75% | 0% | $7 |
The accompanying Notes to Consolidated Financial
Statements are an integral part of this statement.
| Columbia Multi Strategy Alternatives Fund | Annual Report 2023 | 47 |
Notes to Consolidated Financial
Statements
May 31, 2023
May 31, 2023
Note 1. Organization
Columbia Multi Strategy
Alternatives 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.
Basis for consolidation
CMSAF1 Offshore Fund, Ltd., CMSAF2
Offshore Fund, Ltd. and CMSAF3 Offshore Fund, Ltd. (each, a Subsidiary) are each a Cayman Islands exempted company and wholly-owned subsidiary of the Fund. Each Subsidiary acts as an investment vehicle in order to
effect certain investment strategies consistent with the Fund’s investment objective and policies as stated in its current prospectus and statement of additional information. In accordance with the Memorandum
and Articles of Association of each Subsidiary (the Articles), the Fund owns the sole issued share of each Subsidiary and retains all rights associated with such share, including the right to receive notice of, attend
and vote at general meetings of the Subsidiaries, rights in a winding-up or repayment of capital and the right to participate in the profits or assets of the Subsidiaries. The consolidated financial statements
(financial statements) include the accounts of the consolidated Fund and each respective Subsidiary. Subsequent references to the Fund within the Notes to Consolidated Financial Statements collectively refer to the
Fund and each Subsidiary. All intercompany transactions and balances have been eliminated in the consolidation process.
At May 31, 2023, the Subsidiary
financial statement information is as follows:
| CMSAF1 Offshore Fund, Ltd. | CMSAF2 Offshore Fund, Ltd. | CMSAF3 Offshore Fund, Ltd. | |
| % of consolidated fund net assets | 1.85% | 5.77% | 2.91% |
| Net assets | $13,692,693 | $42,670,340 | $21,471,760 |
| Net investment income (loss) | 4,564 | 1,108,450 | 693,136 |
| Net realized gain (loss) | 264,205 | 2,038,349 | 1,530,908 |
| Net change in unrealized appreciation (depreciation) | (1,141,324) | 2,701,273 | (1,008,397) |
The financial statements present
the portfolio holdings, financial position and results of operations of the Fund and the Subsidiaries on a consolidated basis.
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 Consolidated 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 8 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.
| 48 | Columbia Multi Strategy Alternatives Fund | Annual Report 2023 |
Notes to Consolidated Financial
Statements (continued)
May 31, 2023
May 31, 2023
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 based on prices obtained from pricing services, which are intended to reflect 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.
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
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 Consolidated 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
| Columbia Multi Strategy Alternatives Fund | Annual Report 2023 | 49 |
Notes to Consolidated Financial
Statements (continued)
May 31, 2023
May 31, 2023
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 Consolidated 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 Consolidated 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, failure of the clearinghouse or CCP may pose additional counterparty credit risk. 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 and such shortfall is remedied by the CCP or otherwise, 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 instruments’ 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
| 50 | Columbia Multi Strategy Alternatives Fund | Annual Report 2023 |
Notes to Consolidated Financial
Statements (continued)
May 31, 2023
May 31, 2023
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 or receive interest income on cash collateral pledged to the broker. 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 Consolidated 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 investment exposure from one currency to another and to generate total return through long and short positions versus the U.S. dollar. 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 Consolidated 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, to manage exposure to the securities market, to manage exposure to the commodities market and to
generate total return through long and short positions. 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 Consolidated Statement of Assets and Liabilities as margin deposits. Securities deposited as
initial margin are designated in the Consolidated 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 generally expects to earn interest income on its
| Columbia Multi Strategy Alternatives Fund | Annual Report 2023 | 51 |
Notes to Consolidated Financial
Statements (continued)
May 31, 2023
May 31, 2023
margin deposits. 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 Consolidated 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. 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 Consolidated 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 Consolidated Statement of Assets and Liabilities. Gain or loss is recognized in the Consolidated 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 Consolidated 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 Consolidated 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 Consolidated Statement of Operations.
| 52 | Columbia Multi Strategy Alternatives Fund | Annual Report 2023 |
Notes to Consolidated Financial
Statements (continued)
May 31, 2023
May 31, 2023
Swap contracts
Swap contracts are negotiated in
the over-the-counter market and are entered into bilaterally 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 Consolidated Portfolio of Investments and cash deposited is recorded in the Consolidated 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
Consolidated 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 Consolidated 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 bilateral counterparty, FCM or CCP, as applicable, 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 Consolidated Portfolio of Investments.
| Columbia Multi Strategy Alternatives Fund | Annual Report 2023 | 53 |
Notes to Consolidated Financial
Statements (continued)
May 31, 2023
May 31, 2023
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 payment or receipt 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 Consolidated 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.
Interest rate and inflation rate swap
contracts
The Fund entered into interest rate
swap transactions and/or inflation rate swap contracts to manage interest rate and market risk exposure to produce incremental earnings, to gain exposure to or protect itself from market rate changes, to synthetically
add or subtract principal exposure to a market and to manage long or short exposure to the total return on a reference index in return for periodic payments based on a fixed or variable interest rate. These
instruments may be used for other purposes in future periods. An interest rate swap or inflation rate swap, as applicable, 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.
Total return swap contracts
The Fund entered into total return
swap contracts to manage long or short exposure to the total return on a reference security index 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. This risk may be offset if the Fund holds any of the underlying reference security, instrument or asset. Total return swap contracts are subject to the risk that the counterparty may not fulfill its obligations
under the contract. This risk is offset by the daily exchange of variation margin with the swap counterparty.
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
Consolidated Statement of Assets and Liabilities; and the impact of derivative transactions over the period in the Consolidated Statement
| 54 | Columbia Multi Strategy Alternatives Fund | Annual Report 2023 |
Notes to Consolidated Financial
Statements (continued)
May 31, 2023
May 31, 2023
of Operations, including realized and unrealized
gains (losses). The derivative instrument schedules following the Consolidated 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 May 31, 2023:
| Asset derivatives | ||
| Risk exposure category | Consolidated statement of assets and liabilities location | Fair value ($) |
| Equity risk | Component of total distributable earnings (loss) — unrealized appreciation on futures contracts | 3,672,782* |
| Equity risk | Component of total distributable earnings (loss) — unrealized appreciation on swap contracts | 535,971* |
| Foreign exchange risk | Unrealized appreciation on forward foreign currency exchange contracts | 48,127,094 |
| Interest rate risk | Component of total distributable earnings (loss) — unrealized appreciation on futures contracts | 3,627,246* |
| Interest rate risk | Investments, at value — Option contracts purchased | 4,190,278 |
| Interest rate risk | Component of total distributable earnings (loss) — unrealized appreciation on swap contracts | 4,381,133* |
| Commodity-related investment risk | Component of total distributable earnings (loss) — unrealized appreciation on futures contracts | 16,313,933* |
| Total | 80,848,437 |
| Liability derivatives | ||
| Risk exposure category | Consolidated statement of assets and liabilities location | Fair value ($) |
| Credit risk | Component of total distributable earnings (loss) — unrealized depreciation on swap contracts | 1,780,580* |
| Credit risk | Upfront receipts on swap contracts | 2,255,101 |
| Equity risk | Component of total distributable earnings (loss) — unrealized depreciation on futures contracts | 7,932,705* |
| Equity risk | Component of total distributable earnings (loss) — unrealized depreciation on swap contracts | 1,317,399* |
| Foreign exchange risk | Unrealized depreciation on forward foreign currency exchange contracts | 54,613,795 |
| Interest rate risk | Component of total distributable earnings (loss) — unrealized depreciation on futures contracts | 4,240,312* |
| Interest rate risk | Option contracts written, at value | 1,078,010 |
| Interest rate risk | Component of total distributable earnings (loss) — unrealized depreciation on swap contracts | 4,094,869* |
| Commodity-related investment risk | Component of total distributable earnings (loss) — unrealized depreciation on futures contracts | 13,385,268* |
| Total | 90,698,039 |
| * | Includes cumulative appreciation (depreciation) as reported in the tables following the Consolidated Portfolio of Investments. Only the current day’s variation margin for futures and centrally cleared swaps, if any, is reported in receivables or payables in the Consolidated Statement of Assets and Liabilities. |
| Columbia Multi Strategy Alternatives Fund | Annual Report 2023 | 55 |
Notes to Consolidated Financial
Statements (continued)
May 31, 2023
May 31, 2023
The following table indicates the
effect of derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) in the Consolidated Statement of Operations for the year ended May 31, 2023:
| Amount of realized gain (loss) on derivatives recognized in income | ||||||
| Risk exposure category | Forward foreign currency exchange contracts ($) | Futures contracts ($) | Option contracts purchased ($) | Option contracts written ($) | Swap contracts ($) | Total ($) |
| Commodity-related investment risk | — | 4,100,730 | — | — | — | 4,100,730 |
| Credit risk | — | — | — | — | (2,361,385) | (2,361,385) |
| Equity risk | — | 3,900,415 | — | — | (4,194,048) | (293,633) |
| Foreign exchange risk | 10,309,157 | — | — | — | — | 10,309,157 |
| Interest rate risk | — | (7,277,010) | (1,301,509) | (2,252,288) | 2,489,900 | (8,340,907) |
| Total | 10,309,157 | 724,135 | (1,301,509) | (2,252,288) | (4,065,533) | 3,413,962 |
| Change in unrealized appreciation (depreciation) on derivatives recognized in income | ||||||
| Risk exposure category | Forward foreign currency exchange contracts ($) | Futures contracts ($) | Option contracts purchased ($) | Option contracts written ($) | Swap contracts ($) | Total ($) |
| Commodity-related investment risk | — | 399,645 | — | — | — | 399,645 |
| Credit risk | — | — | — | — | (2,414,456) | (2,414,456) |
| Equity risk | — | (10,344,086) | — | — | (1,354,869) | (11,698,955) |
| Foreign exchange risk | (14,244,110) | — | — | — | — | (14,244,110) |
| Interest rate risk | — | 2,185,875 | (2,066,592) | 3,068,327 | 3,669,824 | 6,857,434 |
| Total | (14,244,110) | (7,758,566) | (2,066,592) | 3,068,327 | (99,501) | (21,100,442) |
The following table is a summary
of the average outstanding volume by derivative instrument for the year ended May 31, 2023:
| Derivative instrument | Average notional amounts ($)* |
| Futures contracts — long | 788,418,900 |
| Futures contracts — short | 1,066,963,491 |
| Credit default swap contracts — buy protection | 16,087,500 |
| Credit default swap contracts — sell protection | 22,637,500 |
| Derivative instrument | Average value ($)* |
| Option contracts purchased | 3,969,630 |
| Option contracts written | (1,263,923) |
| Derivative instrument | Average unrealized appreciation ($)* | Average unrealized depreciation ($)* |
| Forward foreign currency exchange contracts | 52,607,046 | (53,339,313) |
| Interest rate swap contracts | 8,569,172 | (8,993,116) |
| Total return swap contracts | 518,119 | (1,096,778) |
| * | Based on the ending quarterly outstanding amounts for the year ended May 31, 2023. |
| 56 | Columbia Multi Strategy Alternatives Fund | Annual Report 2023 |
Notes to Consolidated Financial
Statements (continued)
May 31, 2023
May 31, 2023
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. These transactions may increase the Fund’s portfolio turnover rate. During the roll period, the Fund loses the right to receive principal and interest paid on the
securities sold. However, the Fund may 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 may
diminish the investment performance of the Fund compared to what the performance would have been without the use of mortgage dollar rolls. 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. 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. The Fund does not currently enter into mortgage dollar rolls that are accounted for as financing
transactions.
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 in the Consolidated 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 in the Consolidated 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
| Columbia Multi Strategy Alternatives Fund | Annual Report 2023 | 57 |
Notes to Consolidated Financial
Statements (continued)
May 31, 2023
May 31, 2023
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.
| 58 | Columbia Multi Strategy Alternatives Fund | Annual Report 2023 |
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 May 31, 2023:
| Barclays ($) | Citi ($)(a) | Citi ($)(a) | Goldman Sachs International ($)(a) | Goldman Sachs International ($)(a) | HSBC ($) | JPMorgan ($)(a) | JPMorgan ($)(a) | JPMorgan ($)(a) | Morgan Stanley ($)(a) | Morgan Stanley ($)(a) | Morgan Stanley ($)(a) | Morgan Stanley ($)(a) | Morgan Stanley International ($) | UBS ($) | Total ($) | |
| Assets | ||||||||||||||||
| Centrally cleared credit default swap contracts (b) | - | - | - | - | - | - | - | - | - | - | - | 2,997 | - | - | - | 2,997 |
| Centrally cleared interest rate swap contracts (b) | - | - | - | - | - | - | - | 2,478,028 | - | - | - | - | 38,555 | - | - | 2,516,583 |
| Forward foreign currency exchange contracts | 88,686 | 22,659,163 | 13,547 | - | 6,126,289 | 18,279 | - | - | - | 15,644,413 | - | - | - | - | 3,576,717 | 48,127,094 |
| Call option contracts purchased | - | - | 3,411,758 | - | - | - | - | - | - | - | 497,400 | - | - | - | - | 3,909,158 |
| Put option contracts purchased | - | - | - | - | - | - | - | - | - | - | 281,120 | - | - | - | - | 281,120 |
| OTC total return swap contracts (c) | - | - | - | - | - | - | 55,188 | - | - | - | - | - | - | - | - | 55,188 |
| OTC total return swap contracts on futures (c) | - | - | - | 64,064 | - | - | - | - | - | - | - | - | - | 416,719 | - | 480,783 |
| Total assets | 88,686 | 22,659,163 | 3,425,305 | 64,064 | 6,126,289 | 18,279 | 55,188 | 2,478,028 | - | 15,644,413 | 778,520 | 2,997 | 38,555 | 416,719 | 3,576,717 | 55,372,923 |
| Liabilities | ||||||||||||||||
| Centrally cleared interest rate swap contracts (b) | - | - | - | - | - | - | - | 4,290,041 | - | - | - | - | 60,377 | - | - | 4,350,418 |
| Forward foreign currency exchange contracts | 4,271,025 | 22,355,001 | 4,161,739 | - | 1,756,698 | 70 | - | - | - | 16,260,781 | - | - | - | - | 5,808,481 | 54,613,795 |
| Call option contracts written | - | - | 105 | - | - | - | - | - | - | - | 126 | - | - | - | - | 231 |
| Put option contracts written | - | - | 225,838 | - | - | - | - | - | 258,100 | - | 593,841 | - | - | - | - | 1,077,779 |
| OTC credit default swap contracts (c) | - | - | - | - | - | - | - | - | - | - | 3,991,564 | - | - | - | - | 3,991,564 |
| OTC total return swap contracts (c) | - | - | - | - | - | - | 507,510 | - | - | - | - | - | - | - | - | 507,510 |
| OTC total return swap contracts on futures (c) | - | - | - | 16,320 | - | - | - | - | - | 756,847 | - | - | - | 36,722 | - | 809,889 |
| Total liabilities | 4,271,025 | 22,355,001 | 4,387,682 | 16,320 | 1,756,698 | 70 | 507,510 | 4,290,041 | 258,100 | 17,017,628 | 4,585,531 | - | 60,377 | 36,722 | 5,808,481 | 65,351,186 |
| Total financial and derivative net assets | (4,182,339) | 304,162 | (962,377) | 47,744 | 4,369,591 | 18,209 | (452,322) | (1,812,013) | (258,100) | (1,373,215) | (3,807,011) | 2,997 | (21,822) | 379,997 | (2,231,764) | (9,978,263) |
| Total collateral received (pledged) (d) | - | - | - | - | - | - | (452,322) | (1,812,013) | (258,100) | (1,373,215) | (3,807,011) | - | (21,822) | - | (7,724,483) | |
| Net amount (e) | (4,182,339) | 304,162 | (962,377) | 47,744 | 4,369,591 | 18,209 | - | - | - | - | - | 2,997 | - | 379,997 | (2,231,764) | (2,253,780) |
| (a) | Exposure can only be netted across transactions governed under the same master agreement with the same legal entity. |
| (b) | Centrally cleared swaps are included within payable/receivable for variation margin in the Consolidated Statement of Assets and Liabilities. |
| (c) | 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. |
| (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. |
Notes to Consolidated Financial
Statements (continued)
May 31, 2023
May 31, 2023
| Columbia Multi Strategy Alternatives Fund | Annual Report 2023 | 59 |
Notes to Consolidated Financial
Statements (continued)
May 31, 2023
May 31, 2023
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. The Fund may also adjust
accrual rates when it becomes probable the full interest will not be collected and a partial payment will be received. A defaulted debt security is removed from non-accrual status when the issuer resumes interest
payments or when collectability 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 Consolidated 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 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.
Recent accounting pronouncement
Tailored Shareholder Reports
| 60 | Columbia Multi Strategy Alternatives Fund | Annual Report 2023 |
Notes to Consolidated Financial
Statements (continued)
May 31, 2023
May 31, 2023
In October 2022, the Securities and
Exchange Commission (SEC) adopted a final rule relating to Tailored Shareholder Reports for Mutual Funds and Exchange-Traded Funds; Fee Information in Investment Company Advertisements. The rule and form amendments
will, among other things, require the Fund to transmit concise and visually engaging shareholder reports that highlight key information. The amendments will require that funds tag information in a structured data
format and that certain more in-depth information be made available online and available for delivery free of charge to investors on request. The amendments became effective January 24, 2023. There is an 18-month
transition period after the effective date of the amendment.
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 a percentage of the Fund’s daily net assets that declines from 0.96% to 0.93% as the Fund’s net assets increase. The effective management services fee rate for the year ended May 31, 2023
was 0.96% of the Fund’s average daily net assets.
Subadvisory agreements
The Investment Manager has entered
into Subadvisory Agreements with AQR Capital Management, LLC and PGIM Quantitative Solutions LLC, 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. 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.
In addition, 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 May 31, 2023, 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 Consolidated Statement of Operations. Under a Deferred
Compensation Plan (the Deferred Plan), these members of the Board of Trustees may elect to defer payment of up to 100% of their compensation. Deferred amounts are treated as though equivalent dollar amounts had been
invested in shares of certain funds managed by the Investment Manager. The Fund’s liability for these amounts is adjusted for market value changes and remains in the Fund until distributed in accordance with the
Deferred Plan. All amounts payable under the Deferred Plan constitute a general unsecured obligation of the Fund. The expense for the Deferred Plan, which includes Trustees’ fees deferred during the current
period as well as any gains or losses on the Trustees’ deferred compensation balances as a result of market fluctuations, is included in "Compensation of board members" in the Consolidated Statement of
Operations.
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 Consolidated 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 Multi Strategy Alternatives Fund | Annual Report 2023 | 61 |
Notes to Consolidated Financial
Statements (continued)
May 31, 2023
May 31, 2023
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 SS&C GIDS, Inc. (SS&C GIDS) to serve as sub-transfer agent. Prior to January 1, 2023, SS&C GIDS was known as DST Asset
Manager Solutions, Inc. The Transfer Agent pays the fees of SS&C GIDS for services as sub-transfer agent and SS&C GIDS 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 year ended May 31, 2023,
the Fund’s 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 | 0.07 |
| Institutional 3 Class | 0.02 |
| Class R | 0.11 |
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 Consolidated Statement of Operations. For the year ended May 31, 2023, these minimum account balance fees reduced total
expenses of the Fund by $20.
Distribution and service fees
The Fund has entered into an
agreement with Columbia Management Investment Distributors, Inc. (the Distributor), an affiliate of the Investment Manager and a wholly-owned subsidiary of Ameriprise Financial, for distribution and shareholder
services. The Board of Trustees has approved, and the Fund has adopted, distribution and shareholder service plans (the Plans) applicable to certain share classes, which set the distribution and service fees for the
Fund. These fees are calculated daily and are intended to compensate the Distributor and/or eligible selling and/or servicing agents for selling shares of the Fund and providing services to investors.
Under the Plans, the Fund pays a
monthly service fee to the Distributor at the maximum annual rate of 0.25% of the average daily net assets attributable to Class A and Class C shares of the Fund. Also under the Plans, the Fund pays a
monthly distribution fee to the Distributor at the maximum annual rates of 0.75% and 0.50% of the average daily net assets attributable to Class C and Class R shares of the Fund, respectively.
| 62 | Columbia Multi Strategy Alternatives Fund | Annual Report 2023 |
Notes to Consolidated Financial
Statements (continued)
May 31, 2023
May 31, 2023
Sales charges (unaudited)
Sales charges, including front-end
charges and contingent deferred sales charges (CDSCs), received by the Distributor for distributing Fund shares for the year ended May 31, 2023, if any, are listed below:
| Front End (%) | CDSC (%) | Amount ($) | |
| Class A | 5.75 | 0.50 - 1.00(a) | 5,126 |
| Class C | — | 1.00(b) | 8,390 |
| (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 classes’ average daily net assets:
| October 1, 2022 through September 30, 2023 | Prior to October 1, 2022 | |
| Class A | 1.27% | 1.27% |
| Advisor Class | 1.02 | 1.02 |
| Class C | 2.02 | 2.02 |
| Institutional Class | 1.02 | 1.02 |
| Institutional 2 Class | 0.97 | 0.98 |
| Institutional 3 Class | 0.92 | 0.93 |
| Class R | 1.52 | 1.52 |
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, costs associated with shareholder meetings, 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.
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 May 31, 2023, these differences
were primarily due to differing treatment for foreign currency transactions, derivative investments, swap investments, tax straddles, principal and/or interest from fixed income securities, late-year ordinary losses,
capital loss carryforwards, trustees’ deferred compensation, non-deductible expenses, investments in commodity
| Columbia Multi Strategy Alternatives Fund | Annual Report 2023 | 63 |
Notes to Consolidated Financial
Statements (continued)
May 31, 2023
May 31, 2023
subsidiaries and investments in partnerships
and/or grantor trusts. To the extent these differences were permanent, reclassifications were made among the components of the Fund’s net assets. Temporary differences do not require reclassifications.
The following reclassifications
were made:
| Excess of distributions over net investment income ($) | Accumulated net realized (loss) ($) | Paid in capital ($) |
| 2,056,548 | (1,878,003) | (178,545) |
Net investment income (loss) and
net realized gains (losses), as disclosed in the Consolidated Statement of Operations, and net assets were not affected by this reclassification.
The tax character of distributions
paid during the years indicated was as follows:
| Year Ended May 31, 2023 | Year Ended May 31, 2022 | ||||
| Ordinary income ($) | Long-term capital gains ($) | Total ($) | Ordinary income ($) | Long-term capital gains ($) | Total ($) |
| 5,945,443 | — | 5,945,443 | 19,542,084 | — | 19,542,084 |
Short-term capital gain
distributions, if any, are considered ordinary income distributions for tax purposes.
At May 31, 2023, the components of
distributable earnings on a tax basis were as follows:
| Undistributed ordinary income ($) | Undistributed long-term capital gains ($) | Capital loss carryforwards ($) | Net unrealized (depreciation) ($) |
| — | — | (70,345,308) | (81,197,682) |
At May 31, 2023, the cost of all
investments for federal income tax purposes along with the aggregate gross unrealized appreciation and depreciation based on that cost was:
| Federal tax cost ($) | Gross unrealized appreciation ($) | Gross unrealized (depreciation) ($) | Net unrealized (depreciation) ($) |
| 959,816,024 | — | (81,197,682) | (81,197,682) |
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 May 31, 2023, may be available to reduce future net realized gains on investments, if any, to the extent permitted by the Internal Revenue Code. In addition, for the year ended May 31,
2023, capital loss carryforwards utilized, if any, were as follows:
| No expiration short-term ($) | No expiration long-term ($) | Total ($) | Utilized ($) |
| (39,810,397) | (30,534,911) | (70,345,308) | — |
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.
As of May 31, 2023, the Fund will elect to treat the following late-year ordinary losses and post-October capital losses as arising on June 1, 2023.
| Late year ordinary losses ($) | Post-October capital losses ($) |
| 2,100,794 | — |
| 64 | Columbia Multi Strategy Alternatives Fund | Annual Report 2023 |
Notes to Consolidated Financial
Statements (continued)
May 31, 2023
May 31, 2023
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 $2,638,684,571 and $2,496,301,705, respectively, for the year ended May 31, 2023, of which $2,564,265,969 and
$2,380,571,582, respectively, were U.S. government securities. The amount of purchase and sale activity impacts the portfolio turnover rate reported in the Consolidated Financial Highlights.
Note 6. Affiliated money
market fund
The Fund invests significantly 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 Consolidated 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 year ended May 31, 2023 was as follows:
| Borrower or lender | Average loan balance ($) | Weighted average interest rate (%) | Number of days with outstanding loans |
| Lender | 7,014,286 | 4.25 | 7 |
Interest income earned by the Fund
is recorded as interfund lending in the Consolidated Statement of Operations. The Fund had no outstanding interfund loans at May 31, 2023.
Note 8. Line of credit
The Fund has access to a
revolving credit facility with a syndicate of banks led by JPMorgan Chase Bank, N.A., Citibank, N.A. and Wells Fargo Bank, N.A. whereby the Fund may borrow for the temporary funding of shareholder redemptions or for
other temporary or emergency purposes. Pursuant to an October 27, 2022 amendment and restatement, the credit facility, which is an agreement between the Fund and certain other funds managed by the Investment Manager
or an affiliated investment manager, severally and not jointly, permits aggregate borrowings up to $950 million. Interest is currently 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 secured overnight financing rate plus 0.10% and (iii) the overnight bank funding rate plus, in each case, 1.00%. 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 Consolidated Statement of Operations. This agreement expires annually in October unless extended or
| Columbia Multi Strategy Alternatives Fund | Annual Report 2023 | 65 |
Notes to Consolidated Financial
Statements (continued)
May 31, 2023
May 31, 2023
renewed. Prior to the October 27, 2022 amendment
and restatement, the Fund had access to a revolving credit facility with a syndicate of banks led by JPMorgan Chase Bank, N.A., Citibank, N.A. and Wells Fargo Bank, N.A. which permitted collective borrowings up to
$950 million. 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 secured overnight financing rate plus 0.11448% and
(iii) the overnight bank funding rate plus, in each case, 1.00%.
The Fund had no borrowings during
the year ended May 31, 2023.
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.
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.
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,
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.
Foreign currency risk
The performance of the Fund may be
materially affected positively or negatively by foreign currency strength or weakness relative to the U.S. dollar, particularly if the Fund invests a significant percentage of its assets in foreign securities or other
assets denominated in currencies other than the U.S. dollar. Currency rates in foreign countries may fluctuate significantly over short or long periods of time for a number of reasons, including changes in interest
rates, imposition of currency controls and economic or political developments in the U.S. or abroad. The Fund may also incur currency conversion costs when converting foreign currencies into U.S. dollars and vice
versa.
Interest rate risk
Interest rate risk is the risk of
losses attributable to changes in interest rates. In general, if interest rates rise, the values of debt instruments tend to fall, and if interest rates fall, the values of debt instruments tend to rise. Actions by
governments and central banking authorities can result in increases or decreases in interest rates. Higher periods of inflation could lead such authorities to raise 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.
| 66 | Columbia Multi Strategy Alternatives Fund | Annual Report 2023 |
Notes to Consolidated Financial
Statements (continued)
May 31, 2023
May 31, 2023
Leverage risk
Leverage occurs when the Fund
increases its assets available for investment using borrowings, short sales, derivatives, or similar instruments or techniques. The use of leverage may produce volatility and may exaggerate changes in the Fund’s
net asset value and in the return on the Fund’s portfolio, which may increase the risk that the Fund will lose more than it has invested. 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.
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 and the ICE Benchmark Administration have announced that a majority of U.S. dollar LIBOR settings will cease publication after June 30, 2023. A subset of non-U.S. dollar LIBOR settings is
continuing to be published on a “synthetic” basis and it is possible that a subset of U.S. dollar LIBOR settings will also be published after June 30, 2023 on a “synthetic” basis. Any such
publications are, or would be considered, non-representative of the underlying market. Markets are slowly developing in response to the elimination of LIBOR. 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 more settled. Alternatives to LIBOR have been established or are in development in most major currencies, including the Secured Overnight Financing
Rate (SOFR), which the U.S. Federal Reserve is promoting as the alternative reference rate to U.S. dollar LIBOR.
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 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’s ability to price or value hard-to-value assets in thinly traded and closed markets and could cause 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 large-scale invasion of Ukraine
by Russia in February 2022 has resulted in sanctions and market disruptions, including declines in regional and global stock markets, unusual volatility in global commodity markets and significant devaluations of
Russian currency. The extent and duration of the military action are impossible to predict but could be significant. Market disruption caused by the Russian military action, and any counter-measures or responses
thereto (including international
| Columbia Multi Strategy Alternatives Fund | Annual Report 2023 | 67 |
Notes to Consolidated Financial
Statements (continued)
May 31, 2023
May 31, 2023
sanctions, a downgrade in the country’s
credit rating, purchasing and financing restrictions, boycotts, tariffs, changes in consumer or purchaser preferences, cyberattacks and espionage) could have severe adverse impacts on regional and/or global securities
and commodities markets, including markets for oil and natural gas. These impacts may include reduced market liquidity, distress in credit markets, further disruption of global supply chains, increased risk of
inflation, restricted cross-border payments and limited access to investments and/or assets in certain international markets and/or issuers. These developments and other related events could negatively impact Fund
performance.
Money market fund investment risk
An investment in a money market
fund is not a bank deposit and is not insured or guaranteed by any bank, the FDIC or any other government agency. Certain money market funds float their net asset value while others seek to preserve the value of
investments at a stable net asset value (typically, $1.00 per share). An investment in a money market fund, even an investment in a fund seeking to maintain a stable net asset value per share, is not guaranteed and it
is possible for the Fund to lose money by investing in these and other types of money market funds. If the liquidity of a money market fund’s portfolio deteriorates below certain levels, the money market fund
may suspend redemptions (i.e., impose a redemption gate) and thereby prevent the Fund from selling its investment in the money market fund or impose a fee of up to 2% on amounts the Fund redeems from the money market
fund (i.e., impose a liquidity fee). These measures may result in an investment loss or prohibit the Fund from redeeming shares when the Investment Manager would otherwise redeem shares. In addition to the fees and
expenses that the Fund directly bears, the Fund indirectly bears the fees and expenses of any money market funds in which it invests, including affiliated money market funds. By investing in a money market fund, the
Fund will be exposed to the investment risks of the money market fund in direct proportion to such investment. To the extent the Fund invests in instruments such as derivatives, the Fund may hold investments,
which may be significant, in money market fund shares to cover its obligations resulting from the Fund’s investments in such instruments. Money market funds and the securities they invest in are subject to
comprehensive regulations. The enactment of new legislation or regulations, as well as changes in interpretation and enforcement of current laws, may affect the manner of operation, performance and/or yield of money
market funds.
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 May 31, 2023, 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.
| 68 | Columbia Multi Strategy Alternatives Fund | Annual Report 2023 |
Notes to Consolidated Financial
Statements (continued)
May 31, 2023
May 31, 2023
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 are involved in the normal course of business in legal proceedings which include regulatory inquiries, arbitration and litigation, including class actions concerning matters arising in connection
with the conduct of their activities as part of a diversified financial services firm. 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 Fund.
| Columbia Multi Strategy Alternatives Fund | Annual Report 2023 | 69 |
Report of Independent Registered Public
Accounting Firm
To the Board of Trustees of Columbia
Funds Series Trust I and Shareholders of Columbia Multi Strategy Alternatives Fund
Opinion on the Financial
Statements
We have audited the accompanying
consolidated statement of assets and liabilities, including the consolidated portfolio of investments, of Columbia Multi Strategy Alternatives Fund and its subsidiaries (one of the funds constituting Columbia Funds
Series Trust I, referred to hereafter as the "Fund") as of May 31, 2023, the related consolidated statement of operations for the year ended May 31, 2023, the consolidated statement of changes in net assets for each
of the two years in the period ended May 31, 2023, including the related notes, and the consolidated financial highlights for each of the five years in the period ended May 31, 2023 (collectively referred to as the
"consolidated financial statements"). In our opinion, the consolidated financial statements present fairly, in all material respects, the financial position of the Fund as of May 31, 2023, the results of its
operations for the year then ended, the changes in its net assets for each of the two years in the period ended May 31, 2023 and the financial highlights for each of the five years in the period ended May 31, 2023 in
conformity with accounting principles generally accepted in the United States of America.
Basis for Opinion
These consolidated financial
statements are the responsibility of the Fund’s management. Our responsibility is to express an opinion on the Fund’s consolidated financial statements based on our audits. We are a public accounting firm
registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable
rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these
consolidated financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the consolidated financial
statements are free of material misstatement, whether due to error or fraud.
Our audits included performing
procedures to assess the risks of material misstatement of the consolidated financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included
examining, on a test basis, evidence regarding the amounts and disclosures in the consolidated financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by
management, as well as evaluating the overall presentation of the consolidated financial statements. Our procedures included confirmation of securities owned as of May 31, 2023 by correspondence with the custodian,
transfer agent and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
/s/PricewaterhouseCoopers LLP
Minneapolis, Minnesota
July 21, 2023
We have served as the auditor of
one or more investment companies within the Columbia Funds Complex since 1977.
| 70 | Columbia Multi Strategy Alternatives Fund | Annual Report 2023 |
TRUSTEES AND
OFFICERS
(Unaudited)
The Board oversees the
Fund’s operations and appoints officers who are responsible for day-to-day business decisions based on policies set by the Board. The following table provides basic biographical information about the
Fund’s Trustees as of the printing of this report, including their principal occupations during the past five years, although specific titles for individuals may have varied over the period. The year set forth
beneath Length of Service in the table below is the year in which the Trustee was first appointed or elected as Trustee to any Fund currently in the Columbia Funds Complex or a predecessor thereof. Under current Board
policy, each Trustee generally serves until December 31 of the year such Trustee turns seventy-five (75).
Independent trustees
| Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years and other relevant Board experience |
| George S. Batejan c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1954 | Trustee since 2017 | Executive Vice President, Global Head of Technology and Operations, Janus Capital Group, Inc., 2010-2016 | 174 | Former Chairman of the Board, NICSA (National Investment Company Services Association) (Executive Committee, Nominating Committee and Governance Committee), 2014-2016; former Director, Intech Investment Management, 2011-2016; former Board Member, Metro Denver Chamber of Commerce, 2015-2016; former Advisory Board Member, University of Colorado Business School, 2015-2018; former Board Member, Chase Bank International, 1993-1994 |
| Kathleen Blatz c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1954 | Trustee since 2006 | Attorney, specializing in arbitration and mediation; Chief Justice, Minnesota Supreme Court, 1998-2006; Associate Justice, Minnesota Supreme Court, 1996-1998; Fourth Judicial District Court Judge, Hennepin County, 1994-1996; Attorney in private practice and public service, 1984-1993; State Representative, Minnesota House of Representatives, 1979-1993, which included service on the Tax and Financial Institutions and Insurance Committees; Member and Interim Chair, Minnesota Sports Facilities Authority, January-July 2017; Interim President and Chief Executive Officer, Blue Cross and Blue Shield of Minnesota (health care insurance), February-July 2018, April-October 2021 | 174 | Former Trustee, Blue Cross and Blue Shield of Minnesota, 2009-2021 (Chair of the Business Development Committee, 2014-2017; Chair of the Governance Committee, 2017-2019); former Member and Chair of the Board, Minnesota Sports Facilities Authority, January 2017-July 2017; former Director, Robina Foundation, 2009-2020 (Chair, 2014-2020); Director, Richard M. Schulze Family Foundation, since 2021 |
| Columbia Multi Strategy Alternatives Fund | Annual Report 2023 | 71 |
TRUSTEES AND OFFICERS (continued)
(Unaudited)
Independent trustees (continued)
(Unaudited)
Independent trustees (continued)
| Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years and other relevant Board experience |
| Pamela G. Carlton c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1954 | Chair since 2023; Trustee since 2007 | President, Springboard — Partners in Cross Cultural Leadership (consulting company), since 2003; Managing Director of US Equity Research, JP Morgan Chase, 1999-2003; Director of US Equity Research, Chase Asset Management, 1996-1999; Co-Director Latin America Research, 1993-1996, COO Global Research, 1992-1996, Co-Director of US Research, 1991-1992, Investment Banker, 1982-1991, Morgan Stanley; Attorney, Cleary Gottlieb Steen & Hamilton LLP, 1980-1982 | 174 | Trustee, New York Presbyterian Hospital Board, since 1996; Director, DR Bank (Audit Committee) since 2017; Director, Evercore Inc. (Audit Committee, Nominating and Governance Committee), since 2019; Director, Apollo Commercial Real Estate Finance, Inc. (Chair, Nominating and Governance Committee) (financial services), since 2021; the Governing Council of the Independent Directors Council (IDC), since 2021 |
| Janet Langford Carrig c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1957 | Trustee since 1996 | Senior Vice President, General Counsel and Corporate Secretary, ConocoPhillips (independent energy company), September 2007-October 2018 | 174 | Director, EQT Corporation (natural gas producer), since 2019; former Director, Whiting Petroleum Corporation (independent oil and gas company), 2020-2022 |
| J. Kevin Connaughton c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1964 | Trustee since 2020 | CEO and President, RhodeWay Financial (non-profit financial planning firm), since December 2022; Member, FINRA National Adjudicatory Council, since January 2020; Adjunct Professor of Finance, Bentley University since January 2018; Consultant to Independent Trustees of CFVIT and CFST I from March 2016 to June 2020 with respect to CFVIT and to December 2020 with respect to CFST I; Managing Director and General Manager of Mutual Fund Products, Columbia Management Investment Advisers, LLC, May 2010-February 2015; President, Columbia Funds, 2008-2015; and senior officer of Columbia Funds and affiliated funds, 2003-2015 | 172 | Former Director, The Autism Project, March 2015-December 2021; former Member of the Investment Committee, St. Michael’s College, November 2015-February 2020; former Trustee, St. Michael’s College, June 2017-September 2019; former Trustee, New Century Portfolios (former mutual fund complex), January 2015-December 2017 |
| Olive M. Darragh c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1962 | Trustee since 2020 | Managing Director of Darragh Inc. (strategy and talent management consulting firm), since 2010; Founder and CEO, Zolio, Inc. (investment management talent identification platform), since 2004; Consultant to Independent Trustees of CFVIT and CFST I from June 2019 to June 2020 with respect to CFVIT and to December 2020 with respect to CFST I; Partner, Tudor Investments, 2004-2010; Senior Partner, McKinsey & Company (consulting), 1990-2004; Touche Ross CPA, 1985-1988 | 172 | Treasurer, Edinburgh University US Trust Board, since January 2023; Member, HBS Community Action Partners Board, since September 2022; former Director, University of Edinburgh Business School (Member of US Board), 2004-2019; former Director, Boston Public Library Foundation, 2008-2017 |
| 72 | Columbia Multi Strategy Alternatives Fund | Annual Report 2023 |
TRUSTEES AND OFFICERS (continued)
(Unaudited)
Independent trustees (continued)
(Unaudited)
Independent trustees (continued)
| Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years and other relevant Board experience |
| Patricia M. Flynn c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1950 | Trustee since 2004 | Professor of Economics and Management, Bentley University, since 2002; Dean, McCallum Graduate School of Business, Bentley University, 1992-2002 | 174 | Former Trustee, MA Taxpayers Foundation, 1997-2022; former Director, The MA Business Roundtable, 2003-2019; former Chairperson, Innovation Index Advisory Committee, MA Technology Collaborative, 1997-2020 |
| Brian J. Gallagher c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1954 | Trustee since 2017 | Retired; Partner with Deloitte & Touche LLP and its predecessors, 1977-2016 | 174 | Trustee, Catholic Schools Foundation, since 2004 |
| Douglas A. Hacker c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1955 | Trustee since 1996 | Independent business executive, since May 2006; Executive Vice President – Strategy of United Airlines, December 2002 - May 2006; President of UAL Loyalty Services (airline marketing company), September 2001-December 2002; Executive Vice President and Chief Financial Officer of United Airlines, July 1999-September 2001 | 174 | Director, SpartanNash Company since November 2013 (Chair of the Board, since May 2021) (food distributor); Director, Aircastle Limited (Chair of Audit Committee) (aircraft leasing), since August 2006; former Director, Nash Finch Company (food distributor), 2005-2013; former Director, SeaCube Container Leasing Ltd. (container leasing), 2010-2013; and former Director, Travelport Worldwide Limited (travel information technology), 2014-2019 |
| Nancy T. Lukitsh c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1956 | Trustee since 2011 | Senior Vice President, Partner and Director of Marketing, Wellington Management Company, LLP (investment adviser), 1997-2010; Chair, Wellington Management Portfolios (commingled non-U.S. investment pools), 2007-2010; Director, Wellington Trust Company, NA and other Wellington affiliates, 1997-2010 | 172 | None |
| Columbia Multi Strategy Alternatives Fund | Annual Report 2023 | 73 |
TRUSTEES AND OFFICERS (continued)
(Unaudited)
Independent trustees (continued)
(Unaudited)
Independent trustees (continued)
| Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years and other relevant Board experience |
| David M. Moffett c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1952 | Trustee since 2011 | Retired; former Chief Executive Officer of Freddie Mac and Chief Financial Officer of U.S. Bank | 172 | Director, CSX Corporation (transportation suppliers); Director, PayPal Holdings Inc. (payment and data processing services); Trustee, University of Oklahoma Foundation; former Director, eBay Inc. (online trading community), 2007-2015; and former Director, CIT Bank, CIT Group Inc. (commercial and consumer finance), 2010-2016; former Senior Adviser to The Carlyle Group (financial services), March 2008-September 2008; former Governance Consultant to Bridgewater Associates, January 2013-December 2015 |
| Catherine James Paglia c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1952 | Trustee since 2004 | Director, Enterprise Asset Management, Inc. (private real estate and asset management company), since September 1998; Managing Director and Partner, Interlaken Capital, Inc., 1989-1997; Vice President, 1982-1985, Principal, 1985-1987, Managing Director, 1987-1989, Morgan Stanley; Vice President, Investment Banking, 1980-1982, Associate, Investment Banking, 1976-1980, Dean Witter Reynolds, Inc. | 174 | Director, Valmont Industries, Inc. (irrigation systems manufacturer), since 2012; Trustee, Carleton College (on the Investment Committee), since 1987; Trustee, Carnegie Endowment for International Peace (on the Investment Committee), since 2009 |
| Natalie A. Trunow c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1967 | Trustee since 2020 | Chief Executive Officer, Millennial Portfolio Solutions LLC (asset management and consulting services), January 2016-January 2021; Non-executive Member of the Investment Committee and Valuation Committee, Sarona Asset Management Inc. (private equity firm) since September 2019; Advisor, Horizon Investments (asset management and consulting services), August 2018-January 2022; Advisor, Paradigm Asset Management, November 2016-January 2022; Consultant to Independent Trustees of CFVIT and CFST I from September 2016 to June 2020 with respect to CFVIT and to December 2020 with respect to CFST I; Director of Investments/Consultant, Casey Family Programs, April 2016-November 2016; Senior Vice President and Chief Investment Officer, Calvert Investments, August 2008-January 2016; Section Head and Portfolio Manager, General Motors Asset Management, June 1997-August 2008 | 172 | Independent Director, Investment Committee, Health Services for Children with Special Needs, Inc., 2010-2021; Independent Director, (Executive Committee and Chair, Audit Committee), Consumer Credit Counseling Services (formerly Guidewell Financial Solutions), since 2016; Independent Director, (Investment Committee), Sarona Asset Management, since 2019 |
| 74 | Columbia Multi Strategy Alternatives Fund | Annual Report 2023 |
TRUSTEES AND OFFICERS (continued)
(Unaudited)
Independent trustees (continued)
(Unaudited)
Independent trustees (continued)
| Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years and other relevant Board experience |
| Sandra L. Yeager c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1964 | Trustee since 2017 | Retired; President and founder, Hanoverian Capital, LLC (SEC registered investment advisor firm), 2008-2016; Managing Director, DuPont Capital, 2006-2008; Managing Director, Morgan Stanley Investment Management, 2004-2006; Senior Vice President, Alliance Bernstein, 1990-2004 | 174 | Former Director, NAPE (National Alliance for Partnerships in Equity) Education Foundation, October 2016-October 2020; Advisory Board, Jennersville YMCA, since 2022 |
Interested trustee affiliated
with Investment Manager*
| Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex overseen | Other directorships held by Trustee during the past five years and other relevant Board experience |
| Daniel J. Beckman c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1962 | Trustee since November 2021 and President since June 2021 | Vice President – Head of North America Product, Columbia Management Investment Advisers, LLC, since April 2015; President and Principal Executive Officer of the Columbia Funds, since June 2021; officer of Columbia Funds and affiliated funds, 2020-2021 | 174 | Director, Ameriprise Trust Company, since October 2016; Director, Columbia Management Investment Distributors, Inc. since November 2018; Board of Governors, Columbia Wanger Asset Management, LLC since, January 2022; Director, Columbia Threadneedle Canada, Inc., since December 2022 |
| * | The term “Columbia Funds Complex” as used herein includes Columbia Seligman Premium Technology Growth Fund, Tri-Continental Corporation and each series of Columbia Funds Series Trust (CFST), Columbia Funds Series Trust I (CFST I), Columbia Funds Series Trust II (CFST II), Columbia ETF Trust I (CET I), Columbia ETF Trust II (CET II), Columbia Funds Variable Insurance Trust (CFVIT) and Columbia Funds Variable Series Trust II (CFVST II). Messrs. Batejan, Beckman, Gallagher and Hacker and Mses. Blatz, Carlton, Carrig, Flynn, Paglia, and Yeager serve as directors of Columbia Seligman Premium Technology Growth Fund and Tri-Continental Corporation. |
| ** | Interested person (as defined under the 1940 Act) by reason of being an officer, director, security holder and/or employee of the Investment Manager or Ameriprise Financial. |
The Statement of Additional
Information has additional information about the Fund’s Board members and is available, without charge, upon request by calling 800.345.6611, visiting columbiathreadneedleus.com/investor/ or contacting your
financial intermediary.
| Columbia Multi Strategy Alternatives Fund | Annual Report 2023 | 75 |
TRUSTEES AND OFFICERS (continued)
(Unaudited)
The Board has appointed officers who are responsible for day-to-day business decisions based on policies it has established. The officers serve at the pleasure of the Board. The following table provides basic information about the Officers of the Fund as of the printing of this report, including principal occupations during the past five years, although their specific titles may have varied over the period. In addition to Mr. Beckman, who is President and Principal Executive Officer, the Fund’s other officers are:
(Unaudited)
The Board has appointed officers who are responsible for day-to-day business decisions based on policies it has established. The officers serve at the pleasure of the Board. The following table provides basic information about the Officers of the Fund as of the printing of this report, including principal occupations during the past five years, although their specific titles may have varied over the period. In addition to Mr. Beckman, who is President and Principal Executive Officer, the Fund’s other officers are:
Fund officers
| Name, address and year of birth | Position and year first appointed to position for any Fund in the Columbia Funds Complex or a predecessor thereof | Principal occupation(s) during past five years |
| Michael G. Clarke 290 Congress Street Boston, MA 02210 1969 | Chief Financial Officer and Principal Financial Officer (2009) and Senior Vice President (2019) | Senior Vice President and North America Head of Operations & Investor Services, Columbia Management Investment Advisers, LLC, since June 2023 (previously Senior Vice President and Head of Global Operations, March 2022 – June 2023, Vice President, Head of North America Operations, and Co-Head of Global Operations, June 2019 - February 2022 and Vice President – Accounting and Tax, May 2010 - May 2019); senior officer of Columbia Funds and affiliated funds, since 2002. Director, Ameriprise Trust Company, since June 2023. |
| Joseph Beranek 5890 Ameriprise Financial Center Minneapolis, MN 55474 1965 | Treasurer and Chief Accounting Officer (Principal Accounting Officer) (2019) and Principal Financial Officer (2020), CFST, CFST I, CFST II, CFVIT and CFVST II; Assistant Treasurer, CET I and CET II | Vice President – Mutual Fund Accounting and Financial Reporting, Columbia Management Investment Advisers, LLC, since December 2018 and March 2017, respectively. |
| Marybeth Pilat 290 Congress Street Boston, MA 02210 1968 | Treasurer and Chief Accounting Officer (Principal Accounting Officer) and Principal Financial Officer (2020) for CET I and CET II; Assistant Treasurer, CFST, CFST I, CFST II, CFVIT and CFVST II | Vice President – Product Pricing and Administration, Columbia Management Investment Advisers, LLC, since May 2017. |
| William F. Truscott 290 Congress Street Boston, MA 02210 1960 | Senior Vice President (2001) | Formerly, Trustee/Director of Columbia Funds Complex or legacy funds, November 2001 - January 1, 2021; Chief Executive Officer, Global Asset Management, Ameriprise Financial, Inc., since September 2012; Chairman of the Board and President, Columbia Management Investment Advisers, LLC, since July 2004 and February 2012, respectively; Chairman of the Board and Chief Executive Officer, Columbia Management Investment Distributors, Inc., since November 2008 and February 2012, respectively;Chairman of the Board and Director, Threadneedle Asset Management Holdings, Sàrl, since March 2013 and December 2008, respectively; senior executive of various entities affiliated with Columbia Threadneedle. |
| Christopher O. Petersen 5228 Ameriprise Financial Center Minneapolis, MN 55474 1970 | Senior Vice President and Assistant Secretary (2021) | Formerly, Trustee/Director of funds within the Columbia Funds Complex, July 1, 2020 - November 22, 2021; Senior Vice President and Assistant General Counsel, Ameriprise Financial, Inc., since September 2021 (previously Vice President and Lead Chief Counsel, January 2015 - September 2021); formerly, President and Principal Executive Officer of the Columbia Funds, 2015 - 2021; officer of Columbia Funds and affiliated funds, since 2007. |
| Thomas P. McGuire 290 Congress Street Boston, MA 02210 1972 | Senior Vice President and Chief Compliance Officer (2012) | Vice President – Asset Management Compliance, Ameriprise Financial, Inc., since May 2010; Chief Compliance Officer, Columbia Acorn/Wanger Funds, since December 2015; formerly, Chief Compliance Officer, Ameriprise Certificate Company, September 2010 – September 2020. |
| Ryan C. Larrenaga 290 Congress Street Boston, MA 02210 1970 | Senior Vice President (2017), Chief Legal Officer (2017), and Secretary (2015) | Vice President and Chief Counsel, Ameriprise Financial, Inc., since August 2018 (previously Vice President and Group Counsel, August 2011 - August 2018); Chief Legal Officer, Columbia Acorn/Wanger Funds, since September 2020; officer of Columbia Funds and affiliated funds, since 2005. |
| 76 | Columbia Multi Strategy Alternatives Fund | Annual Report 2023 |
TRUSTEES AND OFFICERS (continued)
(Unaudited)
Fund officers (continued)
(Unaudited)
Fund officers (continued)
| Name, address and year of birth | Position and year first appointed to position for any Fund in the Columbia Funds Complex or a predecessor thereof | Principal occupation(s) during past five years |
| Michael E. DeFao 290 Congress Street Boston, MA 02210 1968 | Vice President (2011) and Assistant Secretary (2010) | Vice President and Chief Counsel, Ameriprise Financial, Inc., since May 2010; Vice President, Chief Legal Officer and Assistant Secretary, Columbia Management Investment Advisers, LLC, since October 2021 (previously Vice President and Assistant Secretary, May 2010 – September 2021). |
| Lyn Kephart-Strong 5903 Ameriprise Financial Center Minneapolis, MN 55474 1960 | Vice President (2015) | Vice President, Global Investment Operations Services, Columbia Management Investment Advisers, LLC, since 2010; Director (since January 2007) and President (since October 2014), Columbia Management Investment Services Corp.; Director (since December 2017) and President (since January 2017), Ameriprise Trust Company. |
Liquidity Risk
Management Program
(Unaudited)
Pursuant to Rule 22e-4 under the
1940 Act, the Fund has adopted a liquidity risk management program (Program). The Program’s principal objectives include assessing, managing and periodically reviewing the Fund’s liquidity risk. Liquidity
risk is defined as the risk that the Fund could not meet redemption requests without significant dilution of remaining investors’ interests in the Fund.
The Board has appointed the
Investment Manager as the program administrator for the Fund’s Program. The Investment Manager has delegated oversight of the Program to its Liquidity Risk Management Committee (the Committee). At a board
meeting during the fiscal period, the Committee provided the Board with a report addressing the operations of the program and assessing its adequacy and effectiveness of implementation for the period January 1, 2022,
through December 31, 2022, including:
| • | the Fund had sufficient liquidity to both meet redemptions and operate effectively on behalf of shareholders; |
| • | there were no material changes to the Program during the period; |
| • | the implementation of the Program was effective to manage the Fund’s liquidity risk; and |
| • | the Program operated adequately during the period. |
There can be no assurance that the
Program will achieve its objectives in the future. Please refer to the Fund’s prospectus for more information regarding the Fund’s exposure to liquidity risk and other principal risks to which an
investment in the Fund may be subject.
| Columbia Multi Strategy Alternatives Fund | Annual Report 2023 | 77 |
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.
© 2023 Columbia Management Investment
Advisers, LLC.
columbiathreadneedleus.com/investor/
ANN259_05_N01_(07/23)
Columbia Adaptive
Risk Allocation Fund
Not FDIC or NCUA Insured •
No Financial Institution Guarantee • May Lose Value
Table of Contents
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| 8 | |
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| 22 | |
| 26 | |
| 44 | |
| 45 | |
| 45 | |
| 51 |
If you elect to receive the
shareholder report for Columbia Adaptive Risk Allocation Fund (the Fund) in paper, mailed to you, the Fund mails one shareholder report to each shareholder address, unless such shareholder elects to receive
shareholder reports from the Fund electronically via e-mail or by having a paper notice mailed to you (Postcard Notice) that your Fund’s shareholder report is available at the Columbia funds’ website
(columbiathreadneedleus.com/investor/). If you would like more than one report in paper to be mailed to you, or would like to elect to receive reports via e-mail or access them through Postcard Notice, 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, is available on columbiathreadneedleus.com/investor/or 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)
290 Congress Street
Boston, MA 02210
Fund distributor
Columbia Management Investment Distributors,
Inc.
290 Congress Street
Boston, MA 02210
Fund transfer agent
Columbia Management Investment Services Corp.
P.O. Box 219104
Kansas City, MO 64121-9104
Columbia Adaptive Risk Allocation
Fund | Annual Report 2023
Fund at a Glance
(Unaudited)
(Unaudited)
Investment objective
The Fund
pursues consistent total returns by seeking to allocate risks across multiple asset classes.
Portfolio management
Joshua Kutin, CFA
Lead Portfolio Manager
Managed Fund since 2015
Alexander Wilkinson, CFA, CAIA
Portfolio Manager
Managed Fund since 2018
| Columbia Adaptive Risk Allocation Fund | Annual Report 2023 | 3 |
Fund at a Glance (continued)
(Unaudited)
(Unaudited)
Indices are not available for
investment, are not professionally managed and do not reflect sales charges, fees, brokerage commissions, taxes (except the MSCI ACWI Index (Net) and MSCI ACWI Index (Net) Hedged to DM Currencies, which reflect
reinvested dividends net of withholding taxes) or other expenses of investing. Securities in the Fund may not match those in an index.
Performance of a
hypothetical $10,000 investment (May 31, 2013 — May 31, 2023)
The chart above shows the change in
value of a hypothetical $10,000 investment in Class A shares of Columbia Adaptive Risk Allocation Fund during the stated time period, and does not reflect the deduction of taxes that a shareholder may pay on Fund
distributions or on the redemption of Fund shares.
| 4 | Columbia Adaptive Risk Allocation Fund | Annual Report 2023 |
Manager Discussion of Fund Performance
(Unaudited)
(Unaudited)
For the 12-month period that
ended May 31, 2023, Class A shares of Columbia Adaptive Risk Allocation Fund returned -5.79% excluding sales charges. The Fund underperformed its Modified Blended Benchmark (consisting of 60% MSCI ACWI Index (Net) and
40% Bloomberg Global Aggregate Bond Index), which returned -1.12% for the same time period. The Fund also underperformed its New Blended Benchmark (consisting of 60% MSCI ACWI Index (Net) Hedged to DM Currencies and
40% Bloomberg Global Aggregate Bond Hedged Index), which returned 1.44% for the same time period. To compare, the FTSE Three-Month U.S. Treasury Bill Index returned 3.38% during the annual period. The Fund takes a
risk-based approach to allocating assets across four primary segments of global capital markets – global equities, interest rate related fixed income, spread related fixed income, and inflation-hedged assets.
Market overview
During the reporting period, the
global economy grew despite elevated fears of a possible recession in many developed economies. Fears of a future economic slowdown in the United States were amplified by the aggressive policy tightening of the U.S.
Federal Reserve (Fed), which hiked its policy rate by 4.25% over the reporting period as U.S. inflation accelerated to a four decade high of 9.1% by June 2022. Through May 2023, the rate of year-over-year U.S.
inflation had decelerated to 4.9%, a meaningful reduction, though still considerably higher than the Fed’s 2% inflation target. With the exception of Japan, inflation pressures in developed markets outside the
United States also prompted aggressive monetary tightening, heightening fears that such tightening would contribute to an economic slowdown or recession.
Global markets during the reporting
period were largely driven by the rapidly evolving monetary policy environment and the outlook for when central bank interest rate increases might give way to a pause in tightening or possibly an easing of policy if
inflation decelerated enough or a recession ensued, or both. Global equity markets, as measured by the MSCI World Index (Net), advanced by 2.07% over the reporting period with an 8.52% gain in the first five months of
2023 more than offsetting a 5.95% decline in the final seven months of 2022. Global government bond yields rose materially over the reporting period, with the largest increases in yield occurring on the front end of
the yield curve. The rapid rise in short rates and more modest increases in longer rate resulted in a sharply inverted U.S. yield curve.
The Bloomberg Commodity Index Total
Return declined by 22.48% over the reporting period as a surge in commodity prices in the first five months of 2022, gave way to a bear market, led by a sharp selloff in energy commodities. During the reporting
period, the U.S. dollar advanced as much as 12% through late September 2022 before declining through much of the rest of the reporting period as expectations for further tightening by the Fed were dialed back and
eventual easing priced in.
The Fund’s notable
detractors during the period
| • | Weak performance from interest-rate-related fixed income (global government bonds) detracted from Fund performance during the period. |
| • | Negative returns from commodity-related investments also weighed on the Fund’s results. As noted above, commodities delivered double-digit negative performance during the period. |
| • | Returns from Treasury inflation-protected securities (TIPS) were challenged during a period where real rates shifted from widely negative to positive. The Bloomberg Global Inflation-Linked Bond Index (Unhedged) was down 10.43% during the period. |
The Fund’s notable
contributors during the period
| • | The largest contributor to relative performance over the past year came from the adaptive market state classification design feature associated with the investment strategy. |
| ○ | The adaptive feature – where a market state is determined between either capital preservation, neutral, bullish, or highly bullish states – is estimated to have delivered over 50 basis points of excess return for the strategy, versus a static neutral policy risk allocation. (A basis point is 1/100 of a percent.) |
| • | An underweighted tactical allocation to real estate investment trusts (REITs) contributed, as real estate-related securities struggled during the period. The FTSE Nareit All REITs Index returned -15.69% over the 12-month period that ended May 31, 2023. |
| Columbia Adaptive Risk Allocation Fund | Annual Report 2023 | 5 |
Manager Discussion of Fund Performance (continued)
(Unaudited)
(Unaudited)
| • | Strong security selection within the REIT segment of the portfolio also helped boost relative returns and offset some of the aforementioned challenged absolute returns generated by the REIT space overall. |
Derivative usage
During the annual period, the
Fund used futures (including bond, currency, equity, index and interest rate futures), currency forwards and swaps (including credit default, credit default swap index, interest rate and total return swaps). The Fund
used derivatives for both hedging and non-hedging purposes, including, for example, seeking to enhance returns or as a substitute for a position in an underlying asset. The Fund also used derivatives to manage its
overall risk exposure and to obtain leverage (market exposure in excess of the Fund’s assets) within certain asset classes and during certain market environments in seeking to maintain attractive expected
risk-adjusted returns while adhering to the Fund’s risk allocation framework. The use of derivatives allows the Fund to pursue its risk allocation objectives. On a stand-alone basis, the net usage of derivatives
during the period had a negative impact on Fund performance.
Market risk may affect a single issuer, sector of the economy, industry or the market as a whole. The Fund’s investment in other funds subjects it to the investment performance (positive or negative), risks and expenses of these underlying funds. Asset allocation does not assure a profit or protect against loss. Investing in derivatives is a specialized activity that involves special risks that subject the Fund to significant loss potential, including when used as leverage, and may result in greater
fluctuation in Fund value. Commodity investments may be affected by the overall market and industry- and commodity-specific factors, and may be more volatile and less liquid than other investments.
Short positions (where the underlying asset is not owned) can create unlimited risk. International investing involves certain risks and volatility due to potential political, economic or currency instabilities and different financial and accounting standards. Risks are
enhanced for emerging market issuers. Investment in or exposure to foreign currencies subjects the Fund to currency fluctuation and risk of loss. Investments in small- and mid-cap companies involve risks and volatility greater than investments in larger, more established companies. Fixed-income securities present issuer default risk. A rise in interest rates may result in a price decline of fixed-income instruments held by the Fund, negatively impacting its performance and NAV. Falling rates may result in the Fund investing
in lower yielding debt instruments, lowering the Fund’s income and yield. These risks may be heightened for longer maturity and duration securities. Interest payments on inflation-protected securities may be more volatile than interest paid on ordinary bonds. In periods of deflation, these securities provide no income. Investments selected using quantitative methods may perform differently from the market as a whole and may not enable the Fund to achieve its objective. Market or other (e.g., interest rate) environments may adversely
affect the liquidity of fund investments, negatively impacting their price. Generally, the less liquid the market at the time the Fund sells a holding, the greater the risk of loss or decline
of value to the Fund. See the Fund’s prospectus for more information on these and other risks.
The views expressed in this report
reflect the current views of the respective parties who have contributed to this report. These views are not guarantees of future performance and involve certain risks, uncertainties and assumptions that are difficult
to predict, so actual outcomes and results may differ significantly from the views expressed. These views are subject to change at any time based upon economic, market or other conditions and the respective parties
disclaim any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a Columbia fund are based on numerous factors, may not be relied on as an
indication of trading intent on behalf of any particular Columbia fund. References to specific securities should not be construed as a recommendation or investment advice.
| 6 | Columbia Adaptive Risk Allocation Fund | Annual Report 2023 |
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 $1,000 = 8.6), then multiply the results by the expenses paid during the period under
the “Actual” column. The amount listed in the “Hypothetical” column assumes a 5% annual rate of return before expenses (which is not the Fund’s actual return) and then applies the
Fund’s actual expense ratio for the period to the hypothetical return. You should not use the hypothetical account values and expenses to estimate either your actual account balance at the end of the period or
the expenses you paid during the period. See “Compare with other funds” below for details on how to use the hypothetical data.
Compare with other funds
Since all mutual funds are
required to include the same hypothetical calculations about expenses in shareholder reports, you can use this information to compare the ongoing cost of investing in the Fund with other funds. To do so, compare the
hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds. As you compare hypothetical examples of other funds, it is important to note that hypothetical examples are
meant to highlight the ongoing costs of investing in a fund only and do not reflect any transaction costs, such as sales charges, or redemption or exchange fees. Therefore, the hypothetical calculations are useful in
comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. If transaction costs were included in these calculations, your costs would be higher.
| December 1, 2022 — May 31, 2023 | |||||||
| Account value at the beginning of the period ($) | 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 | 984.80 | 1,019.85 | 5.05 | 5.14 | 1.02 |
| Advisor Class | 1,000.00 | 1,000.00 | 986.50 | 1,021.09 | 3.81 | 3.88 | 0.77 |
| Class C | 1,000.00 | 1,000.00 | 981.20 | 1,016.11 | 8.74 | 8.90 | 1.77 |
| Institutional Class | 1,000.00 | 1,000.00 | 986.50 | 1,021.09 | 3.81 | 3.88 | 0.77 |
| Institutional 2 Class | 1,000.00 | 1,000.00 | 985.50 | 1,021.09 | 3.81 | 3.88 | 0.77 |
| Institutional 3 Class | 1,000.00 | 1,000.00 | 986.80 | 1,021.29 | 3.62 | 3.68 | 0.73 |
| Class R | 1,000.00 | 1,000.00 | 983.00 | 1,018.60 | 6.28 | 6.39 | 1.27 |
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.
| Columbia Adaptive Risk Allocation Fund | Annual Report 2023 | 7 |
Portfolio of Investments
May 31, 2023
May 31, 2023
(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.
| 8 | Columbia Adaptive Risk Allocation Fund | Annual Report 2023 |
Portfolio of Investments (continued)
May 31, 2023
May 31, 2023
The accompanying Notes to Financial
Statements are an integral part of this statement.
| Columbia Adaptive Risk Allocation Fund | Annual Report 2023 | 9 |
Portfolio of Investments (continued)
May 31, 2023
May 31, 2023
The accompanying Notes to Financial
Statements are an integral part of this statement.
| 10 | Columbia Adaptive Risk Allocation Fund | Annual Report 2023 |
Portfolio of Investments (continued)
May 31, 2023
May 31, 2023
At May 31, 2023, securities and/or
cash totaling $259,669,293 were pledged as collateral.
Investments in derivatives
| Forward foreign currency exchange contracts | |||||
| Currency to be sold | Currency to be purchased | Counterparty | Settlement date | Unrealized appreciation ($) | Unrealized depreciation ($) |
| 10,994,000 SGD | 8,174,452 USD | Barclays | 06/27/2023 | 37,477 | — |
| 10,891,336 USD | 118,000,000 SEK | Barclays | 06/27/2023 | — | (2,131) |
| 4,226,975 USD | 5,712,000 SGD | Barclays | 06/27/2023 | 640 | — |
| 69,308,000 CHF | 77,413,158 USD | Citi | 06/27/2023 | 1,083,323 | — |
| 445,410,296 EUR | 482,368,215 USD | Citi | 06/27/2023 | 5,556,493 | — |
| 35,143,541,280 JPY | 255,112,192 USD | Citi | 06/27/2023 | 1,863,827 | — |
| 9,808,000,000 JPY | 70,626,697 USD | Citi | 06/27/2023 | — | (50,869) |
| 24,220,607 USD | 37,200,000 AUD | Citi | 06/27/2023 | — | (307) |
| 70,483,439 USD | 9,780,000,000 JPY | Citi | 06/27/2023 | — | (7,644) |
| 98,327,000 AUD | 65,416,953 USD | Goldman Sachs International | 06/27/2023 | 1,397,882 | — |
| 110,000,000 EUR | 117,753,900 USD | Goldman Sachs International | 06/27/2023 | — | (1,100) |
| 197,948,265 GBP | 246,275,355 USD | Goldman Sachs International | 06/27/2023 | — | (99,304) |
| 132,215,000 HKD | 16,901,886 USD | Goldman Sachs International | 06/27/2023 | 6,460 | — |
| 110,782,620 USD | 103,525,000 EUR | Goldman Sachs International | 06/27/2023 | 40,892 | — |
| 9,024,992 USD | 7,254,000 GBP | Goldman Sachs International | 06/27/2023 | 3,639 | — |
| 328,286,000 CNY | 46,785,714 USD | HSBC | 06/27/2023 | 490,511 | — |
| 9,201,817 USD | 72,000,000 HKD | HSBC | 06/27/2023 | — | (1,116) |
| 138,077 USD | 2,489,000 MXN | Morgan Stanley | 06/27/2023 | 1,856 | — |
| 13,870,000 ZAR | 717,749 USD | Morgan Stanley | 06/27/2023 | 16,109 | — |
| 6,372,000 CAD | 4,717,469 USD | State Street | 06/27/2023 | 20,317 | — |
| 35,023,955 USD | 31,800,000 CHF | State Street | 06/27/2023 | — | (2,186) |
| 137,203,000 DKK | 19,957,961 USD | UBS | 06/27/2023 | 228,740 | — |
| 45,698,000 NOK | 4,205,634 USD | UBS | 06/27/2023 | 83,593 | — |
| 204,000 NZD | 127,995 USD | UBS | 06/27/2023 | 5,139 | — |
| 293,810,000 SEK | 27,908,810 USD | UBS | 06/27/2023 | 795,614 | — |
| 9,915,189 USD | 69,000,000 DKK | UBS | 06/27/2023 | 6,724 | — |
| 52,369,701 USD | 42,075,000 GBP | UBS | 06/27/2023 | — | (1,402) |
| 17,922,675 USD | 194,746,000 NOK | UBS | 06/27/2023 | — | (356,238) |
| 18,486,450 USD | 29,464,000 NZD | UBS | 06/27/2023 | — | (742,247) |
| Total | 11,639,236 | (1,264,544) | |||
| Long futures contracts | ||||||
| Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
| Australian 10-Year Bond | 249 | 06/2023 | AUD | 29,858,265 | 43,902 | — |
| Canadian Government 10-Year Bond | 8 | 09/2023 | CAD | 989,360 | — | (12) |
| Euro-Bobl | 82 | 06/2023 | EUR | 9,687,480 | 253,734 | — |
| Euro-BTP | 325 | 06/2023 | EUR | 37,687,000 | 660,087 | — |
| Euro-Bund | 371 | 06/2023 | EUR | 50,474,550 | 842,249 | — |
| Euro-Buxl 30-Year | 50 | 06/2023 | EUR | 6,935,000 | 81,526 | — |
| Euro-OAT | 382 | 06/2023 | EUR | 49,866,280 | 573,018 | — |
| Long Gilt | 800 | 09/2023 | GBP | 77,432,000 | 105,510 | — |
| MSCI EAFE Index | 35 | 06/2023 | USD | 3,593,450 | 27,550 | — |
| MSCI EAFE Index | 3,034 | 06/2023 | USD | 311,500,780 | — | (14,601,289) |
| MSCI Emerging Markets Index | 3,460 | 06/2023 | USD | 165,526,400 | — | (4,083,523) |
| Russell 2000 Index E-mini | 403 | 06/2023 | USD | 35,298,770 | — | (1,156,207) |
| S&P 500 Index E-mini | 3,584 | 06/2023 | USD | 750,937,600 | 429,708 | — |
| S&P 500 Index E-mini | 21 | 06/2023 | USD | 4,400,025 | — | (35,277) |
| S&P/TSX 60 Index | 203 | 06/2023 | CAD | 47,769,960 | — | (2,123,615) |
| U.S. Treasury 10-Year Note | 175 | 09/2023 | USD | 20,032,031 | 11,994 | — |
| U.S. Treasury 10-Year Note | 1,112 | 09/2023 | USD | 127,289,250 | — | (14,486) |
The accompanying Notes to Financial Statements are
an integral part of this statement.
| Columbia Adaptive Risk Allocation Fund | Annual Report 2023 | 11 |
Portfolio of Investments (continued)
May 31, 2023
May 31, 2023
| Long futures contracts (continued) | ||||||
| Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
| U.S. Treasury 5-Year Note | 845 | 09/2023 | USD | 92,171,016 | — | (3,505) |
| U.S. Treasury Ultra 10-Year Note | 819 | 09/2023 | USD | 98,651,109 | 513,639 | — |
| Total | 3,542,917 | (22,017,914) | ||||
| Short futures contracts | ||||||
| Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
| FTSE 100 Index | (715) | 06/2023 | GBP | (53,281,800) | 2,288,656 | — |
| FTSE 100 Index | (47) | 06/2023 | GBP | (3,502,440) | — | (70,191) |
| Japanese 10-Year Government Bond | (50) | 06/2023 | JPY | (7,430,000,000) | — | (1,178,478) |
| Total | 2,288,656 | (1,248,669) | ||||
| Cleared credit default swap contracts - sell protection | ||||||||||||
| Reference entity | Counterparty | Maturity date | Receive fixed rate (%) | Payment frequency | Implied credit spread (%)* | Notional currency | Notional amount | Value ($) | Upfront payments ($) | Upfront receipts ($) | Unrealized appreciation ($) | Unrealized depreciation ($) |
| Markit CDX Emerging Markets Index, Series 39 | Morgan Stanley | 06/20/2028 | 1.000 | Quarterly | 2.466 | USD | 215,727,000 | 1,440,751 | — | — | 1,440,751 | — |
| Markit CDX Emerging Markets Index, Series 39 | Morgan Stanley | 06/20/2028 | 1.000 | Quarterly | 2.466 | USD | 49,200,000 | (26,291) | — | — | — | (26,291) |
| Markit CDX North America High Yield Index, Series 40 | Morgan Stanley | 06/20/2028 | 5.000 | Quarterly | 4.709 | USD | 452,116,000 | 9,100,850 | — | — | 9,100,850 | — |
| Markit CDX North America Investment Grade Index, Series 40 | Morgan Stanley | 06/20/2028 | 1.000 | Quarterly | 0.749 | USD | 386,058,000 | 2,703,195 | — | — | 2,703,195 | — |
| Total | 13,218,505 | — | — | 13,244,796 | (26,291) | |||||||
* 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.
The accompanying Notes to
Financial Statements are an integral part of this statement.
| 12 | Columbia Adaptive Risk Allocation Fund | Annual Report 2023 |
Portfolio of Investments (continued)
May 31, 2023
May 31, 2023
Notes to Portfolio of
Investments
| (a) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the year ended May 31, 2023 are as follows: |
| Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Capital gain distributions($) | Realized gain (loss)($) | Dividends — affiliated issuers ($) | End of period shares |
| Columbia Commodity Strategy Fund, Institutional 3 Class | |||||||||
| 164,977,710 | 324,490,317 | (262,114,861) | (51,569,626) | 175,783,540 | — | (42,574,691) | 36,801,805 | 18,680,504 | |
| Columbia Short-Term Cash Fund, 5.241% | |||||||||
| 1,466,080,213 | 3,962,146,034 | (3,815,291,479) | (50,783) | 1,612,883,985 | — | (62,120) | 51,411,445 | 1,613,690,830 | |
| Columbia Solutions Aggressive Portfolio | |||||||||
| 1,162,360 | 94,688 | — | (136,420) | 1,120,628 | — | — | 94,688 | 141,672 | |
| Columbia Solutions Conservative Portfolio | |||||||||
| 6,313,677 | 295,609 | — | (336,775) | 6,272,511 | — | — | 295,609 | 704,777 | |
| Total | 1,638,533,960 | (52,093,604) | 1,796,060,664 | — | (42,636,811) | 88,603,547 | |||
| (b) | Principal amounts are denominated in United States Dollars unless otherwise noted. |
| (c) | Principal and interest may not be guaranteed by a governmental entity. |
| (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 May 31, 2023, the total value of these securities amounted to $495,397,270, which represents 14.00% of total net assets. |
| (e) | Zero coupon bond. |
| (f) | Represents a security purchased on a when-issued basis. |
| (g) | The rate shown is the seven-day current annualized yield at May 31, 2023. |
Abbreviation Legend
| TBA | To Be Announced |
Currency Legend
| AUD | Australian Dollar |
| CAD | Canada Dollar |
| CHF | Swiss Franc |
| CNY | China Yuan Renminbi |
| DKK | Danish Krone |
| EUR | Euro |
| GBP | British Pound |
| HKD | Hong Kong Dollar |
| JPY | Japanese Yen |
| MXN | Mexican Peso |
| NOK | Norwegian Krone |
| NZD | New Zealand Dollar |
| SEK | Swedish Krona |
| SGD | Singapore Dollar |
| USD | US Dollar |
| ZAR | South African Rand |
The accompanying Notes to Financial Statements are
an integral part of this statement.
| Columbia Adaptive Risk Allocation Fund | Annual Report 2023 | 13 |
Portfolio of Investments (continued)
May 31, 2023
May 31, 2023
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.
Certain investments that have been
measured at fair value using the net asset value (NAV) per share (or its equivalent) are not categorized in the fair value hierarchy. The fair value amounts presented in the table are intended to reconcile the fair
value hierarchy to the amounts presented in the Portfolio of Investments. The Columbia Solutions Portfolios serve as investment vehicles for the Columbia Adaptive Retirement Funds and each pursues consistent total
returns by seeking to allocate risks across multiple asset classes. Investments in the Columbia Solutions Portfolios may be redeemed on a daily basis without restriction.
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.
The Fund’s Board of Trustees
(the Board) has designated the Investment Manager, through its Valuation Committee (the Committee), as valuation designee, responsible for determining the fair value of the assets of the Fund for which market
quotations are not readily available using 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 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. Representatives of Columbia Management Investment
Advisers, LLC report to 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 May 31, 2023:
| Level 1 ($) | Level 2 ($) | Level 3 ($) | Assets at NAV ($) | Total ($) | |
| Investments in Securities | |||||
| Alternative Strategies Funds | 175,783,540 | — | — | — | 175,783,540 |
| Common Stocks | |||||
| Consumer Discretionary | 3,303,617 | — | — | — | 3,303,617 |
| Real Estate | 174,070,094 | — | — | — | 174,070,094 |
| Total Common Stocks | 177,373,711 | — | — | — | 177,373,711 |
| Foreign Government Obligations | — | 462,969,910 | — | — | 462,969,910 |
| Inflation-Indexed Bonds | — | 418,147,548 | — | — | 418,147,548 |
| Multi-Asset/Tactical Strategies Funds | — | — | — | 7,393,139 | 7,393,139 |
| Residential Mortgage-Backed Securities - Agency | — | 264,352,115 | — | — | 264,352,115 |
| U.S. Treasury Obligations | — | 745,035,084 | — | — | 745,035,084 |
| Money Market Funds | 1,612,883,985 | — | — | — | 1,612,883,985 |
| Total Investments in Securities | 1,966,041,236 | 1,890,504,657 | — | 7,393,139 | 3,863,939,032 |
| Investments in Derivatives | |||||
| Asset | |||||
| Forward Foreign Currency Exchange Contracts | — | 11,639,236 | — | — | 11,639,236 |
| Futures Contracts | 5,831,573 | — | — | — | 5,831,573 |
| Swap Contracts | — | 13,244,796 | — | — | 13,244,796 |
The accompanying Notes to Financial Statements are
an integral part of this statement.
| 14 | Columbia Adaptive Risk Allocation Fund | Annual Report 2023 |
Portfolio of Investments (continued)
May 31, 2023
May 31, 2023
Fair value measurements (continued)
| Level 1 ($) | Level 2 ($) | Level 3 ($) | Assets at NAV ($) | Total ($) | |
| Liability | |||||
| Forward Foreign Currency Exchange Contracts | — | (1,264,544) | — | — | (1,264,544) |
| Futures Contracts | (23,266,583) | — | — | — | (23,266,583) |
| Swap Contracts | — | (26,291) | — | — | (26,291) |
| Total | 1,948,606,226 | 1,914,097,854 | — | 7,393,139 | 3,870,097,219 |
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 accompanying Notes to Financial Statements are
an integral part of this statement.
| Columbia Adaptive Risk Allocation Fund | Annual Report 2023 | 15 |
Statement of Assets and Liabilities
May 31, 2023
May 31, 2023
| Assets | |
| Investments in securities, at value | |
| Unaffiliated issuers (cost $2,307,064,409) | $2,067,878,368 |
| Affiliated issuers (cost $1,816,115,804) | 1,796,060,664 |
| Cash | 15 |
| Foreign currency (cost $6,624,817) | 6,613,848 |
| Cash collateral held at broker for: | |
| TBA | 8,541,000 |
| Margin deposits on: | |
| Futures contracts | 128,774,267 |
| Swap contracts | 122,354,025 |
| Unrealized appreciation on forward foreign currency exchange contracts | 11,639,236 |
| Receivable for: | |
| Investments sold | 275,005,166 |
| Investments sold on a delayed delivery basis | 10,317,314 |
| Capital shares sold | 2,840,749 |
| Dividends | 6,709,412 |
| Interest | 5,015,429 |
| Foreign tax reclaims | 306,994 |
| Variation margin for futures contracts | 1,974,723 |
| Variation margin for swap contracts | 8,760,921 |
| Prepaid expenses | 24,482 |
| Trustees’ deferred compensation plan | 136,300 |
| Total assets | 4,452,952,913 |
| Liabilities | |
| Unrealized depreciation on forward foreign currency exchange contracts | 1,264,544 |
| Payable for: | |
| Investments purchased | 600,827,211 |
| Investments purchased on a delayed delivery basis | 279,941,540 |
| Capital shares purchased | 6,668,087 |
| Variation margin for futures contracts | 20,092,603 |
| Variation margin for swap contracts | 4,742,821 |
| Management services fees | 65,343 |
| Distribution and/or service fees | 2,805 |
| Transfer agent fees | 173,160 |
| Compensation of board members | 61,051 |
| Other expenses | 131,746 |
| Trustees’ deferred compensation plan | 136,300 |
| Total liabilities | 914,107,211 |
| Net assets applicable to outstanding capital stock | $3,538,845,702 |
| Represented by | |
| Paid in capital | 4,448,990,064 |
| Total distributable earnings (loss) | (910,144,362) |
| Total - representing net assets applicable to outstanding capital stock | $3,538,845,702 |
The accompanying Notes to Financial Statements are
an integral part of this statement.
| 16 | Columbia Adaptive Risk Allocation Fund | Annual Report 2023 |
Statement of Assets and Liabilities (continued)
May 31, 2023
May 31, 2023
| Class A | |
| Net assets | $149,172,828 |
| Shares outstanding | 17,611,967 |
| Net asset value per share | $8.47 |
| 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) | $8.99 |
| Advisor Class | |
| Net assets | $60,582,180 |
| Shares outstanding | 7,136,755 |
| Net asset value per share | $8.49 |
| Class C | |
| Net assets | $63,997,597 |
| Shares outstanding | 7,994,418 |
| Net asset value per share | $8.01 |
| Institutional Class | |
| Net assets | $3,190,279,701 |
| Shares outstanding | 376,188,392 |
| Net asset value per share | $8.48 |
| Institutional 2 Class | |
| Net assets | $54,967,683 |
| Shares outstanding | 6,457,511 |
| Net asset value per share | $8.51 |
| Institutional 3 Class | |
| Net assets | $19,004,651 |
| Shares outstanding | 2,231,201 |
| Net asset value per share | $8.52 |
| Class R | |
| Net assets | $841,062 |
| Shares outstanding | 100,687 |
| Net asset value per share | $8.35 |
The accompanying Notes to Financial Statements are
an integral part of this statement.
| Columbia Adaptive Risk Allocation Fund | Annual Report 2023 | 17 |
Statement of Operations
Year Ended May 31, 2023
Year Ended May 31, 2023
| Net investment income | |
| Income: | |
| Dividends — unaffiliated issuers | $3,222,113 |
| Dividends — affiliated issuers | 88,603,547 |
| Interest | 51,540,615 |
| Interfund lending | 15,658 |
| Foreign taxes withheld | (57,218) |
| Total income | 143,324,715 |
| Expenses: | |
| Management services fees | 26,617,496 |
| Distribution and/or service fees | |
| Class A | 419,544 |
| Class C | 777,638 |
| Class R | 4,236 |
| Transfer agent fees | |
| Class A | 88,040 |
| Advisor Class | 37,655 |
| Class C | 40,799 |
| Institutional Class | 1,800,892 |
| Institutional 2 Class | 34,046 |
| Institutional 3 Class | 3,310 |
| Class R | 444 |
| Compensation of board members | 79,062 |
| Custodian fees | 176,492 |
| Printing and postage fees | 141,628 |
| Registration fees | 241,800 |
| Accounting services fees | 50,490 |
| Legal fees | 63,843 |
| Interest on collateral | 136,538 |
| Compensation of chief compliance officer | 733 |
| Other | 63,443 |
| Total expenses | 30,778,129 |
| Expense reduction | (40) |
| Total net expenses | 30,778,089 |
| Net investment income | 112,546,626 |
| Realized and unrealized gain (loss) — net | |
| Net realized gain (loss) on: | |
| Investments — unaffiliated issuers | (258,273,151) |
| Investments — affiliated issuers | (42,636,811) |
| Foreign currency translations | (2,979,189) |
| Forward foreign currency exchange contracts | 71,494,985 |
| Futures contracts | (136,008,685) |
| Swap contracts | (5,568,424) |
| Net realized loss | (373,971,275) |
| Net change in unrealized appreciation (depreciation) on: | |
| Investments — unaffiliated issuers | 34,410,476 |
| Investments — affiliated issuers | (52,093,604) |
| Foreign currency translations | 109,709 |
| Forward foreign currency exchange contracts | 8,729,637 |
| Futures contracts | 22,283,735 |
| Swap contracts | 17,655,322 |
| Net change in unrealized appreciation (depreciation) | 31,095,275 |
| Net realized and unrealized loss | (342,876,000) |
| Net decrease in net assets resulting from operations | $(230,329,374) |
The accompanying Notes to Financial
Statements are an integral part of this statement.
| 18 | Columbia Adaptive Risk Allocation Fund | Annual Report 2023 |
Statement of Changes in Net Assets
| Year Ended May 31, 2023 | Year Ended May 31, 2022 | |
| Operations | ||
| Net investment income | $112,546,626 | $134,600,213 |
| Net realized gain (loss) | (373,971,275) | 301,875,906 |
| Net change in unrealized appreciation (depreciation) | 31,095,275 | (586,554,467) |
| Net decrease in net assets resulting from operations | (230,329,374) | (150,078,348) |
| Distributions to shareholders | ||
| Net investment income and net realized gains | ||
| Class A | (11,873,896) | (32,135,555) |
| Advisor Class | (5,273,571) | (15,402,896) |
| Class C | (5,093,443) | (19,874,747) |
| Institutional Class | (251,264,077) | (688,785,814) |
| Institutional 2 Class | (4,075,406) | (10,298,112) |
| Institutional 3 Class | (1,397,994) | (3,879,770) |
| Class R | (58,023) | (143,242) |
| Total distributions to shareholders | (279,036,410) | (770,520,136) |
| Increase (decrease) in net assets from capital stock activity | (95,567,586) | 796,520,568 |
| Total decrease in net assets | (604,933,370) | (124,077,916) |
| Net assets at beginning of year | 4,143,779,072 | 4,267,856,988 |
| Net assets at end of year | $3,538,845,702 | $4,143,779,072 |
The accompanying Notes to
Financial Statements are an integral part of this statement.
| Columbia Adaptive Risk Allocation Fund | Annual Report 2023 | 19 |
Statement of Changes in Net Assets (continued)
| Year Ended | Year Ended | |||
| May 31, 2023 | May 31, 2022 | |||
| Shares | Dollars ($) | Shares | Dollars ($) | |
| Capital stock activity | ||||
| Class A | ||||
| Subscriptions | 2,634,914 | 23,700,063 | 5,594,187 | 60,975,090 |
| Distributions reinvested | 1,304,532 | 11,010,253 | 2,892,709 | 30,402,371 |
| Redemptions | (5,434,560) | (48,034,292) | (3,845,595) | (41,535,809) |
| Net increase (decrease) | (1,495,114) | (13,323,976) | 4,641,301 | 49,841,652 |
| Advisor Class | ||||
| Subscriptions | 1,143,174 | 10,469,562 | 4,316,404 | 50,176,542 |
| Distributions reinvested | 624,051 | 5,273,235 | 1,464,052 | 15,401,823 |
| Redemptions | (3,545,592) | (31,729,001) | (1,956,212) | (21,388,286) |
| Net increase (decrease) | (1,778,367) | (15,986,204) | 3,824,244 | 44,190,079 |
| Class C | ||||
| Subscriptions | 456,117 | 3,888,469 | 1,315,151 | 14,422,781 |
| Distributions reinvested | 625,107 | 5,000,855 | 1,938,855 | 19,369,165 |
| Redemptions | (3,328,572) | (28,096,249) | (2,798,883) | (28,824,303) |
| Net increase (decrease) | (2,247,348) | (19,206,925) | 455,123 | 4,967,643 |
| Institutional Class | ||||
| Subscriptions | 64,767,472 | 582,553,921 | 81,121,176 | 911,145,226 |
| Distributions reinvested | 29,058,557 | 245,254,217 | 63,639,272 | 668,848,747 |
| Redemptions | (98,381,681) | (875,993,796) | (80,310,337) | (897,830,976) |
| Net increase (decrease) | (4,555,652) | (48,185,658) | 64,450,111 | 682,162,997 |
| Institutional 2 Class | ||||
| Subscriptions | 2,999,867 | 26,797,099 | 4,439,815 | 49,138,569 |
| Distributions reinvested | 481,158 | 4,075,406 | 976,124 | 10,298,112 |
| Redemptions | (3,569,514) | (31,668,939) | (4,172,968) | (47,429,487) |
| Net increase (decrease) | (88,489) | (796,434) | 1,242,971 | 12,007,194 |
| Institutional 3 Class | ||||
| Subscriptions | 121,791 | 1,092,634 | 142,545 | 1,630,519 |
| Distributions reinvested | 164,838 | 1,397,826 | 367,700 | 3,879,234 |
| Redemptions | (65,570) | (602,579) | (258,132) | (2,731,456) |
| Net increase | 221,059 | 1,887,881 | 252,113 | 2,778,297 |
| Class R | ||||
| Subscriptions | 8,821 | 76,894 | 50,566 | 577,024 |
| Distributions reinvested | 6,945 | 57,852 | 13,745 | 142,672 |
| Redemptions | (10,310) | (91,016) | (13,213) | (146,990) |
| Net increase | 5,456 | 43,730 | 51,098 | 572,706 |
| Total net increase (decrease) | (9,938,455) | (95,567,586) | 74,916,961 | 796,520,568 |
The accompanying Notes to Financial Statements are
an integral part of this statement.
| 20 | Columbia Adaptive Risk Allocation Fund | Annual Report 2023 |
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 ratios of expenses and net investment income are 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 | |||||||
| Year Ended 5/31/2023 | $9.69 | 0.24 | (0.80) | (0.56) | (0.66) | — | (0.66) |
| Year Ended 5/31/2022 | $12.10 | 0.32 | (0.59) | (0.27) | (0.42) | (1.72) | (2.14) |
| Year Ended 5/31/2021 | $10.25 | (0.01) | 1.97 | 1.96 | (0.04) | (0.07) | (0.11) |
| Year Ended 5/31/2020 | $10.44 | 0.08 | 0.51 | 0.59 | (0.26) | (0.52) | (0.78) |
| Year Ended 5/31/2019 | $10.81 | 0.20 | 0.01 | 0.21 | (0.35) | (0.23) | (0.58) |
| Advisor Class | |||||||
| Year Ended 5/31/2023 | $9.71 | 0.27 | (0.81) | (0.54) | (0.68) | — | (0.68) |
| Year Ended 5/31/2022 | $12.12 | 0.38 | (0.62) | (0.24) | (0.44) | (1.73) | (2.17) |
| Year Ended 5/31/2021 | $10.37 | 0.02 | 1.98 | 2.00 | (0.10) | (0.15) | (0.25) |
| Year Ended 5/31/2020 | $10.55 | 0.10 | 0.53 | 0.63 | (0.29) | (0.52) | (0.81) |
| Year Ended 5/31/2019 | $10.92 | 0.23 | 0.01 | 0.24 | (0.38) | (0.23) | (0.61) |
| Class C | |||||||
| Year Ended 5/31/2023 | $9.18 | 0.17 | (0.76) | (0.59) | (0.58) | — | (0.58) |
| Year Ended 5/31/2022 | $11.57 | 0.23 | (0.57) | (0.34) | (0.37) | (1.68) | (2.05) |
| Year Ended 5/31/2021 | $9.85 | (0.09) | 1.87 | 1.78 | — | (0.06) | (0.06) |
| Year Ended 5/31/2020 | $10.05 | 0.00(e) | 0.50 | 0.50 | (0.18) | (0.52) | (0.70) |
| Year Ended 5/31/2019 | $10.42 | 0.11 | 0.02 | 0.13 | (0.27) | (0.23) | (0.50) |
| Institutional Class | |||||||
| Year Ended 5/31/2023 | $9.70 | 0.27 | (0.81) | (0.54) | (0.68) | — | (0.68) |
| Year Ended 5/31/2022 | $12.11 | 0.35 | (0.59) | (0.24) | (0.44) | (1.73) | (2.17) |
| Year Ended 5/31/2021 | $10.36 | 0.02 | 1.98 | 2.00 | (0.10) | (0.15) | (0.25) |
| Year Ended 5/31/2020 | $10.55 | 0.11 | 0.51 | 0.62 | (0.29) | (0.52) | (0.81) |
| Year Ended 5/31/2019 | $10.91 | 0.22 | 0.03 | 0.25 | (0.38) | (0.23) | (0.61) |
| Institutional 2 Class | |||||||
| Year Ended 5/31/2023 | $9.74 | 0.26 | (0.81) | (0.55) | (0.68) | — | (0.68) |
| Year Ended 5/31/2022 | $12.15 | 0.32 | (0.56) | (0.24) | (0.44) | (1.73) | (2.17) |
| Year Ended 5/31/2021 | $10.39 | 0.02 | 1.98 | 2.00 | (0.10) | (0.14) | (0.24) |
| Year Ended 5/31/2020 | $10.57 | 0.10 | 0.53 | 0.63 | (0.29) | (0.52) | (0.81) |
| Year Ended 5/31/2019 | $10.93 | 0.22 | 0.03 | 0.25 | (0.38) | (0.23) | (0.61) |
The accompanying Notes to
Financial Statements are an integral part of this statement.
| 22 | Columbia Adaptive Risk Allocation Fund | Annual Report 2023 |
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 | |||||||
| Year Ended 5/31/2023 | $8.47 | (5.79%) | 1.02%(c) | 1.02%(c),(d) | 2.71% | 199% | $149,173 |
| Year Ended 5/31/2022 | $9.69 | (3.62%) | 1.00%(c) | 1.00%(c) | 2.82% | 260% | $185,112 |
| Year Ended 5/31/2021 | $12.10 | 19.17% | 1.00%(c) | 1.00%(c) | (0.06%) | 227% | $175,015 |
| Year Ended 5/31/2020 | $10.25 | 5.41% | 1.01%(c) | 1.01%(c),(d) | 0.74% | 314% | $141,074 |
| Year Ended 5/31/2019 | $10.44 | 2.33% | 1.00% | 1.00%(d) | 1.87% | 203% | $120,147 |
| Advisor Class | |||||||
| Year Ended 5/31/2023 | $8.49 | (5.52%) | 0.77%(c) | 0.77%(c),(d) | 2.96% | 199% | $60,582 |
| Year Ended 5/31/2022 | $9.71 | (3.36%) | 0.75%(c) | 0.75%(c) | 3.39% | 260% | $86,570 |
| Year Ended 5/31/2021 | $12.12 | 19.38% | 0.75%(c) | 0.75%(c) | 0.20% | 227% | $61,716 |
| Year Ended 5/31/2020 | $10.37 | 5.71% | 0.76%(c) | 0.76%(c),(d) | 0.98% | 314% | $41,312 |
| Year Ended 5/31/2019 | $10.55 | 2.58% | 0.75% | 0.75%(d) | 2.14% | 203% | $30,420 |
| Class C | |||||||
| Year Ended 5/31/2023 | $8.01 | (6.37%) | 1.77%(c) | 1.77%(c),(d) | 1.95% | 199% | $63,998 |
| Year Ended 5/31/2022 | $9.18 | (4.39%) | 1.75%(c) | 1.75%(c) | 2.11% | 260% | $94,069 |
| Year Ended 5/31/2021 | $11.57 | 18.14% | 1.75%(c) | 1.75%(c) | (0.80%) | 227% | $113,245 |
| Year Ended 5/31/2020 | $9.85 | 4.73% | 1.76%(c) | 1.76%(c),(d) | 0.00% | 314% | $95,090 |
| Year Ended 5/31/2019 | $10.05 | 1.56% | 1.75% | 1.75%(d) | 1.10% | 203% | $94,648 |
| Institutional Class | |||||||
| Year Ended 5/31/2023 | $8.48 | (5.52%) | 0.77%(c) | 0.77%(c),(d) | 2.97% | 199% | $3,190,280 |
| Year Ended 5/31/2022 | $9.70 | (3.37%) | 0.75%(c) | 0.75%(c) | 3.08% | 260% | $3,693,809 |
| Year Ended 5/31/2021 | $12.11 | 19.40% | 0.75%(c) | 0.75%(c) | 0.19% | 227% | $3,831,565 |
| Year Ended 5/31/2020 | $10.36 | 5.62% | 0.76%(c) | 0.76%(c),(d) | 1.00% | 314% | $2,845,593 |
| Year Ended 5/31/2019 | $10.55 | 2.67% | 0.75% | 0.75%(d) | 2.11% | 203% | $2,618,924 |
| Institutional 2 Class | |||||||
| Year Ended 5/31/2023 | $8.51 | (5.60%) | 0.78%(c) | 0.78%(c) | 2.92% | 199% | $54,968 |
| Year Ended 5/31/2022 | $9.74 | (3.36%) | 0.76%(c) | 0.76%(c) | 2.78% | 260% | $63,729 |
| Year Ended 5/31/2021 | $12.15 | 19.38% | 0.76%(c) | 0.76%(c) | 0.17% | 227% | $64,418 |
| Year Ended 5/31/2020 | $10.39 | 5.69% | 0.77%(c) | 0.77%(c) | 0.95% | 314% | $38,829 |
| Year Ended 5/31/2019 | $10.57 | 2.65% | 0.76% | 0.76% | 2.10% | 203% | $22,397 |
The accompanying Notes to
Financial Statements are an integral part of this statement.
| Columbia Adaptive Risk Allocation Fund | Annual Report 2023 | 23 |
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 | |||||||
| Year Ended 5/31/2023 | $9.74 | 0.27 | (0.81) | (0.54) | (0.68) | — | (0.68) |
| Year Ended 5/31/2022 | $12.16 | 0.36 | (0.61) | (0.25) | (0.44) | (1.73) | (2.17) |
| Year Ended 5/31/2021 | $10.41 | 0.03 | 1.99 | 2.02 | (0.11) | (0.16) | (0.27) |
| Year Ended 5/31/2020 | $10.59 | 0.11 | 0.52 | 0.63 | (0.29) | (0.52) | (0.81) |
| Year Ended 5/31/2019 | $10.95 | 0.32 | (0.07)(f) | 0.25 | (0.38) | (0.23) | (0.61) |
| Class R | |||||||
| Year Ended 5/31/2023 | $9.56 | 0.22 | (0.80) | (0.58) | (0.63) | — | (0.63) |
| Year Ended 5/31/2022 | $11.97 | 0.30 | (0.60) | (0.30) | (0.40) | (1.71) | (2.11) |
| Year Ended 5/31/2021 | $10.13 | (0.03) | 1.93 | 1.90 | — | (0.06) | (0.06) |
| Year Ended 5/31/2020 | $10.32 | 0.05 | 0.52 | 0.57 | (0.24) | (0.52) | (0.76) |
| Year Ended 5/31/2019 | $10.69 | 0.16 | 0.02 | 0.18 | (0.32) | (0.23) | (0.55) |
| 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) | Ratios include interest on collateral expense. For the periods indicated below, if interest on collateral expense had been excluded, expenses would have been lower by: |
| Class | 5/31/2023 | 5/31/2022 | 5/31/2021 | 5/31/2020 |
| Class A | less than 0.01% | 0.01% | less than 0.01% | less than 0.01% |
| Advisor Class | less than 0.01% | 0.01% | less than 0.01% | less than 0.01% |
| Class C | less than 0.01% | 0.01% | less than 0.01% | less than 0.01% |
| Institutional Class | less than 0.01% | 0.01% | less than 0.01% | less than 0.01% |
| Institutional 2 Class | less than 0.01% | 0.01% | less than 0.01% | less than 0.01% |
| Institutional 3 Class | less than 0.01% | 0.01% | less than 0.01% | less than 0.01% |
| Class R | less than 0.01% | 0.01% | less than 0.01% | less than 0.01% |
| (d) | The benefits derived from expense reductions had an impact of less than 0.01%. |
| (e) | Rounds to zero. |
| (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.
| 24 | Columbia Adaptive Risk Allocation Fund | Annual Report 2023 |
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 | |||||||
| Year Ended 5/31/2023 | $8.52 | (5.47%) | 0.74%(c) | 0.74%(c) | 3.02% | 199% | $19,005 |
| Year Ended 5/31/2022 | $9.74 | (3.40%) | 0.72%(c) | 0.72%(c) | 3.13% | 260% | $19,579 |
| Year Ended 5/31/2021 | $12.16 | 19.53% | 0.71%(c) | 0.71%(c) | 0.23% | 227% | $21,369 |
| Year Ended 5/31/2020 | $10.41 | 5.73% | 0.72%(c) | 0.72%(c) | 1.04% | 314% | $14,168 |
| Year Ended 5/31/2019 | $10.59 | 2.67% | 0.71% | 0.71% | 3.02% | 203% | $13,063 |
| Class R | |||||||
| Year Ended 5/31/2023 | $8.35 | (6.02%) | 1.27%(c) | 1.27%(c),(d) | 2.47% | 199% | $841 |
| Year Ended 5/31/2022 | $9.56 | (3.91%) | 1.25%(c) | 1.25%(c) | 2.69% | 260% | $911 |
| Year Ended 5/31/2021 | $11.97 | 18.82% | 1.25%(c) | 1.25%(c) | (0.31%) | 227% | $528 |
| Year Ended 5/31/2020 | $10.13 | 5.22% | 1.26%(c) | 1.26%(c),(d) | 0.51% | 314% | $363 |
| Year Ended 5/31/2019 | $10.32 | 2.07% | 1.25% | 1.25%(d) | 1.54% | 203% | $424 |
The accompanying Notes to Financial Statements are
an integral part of this statement.
| Columbia Adaptive Risk Allocation Fund | Annual Report 2023 | 25 |
Notes to Financial Statements
May 31, 2023
May 31, 2023
Note 1. Organization
Columbia Adaptive Risk Allocation
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 invests significantly in
shares of affiliated funds managed by Columbia Management Investment Advisers, LLC (the Investment Manager), a wholly-owned subsidiary of Ameriprise Financial, Inc. (Ameriprise Financial), or its affiliates as well as
third-party advised (unaffiliated) funds, including exchange-traded funds (collectively, Underlying Funds).
For information on the Underlying
Funds, please refer to the Fund’s current prospectus and the prospectuses of the Underlying Funds, which are available, free of charge, from the Securities and Exchange Commission website at www.sec.gov.
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 8 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 price 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 ask prices. Listed preferred stocks convertible into common stocks are valued using an evaluated price from a pricing service.
Debt securities generally are
valued based on prices obtained from pricing services, which are intended to reflect 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.
| 26 | Columbia Adaptive Risk Allocation Fund | Annual Report 2023 |
Notes to Financial Statements (continued)
May 31, 2023
May 31, 2023
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 the Underlying Funds
(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.
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
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
| Columbia Adaptive Risk Allocation Fund | Annual Report 2023 | 27 |
Notes to Financial Statements (continued)
May 31, 2023
May 31, 2023
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, failure of the clearinghouse or CCP may pose additional counterparty credit risk. 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 and such shortfall is remedied by the CCP or otherwise, 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 instruments’ 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 or receive interest income on cash collateral pledged to the broker. 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.
| 28 | Columbia Adaptive Risk Allocation Fund | Annual Report 2023 |
Notes to Financial Statements (continued)
May 31, 2023
May 31, 2023
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 foreign currency exposure back to U.S. dollars, to shift U.S. dollar exposure to achieve a representative weighted mix of major currencies in its
benchmark and to generate total return through long and short currency positions versus the U.S. dollar. 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, to manage exposure to movements in interest rates and to maintain appropriate equity market exposure while keeping sufficient cash to accommodate daily redemptions. 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 generally expects to earn interest income on its margin deposits. 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 are entered into bilaterally 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.
| Columbia Adaptive Risk Allocation Fund | Annual Report 2023 | 29 |
Notes to Financial Statements (continued)
May 31, 2023
May 31, 2023
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 bilateral counterparty, FCM or CCP, as applicable, 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 or 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 payment or receipt 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.
| 30 | Columbia Adaptive Risk Allocation Fund | Annual Report 2023 |
Notes to Financial Statements (continued)
May 31, 2023
May 31, 2023
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 May 31, 2023:
| 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 | 13,244,796* |
| Equity risk | Component of total distributable earnings (loss) — unrealized appreciation on futures contracts | 2,745,914* |
| Foreign exchange risk | Unrealized appreciation on forward foreign currency exchange contracts | 11,639,236 |
| Interest rate risk | Component of total distributable earnings (loss) — unrealized appreciation on futures contracts | 3,085,659* |
| Total | 30,715,605 |
| Liability derivatives | ||
| Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
| Credit risk | Component of total distributable earnings (loss) — unrealized depreciation on swap contracts | 26,291* |
| Equity risk | Component of total distributable earnings (loss) — unrealized depreciation on futures contracts | 22,070,102* |
| Foreign exchange risk | Unrealized depreciation on forward foreign currency exchange contracts | 1,264,544 |
| Interest rate risk | Component of total distributable earnings (loss) — unrealized depreciation on futures contracts | 1,196,481* |
| Total | 24,557,418 |
| * | Includes cumulative appreciation (depreciation) as reported in the tables following the Portfolio of Investments. Only the current day’s variation margin for futures and centrally cleared swaps, if any, is reported in receivables or payables in the Statement of Assets and Liabilities. |
| Columbia Adaptive Risk Allocation Fund | Annual Report 2023 | 31 |
Notes to Financial Statements (continued)
May 31, 2023
May 31, 2023
The following table indicates the
effect of derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) in the Statement of Operations for the year ended May 31, 2023:
| Amount of realized gain (loss) on derivatives recognized in income | ||||
| Risk exposure category | Forward foreign currency exchange contracts ($) | Futures contracts ($) | Swap contracts ($) | Total ($) |
| Credit risk | — | — | (5,568,424) | (5,568,424) |
| Equity risk | — | (52,963,961) | — | (52,963,961) |
| Foreign exchange risk | 71,494,985 | — | — | 71,494,985 |
| Interest rate risk | — | (83,044,724) | — | (83,044,724) |
| Total | 71,494,985 | (136,008,685) | (5,568,424) | (70,082,124) |
| Change in unrealized appreciation (depreciation) on derivatives recognized in income | ||||
| Risk exposure category | Forward foreign currency exchange contracts ($) | Futures contracts ($) | Swap contracts ($) | Total ($) |
| Credit risk | — | — | 17,655,322 | 17,655,322 |
| Equity risk | — | (8,947,867) | — | (8,947,867) |
| Foreign exchange risk | 8,729,637 | — | — | 8,729,637 |
| Interest rate risk | — | 31,231,602 | — | 31,231,602 |
| Total | 8,729,637 | 22,283,735 | 17,655,322 | 48,668,694 |
The following table is a summary
of the average outstanding volume by derivative instrument for the year ended May 31, 2023:
| Derivative instrument | Average notional amounts ($)* |
| Futures contracts — long | 1,620,147,427 |
| Futures contracts — short | 92,211,319 |
| Credit default swap contracts — sell protection | 720,142,310 |
| Derivative instrument | Average unrealized appreciation ($)* | Average unrealized depreciation ($)* |
| Forward foreign currency exchange contracts | 19,001,223 | (3,269,831) |
| * | Based on the ending quarterly outstanding amounts for the year ended May 31, 2023. |
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.
| 32 | Columbia Adaptive Risk Allocation Fund | Annual Report 2023 |
Notes to Financial Statements (continued)
May 31, 2023
May 31, 2023
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. These transactions may increase the Fund’s portfolio turnover rate. During the roll period, the Fund loses the right to receive principal and interest paid on the
securities sold. However, the Fund may 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 may
diminish the investment performance of the Fund compared to what the performance would have been without the use of mortgage dollar rolls. 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. 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. The Fund does not currently enter into mortgage dollar rolls that are accounted for as financing
transactions.
Treasury inflation protected
securities
The Fund may invest in treasury
inflation protected securities (TIPS). The principal amount of TIPS is adjusted periodically and is increased for inflation or decreased for deflation based on a monthly published index. These adjustments are recorded
as interest income in the Statement of Operations. Coupon payments are based on the adjusted principal at the time the interest is paid.
| Columbia Adaptive Risk Allocation Fund | Annual Report 2023 | 33 |
Notes to Financial Statements (continued)
May 31, 2023
May 31, 2023
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 May 31, 2023:
| Barclays ($) | Citi ($) | Goldman Sachs International ($) | HSBC ($) | Morgan Stanley ($)(a) | Morgan Stanley ($)(a) | State Street ($) | UBS ($) | Total ($) | |
| Assets | |||||||||
| Centrally cleared credit default swap contracts (b) | — | — | — | — | — | 8,760,921 | — | — | 8,760,921 |
| Forward foreign currency exchange contracts | 38,117 | 8,503,643 | 1,448,873 | 490,511 | 17,965 | — | 20,317 | 1,119,810 | 11,639,236 |
| Total assets | 38,117 | 8,503,643 | 1,448,873 | 490,511 | 17,965 | 8,760,921 | 20,317 | 1,119,810 | 20,400,157 |
| Liabilities | |||||||||
| Centrally cleared credit default swap contracts (b) | — | — | — | — | — | 4,742,821 | — | — | 4,742,821 |
| Forward foreign currency exchange contracts | 2,131 | 58,820 | 100,404 | 1,116 | — | — | 2,186 | 1,099,887 | 1,264,544 |
| Total liabilities | 2,131 | 58,820 | 100,404 | 1,116 | — | 4,742,821 | 2,186 | 1,099,887 | 6,007,365 |
| Total financial and derivative net assets | 35,986 | 8,444,823 | 1,348,469 | 489,395 | 17,965 | 4,018,100 | 18,131 | 19,923 | 14,392,792 |
| Total collateral received (pledged) (c) | — | — | — | — | — | — | — | — | — |
| Net amount (d) | 35,986 | 8,444,823 | 1,348,469 | 489,395 | 17,965 | 4,018,100 | 18,131 | 19,923 | 14,392,792 |
| (a) | Exposure can only be netted across transactions governed under the same master agreement with the same legal entity. |
| (b) | Centrally cleared swaps are included within payable/receivable for variation margin in the Statement of Assets and Liabilities. |
| (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
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. The Fund may also adjust
accrual rates when it becomes probable the full interest will not be collected and a partial payment will be received. A defaulted debt security is removed from non-accrual status when the issuer resumes interest
payments or when collectability 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
| 34 | Columbia Adaptive Risk Allocation Fund | Annual Report 2023 |
Notes to Financial Statements (continued)
May 31, 2023
May 31, 2023
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.
Income and capital gain
distributions from the Underlying Funds, if any, are 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.
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 in 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.
| Columbia Adaptive Risk Allocation Fund | Annual Report 2023 | 35 |
Notes to Financial Statements (continued)
May 31, 2023
May 31, 2023
Recent accounting pronouncement
Tailored Shareholder Reports
In October 2022, the Securities and
Exchange Commission (SEC) adopted a final rule relating to Tailored Shareholder Reports for Mutual Funds and Exchange-Traded Funds; Fee Information in Investment Company Advertisements. The rule and form amendments
will, among other things, require the Fund to transmit concise and visually engaging shareholder reports that highlight key information. The amendments will require that funds tag information in a structured data
format and that certain more in-depth information be made available online and available for delivery free of charge to investors on request. The amendments became effective January 24, 2023. There is an 18-month
transition period after the effective date of the amendment.
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). 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 a blend of (i) a fee that declines from 0.06% to 0.03%, depending on asset levels, on assets invested in affiliated mutual
funds, exchange-traded funds and closed-end funds that pay a management fee (or advisory fee, as applicable) to the Investment Manager, (ii) a fee that declines from 0.16% to 0.13%, depending on asset levels, on
assets invested in exchange-traded funds and mutual funds that are not managed by the Investment Manager or its affiliates and (iii) a fee that declines from 0.76% to 0.63%, depending on asset levels, on assets
invested in securities, instruments and other assets not described above, including affiliated mutual funds, exchange-traded funds and closed-end funds advised by the Investment Manager that do not pay a management
fee, third party closed-end funds, derivatives and individual securities. The effective management services fee rate for the year ended May 31, 2023 was 0.70% of the Fund’s average daily net assets.
In addition to the fees and
expenses which the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of the Underlying Funds (also referred to as "acquired funds") in which the Fund invests. Because the
Underlying Funds have varied expense and fee levels and the Fund may own different proportions of Underlying Funds at different times, the amount of fees and expenses incurred indirectly by the Fund will vary.
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. Under a Deferred Compensation Plan (the
Deferred Plan), these members of the Board of Trustees may elect to defer payment of up to 100% of their compensation. Deferred amounts are treated as though equivalent dollar amounts had been invested in shares of
certain funds managed by the Investment Manager. The Fund’s liability for these amounts is adjusted for market value changes and remains in the Fund until distributed in accordance with the Deferred Plan. All
amounts payable under the Deferred Plan constitute a general unsecured obligation of the Fund. The expense for the Deferred Plan, which includes Trustees’ fees deferred during the current period as well as any
gains or losses on the Trustees’ deferred compensation balances as a result of market fluctuations, is included in "Compensation of board members" in the Statement of Operations.
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 SS&C GIDS, Inc. (SS&C GIDS) to
| 36 | Columbia Adaptive Risk Allocation Fund | Annual Report 2023 |
Notes to Financial Statements (continued)
May 31, 2023
May 31, 2023
serve as sub-transfer agent. Prior to January 1,
2023, SS&C GIDS was known as DST Asset Manager Solutions, Inc. The Transfer Agent pays the fees of SS&C GIDS for services as sub-transfer agent and SS&C GIDS 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 year ended May 31, 2023,
the Fund’s effective transfer agency fee rates as a percentage of average daily net assets of each class were as follows:
| Effective rate (%) | |
| Class A | 0.05 |
| Advisor Class | 0.05 |
| Class C | 0.05 |
| Institutional Class | 0.05 |
| Institutional 2 Class | 0.06 |
| Institutional 3 Class | 0.02 |
| Class R | 0.05 |
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 year ended May 31, 2023, these minimum account balance fees reduced total expenses of
the Fund by $40.
Distribution and service fees
The Fund has entered into an
agreement with Columbia Management Investment Distributors, Inc. (the Distributor), an affiliate of the Investment Manager and a wholly-owned subsidiary of Ameriprise Financial, for distribution and shareholder
services. The Board of Trustees has approved, and the Fund has adopted, distribution and shareholder service plans (the Plans) applicable to certain share classes, which set the distribution and service fees for the
Fund. These fees are calculated daily and are intended to compensate the Distributor and/or eligible selling and/or servicing agents for selling shares of the Fund and providing services to investors.
Under the Plans, the Fund pays a
monthly service fee to the Distributor at the maximum annual rate of 0.25% of the average daily net assets attributable to Class A and Class C shares of the Fund. Also under the Plans, the Fund pays a
monthly distribution fee to the Distributor at the maximum annual rates of 0.10%, 0.75% and 0.50% of the average daily net assets attributable to Class A, Class C and Class R shares of the Fund,
respectively.
Although the Fund may pay
distribution and service fees up to a maximum annual rate of 0.35% of the Fund’s average daily net assets attributable to Class A shares (comprised of up to 0.10% for distribution services and up to 0.25% for
shareholder services), the Fund currently limits such fees to an aggregate fee of not more than 0.25% of the Fund’s average daily net assets attributable to Class A shares.
| Columbia Adaptive Risk Allocation Fund | Annual Report 2023 | 37 |
Notes to Financial Statements (continued)
May 31, 2023
May 31, 2023
Sales charges (unaudited)
Sales charges, including front-end
charges and contingent deferred sales charges (CDSCs), received by the Distributor for distributing Fund shares for the year ended May 31, 2023, if any, are listed below:
| Front End (%) | CDSC (%) | Amount ($) | |
| Class A | 5.75 | 0.50 - 1.00(a) | 115,373 |
| Class C | — | 1.00(b) | 7,954 |
| (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, 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 classes’ average daily net assets:
| October 1, 2022 through September 30, 2023 | Prior to October 1, 2022 | |
| Class A | 1.25% | 1.25% |
| Advisor Class | 1.00 | 1.00 |
| Class C | 2.00 | 2.00 |
| Institutional Class | 1.00 | 1.00 |
| Institutional 2 Class | 1.01 | 1.01 |
| Institutional 3 Class | 0.97 | 0.96 |
| Class R | 1.50 | 1.50 |
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, costs associated with shareholder meetings, 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 May 31, 2023, these differences
were primarily due to differing treatment for deferral/reversal of wash sale losses, foreign currency transactions, derivative investments, tax straddles, late-year ordinary losses, capital loss carryforwards,
trustees’ deferred compensation and treasury inflation protected securities (tips). To the extent these differences were permanent, reclassifications were made among the components of the Fund’s net
assets. Temporary differences do not require reclassifications.
| 38 | Columbia Adaptive Risk Allocation Fund | Annual Report 2023 |
Notes to Financial Statements (continued)
May 31, 2023
May 31, 2023
The following reclassifications
were made:
| Excess of distributions over net investment income ($) | Accumulated net realized (loss) ($) | Paid in capital ($) |
| 15,995,858 | (15,980,282) | (15,576) |
Net investment income (loss) and
net realized gains (losses), as disclosed in the Statement of Operations, and net assets were not affected by this reclassification.
The tax character of distributions
paid during the years indicated was as follows:
| Year Ended May 31, 2023 | Year Ended May 31, 2022 | ||||
| Ordinary income ($) | Long-term capital gains ($) | Total ($) | Ordinary income ($) | Long-term capital gains ($) | Total ($) |
| 279,036,410 | — | 279,036,410 | 455,778,260 | 314,741,876 | 770,520,136 |
Short-term capital gain
distributions, if any, are considered ordinary income distributions for tax purposes.
At May 31, 2023, the components of
distributable earnings on a tax basis were as follows:
| Undistributed ordinary income ($) | Undistributed long-term capital gains ($) | Capital loss carryforwards ($) | Net unrealized (depreciation) ($) |
| — | — | (562,544,401) | (259,253,320) |
At May 31, 2023, the cost of all
investments for federal income tax purposes along with the aggregate gross unrealized appreciation and depreciation based on that cost was:
| Federal tax cost ($) | Gross unrealized appreciation ($) | Gross unrealized (depreciation) ($) | Net unrealized (depreciation) ($) |
| 4,129,350,539 | 18,673,120 | (277,926,440) | (259,253,320) |
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 May 31, 2023, may be available to reduce future net realized gains on investments, if any, to the extent permitted by the Internal Revenue Code. In addition, for the year ended May 31,
2023, capital loss carryforwards utilized, if any, were as follows:
| No expiration short-term ($) | No expiration long-term ($) | Total ($) | Utilized ($) |
| (342,788,432) | (219,755,969) | (562,544,401) | — |
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.
As of May 31, 2023, the Fund will elect to treat the following late-year ordinary losses and post-October capital losses as arising on June 1, 2023.
| Late year ordinary losses ($) | Post-October capital losses ($) |
| 88,167,003 | — |
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 Adaptive Risk Allocation Fund | Annual Report 2023 | 39 |
Notes to Financial Statements (continued)
May 31, 2023
May 31, 2023
Note 5. Portfolio
information
The cost of purchases and
proceeds from sales of securities, excluding short-term investments and derivatives, if any, aggregated to $4,893,348,804 and $5,178,749,679, respectively, for the year ended May 31, 2023, of which $3,982,082,149 and
$4,280,194,017, 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 significantly 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 year ended May 31, 2023 was as follows:
| Borrower or lender | Average loan balance ($) | Weighted average interest rate (%) | Number of days with outstanding loans |
| Lender | 12,454,545 | 4.49 | 11 |
The Fund had no outstanding
interfund loans at May 31, 2023.
Note 8. Line of credit
The Fund has access to a
revolving credit facility with a syndicate of banks led by JPMorgan Chase Bank, N.A., Citibank, N.A. and Wells Fargo Bank, N.A. whereby the Fund may borrow for the temporary funding of shareholder redemptions or for
other temporary or emergency purposes. Pursuant to an October 27, 2022 amendment and restatement, the credit facility, which is an agreement between the Fund and certain other funds managed by the Investment Manager
or an affiliated investment manager, severally and not jointly, permits aggregate borrowings up to $950 million. Interest is currently 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 secured overnight financing rate plus 0.10% and (iii) the overnight bank funding rate plus, in each case, 1.00%. 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 October unless extended or renewed. Prior to the October 27, 2022 amendment and restatement, the Fund had access to a
revolving credit facility with a syndicate of banks led by JPMorgan Chase Bank, N.A., Citibank, N.A. and Wells Fargo Bank, N.A. which permitted collective borrowings up to $950 million. 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 secured overnight financing rate plus 0.11448% and (iii) the overnight bank funding rate plus,
in each case, 1.00%.
The Fund had no borrowings during
the year ended May 31, 2023.
| 40 | Columbia Adaptive Risk Allocation Fund | Annual Report 2023 |
Notes to Financial Statements (continued)
May 31, 2023
May 31, 2023
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.
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,
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.
Foreign currency risk
The performance of the Fund may be
materially affected positively or negatively by foreign currency strength or weakness relative to the U.S. dollar, particularly if the Fund invests a significant percentage of its assets in foreign securities or other
assets denominated in currencies other than the U.S. dollar. Currency rates in foreign countries may fluctuate significantly over short or long periods of time for a number of reasons, including changes in interest
rates, imposition of currency controls and economic or political developments in the U.S. or abroad. The Fund may also incur currency conversion costs when converting foreign currencies into U.S. dollars and vice
versa.
Foreign securities and emerging
market countries risk
Investing in foreign securities may
involve heightened risks relative to investments in U.S. securities. Investing in foreign securities subjects the Fund to the risks associated with the issuer’s country of organization and places of business
operations, including 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 be more volatile and less liquid than 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. The financial information and
disclosure made available by issuers of emerging market securities may be considerably less reliable than publicly available information about other foreign securities. The Public Company Accounting Oversight Board,
which regulates auditors of U.S. public companies, is unable to inspect audit work papers in certain foreign countries. Investors in foreign countries often have limited rights and few practical remedies to pursue
shareholder claims, including class actions or fraud claims, and the ability of the U.S. Securities and Exchange Commission, the U.S. Department of Justice and other authorities to bring and enforce actions against
foreign issuers or foreign persons is limited.
Interest rate risk
Interest rate risk is the risk of
losses attributable to changes in interest rates. In general, if interest rates rise, the values of debt instruments tend to fall, and if interest rates fall, the values of debt instruments tend to rise. Actions by
governments and central banking authorities can result in increases or decreases in interest rates. Higher periods of inflation could lead such authorities to raise 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.
| Columbia Adaptive Risk Allocation Fund | Annual Report 2023 | 41 |
Notes to Financial Statements (continued)
May 31, 2023
May 31, 2023
Leverage risk
Leverage occurs when the Fund
increases its assets available for investment using borrowings, short sales, derivatives, or similar instruments or techniques. The use of leverage may produce volatility and may exaggerate changes in the Fund’s
net asset value and in the return on the Fund’s portfolio, which may increase the risk that the Fund will lose more than it has invested. 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.
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 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’s ability to price or value hard-to-value assets in thinly traded and closed markets and could cause 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 large-scale invasion of Ukraine
by Russia in February 2022 has resulted in sanctions and market disruptions, including declines in regional and global stock markets, unusual volatility in global commodity markets and significant devaluations of
Russian currency. The extent and duration of the military action are impossible to predict but could be significant. Market disruption caused by the Russian military action, and any counter-measures or responses
thereto (including international sanctions, a downgrade in the country’s credit rating, purchasing and financing restrictions, boycotts, tariffs, changes in consumer or purchaser preferences, cyberattacks and
espionage) could have severe adverse impacts on regional and/or global securities and commodities markets, including markets for oil and natural gas. These impacts may include reduced market liquidity, distress in
credit markets, further disruption of global supply chains, increased risk of inflation, restricted cross-border payments and limited access to investments and/or assets in certain international markets and/or
issuers. These developments and other related events could negatively impact Fund performance.
Money market fund investment risk
An investment in a money market
fund is not a bank deposit and is not insured or guaranteed by any bank, the FDIC or any other government agency. Certain money market funds float their net asset value while others seek to preserve the value of
investments at a stable net asset value (typically, $1.00 per share). An investment in a money market fund, even an investment in a fund seeking to maintain a stable net asset value per share, is not guaranteed and it
is possible for the Fund to lose money by investing in these and other types of money market funds. If the liquidity of a money market fund’s portfolio deteriorates below certain levels, the money market fund
may suspend redemptions (i.e., impose a redemption gate) and
| 42 | Columbia Adaptive Risk Allocation Fund | Annual Report 2023 |
Notes to Financial Statements (continued)
May 31, 2023
May 31, 2023
thereby prevent the Fund from selling its
investment in the money market fund or impose a fee of up to 2% on amounts the Fund redeems from the money market fund (i.e., impose a liquidity fee). These measures may result in an investment loss or prohibit the
Fund from redeeming shares when the Investment Manager would otherwise redeem shares. In addition to the fees and expenses that the Fund directly bears, the Fund indirectly bears the fees and expenses of any money
market funds in which it invests, including affiliated money market funds. By investing in a money market fund, the Fund will be exposed to the investment risks of the money market fund in direct proportion
to such investment. To the extent the Fund invests in instruments such as derivatives, the Fund may hold investments, which may be significant, in money market fund shares to cover its obligations resulting from
the Fund’s investments in such instruments. Money market funds and the securities they invest in are subject to comprehensive regulations. The enactment of new legislation or regulations, as well as changes in
interpretation and enforcement of current laws, may affect the manner of operation, performance and/or yield of money market funds.
Shareholder concentration risk
At May 31, 2023, affiliated
shareholders of record owned 84.7% 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 are involved in the normal course of business in legal proceedings which include regulatory inquiries, arbitration and litigation, including class actions concerning matters arising in connection
with the conduct of their activities as part of a diversified financial services firm. 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 Fund.
| Columbia Adaptive Risk Allocation Fund | Annual Report 2023 | 43 |
Report of Independent Registered Public
Accounting Firm
To the Board of Trustees of Columbia
Funds Series Trust I and Shareholders of Columbia Adaptive Risk Allocation Fund
Opinion on the Financial
Statements
We have audited the accompanying
statement of assets and liabilities, including the portfolio of investments, of Columbia Adaptive Risk Allocation Fund (one of the funds constituting Columbia Funds Series Trust I, referred to hereafter as the "Fund")
as of May 31, 2023, the related statement of operations for the year ended May 31, 2023, the statement of changes in net assets for each of the two years in the period ended May 31, 2023, including the related notes,
and the financial highlights for each of the five years in the period ended May 31, 2023 (collectively referred to as the "financial statements"). In our opinion, the financial statements present fairly, in all
material respects, the financial position of the Fund as of May 31, 2023, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period ended May 31, 2023
and the financial highlights for each of the five years in the period ended May 31, 2023 in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinion
These financial statements are the
responsibility of the Fund’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audits. We are a public accounting firm registered with the Public
Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of
the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these
financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material
misstatement, whether due to error or fraud.
Our audits included performing
procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test
basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating
the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of May 31, 2023 by correspondence with the custodian, transfer agent and brokers; when replies were not
received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
/s/PricewaterhouseCoopers LLP
Minneapolis, Minnesota
July 21, 2023
We have served as the auditor of
one or more investment companies within the Columbia Funds Complex since 1977.
| 44 | Columbia Adaptive Risk Allocation Fund | Annual Report 2023 |
Federal Income Tax
Information
(Unaudited)
The Fund hereby designates the
following tax attributes for the fiscal year ended May 31, 2023. Shareholders will be notified in early 2024 of the amounts for use in preparing 2023 income tax returns.
| Section 199A dividends | |
| 1.27% |
Section 199A dividends. For
taxable, non-corporate shareholders, the percentage of ordinary income distributed during the fiscal year that represents Section 199A dividends potentially eligible for a 20% deduction.
TRUSTEES AND
OFFICERS
(Unaudited)
The Board oversees the
Fund’s operations and appoints officers who are responsible for day-to-day business decisions based on policies set by the Board. The following table provides basic biographical information about the
Fund’s Trustees as of the printing of this report, including their principal occupations during the past five years, although specific titles for individuals may have varied over the period. The year set forth
beneath Length of Service in the table below is the year in which the Trustee was first appointed or elected as Trustee to any Fund currently in the Columbia Funds Complex or a predecessor thereof. Under current Board
policy, each Trustee generally serves until December 31 of the year such Trustee turns seventy-five (75).
Independent trustees
| Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years and other relevant Board experience |
| George S. Batejan c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1954 | Trustee since 2017 | Executive Vice President, Global Head of Technology and Operations, Janus Capital Group, Inc., 2010-2016 | 174 | Former Chairman of the Board, NICSA (National Investment Company Services Association) (Executive Committee, Nominating Committee and Governance Committee), 2014-2016; former Director, Intech Investment Management, 2011-2016; former Board Member, Metro Denver Chamber of Commerce, 2015-2016; former Advisory Board Member, University of Colorado Business School, 2015-2018; former Board Member, Chase Bank International, 1993-1994 |
| Columbia Adaptive Risk Allocation Fund | Annual Report 2023 | 45 |
TRUSTEES AND OFFICERS (continued)
(Unaudited)
Independent trustees (continued)
(Unaudited)
Independent trustees (continued)
| Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years and other relevant Board experience |
| Kathleen Blatz c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1954 | Trustee since 2006 | Attorney, specializing in arbitration and mediation; Chief Justice, Minnesota Supreme Court, 1998-2006; Associate Justice, Minnesota Supreme Court, 1996-1998; Fourth Judicial District Court Judge, Hennepin County, 1994-1996; Attorney in private practice and public service, 1984-1993; State Representative, Minnesota House of Representatives, 1979-1993, which included service on the Tax and Financial Institutions and Insurance Committees; Member and Interim Chair, Minnesota Sports Facilities Authority, January-July 2017; Interim President and Chief Executive Officer, Blue Cross and Blue Shield of Minnesota (health care insurance), February-July 2018, April-October 2021 | 174 | Former Trustee, Blue Cross and Blue Shield of Minnesota, 2009-2021 (Chair of the Business Development Committee, 2014-2017; Chair of the Governance Committee, 2017-2019); former Member and Chair of the Board, Minnesota Sports Facilities Authority, January 2017-July 2017; former Director, Robina Foundation, 2009-2020 (Chair, 2014-2020); Director, Richard M. Schulze Family Foundation, since 2021 |
| Pamela G. Carlton c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1954 | Chair since 2023; Trustee since 2007 | President, Springboard — Partners in Cross Cultural Leadership (consulting company), since 2003; Managing Director of US Equity Research, JP Morgan Chase, 1999-2003; Director of US Equity Research, Chase Asset Management, 1996-1999; Co-Director Latin America Research, 1993-1996, COO Global Research, 1992-1996, Co-Director of US Research, 1991-1992, Investment Banker, 1982-1991, Morgan Stanley; Attorney, Cleary Gottlieb Steen & Hamilton LLP, 1980-1982 | 174 | Trustee, New York Presbyterian Hospital Board, since 1996; Director, DR Bank (Audit Committee) since 2017; Director, Evercore Inc. (Audit Committee, Nominating and Governance Committee), since 2019; Director, Apollo Commercial Real Estate Finance, Inc. (Chair, Nominating and Governance Committee) (financial services), since 2021; the Governing Council of the Independent Directors Council (IDC), since 2021 |
| Janet Langford Carrig c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1957 | Trustee since 1996 | Senior Vice President, General Counsel and Corporate Secretary, ConocoPhillips (independent energy company), September 2007-October 2018 | 174 | Director, EQT Corporation (natural gas producer), since 2019; former Director, Whiting Petroleum Corporation (independent oil and gas company), 2020-2022 |
| J. Kevin Connaughton c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1964 | Trustee since 2020 | CEO and President, RhodeWay Financial (non-profit financial planning firm), since December 2022; Member, FINRA National Adjudicatory Council, since January 2020; Adjunct Professor of Finance, Bentley University since January 2018; Consultant to Independent Trustees of CFVIT and CFST I from March 2016 to June 2020 with respect to CFVIT and to December 2020 with respect to CFST I; Managing Director and General Manager of Mutual Fund Products, Columbia Management Investment Advisers, LLC, May 2010-February 2015; President, Columbia Funds, 2008-2015; and senior officer of Columbia Funds and affiliated funds, 2003-2015 | 172 | Former Director, The Autism Project, March 2015-December 2021; former Member of the Investment Committee, St. Michael’s College, November 2015-February 2020; former Trustee, St. Michael’s College, June 2017-September 2019; former Trustee, New Century Portfolios (former mutual fund complex), January 2015-December 2017 |
| 46 | Columbia Adaptive Risk Allocation Fund | Annual Report 2023 |
TRUSTEES AND OFFICERS (continued)
(Unaudited)
Independent trustees (continued)
(Unaudited)
Independent trustees (continued)
| Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years and other relevant Board experience |
| Olive M. Darragh c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1962 | Trustee since 2020 | Managing Director of Darragh Inc. (strategy and talent management consulting firm), since 2010; Founder and CEO, Zolio, Inc. (investment management talent identification platform), since 2004; Consultant to Independent Trustees of CFVIT and CFST I from June 2019 to June 2020 with respect to CFVIT and to December 2020 with respect to CFST I; Partner, Tudor Investments, 2004-2010; Senior Partner, McKinsey & Company (consulting), 1990-2004; Touche Ross CPA, 1985-1988 | 172 | Treasurer, Edinburgh University US Trust Board, since January 2023; Member, HBS Community Action Partners Board, since September 2022; former Director, University of Edinburgh Business School (Member of US Board), 2004-2019; former Director, Boston Public Library Foundation, 2008-2017 |
| Patricia M. Flynn c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1950 | Trustee since 2004 | Professor of Economics and Management, Bentley University, since 2002; Dean, McCallum Graduate School of Business, Bentley University, 1992-2002 | 174 | Former Trustee, MA Taxpayers Foundation, 1997-2022; former Director, The MA Business Roundtable, 2003-2019; former Chairperson, Innovation Index Advisory Committee, MA Technology Collaborative, 1997-2020 |
| Brian J. Gallagher c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1954 | Trustee since 2017 | Retired; Partner with Deloitte & Touche LLP and its predecessors, 1977-2016 | 174 | Trustee, Catholic Schools Foundation, since 2004 |
| Douglas A. Hacker c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1955 | Trustee since 1996 | Independent business executive, since May 2006; Executive Vice President – Strategy of United Airlines, December 2002 - May 2006; President of UAL Loyalty Services (airline marketing company), September 2001-December 2002; Executive Vice President and Chief Financial Officer of United Airlines, July 1999-September 2001 | 174 | Director, SpartanNash Company since November 2013 (Chair of the Board, since May 2021) (food distributor); Director, Aircastle Limited (Chair of Audit Committee) (aircraft leasing), since August 2006; former Director, Nash Finch Company (food distributor), 2005-2013; former Director, SeaCube Container Leasing Ltd. (container leasing), 2010-2013; and former Director, Travelport Worldwide Limited (travel information technology), 2014-2019 |
| Nancy T. Lukitsh c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1956 | Trustee since 2011 | Senior Vice President, Partner and Director of Marketing, Wellington Management Company, LLP (investment adviser), 1997-2010; Chair, Wellington Management Portfolios (commingled non-U.S. investment pools), 2007-2010; Director, Wellington Trust Company, NA and other Wellington affiliates, 1997-2010 | 172 | None |
| Columbia Adaptive Risk Allocation Fund | Annual Report 2023 | 47 |
TRUSTEES AND OFFICERS (continued)
(Unaudited)
Independent trustees (continued)
(Unaudited)
Independent trustees (continued)
| Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years and other relevant Board experience |
| David M. Moffett c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1952 | Trustee since 2011 | Retired; former Chief Executive Officer of Freddie Mac and Chief Financial Officer of U.S. Bank | 172 | Director, CSX Corporation (transportation suppliers); Director, PayPal Holdings Inc. (payment and data processing services); Trustee, University of Oklahoma Foundation; former Director, eBay Inc. (online trading community), 2007-2015; and former Director, CIT Bank, CIT Group Inc. (commercial and consumer finance), 2010-2016; former Senior Adviser to The Carlyle Group (financial services), March 2008-September 2008; former Governance Consultant to Bridgewater Associates, January 2013-December 2015 |
| Catherine James Paglia c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1952 | Trustee since 2004 | Director, Enterprise Asset Management, Inc. (private real estate and asset management company), since September 1998; Managing Director and Partner, Interlaken Capital, Inc., 1989-1997; Vice President, 1982-1985, Principal, 1985-1987, Managing Director, 1987-1989, Morgan Stanley; Vice President, Investment Banking, 1980-1982, Associate, Investment Banking, 1976-1980, Dean Witter Reynolds, Inc. | 174 | Director, Valmont Industries, Inc. (irrigation systems manufacturer), since 2012; Trustee, Carleton College (on the Investment Committee), since 1987; Trustee, Carnegie Endowment for International Peace (on the Investment Committee), since 2009 |
| Natalie A. Trunow c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1967 | Trustee since 2020 | Chief Executive Officer, Millennial Portfolio Solutions LLC (asset management and consulting services), January 2016-January 2021; Non-executive Member of the Investment Committee and Valuation Committee, Sarona Asset Management Inc. (private equity firm) since September 2019; Advisor, Horizon Investments (asset management and consulting services), August 2018-January 2022; Advisor, Paradigm Asset Management, November 2016-January 2022; Consultant to Independent Trustees of CFVIT and CFST I from September 2016 to June 2020 with respect to CFVIT and to December 2020 with respect to CFST I; Director of Investments/Consultant, Casey Family Programs, April 2016-November 2016; Senior Vice President and Chief Investment Officer, Calvert Investments, August 2008-January 2016; Section Head and Portfolio Manager, General Motors Asset Management, June 1997-August 2008 | 172 | Independent Director, Investment Committee, Health Services for Children with Special Needs, Inc., 2010-2021; Independent Director, (Executive Committee and Chair, Audit Committee), Consumer Credit Counseling Services (formerly Guidewell Financial Solutions), since 2016; Independent Director, (Investment Committee), Sarona Asset Management, since 2019 |
| 48 | Columbia Adaptive Risk Allocation Fund | Annual Report 2023 |
TRUSTEES AND OFFICERS (continued)
(Unaudited)
Independent trustees (continued)
(Unaudited)
Independent trustees (continued)
| Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years and other relevant Board experience |
| Sandra L. Yeager c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1964 | Trustee since 2017 | Retired; President and founder, Hanoverian Capital, LLC (SEC registered investment advisor firm), 2008-2016; Managing Director, DuPont Capital, 2006-2008; Managing Director, Morgan Stanley Investment Management, 2004-2006; Senior Vice President, Alliance Bernstein, 1990-2004 | 174 | Former Director, NAPE (National Alliance for Partnerships in Equity) Education Foundation, October 2016-October 2020; Advisory Board, Jennersville YMCA, since 2022 |
Interested trustee affiliated
with Investment Manager*
| Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex overseen | Other directorships held by Trustee during the past five years and other relevant Board experience |
| Daniel J. Beckman c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1962 | Trustee since November 2021 and President since June 2021 | Vice President – Head of North America Product, Columbia Management Investment Advisers, LLC, since April 2015; President and Principal Executive Officer of the Columbia Funds, since June 2021; officer of Columbia Funds and affiliated funds, 2020-2021 | 174 | Director, Ameriprise Trust Company, since October 2016; Director, Columbia Management Investment Distributors, Inc. since November 2018; Board of Governors, Columbia Wanger Asset Management, LLC since, January 2022; Director, Columbia Threadneedle Canada, Inc., since December 2022 |
| * | The term “Columbia Funds Complex” as used herein includes Columbia Seligman Premium Technology Growth Fund, Tri-Continental Corporation and each series of Columbia Funds Series Trust (CFST), Columbia Funds Series Trust I (CFST I), Columbia Funds Series Trust II (CFST II), Columbia ETF Trust I (CET I), Columbia ETF Trust II (CET II), Columbia Funds Variable Insurance Trust (CFVIT) and Columbia Funds Variable Series Trust II (CFVST II). Messrs. Batejan, Beckman, Gallagher and Hacker and Mses. Blatz, Carlton, Carrig, Flynn, Paglia, and Yeager serve as directors of Columbia Seligman Premium Technology Growth Fund and Tri-Continental Corporation. |
| ** | Interested person (as defined under the 1940 Act) by reason of being an officer, director, security holder and/or employee of the Investment Manager or Ameriprise Financial. |
The Statement of Additional
Information has additional information about the Fund’s Board members and is available, without charge, upon request by calling 800.345.6611, visiting columbiathreadneedleus.com/investor/ or contacting your
financial intermediary.
| Columbia Adaptive Risk Allocation Fund | Annual Report 2023 | 49 |
TRUSTEES AND OFFICERS (continued)
(Unaudited)
The Board has appointed officers who are responsible for day-to-day business decisions based on policies it has established. The officers serve at the pleasure of the Board. The following table provides basic information about the Officers of the Fund as of the printing of this report, including principal occupations during the past five years, although their specific titles may have varied over the period. In addition to Mr. Beckman, who is President and Principal Executive Officer, the Fund’s other officers are:
(Unaudited)
The Board has appointed officers who are responsible for day-to-day business decisions based on policies it has established. The officers serve at the pleasure of the Board. The following table provides basic information about the Officers of the Fund as of the printing of this report, including principal occupations during the past five years, although their specific titles may have varied over the period. In addition to Mr. Beckman, who is President and Principal Executive Officer, the Fund’s other officers are:
Fund officers
| Name, address and year of birth | Position and year first appointed to position for any Fund in the Columbia Funds Complex or a predecessor thereof | Principal occupation(s) during past five years |
| Michael G. Clarke 290 Congress Street Boston, MA 02210 1969 | Chief Financial Officer and Principal Financial Officer (2009) and Senior Vice President (2019) | Senior Vice President and North America Head of Operations & Investor Services, Columbia Management Investment Advisers, LLC, since June 2023 (previously Senior Vice President and Head of Global Operations, March 2022 – June 2023, Vice President, Head of North America Operations, and Co-Head of Global Operations, June 2019 - February 2022 and Vice President – Accounting and Tax, May 2010 - May 2019); senior officer of Columbia Funds and affiliated funds, since 2002. Director, Ameriprise Trust Company, since June 2023. |
| Joseph Beranek 5890 Ameriprise Financial Center Minneapolis, MN 55474 1965 | Treasurer and Chief Accounting Officer (Principal Accounting Officer) (2019) and Principal Financial Officer (2020), CFST, CFST I, CFST II, CFVIT and CFVST II; Assistant Treasurer, CET I and CET II | Vice President – Mutual Fund Accounting and Financial Reporting, Columbia Management Investment Advisers, LLC, since December 2018 and March 2017, respectively. |
| Marybeth Pilat 290 Congress Street Boston, MA 02210 1968 | Treasurer and Chief Accounting Officer (Principal Accounting Officer) and Principal Financial Officer (2020) for CET I and CET II; Assistant Treasurer, CFST, CFST I, CFST II, CFVIT and CFVST II | Vice President – Product Pricing and Administration, Columbia Management Investment Advisers, LLC, since May 2017. |
| William F. Truscott 290 Congress Street Boston, MA 02210 1960 | Senior Vice President (2001) | Formerly, Trustee/Director of Columbia Funds Complex or legacy funds, November 2001 - January 1, 2021; Chief Executive Officer, Global Asset Management, Ameriprise Financial, Inc., since September 2012; Chairman of the Board and President, Columbia Management Investment Advisers, LLC, since July 2004 and February 2012, respectively; Chairman of the Board and Chief Executive Officer, Columbia Management Investment Distributors, Inc., since November 2008 and February 2012, respectively;Chairman of the Board and Director, Threadneedle Asset Management Holdings, Sàrl, since March 2013 and December 2008, respectively; senior executive of various entities affiliated with Columbia Threadneedle. |
| Christopher O. Petersen 5228 Ameriprise Financial Center Minneapolis, MN 55474 1970 | Senior Vice President and Assistant Secretary (2021) | Formerly, Trustee/Director of funds within the Columbia Funds Complex, July 1, 2020 - November 22, 2021; Senior Vice President and Assistant General Counsel, Ameriprise Financial, Inc., since September 2021 (previously Vice President and Lead Chief Counsel, January 2015 - September 2021); formerly, President and Principal Executive Officer of the Columbia Funds, 2015 - 2021; officer of Columbia Funds and affiliated funds, since 2007. |
| Thomas P. McGuire 290 Congress Street Boston, MA 02210 1972 | Senior Vice President and Chief Compliance Officer (2012) | Vice President – Asset Management Compliance, Ameriprise Financial, Inc., since May 2010; Chief Compliance Officer, Columbia Acorn/Wanger Funds, since December 2015; formerly, Chief Compliance Officer, Ameriprise Certificate Company, September 2010 – September 2020. |
| Ryan C. Larrenaga 290 Congress Street Boston, MA 02210 1970 | Senior Vice President (2017), Chief Legal Officer (2017), and Secretary (2015) | Vice President and Chief Counsel, Ameriprise Financial, Inc., since August 2018 (previously Vice President and Group Counsel, August 2011 - August 2018); Chief Legal Officer, Columbia Acorn/Wanger Funds, since September 2020; officer of Columbia Funds and affiliated funds, since 2005. |
| 50 | Columbia Adaptive Risk Allocation Fund | Annual Report 2023 |
TRUSTEES AND OFFICERS (continued)
(Unaudited)
Fund officers (continued)
(Unaudited)
Fund officers (continued)
| Name, address and year of birth | Position and year first appointed to position for any Fund in the Columbia Funds Complex or a predecessor thereof | Principal occupation(s) during past five years |
| Michael E. DeFao 290 Congress Street Boston, MA 02210 1968 | Vice President (2011) and Assistant Secretary (2010) | Vice President and Chief Counsel, Ameriprise Financial, Inc., since May 2010; Vice President, Chief Legal Officer and Assistant Secretary, Columbia Management Investment Advisers, LLC, since October 2021 (previously Vice President and Assistant Secretary, May 2010 – September 2021). |
| Lyn Kephart-Strong 5903 Ameriprise Financial Center Minneapolis, MN 55474 1960 | Vice President (2015) | Vice President, Global Investment Operations Services, Columbia Management Investment Advisers, LLC, since 2010; Director (since January 2007) and President (since October 2014), Columbia Management Investment Services Corp.; Director (since December 2017) and President (since January 2017), Ameriprise Trust Company. |
Liquidity Risk
Management Program
(Unaudited)
Pursuant to Rule 22e-4 under the
1940 Act, the Fund has adopted a liquidity risk management program (Program). The Program’s principal objectives include assessing, managing and periodically reviewing the Fund’s liquidity risk. Liquidity
risk is defined as the risk that the Fund could not meet redemption requests without significant dilution of remaining investors’ interests in the Fund.
The Board has appointed the
Investment Manager as the program administrator for the Fund’s Program. The Investment Manager has delegated oversight of the Program to its Liquidity Risk Management Committee (the Committee). At a board
meeting during the fiscal period, the Committee provided the Board with a report addressing the operations of the program and assessing its adequacy and effectiveness of implementation for the period January 1, 2022,
through December 31, 2022, including:
| • | the Fund had sufficient liquidity to both meet redemptions and operate effectively on behalf of shareholders; |
| • | there were no material changes to the Program during the period; |
| • | the implementation of the Program was effective to manage the Fund’s liquidity risk; and |
| • | the Program operated adequately during the period. |
There can be no assurance that the
Program will achieve its objectives in the future. Please refer to the Fund’s prospectus for more information regarding the Fund’s exposure to liquidity risk and other principal risks to which an
investment in the Fund may be subject.
| Columbia Adaptive Risk Allocation Fund | Annual Report 2023 | 51 |
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.
© 2023 Columbia Management Investment
Advisers, LLC.
columbiathreadneedleus.com/investor/
ANN214_05_N01_(07/23)
Columbia Dividend
Income Fund
Not FDIC or NCUA Insured •
No Financial Institution Guarantee • May Lose Value
Table of Contents
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If you elect to receive the
shareholder report for Columbia Dividend Income Fund (the Fund) in paper, mailed to you, the Fund mails one shareholder report to each shareholder address, unless such shareholder elects to receive shareholder reports
from the Fund electronically via e-mail or by having a paper notice mailed to you (Postcard Notice) that your Fund’s shareholder report is available at the Columbia funds’ website
(columbiathreadneedleus.com/investor/). If you would like more than one report in paper to be mailed to you, or would like to elect to receive reports via e-mail or access them through Postcard Notice, 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, is available on columbiathreadneedleus.com/investor/ or 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)
290 Congress Street
Boston, MA 02210
Fund distributor
Columbia Management Investment Distributors,
Inc.
290 Congress Street
Boston, MA 02210
Fund transfer agent
Columbia Management Investment Services Corp.
P.O. Box 219104
Kansas City, MO 64121-9104
Columbia Dividend Income Fund | Annual
Report 2023
Fund at a Glance
(Unaudited)
(Unaudited)
Investment objective
The Fund
seeks total return, consisting of current income and capital appreciation.
Portfolio management
Michael Barclay, CFA
Co-Lead Portfolio Manager
Managed Fund since 2011
Tara Gately, CFA
Portfolio Manager
Managed Fund since 2021
Effective June 30, 2023, Scott Davis retired from the Investment Manager.
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.
© 2023 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 Dividend Income Fund | Annual Report 2023 | 3 |
Fund at a Glance (continued)
(Unaudited)
(Unaudited)
Performance of a hypothetical $10,000 investment (May 31, 2013 — May 31, 2023)
The chart above shows the change in
value of a hypothetical $10,000 investment in Class A shares of Columbia Dividend Income Fund during the stated time period, and does not reflect the deduction of taxes that a shareholder may pay on Fund distributions
or on the redemption of Fund shares.
| 4 | Columbia Dividend Income Fund | Annual Report 2023 |
Manager Discussion of Fund Performance
(Unaudited)
(Unaudited)
For the 12-month period that ended
May 31, 2023, Class A shares of Columbia Dividend Income Fund returned -1.71% excluding sales charges. The Fund underperformed its benchmark, the Russell 1000 Index, which returned 2.45% for the same time period.
Market overview
U.S. equities seesawed through
the 12-month period ending May 31, 2023, struggling to maintain positive momentum despite frequent rallies that brought major benchmarks above break-even. Although investors grappled with a variety of worries, market
trajectory both up and down was driven predominantly by cross currents centered on evolving expectations for inflation and the path of U.S. Federal Reserve (Fed) interest-rate hikes.
Despite the relatively steady pace
of interest rate hikes that began to unfold during the period, sentiment occasionally improved as the period progressed. Positives included hints of so-called “peak inflation” and attractive valuations, as
well as hopes that China’s economy would reopen after an extended zero-COVID-19 lockdown that gummed up global trade and contributed to cost pressures affecting economies worldwide. Better-than-feared earnings
results and guidance helped sentiment, particularly from bellwethers like Alphabet and Microsoft, as well as retailers like Walmart and Target early in the period. But most of the upside was sparked by
investors’ interpretation of Fed Chair Powell’s remarks after the Federal Open Market Committee announced an anticipated 75 basis point rate hike at the end of July 2022. (A basis point is 1/100 of a
percent.) What many seemingly heard were hints that rate hikes would slow in concert with softening economic growth. That takeaway evaporated a month later when Chair Powell spoke at a symposium in Jackson Hole,
Wyoming and prioritized fighting inflation no matter how much pain the economy might suffer. His inflation-fighting resolve was confirmed by an additional 75 basis point hike in September, along with a dot-plot
showing no expectations for rate cuts until 2024.
Equities continued to deliver lumpy
results and briefly turned higher into the start of 2023 as investors yet again seemed comfortable with the notion of a softer landing based on better-than-expected earnings, as well as constructive inflation and
economic data. But that bout of optimism proved short-lived during February 2023, as a blowout January employment report and continued higher-for-longer messaging from the Fed, along with mixed earnings reports and
geopolitical uncertainties, weighed on sentiment. Then in March, banking sector turmoil dominated headlines as two banks failed in quick succession. While intervention to guarantee uninsured deposits and to provide
emergency liquidity helped to limit any broader banking contagion, regional bank stocks still suffered. However, the bank crisis brought with it a rate reprieve and heightened expectations for a Fed pivot, providing a
tailwind for technology and other growth-oriented stocks with future earnings that are made currently more attractive by lower interest rates. Even though the final rate hike of the period on May 3 brought the target
federal funds rate upper bound to 5.25% – a level not seen since mid-2006 – sentiment for high-growth stocks remained intact.
Headwinds swirling throughout the
end of the period included protracted wrangling between the White House and Republican leaders in efforts to raise the debt ceiling and avoid default on U.S. Treasury obligations. Lingering fears of more turmoil
in the banking sector, dampened China reopening momentum and persistent signs of an imminent recession added heft to downside expectations. Better-than-expected first quarter 2023 earnings reports and upbeat guidance
helped offset some of these worries, as did resilient consumer spending and a last-minute agreement in principle on May 27 that would suspend the debt ceiling until January 2025.
Against this backdrop, the
broad-market Russell 1000 Index delivered a return of 2.45%. Within the index, the best performers were the information technology, industrials and communication services sectors. Real estate and materials
stocks fared the worst, dropping double digits. Growth stocks, as measured by the Russell 1000 Growth Index, significantly outperformed value stocks, as measured by the Russell 1000 Value Index. Small-cap stocks, as
measured by the Russell 2000 Index, and mid-cap stocks, represented by the Russell Midcap Index, each lost over 4.5%.
The Fund’s notable
detractors during the period
| • | Stock selection was the primary driver of relative underperformance during the 12-month period. Sector allocations were a secondary source of detraction versus the benchmark. |
| • | Selections within the information technology, communication services and financials sector weighed most on relative performance. |
| Columbia Dividend Income Fund | Annual Report 2023 | 5 |
Manager Discussion of Fund Performance (continued)
(Unaudited)
(Unaudited)
| • | An underweight to the strong-performing information technology sector detracted, as did a relative overweight to the utilities sector, which produced negative returns for the benchmark during the period. |
| • | Fund holdings that detracted most relative to the benchmark included an underweight to software company Microsoft Corp. and exposure to financial companies Bank of America Corp., PNC Financial Services Group, Inc., U.S. Bancorp and Northern Trust Corp. |
| • | Not owning NVIDIA, Apple and Meta Platforms also detracted. |
The Fund’s notable
contributors during the period
| • | Stock selection within the materials and energy sector contributed to relative performance during the period. |
| • | Underweighted allocations to the consumer discretionary and real estate sectors, relative to the benchmark, also aided performance during the period. |
| • | Individual fund holdings that contributed most to relative performance during the period included semiconductor companies Broadcom, Inc., KLA Corp. and Lam Research Corp., pharmaceutical giant Merck & Co., Inc. and electrical equipment company Eaton Corp. PLC. |
| • | Not owning Tesla and Pfizer during the period also contributed. |
Market risk may affect a single issuer, sector of the economy, industry or the market as a whole. Value securities may be unprofitable if the market fails to recognize their intrinsic worth or the portfolio manager misgauged that worth. Foreign investments subject the Fund to risks, including political, economic, market, social and others within a particular country, as well as to currency instabilities and less
stringent financial and accounting standards generally applicable to U.S. issuers. Dividend payments are not guaranteed and the amount, if any, can vary over time. A rise in interest rates may result in a price decline of fixed-income instruments held by the Fund, negatively impacting its performance and net asset value. Falling rates may result in the Fund
investing in lower yielding debt instruments, lowering the Fund’s income and yield. These risks may be heightened for longer maturity and duration securities. The Fund may invest significantly in issuers within
a particular sector, which may be negatively affected by market, economic or other conditions, making the Fund more vulnerable to unfavorable developments in the sector. See the Fund’s prospectus for more
information on these and other risks.
The views expressed in this report
reflect the current views of the respective parties who contributed to this report. These views are not guarantees of future performance and involve certain risks, uncertainties and assumptions that are difficult to
predict, so actual outcomes and results may differ significantly from the views expressed. These views are subject to change at any time based upon economic, market or other conditions and the respective parties
disclaim any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a Columbia fund are based on numerous factors, may not be relied on as an
indication of trading intent on behalf of any particular Columbia fund. References to specific securities should not be construed as a recommendation or investment advice.
| 6 | Columbia Dividend Income Fund | Annual Report 2023 |
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 $1,000 = 8.6), then multiply the results by the expenses paid during the period under
the “Actual” column. The amount listed in the “Hypothetical” column assumes a 5% annual rate of return before expenses (which is not the Fund’s actual return) and then applies the
Fund’s actual expense ratio for the period to the hypothetical return. You should not use the hypothetical account values and expenses to estimate either your actual account balance at the end of the period or
the expenses you paid during the period. See “Compare with other funds” below for details on how to use the hypothetical data.
Compare with other funds
Since all mutual funds are
required to include the same hypothetical calculations about expenses in shareholder reports, you can use this information to compare the ongoing cost of investing in the Fund with other funds. To do so, compare the
hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds. As you compare hypothetical examples of other funds, it is important to note that hypothetical examples are
meant to highlight the ongoing costs of investing in a fund only and do not reflect any transaction costs, such as sales charges, or redemption or exchange fees. Therefore, the hypothetical calculations are useful in
comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. If transaction costs were included in these calculations, your costs would be higher.
| December 1, 2022 — May 31, 2023 | |||||||
| Account value at the beginning of the period ($) | 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 | 947.90 | 1,020.39 | 4.42 | 4.58 | 0.91 |
| Advisor Class | 1,000.00 | 1,000.00 | 949.20 | 1,021.64 | 3.21 | 3.33 | 0.66 |
| Class C | 1,000.00 | 1,000.00 | 944.40 | 1,016.65 | 8.05 | 8.35 | 1.66 |
| Institutional Class | 1,000.00 | 1,000.00 | 949.20 | 1,021.64 | 3.21 | 3.33 | 0.66 |
| Institutional 2 Class | 1,000.00 | 1,000.00 | 949.70 | 1,021.94 | 2.92 | 3.02 | 0.60 |
| Institutional 3 Class | 1,000.00 | 1,000.00 | 949.70 | 1,022.19 | 2.67 | 2.77 | 0.55 |
| Class R | 1,000.00 | 1,000.00 | 946.80 | 1,019.15 | 5.63 | 5.84 | 1.16 |
| Class V | 1,000.00 | 1,000.00 | 948.00 | 1,020.39 | 4.42 | 4.58 | 0.91 |
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.
| Columbia Dividend Income Fund | Annual Report 2023 | 7 |
Portfolio of Investments
May 31, 2023
May 31, 2023
(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.
| 8 | Columbia Dividend Income Fund | Annual Report 2023 |
Portfolio of Investments (continued)
May 31, 2023
May 31, 2023
The accompanying Notes to Financial
Statements are an integral part of this statement.
| Columbia Dividend Income Fund | Annual Report 2023 | 9 |
Portfolio of Investments (continued)
May 31, 2023
May 31, 2023
Notes to Portfolio of
Investments
| (a) | The rate shown is the seven-day current annualized yield at May 31, 2023. |
| (b) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the year ended May 31, 2023 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, 5.241% | ||||||||
| 862,509,688 | 2,181,531,617 | (2,546,763,174) | 212,490 | 497,490,621 | (246,951) | 24,857,191 | 497,739,490 | |
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
The accompanying Notes to Financial Statements are
an integral part of this statement.
| 10 | Columbia Dividend Income Fund | Annual Report 2023 |
Portfolio of Investments (continued)
May 31, 2023
May 31, 2023
Fair value measurements (continued)
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.
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.
The Fund’s Board of Trustees
(the Board) has designated the Investment Manager, through its Valuation Committee (the Committee), as valuation designee, responsible for determining the fair value of the assets of the Fund for which market
quotations are not readily available using 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 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. Representatives of Columbia Management Investment
Advisers, LLC report to 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 May 31, 2023:
| Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | |
| Investments in Securities | ||||
| Common Stocks | ||||
| Communication Services | 1,242,410,938 | — | — | 1,242,410,938 |
| Consumer Discretionary | 1,482,349,954 | — | — | 1,482,349,954 |
| Consumer Staples | 3,447,211,200 | — | — | 3,447,211,200 |
| Energy | 2,552,965,026 | — | — | 2,552,965,026 |
| Financials | 5,124,810,817 | — | — | 5,124,810,817 |
| Health Care | 5,286,132,592 | — | — | 5,286,132,592 |
| Industrials | 5,148,454,438 | — | — | 5,148,454,438 |
| Information Technology | 6,784,610,982 | — | — | 6,784,610,982 |
| Materials | 1,064,053,679 | — | — | 1,064,053,679 |
| Real Estate | 337,479,552 | — | — | 337,479,552 |
| Utilities | 2,061,716,209 | — | — | 2,061,716,209 |
| Total Common Stocks | 34,532,195,387 | — | — | 34,532,195,387 |
| Money Market Funds | 497,490,621 | — | — | 497,490,621 |
| Total Investments in Securities | 35,029,686,008 | — | — | 35,029,686,008 |
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 Dividend Income Fund | Annual Report 2023 | 11 |
Statement of Assets and Liabilities
May 31, 2023
May 31, 2023
| Assets | |
| Investments in securities, at value | |
| Unaffiliated issuers (cost $24,452,144,160) | $34,532,195,387 |
| Affiliated issuers (cost $497,570,465) | 497,490,621 |
| Receivable for: | |
| Capital shares sold | 31,128,700 |
| Dividends | 89,954,084 |
| Prepaid expenses | 174,697 |
| Trustees’ deferred compensation plan | 820,883 |
| Total assets | 35,151,764,372 |
| Liabilities | |
| Payable for: | |
| Capital shares purchased | 66,277,943 |
| Management services fees | 512,770 |
| Distribution and/or service fees | 64,579 |
| Transfer agent fees | 3,360,224 |
| Compensation of board members | 427,015 |
| Other expenses | 570,725 |
| Trustees’ deferred compensation plan | 820,883 |
| Total liabilities | 72,034,139 |
| Net assets applicable to outstanding capital stock | $35,079,730,233 |
| Represented by | |
| Paid in capital | 24,081,059,117 |
| Total distributable earnings (loss) | 10,998,671,116 |
| Total - representing net assets applicable to outstanding capital stock | $35,079,730,233 |
The accompanying Notes to Financial Statements are
an integral part of this statement.
| 12 | Columbia Dividend Income Fund | Annual Report 2023 |
Statement of Assets and Liabilities (continued)
May 31, 2023
May 31, 2023
| Class A | |
| Net assets | $3,967,470,679 |
| Shares outstanding | 140,632,392 |
| Net asset value per share | $28.21 |
| 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) | $29.93 |
| Advisor Class | |
| Net assets | $3,142,105,019 |
| Shares outstanding | 109,146,977 |
| Net asset value per share | $28.79 |
| Class C | |
| Net assets | $1,231,202,897 |
| Shares outstanding | 45,248,256 |
| Net asset value per share | $27.21 |
| Institutional Class | |
| Net assets | $16,392,770,599 |
| Shares outstanding | 580,337,620 |
| Net asset value per share | $28.25 |
| Institutional 2 Class | |
| Net assets | $2,799,839,127 |
| Shares outstanding | 97,360,350 |
| Net asset value per share | $28.76 |
| Institutional 3 Class | |
| Net assets | $7,272,474,327 |
| Shares outstanding | 252,453,648 |
| Net asset value per share | $28.81 |
| Class R | |
| Net assets | $192,439,450 |
| Shares outstanding | 6,816,939 |
| Net asset value per share | $28.23 |
| Class V | |
| Net assets | $81,428,135 |
| Shares outstanding | 2,884,820 |
| Net asset value per share | $28.23 |
| 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 V shares) | $29.95 |
The accompanying Notes to Financial Statements are
an integral part of this statement.
| Columbia Dividend Income Fund | Annual Report 2023 | 13 |
Statement of Operations
Year Ended May 31, 2023
Year Ended May 31, 2023
| Net investment income | |
| Income: | |
| Dividends — unaffiliated issuers | $960,465,450 |
| Dividends — affiliated issuers | 24,857,191 |
| Interfund lending | 13,359 |
| Total income | 985,336,000 |
| Expenses: | |
| Management services fees | 191,792,232 |
| Distribution and/or service fees | |
| Class A | 10,417,924 |
| Class C | 12,873,885 |
| Class R | 1,057,691 |
| Class V | 211,724 |
| Transfer agent fees | |
| Class A | 4,804,716 |
| Advisor Class | 3,724,046 |
| Class C | 1,484,347 |
| Institutional Class | 19,627,610 |
| Institutional 2 Class | 1,625,711 |
| Institutional 3 Class | 509,883 |
| Class R | 243,841 |
| Class V | 97,646 |
| Compensation of board members | 611,979 |
| Custodian fees | 147,859 |
| Printing and postage fees | 1,415,957 |
| Registration fees | 666,595 |
| Accounting services fees | 30,090 |
| Legal fees | 496,419 |
| Compensation of chief compliance officer | 7,232 |
| Other | 542,146 |
| Total expenses | 252,389,533 |
| Expense reduction | (1,860) |
| Total net expenses | 252,387,673 |
| Net investment income | 732,948,327 |
| Realized and unrealized gain (loss) — net | |
| Net realized gain (loss) on: | |
| Investments — unaffiliated issuers | 1,142,789,493 |
| Investments — affiliated issuers | (246,951) |
| Net realized gain | 1,142,542,542 |
| Net change in unrealized appreciation (depreciation) on: | |
| Investments — unaffiliated issuers | (2,438,213,257) |
| Investments — affiliated issuers | 212,490 |
| Net change in unrealized appreciation (depreciation) | (2,438,000,767) |
| Net realized and unrealized loss | (1,295,458,225) |
| Net decrease in net assets resulting from operations | $(562,509,898) |
The accompanying Notes to
Financial Statements are an integral part of this statement.
| 14 | Columbia Dividend Income Fund | Annual Report 2023 |
Statement of Changes in Net Assets
| Year Ended May 31, 2023 | Year Ended May 31, 2022 | |
| Operations | ||
| Net investment income | $732,948,327 | $604,521,277 |
| Net realized gain | 1,142,542,542 | 452,076,428 |
| Net change in unrealized appreciation (depreciation) | (2,438,000,767) | 405,905,851 |
| Net increase (decrease) in net assets resulting from operations | (562,509,898) | 1,462,503,556 |
| Distributions to shareholders | ||
| Net investment income and net realized gains | ||
| Class A | (154,151,214) | (124,980,544) |
| Advisor Class | (125,342,783) | (101,221,238) |
| Class C | (39,242,163) | (29,165,217) |
| Institutional Class | (673,349,498) | (540,399,033) |
| Institutional 2 Class | (113,983,696) | (99,465,229) |
| Institutional 3 Class | (292,108,284) | (231,722,717) |
| Class R | (7,283,081) | (6,024,068) |
| Class V | (3,116,021) | (2,666,349) |
| Total distributions to shareholders | (1,408,576,740) | (1,135,644,395) |
| Increase (decrease) in net assets from capital stock activity | (699,230,374) | 2,311,117,128 |
| Total increase (decrease) in net assets | (2,670,317,012) | 2,637,976,289 |
| Net assets at beginning of year | 37,750,047,245 | 35,112,070,956 |
| Net assets at end of year | $35,079,730,233 | $37,750,047,245 |
The accompanying Notes to
Financial Statements are an integral part of this statement.
| Columbia Dividend Income Fund | Annual Report 2023 | 15 |
Statement of Changes in Net Assets (continued)
| Year Ended | Year Ended | |||
| May 31, 2023 | May 31, 2022 | |||
| Shares | Dollars ($) | Shares | Dollars ($) | |
| Capital stock activity | ||||
| Class A | ||||
| Subscriptions | 22,850,983 | 653,720,647 | 29,845,816 | 900,339,496 |
| Distributions reinvested | 4,510,442 | 130,057,930 | 3,486,547 | 105,441,363 |
| Redemptions | (34,283,933) | (978,042,663) | (29,779,035) | (899,331,555) |
| Net increase (decrease) | (6,922,508) | (194,264,086) | 3,553,328 | 106,449,304 |
| Advisor Class | ||||
| Subscriptions | 24,553,496 | 718,386,500 | 38,790,900 | 1,192,233,253 |
| Distributions reinvested | 4,247,838 | 124,704,086 | 3,265,878 | 100,532,706 |
| Redemptions | (29,638,020) | (866,623,980) | (36,553,500) | (1,127,088,618) |
| Net increase (decrease) | (836,686) | (23,533,394) | 5,503,278 | 165,677,341 |
| Class C | ||||
| Subscriptions | 5,996,819 | 166,176,131 | 9,101,820 | 265,699,953 |
| Distributions reinvested | 1,204,095 | 33,818,342 | 854,445 | 25,139,789 |
| Redemptions | (8,938,103) | (246,374,902) | (8,146,924) | (237,516,776) |
| Net increase (decrease) | (1,737,189) | (46,380,429) | 1,809,341 | 53,322,966 |
| Institutional Class | ||||
| Subscriptions | 118,495,412 | 3,391,400,366 | 152,870,803 | 4,612,757,750 |
| Distributions reinvested | 20,599,048 | 593,407,172 | 15,623,440 | 472,403,308 |
| Redemptions | (152,768,478) | (4,373,840,875) | (128,602,883) | (3,888,570,214) |
| Net increase (decrease) | (13,674,018) | (389,033,337) | 39,891,360 | 1,196,590,844 |
| Institutional 2 Class | ||||
| Subscriptions | 26,645,634 | 774,006,652 | 28,189,723 | 863,966,863 |
| Distributions reinvested | 3,818,719 | 111,923,333 | 3,177,985 | 97,637,694 |
| Redemptions | (31,113,728) | (901,900,606) | (36,383,818) | (1,124,641,415) |
| Net decrease | (649,375) | (15,970,621) | (5,016,110) | (163,036,858) |
| Institutional 3 Class | ||||
| Subscriptions | 46,402,567 | 1,351,589,075 | 72,446,071 | 2,228,533,037 |
| Distributions reinvested | 6,726,837 | 197,370,827 | 4,950,475 | 152,421,625 |
| Redemptions | (53,142,236) | (1,549,338,118) | (46,594,347) | (1,434,309,179) |
| Net increase (decrease) | (12,832) | (378,216) | 30,802,199 | 946,645,483 |
| Class R | ||||
| Subscriptions | 724,188 | 20,764,907 | 1,619,319 | 48,845,688 |
| Distributions reinvested | 251,212 | 7,268,313 | 198,217 | 6,012,034 |
| Redemptions | (1,847,553) | (52,957,402) | (1,499,767) | (45,215,627) |
| Net increase (decrease) | (872,153) | (24,924,182) | 317,769 | 9,642,095 |
| Class V | ||||
| Subscriptions | 19,359 | 557,987 | 22,295 | 670,913 |
| Distributions reinvested | 88,468 | 2,552,565 | 71,346 | 2,158,582 |
| Redemptions | (272,715) | (7,856,661) | (231,428) | (7,003,542) |
| Net decrease | (164,888) | (4,746,109) | (137,787) | (4,174,047) |
| Total net increase (decrease) | (24,869,649) | (699,230,374) | 76,723,378 | 2,311,117,128 |
The accompanying Notes to Financial Statements are
an integral part of this statement.
| 16 | Columbia Dividend Income Fund | Annual Report 2023 |
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 ratios of expenses and net investment income are 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 | |||||||
| Year Ended 5/31/2023 | $29.77 | 0.52 | (1.02) | (0.50) | (0.50) | (0.56) | (1.06) |
| Year Ended 5/31/2022 | $29.50 | 0.42 | 0.71 | 1.13 | (0.41) | (0.45) | (0.86) |
| Year Ended 5/31/2021 | $22.13 | 0.38 | 7.37 | 7.75 | (0.38) | — | (0.38) |
| Year Ended 5/31/2020 | $21.45 | 0.41 | 0.93 | 1.34 | (0.40) | (0.26) | (0.66) |
| Year Ended 5/31/2019 | $21.63 | 0.39 | 0.88 | 1.27 | (0.38) | (1.07) | (1.45) |
| Advisor Class | |||||||
| Year Ended 5/31/2023 | $30.36 | 0.60 | (1.03) | (0.43) | (0.58) | (0.56) | (1.14) |
| Year Ended 5/31/2022 | $30.06 | 0.51 | 0.72 | 1.23 | (0.48) | (0.45) | (0.93) |
| Year Ended 5/31/2021 | $22.54 | 0.45 | 7.51 | 7.96 | (0.44) | — | (0.44) |
| Year Ended 5/31/2020 | $21.84 | 0.48 | 0.94 | 1.42 | (0.46) | (0.26) | (0.72) |
| Year Ended 5/31/2019 | $22.00 | 0.45 | 0.89 | 1.34 | (0.43) | (1.07) | (1.50) |
| Class C | |||||||
| Year Ended 5/31/2023 | $28.73 | 0.29 | (0.96) | (0.67) | (0.29) | (0.56) | (0.85) |
| Year Ended 5/31/2022 | $28.49 | 0.19 | 0.68 | 0.87 | (0.18) | (0.45) | (0.63) |
| Year Ended 5/31/2021 | $21.38 | 0.18 | 7.14 | 7.32 | (0.21) | — | (0.21) |
| Year Ended 5/31/2020 | $20.73 | 0.23 | 0.91 | 1.14 | (0.23) | (0.26) | (0.49) |
| Year Ended 5/31/2019 | $20.95 | 0.22 | 0.84 | 1.06 | (0.21) | (1.07) | (1.28) |
| Institutional Class | |||||||
| Year Ended 5/31/2023 | $29.81 | 0.59 | (1.01) | (0.42) | (0.58) | (0.56) | (1.14) |
| Year Ended 5/31/2022 | $29.53 | 0.50 | 0.71 | 1.21 | (0.48) | (0.45) | (0.93) |
| Year Ended 5/31/2021 | $22.15 | 0.44 | 7.38 | 7.82 | (0.44) | — | (0.44) |
| Year Ended 5/31/2020 | $21.48 | 0.47 | 0.92 | 1.39 | (0.46) | (0.26) | (0.72) |
| Year Ended 5/31/2019 | $21.66 | 0.44 | 0.88 | 1.32 | (0.43) | (1.07) | (1.50) |
| Institutional 2 Class | |||||||
| Year Ended 5/31/2023 | $30.33 | 0.62 | (1.04) | (0.42) | (0.59) | (0.56) | (1.15) |
| Year Ended 5/31/2022 | $30.03 | 0.52 | 0.73 | 1.25 | (0.50) | (0.45) | (0.95) |
| Year Ended 5/31/2021 | $22.52 | 0.46 | 7.51 | 7.97 | (0.46) | — | (0.46) |
| Year Ended 5/31/2020 | $21.83 | 0.49 | 0.94 | 1.43 | (0.48) | (0.26) | (0.74) |
| Year Ended 5/31/2019 | $21.99 | 0.47 | 0.89 | 1.36 | (0.45) | (1.07) | (1.52) |
The accompanying Notes to
Financial Statements are an integral part of this statement.
| 18 | Columbia Dividend Income Fund | Annual Report 2023 |
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 | |||||||
| Year Ended 5/31/2023 | $28.21 | (1.71%) | 0.91% | 0.91%(c) | 1.81% | 17% | $3,967,471 |
| Year Ended 5/31/2022 | $29.77 | 3.80% | 0.90% | 0.90%(c) | 1.38% | 16% | $4,392,792 |
| Year Ended 5/31/2021 | $29.50 | 35.42% | 0.92% | 0.92%(c) | 1.49% | 11% | $4,247,346 |
| Year Ended 5/31/2020 | $22.13 | 6.26% | 0.94% | 0.94%(c) | 1.80% | 14% | $2,689,884 |
| Year Ended 5/31/2019 | $21.45 | 6.10% | 0.96% | 0.96%(c) | 1.77% | 13% | $2,094,539 |
| Advisor Class | |||||||
| Year Ended 5/31/2023 | $28.79 | (1.46%) | 0.66% | 0.66%(c) | 2.06% | 17% | $3,142,105 |
| Year Ended 5/31/2022 | $30.36 | 4.08% | 0.65% | 0.65%(c) | 1.63% | 16% | $3,338,904 |
| Year Ended 5/31/2021 | $30.06 | 35.76% | 0.67% | 0.67%(c) | 1.74% | 11% | $3,140,636 |
| Year Ended 5/31/2020 | $22.54 | 6.53% | 0.69% | 0.69%(c) | 2.07% | 14% | $1,640,078 |
| Year Ended 5/31/2019 | $21.84 | 6.35% | 0.71% | 0.71%(c) | 2.04% | 13% | $815,017 |
| Class C | |||||||
| Year Ended 5/31/2023 | $27.21 | (2.42%) | 1.66% | 1.66%(c) | 1.06% | 17% | $1,231,203 |
| Year Ended 5/31/2022 | $28.73 | 3.01% | 1.65% | 1.65%(c) | 0.63% | 16% | $1,350,125 |
| Year Ended 5/31/2021 | $28.49 | 34.43% | 1.67% | 1.67%(c) | 0.75% | 11% | $1,286,989 |
| Year Ended 5/31/2020 | $21.38 | 5.44% | 1.69% | 1.69%(c) | 1.05% | 14% | $1,037,413 |
| Year Ended 5/31/2019 | $20.73 | 5.29% | 1.71% | 1.71%(c) | 1.02% | 13% | $856,621 |
| Institutional Class | |||||||
| Year Ended 5/31/2023 | $28.25 | (1.45%) | 0.66% | 0.66%(c) | 2.06% | 17% | $16,392,771 |
| Year Ended 5/31/2022 | $29.81 | 4.09% | 0.65% | 0.65%(c) | 1.63% | 16% | $17,707,133 |
| Year Ended 5/31/2021 | $29.53 | 35.76% | 0.67% | 0.67%(c) | 1.74% | 11% | $16,364,361 |
| Year Ended 5/31/2020 | $22.15 | 6.50% | 0.69% | 0.69%(c) | 2.06% | 14% | $9,604,530 |
| Year Ended 5/31/2019 | $21.48 | 6.36% | 0.71% | 0.71%(c) | 2.02% | 13% | $5,966,124 |
| Institutional 2 Class | |||||||
| Year Ended 5/31/2023 | $28.76 | (1.40%) | 0.60% | 0.60% | 2.12% | 17% | $2,799,839 |
| Year Ended 5/31/2022 | $30.33 | 4.16% | 0.59% | 0.59% | 1.69% | 16% | $2,972,324 |
| Year Ended 5/31/2021 | $30.03 | 35.84% | 0.61% | 0.61% | 1.79% | 11% | $3,093,985 |
| Year Ended 5/31/2020 | $22.52 | 6.57% | 0.62% | 0.62% | 2.13% | 14% | $1,385,364 |
| Year Ended 5/31/2019 | $21.83 | 6.44% | 0.63% | 0.63% | 2.11% | 13% | $772,924 |
The accompanying Notes to
Financial Statements are an integral part of this statement.
| Columbia Dividend Income Fund | Annual Report 2023 | 19 |
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 | |||||||
| Year Ended 5/31/2023 | $30.38 | 0.63 | (1.03) | (0.40) | (0.61) | (0.56) | (1.17) |
| Year Ended 5/31/2022 | $30.08 | 0.54 | 0.73 | 1.27 | (0.52) | (0.45) | (0.97) |
| Year Ended 5/31/2021 | $22.55 | 0.48 | 7.52 | 8.00 | (0.47) | — | (0.47) |
| Year Ended 5/31/2020 | $21.86 | 0.50 | 0.94 | 1.44 | (0.49) | (0.26) | (0.75) |
| Year Ended 5/31/2019 | $22.02 | 0.48 | 0.89 | 1.37 | (0.46) | (1.07) | (1.53) |
| Class R | |||||||
| Year Ended 5/31/2023 | $29.79 | 0.45 | (1.02) | (0.57) | (0.43) | (0.56) | (0.99) |
| Year Ended 5/31/2022 | $29.51 | 0.35 | 0.71 | 1.06 | (0.33) | (0.45) | (0.78) |
| Year Ended 5/31/2021 | $22.14 | 0.31 | 7.38 | 7.69 | (0.32) | — | (0.32) |
| Year Ended 5/31/2020 | $21.46 | 0.35 | 0.94 | 1.29 | (0.35) | (0.26) | (0.61) |
| Year Ended 5/31/2019 | $21.64 | 0.33 | 0.88 | 1.21 | (0.32) | (1.07) | (1.39) |
| Class V | |||||||
| Year Ended 5/31/2023 | $29.79 | 0.52 | (1.02) | (0.50) | (0.50) | (0.56) | (1.06) |
| Year Ended 5/31/2022 | $29.51 | 0.42 | 0.72 | 1.14 | (0.41) | (0.45) | (0.86) |
| Year Ended 5/31/2021 | $22.14 | 0.38 | 7.37 | 7.75 | (0.38) | — | (0.38) |
| Year Ended 5/31/2020 | $21.46 | 0.41 | 0.93 | 1.34 | (0.40) | (0.26) | (0.66) |
| Year Ended 5/31/2019 | $21.64 | 0.39 | 0.88 | 1.27 | (0.38) | (1.07) | (1.45) |
| 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) | The benefits derived from expense reductions had an impact of less than 0.01%. |
The accompanying Notes to
Financial Statements are an integral part of this statement.
| 20 | Columbia Dividend Income Fund | Annual Report 2023 |
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 | |||||||
| Year Ended 5/31/2023 | $28.81 | (1.36%) | 0.55% | 0.55% | 2.17% | 17% | $7,272,474 |
| Year Ended 5/31/2022 | $30.38 | 4.20% | 0.55% | 0.55% | 1.74% | 16% | $7,668,907 |
| Year Ended 5/31/2021 | $30.08 | 35.95% | 0.56% | 0.56% | 1.85% | 11% | $6,667,177 |
| Year Ended 5/31/2020 | $22.55 | 6.62% | 0.57% | 0.57% | 2.17% | 14% | $3,986,971 |
| Year Ended 5/31/2019 | $21.86 | 6.48% | 0.58% | 0.58% | 2.15% | 13% | $2,955,434 |
| Class R | |||||||
| Year Ended 5/31/2023 | $28.23 | (1.96%) | 1.15% | 1.15%(c) | 1.56% | 17% | $192,439 |
| Year Ended 5/31/2022 | $29.79 | 3.56% | 1.15% | 1.15%(c) | 1.13% | 16% | $229,025 |
| Year Ended 5/31/2021 | $29.51 | 35.08% | 1.17% | 1.17%(c) | 1.24% | 11% | $217,516 |
| Year Ended 5/31/2020 | $22.14 | 5.97% | 1.19% | 1.19%(c) | 1.54% | 14% | $137,720 |
| Year Ended 5/31/2019 | $21.46 | 5.83% | 1.21% | 1.21%(c) | 1.52% | 13% | $113,166 |
| Class V | |||||||
| Year Ended 5/31/2023 | $28.23 | (1.71%) | 0.91% | 0.91%(c) | 1.81% | 17% | $81,428 |
| Year Ended 5/31/2022 | $29.79 | 3.83% | 0.90% | 0.90%(c) | 1.38% | 16% | $90,837 |
| Year Ended 5/31/2021 | $29.51 | 35.40% | 0.92% | 0.92%(c) | 1.50% | 11% | $94,062 |
| Year Ended 5/31/2020 | $22.14 | 6.26% | 0.94% | 0.94%(c) | 1.78% | 14% | $74,269 |
| Year Ended 5/31/2019 | $21.46 | 6.10% | 0.96% | 0.96%(c) | 1.76% | 13% | $76,067 |
The accompanying Notes to Financial Statements are
an integral part of this statement.
| Columbia Dividend Income Fund | Annual Report 2023 | 21 |
Notes to Financial Statements
May 31, 2023
May 31, 2023
Note 1. Organization
Columbia Dividend 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 8 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.
Effective November 1, 2021, the
Fund was closed to new investors, other than those who invest in the Fund through certain financial intermediaries selected by Columbia Management Investment Distributors, Inc. (the Distributor) and retirement plans
currently invested and those approved by the Distributor to invest in the Fund.
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 price 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 ask 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 price 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 approved 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
| 22 | Columbia Dividend Income Fund | Annual Report 2023 |
Notes to Financial Statements (continued)
May 31, 2023
May 31, 2023
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.
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
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.
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 an 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.
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.
| Columbia Dividend Income Fund | Annual Report 2023 | 23 |
Notes to Financial Statements (continued)
May 31, 2023
May 31, 2023
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 and paid each calendar quarter. 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
Tailored Shareholder Reports
In October 2022, the Securities and
Exchange Commission (SEC) adopted a final rule relating to Tailored Shareholder Reports for Mutual Funds and Exchange-Traded Funds; Fee Information in Investment Company Advertisements. The rule and form amendments
will, among other things, require the Fund to transmit concise and visually engaging shareholder reports that highlight key information. The amendments will require that funds tag information in a structured data
format and that certain more in-depth information be made available online and available for delivery free of charge to investors on request. The amendments became effective January 24, 2023. There is an 18-month
transition period after the effective date of the amendment.
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 1, 2022, the management services fee is an annual fee that is equal to a
percentage of the Fund’s daily net assets that declines from 0.72% to 0.5025% as the Fund’s net assets increase. Prior to July 1, 2022, the management services fee was equal to a percentage of the
Fund’s daily net assets that declined from 0.72% to 0.505% as the Fund’s net assets increased. The effective management services fee rate for the year ended May 31, 2023 was 0.5291% 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. Under a Deferred Compensation Plan (the
Deferred Plan), these members of the Board of Trustees may elect to defer payment of up to 100% of their compensation. Deferred amounts are treated as though equivalent dollar amounts had been invested in shares of
certain funds managed by the Investment Manager. The Fund’s liability for these amounts is adjusted for market value changes and remains in the Fund until distributed in accordance with the Deferred Plan. All
amounts payable under the Deferred Plan
| 24 | Columbia Dividend Income Fund | Annual Report 2023 |
Notes to Financial Statements (continued)
May 31, 2023
May 31, 2023
constitute a general unsecured obligation of the
Fund. The expense for the Deferred Plan, which includes Trustees’ fees deferred during the current period as well as any gains or losses on the Trustees’ deferred compensation balances as a result of
market fluctuations, is included in "Compensation of board members" in the Statement of Operations.
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 SS&C GIDS, Inc. (SS&C GIDS) to serve as sub-transfer agent. Prior to January 1, 2023, SS&C GIDS was known as DST Asset
Manager Solutions, Inc. The Transfer Agent pays the fees of SS&C GIDS for services as sub-transfer agent and SS&C GIDS 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 year ended May 31, 2023,
the Fund’s 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 |
| Class V | 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 year ended May 31, 2023, these minimum account balance fees reduced total expenses of
the Fund by $1,860.
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
| Columbia Dividend Income Fund | Annual Report 2023 | 25 |
Notes to Financial Statements (continued)
May 31, 2023
May 31, 2023
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.
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.
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 0.50%
of the Fund’s average daily net assets attributable to Class V shares (comprised of up to 0.25% for shareholder services and up to 0.25% for administrative support services). These fees are currently limited to
an aggregate annual rate of not more than 0.25% of the Fund’s average daily net assets attributable to Class V shares.
Sales charges (unaudited)
Sales charges, including front-end
charges and contingent deferred sales charges (CDSCs), received by the Distributor for distributing Fund shares for the year ended May 31, 2023, if any, are listed below:
| Front End (%) | CDSC (%) | Amount ($) | |
| Class A | 5.75 | 0.50 - 1.00(a) | 4,225,344 |
| Class C | — | 1.00(b) | 98,156 |
| Class V | 5.75 | 0.50 - 1.00(a) | 1,469 |
| (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 classes’ average daily net assets:
| Fee rate(s) contractual through September 30, 2023 | |
| Class A | 1.10% |
| Advisor Class | 0.85 |
| Class C | 1.85 |
| Institutional Class | 0.85 |
| Institutional 2 Class | 0.79 |
| Institutional 3 Class | 0.74 |
| Class R | 1.35 |
| Class V | 1.10 |
| 26 | Columbia Dividend Income Fund | Annual Report 2023 |
Notes to Financial Statements (continued)
May 31, 2023
May 31, 2023
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, costs associated with shareholder meetings, 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 May 31, 2023, these differences
were primarily due to differing treatment for deferral/reversal of wash sale losses and trustees’ deferred compensation. To the extent these differences were permanent, reclassifications were made among the
components of the Fund’s net assets. Temporary differences do not require reclassifications.
The Fund did not have any permanent
differences; therefore, no reclassifications were made.
The tax character of distributions
paid during the years indicated was as follows:
| Year Ended May 31, 2023 | Year Ended May 31, 2022 | ||||
| Ordinary income ($) | Long-term capital gains ($) | Total ($) | Ordinary income ($) | Long-term capital gains ($) | Total ($) |
| 705,937,483 | 702,639,257 | 1,408,576,740 | 582,376,416 | 553,267,979 | 1,135,644,395 |
Short-term capital gain
distributions, if any, are considered ordinary income distributions for tax purposes.
At May 31, 2023, the components of
distributable earnings on a tax basis were as follows:
| Undistributed ordinary income ($) | Undistributed long-term capital gains ($) | Capital loss carryforwards ($) | Net unrealized appreciation ($) |
| 100,388,019 | 824,193,370 | — | 10,075,312,587 |
At May 31, 2023, the cost of all
investments for federal income tax purposes along with the aggregate gross unrealized appreciation and depreciation based on that cost was:
| Federal tax cost ($) | Gross unrealized appreciation ($) | Gross unrealized (depreciation) ($) | Net unrealized appreciation ($) |
| 24,954,373,421 | 10,671,090,924 | (595,778,337) | 10,075,312,587 |
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.
| Columbia Dividend Income Fund | Annual Report 2023 | 27 |
Notes to Financial Statements (continued)
May 31, 2023
May 31, 2023
Note 5. Portfolio
information
The cost of purchases and
proceeds from sales of securities, excluding short-term investments and derivatives, if any, aggregated to $5,896,638,534 and $6,869,047,570, respectively, for the year ended May 31, 2023. 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 year ended May 31, 2023 was as follows:
| Borrower or lender | Average loan balance ($) | Weighted average interest rate (%) | Number of days with outstanding loans |
| Lender | 5,551,429 | 2.54 | 35 |
Interest income earned by the Fund
is recorded as interfund lending in the Statement of Operations. The Fund had no outstanding interfund loans at May 31, 2023.
Note 8. Line of credit
The Fund has access to a
revolving credit facility with a syndicate of banks led by JPMorgan Chase Bank, N.A., Citibank, N.A. and Wells Fargo Bank, N.A. whereby the Fund may borrow for the temporary funding of shareholder redemptions or for
other temporary or emergency purposes. Pursuant to an October 27, 2022 amendment and restatement, the credit facility, which is an agreement between the Fund and certain other funds managed by the Investment Manager
or an affiliated investment manager, severally and not jointly, permits aggregate borrowings up to $950 million. Interest is currently 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 secured overnight financing rate plus 0.10% and (iii) the overnight bank funding rate plus, in each case, 1.00%. 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 October unless extended or renewed. Prior to the October 27, 2022 amendment and restatement, the Fund had access to a
revolving credit facility with a syndicate of banks led by JPMorgan Chase Bank, N.A., Citibank, N.A. and Wells Fargo Bank, N.A. which permitted collective borrowings up to $950 million. 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 secured overnight financing rate plus 0.11448% and (iii) the overnight bank funding rate plus,
in each case, 1.00%.
The Fund had no borrowings during
the year ended May 31, 2023.
| 28 | Columbia Dividend Income Fund | Annual Report 2023 |
Notes to Financial Statements (continued)
May 31, 2023
May 31, 2023
Note 9. Significant
risks
Market 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’s ability to price or value hard-to-value assets in thinly traded and closed markets and could cause 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 large-scale invasion of Ukraine
by Russia in February 2022 has resulted in sanctions and market disruptions, including declines in regional and global stock markets, unusual volatility in global commodity markets and significant devaluations of
Russian currency. The extent and duration of the military action are impossible to predict but could be significant. Market disruption caused by the Russian military action, and any counter-measures or responses
thereto (including international sanctions, a downgrade in the country’s credit rating, purchasing and financing restrictions, boycotts, tariffs, changes in consumer or purchaser preferences, cyberattacks and
espionage) could have severe adverse impacts on regional and/or global securities and commodities markets, including markets for oil and natural gas. These impacts may include reduced market liquidity, distress in
credit markets, further disruption of global supply chains, increased risk of inflation, restricted cross-border payments and limited access to investments and/or assets in certain international markets and/or
issuers. These developments and other related events could negatively impact Fund performance.
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 are involved in the normal course of business in legal proceedings which include regulatory inquiries, arbitration and litigation, including class actions concerning matters arising in connection
with the conduct of their activities as part of a diversified financial services firm. 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 Fund.
| Columbia Dividend Income Fund | Annual Report 2023 | 29 |
Report of Independent Registered Public
Accounting Firm
To the Board of Trustees of Columbia
Funds Series Trust I and Shareholders of Columbia Dividend Income Fund
Opinion on the Financial
Statements
We have audited the accompanying
statement of assets and liabilities, including the portfolio of investments, of Columbia Dividend Income Fund (one of the funds constituting Columbia Funds Series Trust I, referred to hereafter as the "Fund") as of
May 31, 2023, the related statement of operations for the year ended May 31, 2023, the statement of changes in net assets for each of the two years in the period ended May 31, 2023, including the related notes, and
the financial highlights for each of the five years in the period ended May 31, 2023 (collectively referred to as the "financial statements"). In our opinion, the financial statements present fairly, in all material
respects, the financial position of the Fund as of May 31, 2023, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period ended May 31, 2023 and the
financial highlights for each of the five years in the period ended May 31, 2023 in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinion
These financial statements are the
responsibility of the Fund’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audits. We are a public accounting firm registered with the Public
Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of
the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these
financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material
misstatement, whether due to error or fraud.
Our audits included performing
procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test
basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating
the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of May 31, 2023 by correspondence with the custodian and transfer agent. We believe that our audits
provide a reasonable basis for our opinion.
/s/PricewaterhouseCoopers LLP
Minneapolis, Minnesota
July 21, 2023
We have served as the auditor of
one or more investment companies within the Columbia Funds Complex since 1977.
| 30 | Columbia Dividend Income Fund | Annual Report 2023 |
Federal Income Tax
Information
(Unaudited)
The Fund hereby designates the
following tax attributes for the fiscal year ended May 31, 2023. Shareholders will be notified in early 2024 of the amounts for use in preparing 2023 income tax returns.
| Qualified dividend income | Dividends received deduction | Capital gain dividend |
| 100.00% | 100.00% | $1,200,935,964 |
Qualified dividend income. For
taxable, non-corporate shareholders, the percentage of ordinary income distributed during the fiscal year that represents qualified dividend income subject to reduced tax rates.
Dividends received deduction. The
percentage of ordinary income distributed during the fiscal year that qualifies for the corporate dividends received deduction.
Capital gain dividend. The Fund
designates as a capital gain dividend the amount reflected above, or if subsequently determined to be different, the net capital gain of such fiscal period.
TRUSTEES AND
OFFICERS
(Unaudited)
The Board oversees the
Fund’s operations and appoints officers who are responsible for day-to-day business decisions based on policies set by the Board. The following table provides basic biographical information about the
Fund’s Trustees as of the printing of this report, including their principal occupations during the past five years, although specific titles for individuals may have varied over the period. The year set forth
beneath Length of Service in the table below is the year in which the Trustee was first appointed or elected as Trustee to any Fund currently in the Columbia Funds Complex or a predecessor thereof. Under current Board
policy, each Trustee generally serves until December 31 of the year such Trustee turns seventy-five (75).
Independent trustees
| Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years and other relevant Board experience |
| George S. Batejan c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1954 | Trustee since 2017 | Executive Vice President, Global Head of Technology and Operations, Janus Capital Group, Inc., 2010-2016 | 174 | Former Chairman of the Board, NICSA (National Investment Company Services Association) (Executive Committee, Nominating Committee and Governance Committee), 2014-2016; former Director, Intech Investment Management, 2011-2016; former Board Member, Metro Denver Chamber of Commerce, 2015-2016; former Advisory Board Member, University of Colorado Business School, 2015-2018; former Board Member, Chase Bank International, 1993-1994 |
| Columbia Dividend Income Fund | Annual Report 2023 | 31 |
TRUSTEES AND OFFICERS (continued)
(Unaudited)
Independent trustees (continued)
(Unaudited)
Independent trustees (continued)
| Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years and other relevant Board experience |
| Kathleen Blatz c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1954 | Trustee since 2006 | Attorney, specializing in arbitration and mediation; Chief Justice, Minnesota Supreme Court, 1998-2006; Associate Justice, Minnesota Supreme Court, 1996-1998; Fourth Judicial District Court Judge, Hennepin County, 1994-1996; Attorney in private practice and public service, 1984-1993; State Representative, Minnesota House of Representatives, 1979-1993, which included service on the Tax and Financial Institutions and Insurance Committees; Member and Interim Chair, Minnesota Sports Facilities Authority, January-July 2017; Interim President and Chief Executive Officer, Blue Cross and Blue Shield of Minnesota (health care insurance), February-July 2018, April-October 2021 | 174 | Former Trustee, Blue Cross and Blue Shield of Minnesota, 2009-2021 (Chair of the Business Development Committee, 2014-2017; Chair of the Governance Committee, 2017-2019); former Member and Chair of the Board, Minnesota Sports Facilities Authority, January 2017-July 2017; former Director, Robina Foundation, 2009-2020 (Chair, 2014-2020); Director, Richard M. Schulze Family Foundation, since 2021 |
| Pamela G. Carlton c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1954 | Chair since 2023; Trustee since 2007 | President, Springboard — Partners in Cross Cultural Leadership (consulting company), since 2003; Managing Director of US Equity Research, JP Morgan Chase, 1999-2003; Director of US Equity Research, Chase Asset Management, 1996-1999; Co-Director Latin America Research, 1993-1996, COO Global Research, 1992-1996, Co-Director of US Research, 1991-1992, Investment Banker, 1982-1991, Morgan Stanley; Attorney, Cleary Gottlieb Steen & Hamilton LLP, 1980-1982 | 174 | Trustee, New York Presbyterian Hospital Board, since 1996; Director, DR Bank (Audit Committee) since 2017; Director, Evercore Inc. (Audit Committee, Nominating and Governance Committee), since 2019; Director, Apollo Commercial Real Estate Finance, Inc. (Chair, Nominating and Governance Committee) (financial services), since 2021; the Governing Council of the Independent Directors Council (IDC), since 2021 |
| Janet Langford Carrig c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1957 | Trustee since 1996 | Senior Vice President, General Counsel and Corporate Secretary, ConocoPhillips (independent energy company), September 2007-October 2018 | 174 | Director, EQT Corporation (natural gas producer), since 2019; former Director, Whiting Petroleum Corporation (independent oil and gas company), 2020-2022 |
| J. Kevin Connaughton c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1964 | Trustee since 2020 | CEO and President, RhodeWay Financial (non-profit financial planning firm), since December 2022; Member, FINRA National Adjudicatory Council, since January 2020; Adjunct Professor of Finance, Bentley University since January 2018; Consultant to Independent Trustees of CFVIT and CFST I from March 2016 to June 2020 with respect to CFVIT and to December 2020 with respect to CFST I; Managing Director and General Manager of Mutual Fund Products, Columbia Management Investment Advisers, LLC, May 2010-February 2015; President, Columbia Funds, 2008-2015; and senior officer of Columbia Funds and affiliated funds, 2003-2015 | 172 | Former Director, The Autism Project, March 2015-December 2021; former Member of the Investment Committee, St. Michael’s College, November 2015-February 2020; former Trustee, St. Michael’s College, June 2017-September 2019; former Trustee, New Century Portfolios (former mutual fund complex), January 2015-December 2017 |
| 32 | Columbia Dividend Income Fund | Annual Report 2023 |
TRUSTEES AND OFFICERS (continued)
(Unaudited)
Independent trustees (continued)
(Unaudited)
Independent trustees (continued)
| Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years and other relevant Board experience |
| Olive M. Darragh c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1962 | Trustee since 2020 | Managing Director of Darragh Inc. (strategy and talent management consulting firm), since 2010; Founder and CEO, Zolio, Inc. (investment management talent identification platform), since 2004; Consultant to Independent Trustees of CFVIT and CFST I from June 2019 to June 2020 with respect to CFVIT and to December 2020 with respect to CFST I; Partner, Tudor Investments, 2004-2010; Senior Partner, McKinsey & Company (consulting), 1990-2004; Touche Ross CPA, 1985-1988 | 172 | Treasurer, Edinburgh University US Trust Board, since January 2023; Member, HBS Community Action Partners Board, since September 2022; former Director, University of Edinburgh Business School (Member of US Board), 2004-2019; former Director, Boston Public Library Foundation, 2008-2017 |
| Patricia M. Flynn c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1950 | Trustee since 2004 | Professor of Economics and Management, Bentley University, since 2002; Dean, McCallum Graduate School of Business, Bentley University, 1992-2002 | 174 | Former Trustee, MA Taxpayers Foundation, 1997-2022; former Director, The MA Business Roundtable, 2003-2019; former Chairperson, Innovation Index Advisory Committee, MA Technology Collaborative, 1997-2020 |
| Brian J. Gallagher c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1954 | Trustee since 2017 | Retired; Partner with Deloitte & Touche LLP and its predecessors, 1977-2016 | 174 | Trustee, Catholic Schools Foundation, since 2004 |
| Douglas A. Hacker c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1955 | Trustee since 1996 | Independent business executive, since May 2006; Executive Vice President – Strategy of United Airlines, December 2002 - May 2006; President of UAL Loyalty Services (airline marketing company), September 2001-December 2002; Executive Vice President and Chief Financial Officer of United Airlines, July 1999-September 2001 | 174 | Director, SpartanNash Company since November 2013 (Chair of the Board, since May 2021) (food distributor); Director, Aircastle Limited (Chair of Audit Committee) (aircraft leasing), since August 2006; former Director, Nash Finch Company (food distributor), 2005-2013; former Director, SeaCube Container Leasing Ltd. (container leasing), 2010-2013; and former Director, Travelport Worldwide Limited (travel information technology), 2014-2019 |
| Nancy T. Lukitsh c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1956 | Trustee since 2011 | Senior Vice President, Partner and Director of Marketing, Wellington Management Company, LLP (investment adviser), 1997-2010; Chair, Wellington Management Portfolios (commingled non-U.S. investment pools), 2007-2010; Director, Wellington Trust Company, NA and other Wellington affiliates, 1997-2010 | 172 | None |
| Columbia Dividend Income Fund | Annual Report 2023 | 33 |
TRUSTEES AND OFFICERS (continued)
(Unaudited)
Independent trustees (continued)
(Unaudited)
Independent trustees (continued)
| Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years and other relevant Board experience |
| David M. Moffett c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1952 | Trustee since 2011 | Retired; former Chief Executive Officer of Freddie Mac and Chief Financial Officer of U.S. Bank | 172 | Director, CSX Corporation (transportation suppliers); Director, PayPal Holdings Inc. (payment and data processing services); Trustee, University of Oklahoma Foundation; former Director, eBay Inc. (online trading community), 2007-2015; and former Director, CIT Bank, CIT Group Inc. (commercial and consumer finance), 2010-2016; former Senior Adviser to The Carlyle Group (financial services), March 2008-September 2008; former Governance Consultant to Bridgewater Associates, January 2013-December 2015 |
| Catherine James Paglia c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1952 | Trustee since 2004 | Director, Enterprise Asset Management, Inc. (private real estate and asset management company), since September 1998; Managing Director and Partner, Interlaken Capital, Inc., 1989-1997; Vice President, 1982-1985, Principal, 1985-1987, Managing Director, 1987-1989, Morgan Stanley; Vice President, Investment Banking, 1980-1982, Associate, Investment Banking, 1976-1980, Dean Witter Reynolds, Inc. | 174 | Director, Valmont Industries, Inc. (irrigation systems manufacturer), since 2012; Trustee, Carleton College (on the Investment Committee), since 1987; Trustee, Carnegie Endowment for International Peace (on the Investment Committee), since 2009 |
| Natalie A. Trunow c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1967 | Trustee since 2020 | Chief Executive Officer, Millennial Portfolio Solutions LLC (asset management and consulting services), January 2016-January 2021; Non-executive Member of the Investment Committee and Valuation Committee, Sarona Asset Management Inc. (private equity firm) since September 2019; Advisor, Horizon Investments (asset management and consulting services), August 2018-January 2022; Advisor, Paradigm Asset Management, November 2016-January 2022; Consultant to Independent Trustees of CFVIT and CFST I from September 2016 to June 2020 with respect to CFVIT and to December 2020 with respect to CFST I; Director of Investments/Consultant, Casey Family Programs, April 2016-November 2016; Senior Vice President and Chief Investment Officer, Calvert Investments, August 2008-January 2016; Section Head and Portfolio Manager, General Motors Asset Management, June 1997-August 2008 | 172 | Independent Director, Investment Committee, Health Services for Children with Special Needs, Inc., 2010-2021; Independent Director, (Executive Committee and Chair, Audit Committee), Consumer Credit Counseling Services (formerly Guidewell Financial Solutions), since 2016; Independent Director, (Investment Committee), Sarona Asset Management, since 2019 |
| 34 | Columbia Dividend Income Fund | Annual Report 2023 |
TRUSTEES AND OFFICERS (continued)
(Unaudited)
Independent trustees (continued)
(Unaudited)
Independent trustees (continued)
| Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years and other relevant Board experience |
| Sandra L. Yeager c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1964 | Trustee since 2017 | Retired; President and founder, Hanoverian Capital, LLC (SEC registered investment advisor firm), 2008-2016; Managing Director, DuPont Capital, 2006-2008; Managing Director, Morgan Stanley Investment Management, 2004-2006; Senior Vice President, Alliance Bernstein, 1990-2004 | 174 | Former Director, NAPE (National Alliance for Partnerships in Equity) Education Foundation, October 2016-October 2020; Advisory Board, Jennersville YMCA, since 2022 |
Interested trustee affiliated
with Investment Manager*
| Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex overseen | Other directorships held by Trustee during the past five years and other relevant Board experience |
| Daniel J. Beckman c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1962 | Trustee since November 2021 and President since June 2021 | Vice President – Head of North America Product, Columbia Management Investment Advisers, LLC, since April 2015; President and Principal Executive Officer of the Columbia Funds, since June 2021; officer of Columbia Funds and affiliated funds, 2020-2021 | 174 | Director, Ameriprise Trust Company, since October 2016; Director, Columbia Management Investment Distributors, Inc. since November 2018; Board of Governors, Columbia Wanger Asset Management, LLC since, January 2022; Director, Columbia Threadneedle Canada, Inc., since December 2022 |
| * | The term “Columbia Funds Complex” as used herein includes Columbia Seligman Premium Technology Growth Fund, Tri-Continental Corporation and each series of Columbia Funds Series Trust (CFST), Columbia Funds Series Trust I (CFST I), Columbia Funds Series Trust II (CFST II), Columbia ETF Trust I (CET I), Columbia ETF Trust II (CET II), Columbia Funds Variable Insurance Trust (CFVIT) and Columbia Funds Variable Series Trust II (CFVST II). Messrs. Batejan, Beckman, Gallagher and Hacker and Mses. Blatz, Carlton, Carrig, Flynn, Paglia, and Yeager serve as directors of Columbia Seligman Premium Technology Growth Fund and Tri-Continental Corporation. |
| ** | Interested person (as defined under the 1940 Act) by reason of being an officer, director, security holder and/or employee of the Investment Manager or Ameriprise Financial. |
The Statement of Additional
Information has additional information about the Fund’s Board members and is available, without charge, upon request by calling 800.345.6611, visiting columbiathreadneedleus.com/investor/ or contacting your
financial intermediary.
| Columbia Dividend Income Fund | Annual Report 2023 | 35 |
TRUSTEES AND OFFICERS (continued)
(Unaudited)
The Board has appointed officers who are responsible for day-to-day business decisions based on policies it has established. The officers serve at the pleasure of the Board. The following table provides basic information about the Officers of the Fund as of the printing of this report, including principal occupations during the past five years, although their specific titles may have varied over the period. In addition to Mr. Beckman, who is President and Principal Executive Officer, the Fund’s other officers are:
(Unaudited)
The Board has appointed officers who are responsible for day-to-day business decisions based on policies it has established. The officers serve at the pleasure of the Board. The following table provides basic information about the Officers of the Fund as of the printing of this report, including principal occupations during the past five years, although their specific titles may have varied over the period. In addition to Mr. Beckman, who is President and Principal Executive Officer, the Fund’s other officers are:
Fund officers
| Name, address and year of birth | Position and year first appointed to position for any Fund in the Columbia Funds Complex or a predecessor thereof | Principal occupation(s) during past five years |
| Michael G. Clarke 290 Congress Street Boston, MA 02210 1969 | Chief Financial Officer and Principal Financial Officer (2009) and Senior Vice President (2019) | Senior Vice President and North America Head of Operations & Investor Services, Columbia Management Investment Advisers, LLC, since June 2023 (previously Senior Vice President and Head of Global Operations, March 2022 – June 2023, Vice President, Head of North America Operations, and Co-Head of Global Operations, June 2019 - February 2022 and Vice President – Accounting and Tax, May 2010 - May 2019); senior officer of Columbia Funds and affiliated funds, since 2002. Director, Ameriprise Trust Company, since June 2023. |
| Joseph Beranek 5890 Ameriprise Financial Center Minneapolis, MN 55474 1965 | Treasurer and Chief Accounting Officer (Principal Accounting Officer) (2019) and Principal Financial Officer (2020), CFST, CFST I, CFST II, CFVIT and CFVST II; Assistant Treasurer, CET I and CET II | Vice President – Mutual Fund Accounting and Financial Reporting, Columbia Management Investment Advisers, LLC, since December 2018 and March 2017, respectively. |
| Marybeth Pilat 290 Congress Street Boston, MA 02210 1968 | Treasurer and Chief Accounting Officer (Principal Accounting Officer) and Principal Financial Officer (2020) for CET I and CET II; Assistant Treasurer, CFST, CFST I, CFST II, CFVIT and CFVST II | Vice President – Product Pricing and Administration, Columbia Management Investment Advisers, LLC, since May 2017. |
| William F. Truscott 290 Congress Street Boston, MA 02210 1960 | Senior Vice President (2001) | Formerly, Trustee/Director of Columbia Funds Complex or legacy funds, November 2001 - January 1, 2021; Chief Executive Officer, Global Asset Management, Ameriprise Financial, Inc., since September 2012; Chairman of the Board and President, Columbia Management Investment Advisers, LLC, since July 2004 and February 2012, respectively; Chairman of the Board and Chief Executive Officer, Columbia Management Investment Distributors, Inc., since November 2008 and February 2012, respectively;Chairman of the Board and Director, Threadneedle Asset Management Holdings, Sàrl, since March 2013 and December 2008, respectively; senior executive of various entities affiliated with Columbia Threadneedle. |
| Christopher O. Petersen 5228 Ameriprise Financial Center Minneapolis, MN 55474 1970 | Senior Vice President and Assistant Secretary (2021) | Formerly, Trustee/Director of funds within the Columbia Funds Complex, July 1, 2020 - November 22, 2021; Senior Vice President and Assistant General Counsel, Ameriprise Financial, Inc., since September 2021 (previously Vice President and Lead Chief Counsel, January 2015 - September 2021); formerly, President and Principal Executive Officer of the Columbia Funds, 2015 - 2021; officer of Columbia Funds and affiliated funds, since 2007. |
| Thomas P. McGuire 290 Congress Street Boston, MA 02210 1972 | Senior Vice President and Chief Compliance Officer (2012) | Vice President – Asset Management Compliance, Ameriprise Financial, Inc., since May 2010; Chief Compliance Officer, Columbia Acorn/Wanger Funds, since December 2015; formerly, Chief Compliance Officer, Ameriprise Certificate Company, September 2010 – September 2020. |
| Ryan C. Larrenaga 290 Congress Street Boston, MA 02210 1970 | Senior Vice President (2017), Chief Legal Officer (2017), and Secretary (2015) | Vice President and Chief Counsel, Ameriprise Financial, Inc., since August 2018 (previously Vice President and Group Counsel, August 2011 - August 2018); Chief Legal Officer, Columbia Acorn/Wanger Funds, since September 2020; officer of Columbia Funds and affiliated funds, since 2005. |
| 36 | Columbia Dividend Income Fund | Annual Report 2023 |
TRUSTEES AND OFFICERS (continued)
(Unaudited)
Fund officers (continued)
(Unaudited)
Fund officers (continued)
| Name, address and year of birth | Position and year first appointed to position for any Fund in the Columbia Funds Complex or a predecessor thereof | Principal occupation(s) during past five years |
| Michael E. DeFao 290 Congress Street Boston, MA 02210 1968 | Vice President (2011) and Assistant Secretary (2010) | Vice President and Chief Counsel, Ameriprise Financial, Inc., since May 2010; Vice President, Chief Legal Officer and Assistant Secretary, Columbia Management Investment Advisers, LLC, since October 2021 (previously Vice President and Assistant Secretary, May 2010 – September 2021). |
| Lyn Kephart-Strong 5903 Ameriprise Financial Center Minneapolis, MN 55474 1960 | Vice President (2015) | Vice President, Global Investment Operations Services, Columbia Management Investment Advisers, LLC, since 2010; Director (since January 2007) and President (since October 2014), Columbia Management Investment Services Corp.; Director (since December 2017) and President (since January 2017), Ameriprise Trust Company. |
Liquidity Risk
Management Program
(Unaudited)
Pursuant to Rule 22e-4 under the
1940 Act, the Fund has adopted a liquidity risk management program (Program). The Program’s principal objectives include assessing, managing and periodically reviewing the Fund’s liquidity risk. Liquidity
risk is defined as the risk that the Fund could not meet redemption requests without significant dilution of remaining investors’ interests in the Fund.
The Board has appointed the
Investment Manager as the program administrator for the Fund’s Program. The Investment Manager has delegated oversight of the Program to its Liquidity Risk Management Committee (the Committee). At a board
meeting during the fiscal period, the Committee provided the Board with a report addressing the operations of the program and assessing its adequacy and effectiveness of implementation for the period January 1, 2022,
through December 31, 2022, including:
| • | the Fund had sufficient liquidity to both meet redemptions and operate effectively on behalf of shareholders; |
| • | there were no material changes to the Program during the period; |
| • | the implementation of the Program was effective to manage the Fund’s liquidity risk; and |
| • | the Program operated adequately during the period. |
There can be no assurance that the
Program will achieve its objectives in the future. Please refer to the Fund’s prospectus for more information regarding the Fund’s exposure to liquidity risk and other principal risks to which an
investment in the Fund may be subject.
| Columbia Dividend Income Fund | Annual Report 2023 | 37 |
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.
© 2023 Columbia Management Investment
Advisers, LLC.
columbiathreadneedleus.com/investor/
ANN139_05_N01_(07/23)
Columbia High Yield
Municipal Fund
Not FDIC or NCUA Insured •
No Financial Institution Guarantee • May Lose Value
Table of Contents
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If you elect to receive the
shareholder report for Columbia High Yield Municipal Fund (the Fund) in paper, mailed to you, the Fund mails one shareholder report to each shareholder address, unless such shareholder elects to receive shareholder
reports from the Fund electronically via e-mail or by having a paper notice mailed to you (Postcard Notice) that your Fund’s shareholder report is available at the Columbia funds’ website
(columbiathreadneedleus.com/investor/). If you would like more than one report in paper to be mailed to you, or would like to elect to receive reports via e-mail or access them through Postcard Notice, 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, is available on columbiathreadneedleus.com/investor/ or 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)
290 Congress Street
Boston, MA 02210
Fund distributor
Columbia Management Investment Distributors,
Inc.
290 Congress Street
Boston, MA 02210
Fund transfer agent
Columbia Management Investment Services Corp.
P.O. Box 219104
Kansas City, MO 64121-9104
Columbia High Yield Municipal
Fund | Annual Report 2023
Fund at a Glance
(Unaudited)
(Unaudited)
Investment objective
The Fund
seeks total return, consisting of current income exempt from federal income tax and capital appreciation.
Portfolio management
Douglas White, CFA
Lead Portfolio Manager
Managed Fund since 2018
Catherine Stienstra
Portfolio Manager
Managed Fund since 2016
| Columbia High Yield Municipal Fund | Annual Report 2023 | 3 |
Fund at a Glance (continued)
(Unaudited)
(Unaudited)
Performance of a hypothetical $10,000 investment (May 31, 2013 — May 31, 2023)
The chart above shows the change in
value of a hypothetical $10,000 investment in Class A shares of Columbia High Yield Municipal Fund during the stated time period, and does not reflect the deduction of taxes that a shareholder may pay on Fund
distributions or on the redemption of Fund shares.
| 4 | Columbia High Yield Municipal Fund | Annual Report 2023 |
Manager Discussion of Fund Performance
(Unaudited)
(Unaudited)
For the 12-month period that
ended May 31, 2023, Class A shares of Columbia High Yield Municipal Fund returned -5.29% excluding sales charges. The Fund underperformed its Blended Benchmark, which returned -1.63%, as well as the Bloomberg High
Yield Municipal Bond Index, which returned -2.17%.
Market overview
High-yield municipal bonds lost
ground in the annual period, reflecting the difficult backdrop for the fixed-income market more generally. The U.S. Federal Reserve (Fed) continued to raise interest rates aggressively in an effort to quell rising
inflation, moving its benchmark federal funds target rate from a range of 1.50%-1.75% to 5.00%-5.25% over the course of the period. The bulk of the market sell-off occurred in the first half of the period, with
performance improving somewhat thereafter as investors began to look ahead to the point at which the Fed could stop raising rates.
While investment-grade municipals
held up relatively well in this challenging environment, based on the 0.49% return for the Bloomberg Municipal Index, high-yield issues declined. The category came under pressure from both investors’ heightened
aversion to risk and general concerns about the impact slowing economic growth could have on lower-rated securities. These worries led to elevated asset outflows, particularly in the latter part of 2022, but the
effect was largely offset by reduced supply stemming from lower new issuance. Although high-yield municipals posted negative returns, fundamentals remained sound with municipal rainy-day funds at record highs and a
positive ratio of credit rating upgrades to downgrades.
The Fund’s notable
detractors during the period
| • | The Fund’s above-benchmark duration and emphasis on longer maturity bonds was the primary detractor from performance during the period. (Duration is a measure of interest rate sensitivity.) This aspect of the Fund’s positioning reflected our view that slowing growth would lead to declining yields in the latter half of 2022, but the opposite in fact occurred. The Fund maintained the long duration at the close of the period, given that economic indicators showed increasing odds of a slowdown as the Fed’s extended series of rate hikes began to take effect. In addition, inflation had begun to trend consistently lower. |
| • | An overweight in continuing care retirement communities (CCRCs) also detracted from results. This sector has been a consistent outperformer over time, but more recently it has been negatively impacted by COVID-19. |
| • | Security selection in non-rated, BBB and below B rated bonds detracted, as did selection in the resource recovery, electric revenue, toll road and CCRC sectors. |
The Fund’s notable
contributors during the period
| • | Overweights in BBB and A rated bonds, both of which outpaced the high-yield market, contributed to Fund performance. Since yield spreads on below investment-grade bonds remained historically narrow—i.e., “rich”—throughout the period, we viewed mid to lower investment-grade debt as an attractive alternative. |
| ○ | Our preference for higher rated bonds also reflected the fact that the category has typically outperformed lower quality issues when the economy slows or is in a recession. We therefore eliminated positions in areas we identified as being vulnerable to negative economic trends, as well as in issuers with weakening fundamentals. These included healthcare issues — including CCRCs — and holdings in economically sensitive sectors such as corporate-backed, sales tax backed, retail, hotels, and offices. We reinvested the majority of the proceeds in higher quality general obligation and essential service revenue bonds. As a result of these moves, the Fund ended the period significantly underweight in below investment-grade bonds relative to the Blended Benchmark. |
| • | Overweights in the toll road and airline sectors, which continued to benefit from increases in post-COVID-19 travel, also contributed. |
| • | At various times throughout the period, the Fund held small short positions in U.S. Treasury futures as a means of managing interest-rate risk. This strategy was a minor contributor to performance. |
Fixed-income securities present
issuer default risk. The Fund invests substantially in municipal securities and will be affected by tax, legislative, regulatory, demographic or political changes, as well as changes impacting a state’s financial, economic or other
conditions. A relatively small number of tax-exempt issuers may necessitate the Fund investing more heavily in a single issuer and, therefore, be more exposed to the risk of loss than a fund that invests more
broadly. Prepayment and extension risk exists because the timing of payments on a loan, bond or other investment may accelerate when interest rates fall or
| Columbia High Yield Municipal Fund | Annual Report 2023 | 5 |
Manager Discussion of Fund Performance (continued)
(Unaudited)
(Unaudited)
decelerate when interest rates rise which may
reduce investment opportunities and potential returns. A rise in interest rates may result in a price decline of fixed-income instruments held by the Fund, negatively impacting its performance and NAV. Falling rates may result in the Fund investing
in lower yielding debt instruments, lowering the Fund’s income and yield. These risks may be heightened for longer maturity and duration securities. Non-investment-grade (high-yield or junk) securities present greater price volatility and more risk to principal and income than higher rated securities. Market risk may affect a single issuer, sector of the economy, industry or the market as a whole. Federal and state tax rules apply to capital gain distributions and any gains or losses on sales. Income may be subject to state, local or alternative minimum taxes. Market or other (e.g., interest
rate) environments may adversely affect the liquidity of Fund investments, negatively impacting their price. Generally, the less liquid the market at the time the Fund sells a holding, the greater the risk of loss or decline of
value to the Fund. See the Fund’s prospectus for more information on these and other risks.
The views expressed in this report
reflect the current views of the respective parties who have contributed to this report. These views are not guarantees of future performance and involve certain risks, uncertainties and assumptions that are difficult
to predict, so actual outcomes and results may differ significantly from the views expressed. These views are subject to change at any time based upon economic, market or other conditions and the respective parties
disclaim any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a Columbia fund are based on numerous factors, may not be relied on as an
indication of trading intent on behalf of any particular Columbia fund. References to specific securities should not be construed as a recommendation or investment advice.
| 6 | Columbia High Yield Municipal Fund | Annual Report 2023 |
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 $1,000 = 8.6), then multiply the results by the expenses paid during the period under
the “Actual” column. The amount listed in the “Hypothetical” column assumes a 5% annual rate of return before expenses (which is not the Fund’s actual return) and then applies the
Fund’s actual expense ratio for the period to the hypothetical return. You should not use the hypothetical account values and expenses to estimate either your actual account balance at the end of the period or
the expenses you paid during the period. See “Compare with other funds” below for details on how to use the hypothetical data.
Compare with other funds
Since all mutual funds are
required to include the same hypothetical calculations about expenses in shareholder reports, you can use this information to compare the ongoing cost of investing in the Fund with other funds. To do so, compare the
hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds. As you compare hypothetical examples of other funds, it is important to note that hypothetical examples are
meant to highlight the ongoing costs of investing in a fund only and do not reflect any transaction costs, such as sales charges, or redemption or exchange fees. Therefore, the hypothetical calculations are useful in
comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. If transaction costs were included in these calculations, your costs would be higher.
| December 1, 2022 — May 31, 2023 | |||||||
| Account value at the beginning of the period ($) | 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 | 1,015.40 | 1,020.84 | 4.12 | 4.13 | 0.82 |
| Advisor Class | 1,000.00 | 1,000.00 | 1,016.40 | 1,021.84 | 3.12 | 3.13 | 0.62 |
| Class C | 1,000.00 | 1,000.00 | 1,012.40 | 1,017.85 | 7.12 | 7.14 | 1.42 |
| Institutional Class | 1,000.00 | 1,000.00 | 1,016.40 | 1,021.84 | 3.12 | 3.13 | 0.62 |
| Institutional 2 Class | 1,000.00 | 1,000.00 | 1,016.50 | 1,021.94 | 3.02 | 3.02 | 0.60 |
| Institutional 3 Class | 1,000.00 | 1,000.00 | 1,016.80 | 1,022.19 | 2.77 | 2.77 | 0.55 |
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 High Yield Municipal Fund | Annual Report 2023 | 7 |
Portfolio of Investments
May 31, 2023
May 31, 2023
(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.
| 8 | Columbia High Yield Municipal Fund | Annual Report 2023 |
Portfolio of Investments (continued)
May 31, 2023
May 31, 2023
The accompanying Notes to Financial
Statements are an integral part of this statement.
| Columbia High Yield Municipal Fund | Annual Report 2023 | 9 |
Portfolio of Investments (continued)
May 31, 2023
May 31, 2023
The accompanying Notes to Financial
Statements are an integral part of this statement.
| 10 | Columbia High Yield Municipal Fund | Annual Report 2023 |
Portfolio of Investments (continued)
May 31, 2023
May 31, 2023
The accompanying Notes to Financial
Statements are an integral part of this statement.
| Columbia High Yield Municipal Fund | Annual Report 2023 | 11 |
Portfolio of Investments (continued)
May 31, 2023
May 31, 2023
The accompanying Notes to Financial
Statements are an integral part of this statement.
| 12 | Columbia High Yield Municipal Fund | Annual Report 2023 |
Portfolio of Investments (continued)
May 31, 2023
May 31, 2023
The accompanying Notes to Financial
Statements are an integral part of this statement.
| Columbia High Yield Municipal Fund | Annual Report 2023 | 13 |
Portfolio of Investments (continued)
May 31, 2023
May 31, 2023
The accompanying Notes to Financial
Statements are an integral part of this statement.
| 14 | Columbia High Yield Municipal Fund | Annual Report 2023 |
Portfolio of Investments (continued)
May 31, 2023
May 31, 2023
The accompanying Notes to Financial
Statements are an integral part of this statement.
| Columbia High Yield Municipal Fund | Annual Report 2023 | 15 |
Portfolio of Investments (continued)
May 31, 2023
May 31, 2023
The accompanying Notes to Financial
Statements are an integral part of this statement.
| 16 | Columbia High Yield Municipal Fund | Annual Report 2023 |
Portfolio of Investments (continued)
May 31, 2023
May 31, 2023
The accompanying Notes to Financial
Statements are an integral part of this statement.
| Columbia High Yield Municipal Fund | Annual Report 2023 | 17 |
Portfolio of Investments (continued)
May 31, 2023
May 31, 2023
The accompanying Notes to Financial
Statements are an integral part of this statement.
| 18 | Columbia High Yield Municipal Fund | Annual Report 2023 |
Portfolio of Investments (continued)
May 31, 2023
May 31, 2023
The accompanying Notes to Financial
Statements are an integral part of this statement.
| Columbia High Yield Municipal Fund | Annual Report 2023 | 19 |
Portfolio of Investments (continued)
May 31, 2023
May 31, 2023
| Municipal Bonds (continued) | ||||
| Issue Description | Coupon Rate | Principal Amount ($) | Value ($) | |
| Revenue Bonds | ||||
| PHW Muskego, Inc. Project | ||||
| Series 2021 | ||||
| 10/01/2061 | 4.000% | 4,000,000 | 2,637,867 | |
| Total | 23,334,704 | |||
| Total Municipal Bonds (Cost $603,589,266) | 509,450,253 | |||
| Money Market Funds 0.2% | ||
| Shares | Value ($) | |
| Dreyfus Tax Exempt Cash Management Fund, Institutional Shares, 3.259%(j) | 107,412 | 107,402 |
| JPMorgan Institutional Tax Free Money Market Fund, Institutional Shares, 3.207%(j) | 1,019,818 | 1,019,818 |
| Total Money Market Funds (Cost $1,127,230) | 1,127,220 | |
| Total Investments in Securities (Cost $611,216,496) | 517,077,473 | |
| Other Assets & Liabilities, Net | 2,928,240 | |
| Net Assets | $520,005,713 | |
Notes to Portfolio of
Investments
| (a) | The Fund is entitled to receive principal and interest from the guarantor after a day or a week’s notice or upon maturity. The maturity date disclosed represents the final maturity. |
| (b) | Represents a variable rate security where the coupon rate adjusts on specified dates (generally daily or weekly) using the prevailing money market rate. The interest rate shown was the current rate as of May 31, 2023. |
| (c) | Zero coupon bond. |
| (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 May 31, 2023, the total value of these securities amounted to $129,156,469, which represents 24.84% of total net assets. |
| (e) | Represents a security in default. |
| (f) | Income from this security may be subject to alternative minimum tax. |
| (g) | Represents a security purchased on a when-issued basis. |
| (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 May 31, 2023. |
| (i) | Municipal obligations include debt obligations issued by or on behalf of territories, possessions, or sovereign nations within the territorial boundaries of the United States. At May 31, 2023, the total value of these securities amounted to $32,837,517, which represents 6.31% of total net assets. |
| (j) | The rate shown is the seven-day current annualized yield at May 31, 2023. |
Abbreviation Legend
| AGM | Assured Guaranty Municipal Corporation |
| BAN | Bond Anticipation Note |
| NPFGC | National Public Finance Guarantee Corporation |
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
The accompanying Notes to Financial Statements are
an integral part of this statement.
| 20 | Columbia High Yield Municipal Fund | Annual Report 2023 |
Portfolio of Investments (continued)
May 31, 2023
May 31, 2023
Fair value measurements (continued)
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.
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.
The Fund’s Board of Trustees
(the Board) has designated the Investment Manager, through its Valuation Committee (the Committee), as valuation designee, responsible for determining the fair value of the assets of the Fund for which market
quotations are not readily available using 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 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. Representatives of Columbia Management Investment
Advisers, LLC report to 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 May 31, 2023:
| Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | |
| Investments in Securities | ||||
| Floating Rate Notes | — | 6,500,000 | — | 6,500,000 |
| Municipal Bonds | — | 509,450,253 | — | 509,450,253 |
| Money Market Funds | 1,127,220 | — | — | 1,127,220 |
| Total Investments in Securities | 1,127,220 | 515,950,253 | — | 517,077,473 |
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.
The accompanying Notes to Financial Statements are
an integral part of this statement.
| Columbia High Yield Municipal Fund | Annual Report 2023 | 21 |
Statement of Assets and Liabilities
May 31, 2023
May 31, 2023
| Assets | |
| Investments in securities, at value | |
| Unaffiliated issuers (cost $611,216,496) | $517,077,473 |
| Cash | 17,557 |
| Receivable for: | |
| Investments sold | 1,335,195 |
| Capital shares sold | 1,582,128 |
| Dividends | 3,855 |
| Interest | 8,971,272 |
| Expense reimbursement due from Investment Manager | 839 |
| Prepaid expenses | 4,606 |
| Trustees’ deferred compensation plan | 145,740 |
| Total assets | 529,138,665 |
| Liabilities | |
| Payable for: | |
| Investments purchased on a delayed delivery basis | 6,075,396 |
| Capital shares purchased | 875,669 |
| Distributions to shareholders | 1,945,773 |
| Management services fees | 7,650 |
| Distribution and/or service fees | 1,341 |
| Transfer agent fees | 28,438 |
| Compensation of board members | 20,964 |
| Other expenses | 31,981 |
| Trustees’ deferred compensation plan | 145,740 |
| Total liabilities | 9,132,952 |
| Net assets applicable to outstanding capital stock | $520,005,713 |
| Represented by | |
| Paid in capital | 636,744,148 |
| Total distributable earnings (loss) | (116,738,435) |
| Total - representing net assets applicable to outstanding capital stock | $520,005,713 |
| Class A | |
| Net assets | $153,077,390 |
| Shares outstanding | 17,421,592 |
| Net asset value per share | $8.79 |
| 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) | $9.06 |
| Advisor Class | |
| Net assets | $9,940,145 |
| Shares outstanding | 1,130,024 |
| Net asset value per share | $8.80 |
| Class C | |
| Net assets | $23,140,852 |
| Shares outstanding | 2,633,736 |
| Net asset value per share | $8.79 |
| Institutional Class | |
| Net assets | $213,810,360 |
| Shares outstanding | 24,333,327 |
| Net asset value per share | $8.79 |
| Institutional 2 Class | |
| Net assets | $13,181,139 |
| Shares outstanding | 1,501,204 |
| Net asset value per share | $8.78 |
| Institutional 3 Class | |
| Net assets | $106,855,827 |
| Shares outstanding | 12,129,939 |
| Net asset value per share | $8.81 |
The accompanying Notes to Financial Statements are
an integral part of this statement.
| 22 | Columbia High Yield Municipal Fund | Annual Report 2023 |
Statement of Operations
Year Ended May 31, 2023
Year Ended May 31, 2023
| Net investment income | |
| Income: | |
| Dividends — unaffiliated issuers | $60,751 |
| Interest | 28,462,475 |
| Total income | 28,523,226 |
| Expenses: | |
| Management services fees | 3,031,229 |
| Distribution and/or service fees | |
| Class A | 306,460 |
| Class C | 210,297 |
| Transfer agent fees | |
| Class A | 122,235 |
| Advisor Class | 6,248 |
| Class C | 20,999 |
| Institutional Class | 213,083 |
| Institutional 2 Class | 8,201 |
| Institutional 3 Class | 6,076 |
| Compensation of board members | 24,650 |
| Custodian fees | 13,160 |
| Printing and postage fees | 30,114 |
| Registration fees | 131,475 |
| Accounting services fees | 40,290 |
| Legal fees | 19,881 |
| Interest on interfund lending | 5,255 |
| Compensation of chief compliance officer | 104 |
| Other | 19,162 |
| Total expenses | 4,208,919 |
| Fees waived or expenses reimbursed by Investment Manager and its affiliates | (233,788) |
| Expense reduction | (380) |
| Total net expenses | 3,974,751 |
| Net investment income | 24,548,475 |
| Realized and unrealized gain (loss) — net | |
| Net realized gain (loss) on: | |
| Investments — unaffiliated issuers | (15,919,186) |
| Futures contracts | 770,304 |
| Net realized loss | (15,148,882) |
| Net change in unrealized appreciation (depreciation) on: | |
| Investments — unaffiliated issuers | (46,871,128) |
| Futures contracts | (109,862) |
| Net change in unrealized appreciation (depreciation) | (46,980,990) |
| Net realized and unrealized loss | (62,129,872) |
| Net decrease in net assets resulting from operations | $(37,581,397) |
The accompanying Notes to
Financial Statements are an integral part of this statement.
| Columbia High Yield Municipal Fund | Annual Report 2023 | 23 |
Statement of Changes in Net Assets
| Year Ended May 31, 2023 | Year Ended May 31, 2022 | |
| Operations | ||
| Net investment income | $24,548,475 | $26,631,909 |
| Net realized gain (loss) | (15,148,882) | 2,829,869 |
| Net change in unrealized appreciation (depreciation) | (46,980,990) | (95,286,627) |
| Net decrease in net assets resulting from operations | (37,581,397) | (65,824,849) |
| Distributions to shareholders | ||
| Net investment income and net realized gains | ||
| Class A | (7,014,650) | (6,545,320) |
| Advisor Class | (381,292) | (419,048) |
| Class C | (1,042,844) | (1,074,895) |
| Institutional Class | (12,239,802) | (18,387,335) |
| Institutional 2 Class | (687,255) | (1,078,421) |
| Institutional 3 Class | (4,940,646) | (116,993) |
| Total distributions to shareholders | (26,306,489) | (27,622,012) |
| Decrease in net assets from capital stock activity | (78,948,564) | (5,620,316) |
| Total decrease in net assets | (142,836,450) | (99,067,177) |
| Net assets at beginning of year | 662,842,163 | 761,909,340 |
| Net assets at end of year | $520,005,713 | $662,842,163 |
The accompanying Notes to
Financial Statements are an integral part of this statement.
| 24 | Columbia High Yield Municipal Fund | Annual Report 2023 |
Statement of Changes in Net Assets (continued)
| Year Ended | Year Ended | |||
| May 31, 2023 | May 31, 2022 | |||
| Shares | Dollars ($) | Shares | Dollars ($) | |
| Capital stock activity | ||||
| Class A | ||||
| Subscriptions | 6,901,356 | 62,359,193 | 6,216,597 | 65,029,652 |
| Distributions reinvested | 706,433 | 6,313,691 | 530,683 | 5,630,466 |
| Redemptions | (7,734,760) | (69,392,489) | (5,688,814) | (58,747,218) |
| Net increase (decrease) | (126,971) | (719,605) | 1,058,466 | 11,912,900 |
| Advisor Class | ||||
| Subscriptions | 821,373 | 7,389,976 | 898,273 | 9,787,737 |
| Distributions reinvested | 42,679 | 381,259 | 38,944 | 419,016 |
| Redemptions | (382,996) | (3,398,709) | (1,413,842) | (15,196,417) |
| Net increase (decrease) | 481,056 | 4,372,526 | (476,625) | (4,989,664) |
| Class C | ||||
| Subscriptions | 569,581 | 5,147,785 | 579,322 | 6,155,222 |
| Distributions reinvested | 110,632 | 989,485 | 97,650 | 1,036,790 |
| Redemptions | (1,267,986) | (11,390,788) | (961,237) | (10,125,881) |
| Net decrease | (587,773) | (5,253,518) | (284,265) | (2,933,869) |
| Institutional Class | ||||
| Subscriptions | 12,240,748 | 111,073,979 | 11,383,196 | 119,964,905 |
| Distributions reinvested | 1,045,705 | 9,353,688 | 880,460 | 9,357,049 |
| Redemptions | (33,723,133) | (312,031,967) | (12,574,266) | (131,029,954) |
| Net decrease | (20,436,680) | (191,604,300) | (310,610) | (1,708,000) |
| Institutional 2 Class | ||||
| Subscriptions | 919,365 | 8,379,478 | 2,156,284 | 23,347,547 |
| Distributions reinvested | 76,900 | 686,953 | 100,582 | 1,077,861 |
| Redemptions | (1,100,176) | (9,846,622) | (3,171,988) | (33,446,833) |
| Net decrease | (103,911) | (780,191) | (915,122) | (9,021,425) |
| Institutional 3 Class | ||||
| Subscriptions | 20,403,975 | 191,717,950 | 215,594 | 2,197,273 |
| Distributions reinvested | 18,566 | 166,319 | 10,868 | 115,100 |
| Redemptions | (8,659,030) | (76,847,745) | (116,383) | (1,192,631) |
| Net increase | 11,763,511 | 115,036,524 | 110,079 | 1,119,742 |
| Total net decrease | (9,010,768) | (78,948,564) | (818,077) | (5,620,316) |
The accompanying Notes to Financial Statements are
an integral part of this statement.
| Columbia High Yield Municipal Fund | Annual Report 2023 | 25 |
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 ratios of expenses and net investment income are 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 | ||||||
| Year Ended 5/31/2023 | $9.72 | 0.38 | (0.90) | (0.52) | (0.41) | (0.41) |
| Year Ended 5/31/2022 | $11.04 | 0.37 | (1.31) | (0.94) | (0.38) | (0.38) |
| Year Ended 5/31/2021 | $9.96 | 0.36 | 1.08 | 1.44 | (0.36) | (0.36) |
| Year Ended 5/31/2020 | $10.74 | 0.42 | (0.77) | (0.35) | (0.43) | (0.43) |
| Year Ended 5/31/2019 | $10.56 | 0.43 | 0.23 | 0.66 | (0.48) | (0.48) |
| Advisor Class | ||||||
| Year Ended 5/31/2023 | $9.74 | 0.40 | (0.91) | (0.51) | (0.43) | (0.43) |
| Year Ended 5/31/2022 | $11.05 | 0.38 | (1.29) | (0.91) | (0.40) | (0.40) |
| Year Ended 5/31/2021 | $9.97 | 0.38 | 1.08 | 1.46 | (0.38) | (0.38) |
| Year Ended 5/31/2020 | $10.76 | 0.44 | (0.78) | (0.34) | (0.45) | (0.45) |
| Year Ended 5/31/2019 | $10.57 | 0.46 | 0.23 | 0.69 | (0.50) | (0.50) |
| Class C | ||||||
| Year Ended 5/31/2023 | $9.72 | 0.33 | (0.90) | (0.57) | (0.36) | (0.36) |
| Year Ended 5/31/2022 | $11.04 | 0.30 | (1.30) | (1.00) | (0.32) | (0.32) |
| Year Ended 5/31/2021 | $9.96 | 0.30 | 1.07 | 1.37 | (0.29) | (0.29) |
| Year Ended 5/31/2020 | $10.74 | 0.35 | (0.77) | (0.42) | (0.36) | (0.36) |
| Year Ended 5/31/2019 | $10.56 | 0.37 | 0.22 | 0.59 | (0.41) | (0.41) |
| Institutional Class | ||||||
| Year Ended 5/31/2023 | $9.73 | 0.40 | (0.91) | (0.51) | (0.43) | (0.43) |
| Year Ended 5/31/2022 | $11.05 | 0.39 | (1.31) | (0.92) | (0.40) | (0.40) |
| Year Ended 5/31/2021 | $9.96 | 0.38 | 1.09 | 1.47 | (0.38) | (0.38) |
| Year Ended 5/31/2020 | $10.75 | 0.44 | (0.78) | (0.34) | (0.45) | (0.45) |
| Year Ended 5/31/2019 | $10.56 | 0.46 | 0.23 | 0.69 | (0.50) | (0.50) |
| Institutional 2 Class | ||||||
| Year Ended 5/31/2023 | $9.72 | 0.40 | (0.91) | (0.51) | (0.43) | (0.43) |
| Year Ended 5/31/2022 | $11.04 | 0.39 | (1.30) | (0.91) | (0.41) | (0.41) |
| Year Ended 5/31/2021 | $9.95 | 0.39 | 1.08 | 1.47 | (0.38) | (0.38) |
| Year Ended 5/31/2020 | $10.74 | 0.44 | (0.77) | (0.33) | (0.46) | (0.46) |
| Year Ended 5/31/2019 | $10.55 | 0.46 | 0.23 | 0.69 | (0.50) | (0.50) |
The accompanying Notes to
Financial Statements are an integral part of this statement.
| 26 | Columbia High Yield Municipal Fund | Annual Report 2023 |
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 | |||||||
| Year Ended 5/31/2023 | $8.79 | (5.29%) | 0.87%(c) | 0.83%(c),(d) | 4.25% | 14% | $153,077 |
| Year Ended 5/31/2022 | $9.72 | (8.75%) | 0.86%(c) | 0.85%(c),(d) | 3.39% | 30% | $170,634 |
| Year Ended 5/31/2021 | $11.04 | 14.64% | 0.87%(e) | 0.85%(d),(e) | 3.41% | 22% | $182,125 |
| Year Ended 5/31/2020 | $9.96 | (3.41%) | 0.88%(c),(e) | 0.87%(c),(d),(e) | 3.98% | 46% | $164,388 |
| Year Ended 5/31/2019 | $10.74 | 6.42% | 0.88% | 0.85%(d) | 4.16% | 35% | $172,655 |
| Advisor Class | |||||||
| Year Ended 5/31/2023 | $8.80 | (5.19%) | 0.67%(c) | 0.63%(c),(d) | 4.47% | 14% | $9,940 |
| Year Ended 5/31/2022 | $9.74 | (8.47%) | 0.66%(c) | 0.65%(c),(d) | 3.46% | 30% | $6,318 |
| Year Ended 5/31/2021 | $11.05 | 14.86% | 0.68%(e) | 0.65%(d),(e) | 3.61% | 22% | $12,442 |
| Year Ended 5/31/2020 | $9.97 | (3.30%) | 0.68%(c),(e) | 0.67%(c),(d),(e) | 4.17% | 46% | $5,549 |
| Year Ended 5/31/2019 | $10.76 | 6.73% | 0.68% | 0.65%(d) | 4.35% | 35% | $5,318 |
| Class C | |||||||
| Year Ended 5/31/2023 | $8.79 | (5.86%) | 1.47%(c) | 1.43%(c),(d) | 3.65% | 14% | $23,141 |
| Year Ended 5/31/2022 | $9.72 | (9.30%) | 1.52%(c) | 1.45%(c),(d) | 2.77% | 30% | $31,324 |
| Year Ended 5/31/2021 | $11.04 | 13.94% | 1.62%(e) | 1.47%(d),(e),(f) | 2.80% | 22% | $38,720 |
| Year Ended 5/31/2020 | $9.96 | (4.04%) | 1.63%(c),(e) | 1.52%(c),(d),(e),(f) | 3.34% | 46% | $42,578 |
| Year Ended 5/31/2019 | $10.74 | 5.73% | 1.63% | 1.50%(d),(f) | 3.50% | 35% | $51,214 |
| Institutional Class | |||||||
| Year Ended 5/31/2023 | $8.79 | (5.20%) | 0.67%(c) | 0.63%(c),(d) | 4.41% | 14% | $213,810 |
| Year Ended 5/31/2022 | $9.73 | (8.56%) | 0.66%(c) | 0.65%(c),(d) | 3.58% | 30% | $435,400 |
| Year Ended 5/31/2021 | $11.05 | 14.97% | 0.67%(e) | 0.66%(d),(e) | 3.61% | 22% | $497,969 |
| Year Ended 5/31/2020 | $9.96 | (3.31%) | 0.68%(c),(e) | 0.67%(c),(d),(e) | 4.19% | 46% | $481,793 |
| Year Ended 5/31/2019 | $10.75 | 6.73% | 0.68% | 0.65%(d) | 4.35% | 35% | $548,850 |
| Institutional 2 Class | |||||||
| Year Ended 5/31/2023 | $8.78 | (5.19%) | 0.65%(c) | 0.61%(c) | 4.47% | 14% | $13,181 |
| Year Ended 5/31/2022 | $9.72 | (8.54%) | 0.63%(c) | 0.61%(c) | 3.54% | 30% | $15,596 |
| Year Ended 5/31/2021 | $11.04 | 15.03% | 0.64%(e) | 0.62%(e) | 3.64% | 22% | $27,815 |
| Year Ended 5/31/2020 | $9.95 | (3.28%) | 0.64%(c),(e) | 0.63%(c),(e) | 4.13% | 46% | $15,702 |
| Year Ended 5/31/2019 | $10.74 | 6.78% | 0.63% | 0.60% | 4.40% | 35% | $10,868 |
The accompanying Notes to
Financial Statements are an integral part of this statement.
| Columbia High Yield Municipal Fund | Annual Report 2023 | 27 |
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 | ||||||
| Year Ended 5/31/2023 | $9.75 | 0.41 | (0.91) | (0.50) | (0.44) | (0.44) |
| Year Ended 5/31/2022 | $11.07 | 0.40 | (1.31) | (0.91) | (0.41) | (0.41) |
| Year Ended 5/31/2021 | $9.98 | 0.39 | 1.09 | 1.48 | (0.39) | (0.39) |
| Year Ended 5/31/2020 | $10.77 | 0.45 | (0.78) | (0.33) | (0.46) | (0.46) |
| Year Ended 5/31/2019 | $10.58 | 0.47 | 0.23 | 0.70 | (0.51) | (0.51) |
| 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) | Ratios include interfund lending expense which is less than 0.01%. |
| (d) | The benefits derived from expense reductions had an impact of less than 0.01%. |
| (e) | Ratios include interest and fee expense related to the participation in certain inverse floater programs. If interest and fee expense related to the participation in certain inverse floater programs had been excluded, expenses would have been lower by 0.01%. Due to an equal increase in interest income from fixed rate municipal bonds held in trust, there is no impact on the Fund’s net assets, net asset value per share, total return or net investment income. |
| (f) | Ratios include the impact of voluntary waivers paid by the Investment Manager. For the periods indicated below, if the Investment Manager had not paid these voluntary waivers, the Fund’s net expense ratio would increase by: |
| 5/31/2021 | 5/31/2020 | 5/31/2019 | |
| Class C | 0.03% | 0.10% | 0.10% |
The accompanying Notes to
Financial Statements are an integral part of this statement.
| 28 | Columbia High Yield Municipal Fund | Annual Report 2023 |
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 | |||||||
| Year Ended 5/31/2023 | $8.81 | (5.11%) | 0.60%(c) | 0.55%(c) | 4.61% | 14% | $106,856 |
| Year Ended 5/31/2022 | $9.75 | (8.46%) | 0.58%(c) | 0.57%(c) | 3.69% | 30% | $3,572 |
| Year Ended 5/31/2021 | $11.07 | 15.05% | 0.59%(e) | 0.57%(e) | 3.69% | 22% | $2,838 |
| Year Ended 5/31/2020 | $9.98 | (3.21%) | 0.59%(c),(e) | 0.58%(c),(e) | 4.26% | 46% | $2,170 |
| Year Ended 5/31/2019 | $10.77 | 6.83% | 0.59% | 0.56% | 4.45% | 35% | $1,933 |
The accompanying Notes to Financial Statements are
an integral part of this statement.
| Columbia High Yield Municipal Fund | Annual Report 2023 | 29 |
Notes to Financial Statements
May 31, 2023
May 31, 2023
Note 1. Organization
Columbia High Yield Municipal
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 8 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
Debt securities generally are
valued based on prices obtained from pricing services, which are intended to reflect 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
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.
| 30 | Columbia High Yield Municipal Fund | Annual Report 2023 |
Notes to Financial Statements (continued)
May 31, 2023
May 31, 2023
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, failure of the clearinghouse or CCP may pose additional counterparty credit risk. 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 and such shortfall is remedied by the CCP or otherwise, 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 instruments’ 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
| Columbia High Yield Municipal Fund | Annual Report 2023 | 31 |
Notes to Financial Statements (continued)
May 31, 2023
May 31, 2023
broker or receive interest income on cash
collateral pledged to the broker. 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 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 generally expects to earn interest income on its margin deposits. 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.
At May 31, 2023, the Fund had no
outstanding derivatives.
| 32 | Columbia High Yield Municipal Fund | Annual Report 2023 |
Notes to Financial Statements (continued)
May 31, 2023
May 31, 2023
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 year ended May 31, 2023:
| Amount of realized gain (loss) on derivatives recognized in income | |
| Risk exposure category | Futures contracts ($) |
| Interest rate risk | 770,304 |
| Change in unrealized appreciation (depreciation) on derivatives recognized in income | |
| Risk exposure category | Futures contracts ($) |
| Interest rate risk | (109,862) |
The following table is a summary
of the average outstanding volume by derivative instrument for the year ended May 31, 2023:
| Derivative instrument | Average notional amounts ($)* |
| Futures contracts — short | 11,157,122 |
| * | Based on the ending daily outstanding amounts for the year ended May 31, 2023. |
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.
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. The Fund may also adjust
accrual rates when it becomes probable the full interest will not be collected and a partial payment will be received. A defaulted debt security is removed from non-accrual status when the issuer resumes interest
payments or when collectability 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.
| Columbia High Yield Municipal Fund | Annual Report 2023 | 33 |
Notes to Financial Statements (continued)
May 31, 2023
May 31, 2023
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 net tax-exempt and 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.
Recent accounting pronouncement
Tailored Shareholder Reports
In October 2022, the Securities and
Exchange Commission (SEC) adopted a final rule relating to Tailored Shareholder Reports for Mutual Funds and Exchange-Traded Funds; Fee Information in Investment Company Advertisements. The rule and form amendments
will, among other things, require the Fund to transmit concise and visually engaging shareholder reports that highlight key information. The amendments will require that funds tag information in a structured data
format and that certain more in-depth information be made available online and available for delivery free of charge to investors on request. The amendments became effective January 24, 2023. There is an 18-month
transition period after the effective date of the amendment.
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 0.54% to 0.34% as the Fund’s net assets increase. The effective management services fee rate for the year ended May 31, 2023 was 0.54% 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. Under a Deferred Compensation Plan (the
Deferred Plan), these members of the Board of Trustees may elect to defer payment of up to 100% of their compensation. Deferred amounts are treated as though equivalent dollar amounts had been invested in shares of
certain funds managed by the Investment Manager. The Fund’s liability for these amounts is adjusted for market value changes and remains in the Fund until distributed in accordance with the Deferred Plan. All
amounts payable under the Deferred Plan constitute a general unsecured obligation of the Fund. The expense for the Deferred Plan, which includes Trustees’ fees deferred during the current period as well as any
gains or losses on the Trustees’ deferred compensation balances as a result of market fluctuations, is included in "Compensation of board members" in the Statement of Operations.
| 34 | Columbia High Yield Municipal Fund | Annual Report 2023 |
Notes to Financial Statements (continued)
May 31, 2023
May 31, 2023
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
The Fund is permitted to engage 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 under specified conditions
outlined in a policy adopted by the Board, pursuant to Rule 17a-7 under the 1940 Act (cross-trades). The Board relies on quarterly written representation from the Fund’s Chief Compliance Officer that
cross-trades complied with approved policy.
For the year ended May 31, 2023,
the Fund engaged in cross-trades as follows:
| Purchases ($) | Sales ($) | Net realized gain (loss) ($) |
| 2,398,140 | — | — |
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 SS&C GIDS, Inc. (SS&C GIDS) to serve as sub-transfer agent. Prior to January 1, 2023, SS&C GIDS was known as DST Asset
Manager Solutions, Inc. The Transfer Agent pays the fees of SS&C GIDS for services as sub-transfer agent and SS&C GIDS 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 year ended May 31, 2023,
the Fund’s effective transfer agency fee rates as a percentage of average daily net assets of each class were as follows:
| Effective rate (%) | |
| Class A | 0.08 |
| Advisor Class | 0.08 |
| Class C | 0.08 |
| Institutional Class | 0.08 |
| 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 year ended May 31, 2023, these minimum account balance fees reduced total expenses of
the Fund by $380.
| Columbia High Yield Municipal Fund | Annual Report 2023 | 35 |
Notes to Financial Statements (continued)
May 31, 2023
May 31, 2023
Distribution and service fees
The Fund has entered into an
agreement with Columbia Management Investment Distributors, Inc. (the Distributor), an affiliate of the Investment Manager and a wholly-owned subsidiary of Ameriprise Financial, for distribution and shareholder
services. The Board of Trustees has approved, and the Fund has adopted, distribution and shareholder service plans (the Plans) applicable to certain share classes, which set the distribution and service fees for the
Fund. These fees are calculated daily and are intended to compensate the Distributor and/or eligible selling and/or servicing agents for selling shares of the Fund and providing services to investors.
Under the Plans, the Fund pays a
monthly service fee to the Distributor at the maximum annual rate of 0.20% of the average daily net assets attributable to Class A and Class C shares of the Fund. Also under the Plans, the Fund pays a monthly
distribution fee to the Distributor at the maximum annual rate of 0.60% of the average daily net assets attributable to Class C shares of the Fund.
Sales charges (unaudited)
Sales charges, including front-end
charges and contingent deferred sales charges (CDSCs), received by the Distributor for distributing Fund shares for the year ended May 31, 2023, if any, are listed below:
| Front End (%) | CDSC (%) | Amount ($) | |
| Class A | 3.00 | 0.75(a) | 84,897 |
| Class C | — | 1.00(b) | 1,789 |
| (a) | This charge is imposed on certain investments of $500,000 or more if redeemed within 12 months after purchase. |
| (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 classes’ average daily net assets:
| October 1, 2022 through September 30, 2023 | Prior to October 1, 2022 | |
| Class A | 0.83% | 0.85% |
| Advisor Class | 0.63 | 0.65 |
| Class C | 1.43 | 1.45 |
| Institutional Class | 0.63 | 0.65 |
| Institutional 2 Class | 0.60 | 0.62 |
| Institutional 3 Class | 0.55 | 0.57 |
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, costs associated with shareholder meetings, 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
| 36 | Columbia High Yield Municipal Fund | Annual Report 2023 |
Notes to Financial Statements (continued)
May 31, 2023
May 31, 2023
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.
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 May 31, 2023, these differences
were primarily due to differing treatment for deferral/reversal of wash sale losses, tax straddles, principal and/or interest from fixed income securities, defaulted securities/troubled debt, capital loss
carryforwards, trustees’ deferred compensation, distributions and re-characterization of distributions for investments. To the extent these differences were permanent, reclassifications were made among the
components of the Fund’s net assets. Temporary differences do not require reclassifications.
The following reclassifications
were made:
| Undistributed net investment income ($) | Accumulated net realized (loss) ($) | Paid in capital ($) |
| 156,939 | (156,939) | — |
Net investment income (loss) and
net realized gains (losses), as disclosed in the Statement of Operations, and net assets were not affected by this reclassification.
The tax character of distributions
paid during the years indicated was as follows:
| Year Ended May 31, 2023 | Year Ended May 31, 2022 | ||||||
| Ordinary income ($) | Tax-exempt income ($) | Long-term capital gains ($) | Total ($) | Ordinary income ($) | Tax-exempt income ($) | Long-term capital gains ($) | Total ($) |
| 65,268 | 26,241,221 | — | 26,306,489 | 166,117 | 27,455,895 | — | 27,622,012 |
Short-term capital gain
distributions, if any, are considered ordinary income distributions for tax purposes.
At May 31, 2023, the components of
distributable earnings on a tax basis were as follows:
| Undistributed ordinary income ($) | Undistributed tax- exempt income ($) | Undistributed long-term capital gains ($) | Capital loss carryforwards ($) | Net unrealized (depreciation) ($) |
| — | 12,743,479 | — | (22,036,401) | (105,335,275) |
At May 31, 2023, the cost of all
investments for federal income tax purposes along with the aggregate gross unrealized appreciation and depreciation based on that cost was:
| Federal tax cost ($) | Gross unrealized appreciation ($) | Gross unrealized (depreciation) ($) | Net unrealized (depreciation) ($) |
| 622,412,748 | 8,298,807 | (113,634,082) | (105,335,275) |
Tax cost of investments and
unrealized appreciation/(depreciation) may also include timing differences that do not constitute adjustments to tax basis.
The following capital loss
carryforwards, determined at May 31, 2023, may be available to reduce future net realized gains on investments, if any, to the extent permitted by the Internal Revenue Code. In addition, for the year ended May 31,
2023, capital loss carryforwards utilized, if any, were as follows:
| No expiration short-term ($) | No expiration long-term ($) | Total ($) | Utilized ($) |
| (10,912,178) | (11,124,223) | (22,036,401) | — |
| Columbia High Yield Municipal Fund | Annual Report 2023 | 37 |
Notes to Financial Statements (continued)
May 31, 2023
May 31, 2023
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 $78,869,320 and $162,452,991, respectively, for the year ended May 31, 2023. The amount of purchase and sale
activity impacts the portfolio turnover rate reported in the Financial Highlights.
Note 6. Interfund
lending
Pursuant to an exemptive order
granted by the Securities and Exchange Commission, the Fund participates in a program (the Interfund Program) allowing each participating Columbia Fund (each, a Participating Fund) to lend money directly to and,
except for closed-end funds and money market funds, borrow money directly from other Participating Funds for temporary purposes. The amounts eligible for borrowing and lending under the Interfund Program are subject
to certain restrictions.
Interfund loans are subject to the
risk that the borrowing fund could be unable to repay the loan when due, and a delay in repayment to the lending fund could result in lost opportunities and/or additional lending costs. The exemptive order is subject
to conditions intended to mitigate conflicts of interest arising from the Investment Manager’s relationship with each Participating Fund.
The Fund’s activity in the
Interfund Program during the year ended May 31, 2023 was as follows:
| Borrower or lender | Average loan balance ($) | Weighted average interest rate (%) | Number of days with outstanding loans |
| Borrower | 1,682,143 | 3.90 | 28 |
Interest expense incurred by the
Fund is recorded as interfund lending in the Statement of Operations. The Fund had no outstanding interfund loans at May 31, 2023.
Note 7. Line of credit
The Fund has access to a
revolving credit facility with a syndicate of banks led by JPMorgan Chase Bank, N.A., Citibank, N.A. and Wells Fargo Bank, N.A. whereby the Fund may borrow for the temporary funding of shareholder redemptions or for
other temporary or emergency purposes. Pursuant to an October 27, 2022 amendment and restatement, the credit facility, which is an agreement between the Fund and certain other funds managed by the Investment Manager
or an affiliated investment manager, severally and not jointly, permits aggregate borrowings up to $950 million. Interest is currently 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 secured overnight financing rate plus 0.10% and (iii) the overnight bank funding rate plus, in each case, 1.00%. 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 October unless extended or renewed. Prior to the October 27, 2022 amendment and restatement, the Fund had access to a
revolving credit facility with a syndicate of banks led by JPMorgan Chase Bank, N.A., Citibank, N.A. and Wells Fargo Bank, N.A. which permitted collective borrowings up to $950 million. 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 secured overnight financing rate plus 0.11448% and (iii) the overnight bank funding rate plus,
in each case, 1.00%.
The Fund had no borrowings during
the year ended May 31, 2023.
| 38 | Columbia High Yield Municipal Fund | Annual Report 2023 |
Notes to Financial Statements (continued)
May 31, 2023
May 31, 2023
Note 8. 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 interest rates rise, the values of debt instruments tend to fall, and if interest rates fall, the values of debt instruments tend to rise. Actions by
governments and central banking authorities can result in increases or decreases in interest rates. Higher periods of inflation could lead such authorities to raise 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 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’s ability to price or value hard-to-value assets in thinly traded and closed markets and could cause 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 High Yield Municipal Fund | Annual Report 2023 | 39 |
Notes to Financial Statements (continued)
May 31, 2023
May 31, 2023
Municipal securities risk
Municipal securities are debt
obligations generally issued to obtain funds for various public purposes, including general financing for state and local governments, or financing for a specific project or public facility, and include obligations of
the governments of the U.S. territories, commonwealths and possessions such as Guam, Puerto Rico and the U.S. Virgin Islands to the extent such obligations are exempt from state and U.S. federal income taxes. The
value of municipal securities can be significantly affected by actual or expected political and legislative changes at the federal or state level. Municipal securities may be fully or partially backed by the taxing
authority of the local government, by the credit of a private issuer, by the current or anticipated revenues from a specific project or specific assets or by domestic or foreign entities providing credit support, such
as letters of credit, guarantees or insurance, and are generally classified into general obligation bonds and special revenue obligations. Because many municipal securities are issued to finance projects in sectors
such as education, health care, transportation and utilities, conditions in those sectors can affect the overall municipal market.
Issuers in a state, territory,
commonwealth or possession in which the Fund invests may experience significant financial difficulties for various reasons, including as the result of events that cannot be reasonably anticipated or controlled such as
economic downturns or similar periods of economic stress, social conflict or unrest, labor disruption and natural disasters. Such financial difficulties may lead to credit rating downgrades or defaults of such issuers
which in turn, could affect the market values and marketability of many or all municipal obligations of issuers in such state, territory, commonwealth or possession. The value of the Fund’s shares will be
negatively impacted to the extent it invests in such securities. The Fund’s annual and semiannual reports show the Fund’s investment exposures at a point in time. The risk of investing in the Fund is
directly correlated to the Fund’s investment exposures.
Securities issued by a particular
state and its instrumentalities are subject to the risk of unfavorable developments in such state. A municipal security can be significantly affected by adverse tax, legislative, regulatory, demographic or political
changes as well as changes in a particular state’s (state and its instrumentalities’) financial, economic or other condition and prospects.
Shareholder concentration risk
At May 31, 2023, one unaffiliated
shareholder of record owned 23.5% 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 22.9% 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 9. 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 10. Information
regarding pending and settled legal proceedings
Ameriprise Financial and certain
of its affiliates are involved in the normal course of business in legal proceedings which include regulatory inquiries, arbitration and litigation, including class actions concerning matters arising in connection
with the conduct of their activities as part of a diversified financial services firm. 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.
| 40 | Columbia High Yield Municipal Fund | Annual Report 2023 |
Notes to Financial Statements (continued)
May 31, 2023
May 31, 2023
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 Fund.
| Columbia High Yield Municipal Fund | Annual Report 2023 | 41 |
Report of Independent Registered Public
Accounting Firm
To the Board of Trustees of Columbia
Funds Series Trust I and Shareholders of Columbia High Yield Municipal Fund
Opinion on the Financial
Statements
We have audited the accompanying
statement of assets and liabilities, including the portfolio of investments, of Columbia High Yield Municipal Fund (one of the funds constituting Columbia Funds Series Trust I, referred to hereafter as the "Fund") as
of May 31, 2023, the related statement of operations for the year ended May 31, 2023, the statement of changes in net assets for each of the two years in the period ended May 31, 2023, including the related notes, and
the financial highlights for each of the five years in the period ended May 31, 2023 (collectively referred to as the "financial statements"). In our opinion, the financial statements present fairly, in all material
respects, the financial position of the Fund as of May 31, 2023, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period ended May 31, 2023 and the
financial highlights for each of the five years in the period ended May 31, 2023 in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinion
These financial statements are the
responsibility of the Fund’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audits. We are a public accounting firm registered with the Public
Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of
the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these
financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material
misstatement, whether due to error or fraud.
Our audits included performing
procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test
basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating
the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of May 31, 2023 by correspondence with the custodian, transfer agents and brokers. We believe that our
audits provide a reasonable basis for our opinion.
/s/PricewaterhouseCoopers LLP
Minneapolis, Minnesota
July 21, 2023
We have served as the auditor of
one or more investment companies within the Columbia Funds Complex since 1977.
| 42 | Columbia High Yield Municipal Fund | Annual Report 2023 |
Federal Income Tax
Information
(Unaudited)
The Fund hereby designates the
following tax attributes for the fiscal year ended May 31, 2023. Shareholders will be notified in early 2024 of the amounts for use in preparing 2023 income tax returns.
| Exempt- interest dividends | |
| 99.75% |
Exempt-interest dividends. The
percentage of net investment income distributed during the fiscal year that qualifies as exempt-interest dividends for federal income tax purposes. A portion of the income may be subject to federal alternative minimum
tax.
TRUSTEES AND
OFFICERS
(Unaudited)
The Board oversees the
Fund’s operations and appoints officers who are responsible for day-to-day business decisions based on policies set by the Board. The following table provides basic biographical information about the
Fund’s Trustees as of the printing of this report, including their principal occupations during the past five years, although specific titles for individuals may have varied over the period. The year set forth
beneath Length of Service in the table below is the year in which the Trustee was first appointed or elected as Trustee to any Fund currently in the Columbia Funds Complex or a predecessor thereof. Under current Board
policy, each Trustee generally serves until December 31 of the year such Trustee turns seventy-five (75).
Independent trustees
| Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years and other relevant Board experience |
| George S. Batejan c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1954 | Trustee since 2017 | Executive Vice President, Global Head of Technology and Operations, Janus Capital Group, Inc., 2010-2016 | 174 | Former Chairman of the Board, NICSA (National Investment Company Services Association) (Executive Committee, Nominating Committee and Governance Committee), 2014-2016; former Director, Intech Investment Management, 2011-2016; former Board Member, Metro Denver Chamber of Commerce, 2015-2016; former Advisory Board Member, University of Colorado Business School, 2015-2018; former Board Member, Chase Bank International, 1993-1994 |
| Columbia High Yield Municipal Fund | Annual Report 2023 | 43 |
TRUSTEES AND OFFICERS (continued)
(Unaudited)
Independent trustees (continued)
(Unaudited)
Independent trustees (continued)
| Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years and other relevant Board experience |
| Kathleen Blatz c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1954 | Trustee since 2006 | Attorney, specializing in arbitration and mediation; Chief Justice, Minnesota Supreme Court, 1998-2006; Associate Justice, Minnesota Supreme Court, 1996-1998; Fourth Judicial District Court Judge, Hennepin County, 1994-1996; Attorney in private practice and public service, 1984-1993; State Representative, Minnesota House of Representatives, 1979-1993, which included service on the Tax and Financial Institutions and Insurance Committees; Member and Interim Chair, Minnesota Sports Facilities Authority, January-July 2017; Interim President and Chief Executive Officer, Blue Cross and Blue Shield of Minnesota (health care insurance), February-July 2018, April-October 2021 | 174 | Former Trustee, Blue Cross and Blue Shield of Minnesota, 2009-2021 (Chair of the Business Development Committee, 2014-2017; Chair of the Governance Committee, 2017-2019); former Member and Chair of the Board, Minnesota Sports Facilities Authority, January 2017-July 2017; former Director, Robina Foundation, 2009-2020 (Chair, 2014-2020); Director, Richard M. Schulze Family Foundation, since 2021 |
| Pamela G. Carlton c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1954 | Chair since 2023; Trustee since 2007 | President, Springboard — Partners in Cross Cultural Leadership (consulting company), since 2003; Managing Director of US Equity Research, JP Morgan Chase, 1999-2003; Director of US Equity Research, Chase Asset Management, 1996-1999; Co-Director Latin America Research, 1993-1996, COO Global Research, 1992-1996, Co-Director of US Research, 1991-1992, Investment Banker, 1982-1991, Morgan Stanley; Attorney, Cleary Gottlieb Steen & Hamilton LLP, 1980-1982 | 174 | Trustee, New York Presbyterian Hospital Board, since 1996; Director, DR Bank (Audit Committee) since 2017; Director, Evercore Inc. (Audit Committee, Nominating and Governance Committee), since 2019; Director, Apollo Commercial Real Estate Finance, Inc. (Chair, Nominating and Governance Committee) (financial services), since 2021; the Governing Council of the Independent Directors Council (IDC), since 2021 |
| Janet Langford Carrig c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1957 | Trustee since 1996 | Senior Vice President, General Counsel and Corporate Secretary, ConocoPhillips (independent energy company), September 2007-October 2018 | 174 | Director, EQT Corporation (natural gas producer), since 2019; former Director, Whiting Petroleum Corporation (independent oil and gas company), 2020-2022 |
| J. Kevin Connaughton c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1964 | Trustee since 2020 | CEO and President, RhodeWay Financial (non-profit financial planning firm), since December 2022; Member, FINRA National Adjudicatory Council, since January 2020; Adjunct Professor of Finance, Bentley University since January 2018; Consultant to Independent Trustees of CFVIT and CFST I from March 2016 to June 2020 with respect to CFVIT and to December 2020 with respect to CFST I; Managing Director and General Manager of Mutual Fund Products, Columbia Management Investment Advisers, LLC, May 2010-February 2015; President, Columbia Funds, 2008-2015; and senior officer of Columbia Funds and affiliated funds, 2003-2015 | 172 | Former Director, The Autism Project, March 2015-December 2021; former Member of the Investment Committee, St. Michael’s College, November 2015-February 2020; former Trustee, St. Michael’s College, June 2017-September 2019; former Trustee, New Century Portfolios (former mutual fund complex), January 2015-December 2017 |
| 44 | Columbia High Yield Municipal Fund | Annual Report 2023 |
TRUSTEES AND OFFICERS (continued)
(Unaudited)
Independent trustees (continued)
(Unaudited)
Independent trustees (continued)
| Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years and other relevant Board experience |
| Olive M. Darragh c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1962 | Trustee since 2020 | Managing Director of Darragh Inc. (strategy and talent management consulting firm), since 2010; Founder and CEO, Zolio, Inc. (investment management talent identification platform), since 2004; Consultant to Independent Trustees of CFVIT and CFST I from June 2019 to June 2020 with respect to CFVIT and to December 2020 with respect to CFST I; Partner, Tudor Investments, 2004-2010; Senior Partner, McKinsey & Company (consulting), 1990-2004; Touche Ross CPA, 1985-1988 | 172 | Treasurer, Edinburgh University US Trust Board, since January 2023; Member, HBS Community Action Partners Board, since September 2022; former Director, University of Edinburgh Business School (Member of US Board), 2004-2019; former Director, Boston Public Library Foundation, 2008-2017 |
| Patricia M. Flynn c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1950 | Trustee since 2004 | Professor of Economics and Management, Bentley University, since 2002; Dean, McCallum Graduate School of Business, Bentley University, 1992-2002 | 174 | Former Trustee, MA Taxpayers Foundation, 1997-2022; former Director, The MA Business Roundtable, 2003-2019; former Chairperson, Innovation Index Advisory Committee, MA Technology Collaborative, 1997-2020 |
| Brian J. Gallagher c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1954 | Trustee since 2017 | Retired; Partner with Deloitte & Touche LLP and its predecessors, 1977-2016 | 174 | Trustee, Catholic Schools Foundation, since 2004 |
| Douglas A. Hacker c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1955 | Trustee since 1996 | Independent business executive, since May 2006; Executive Vice President – Strategy of United Airlines, December 2002 - May 2006; President of UAL Loyalty Services (airline marketing company), September 2001-December 2002; Executive Vice President and Chief Financial Officer of United Airlines, July 1999-September 2001 | 174 | Director, SpartanNash Company since November 2013 (Chair of the Board, since May 2021) (food distributor); Director, Aircastle Limited (Chair of Audit Committee) (aircraft leasing), since August 2006; former Director, Nash Finch Company (food distributor), 2005-2013; former Director, SeaCube Container Leasing Ltd. (container leasing), 2010-2013; and former Director, Travelport Worldwide Limited (travel information technology), 2014-2019 |
| Nancy T. Lukitsh c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1956 | Trustee since 2011 | Senior Vice President, Partner and Director of Marketing, Wellington Management Company, LLP (investment adviser), 1997-2010; Chair, Wellington Management Portfolios (commingled non-U.S. investment pools), 2007-2010; Director, Wellington Trust Company, NA and other Wellington affiliates, 1997-2010 | 172 | None |
| Columbia High Yield Municipal Fund | Annual Report 2023 | 45 |
TRUSTEES AND OFFICERS (continued)
(Unaudited)
Independent trustees (continued)
(Unaudited)
Independent trustees (continued)
| Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years and other relevant Board experience |
| David M. Moffett c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1952 | Trustee since 2011 | Retired; former Chief Executive Officer of Freddie Mac and Chief Financial Officer of U.S. Bank | 172 | Director, CSX Corporation (transportation suppliers); Director, PayPal Holdings Inc. (payment and data processing services); Trustee, University of Oklahoma Foundation; former Director, eBay Inc. (online trading community), 2007-2015; and former Director, CIT Bank, CIT Group Inc. (commercial and consumer finance), 2010-2016; former Senior Adviser to The Carlyle Group (financial services), March 2008-September 2008; former Governance Consultant to Bridgewater Associates, January 2013-December 2015 |
| Catherine James Paglia c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1952 | Trustee since 2004 | Director, Enterprise Asset Management, Inc. (private real estate and asset management company), since September 1998; Managing Director and Partner, Interlaken Capital, Inc., 1989-1997; Vice President, 1982-1985, Principal, 1985-1987, Managing Director, 1987-1989, Morgan Stanley; Vice President, Investment Banking, 1980-1982, Associate, Investment Banking, 1976-1980, Dean Witter Reynolds, Inc. | 174 | Director, Valmont Industries, Inc. (irrigation systems manufacturer), since 2012; Trustee, Carleton College (on the Investment Committee), since 1987; Trustee, Carnegie Endowment for International Peace (on the Investment Committee), since 2009 |
| Natalie A. Trunow c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1967 | Trustee since 2020 | Chief Executive Officer, Millennial Portfolio Solutions LLC (asset management and consulting services), January 2016-January 2021; Non-executive Member of the Investment Committee and Valuation Committee, Sarona Asset Management Inc. (private equity firm) since September 2019; Advisor, Horizon Investments (asset management and consulting services), August 2018-January 2022; Advisor, Paradigm Asset Management, November 2016-January 2022; Consultant to Independent Trustees of CFVIT and CFST I from September 2016 to June 2020 with respect to CFVIT and to December 2020 with respect to CFST I; Director of Investments/Consultant, Casey Family Programs, April 2016-November 2016; Senior Vice President and Chief Investment Officer, Calvert Investments, August 2008-January 2016; Section Head and Portfolio Manager, General Motors Asset Management, June 1997-August 2008 | 172 | Independent Director, Investment Committee, Health Services for Children with Special Needs, Inc., 2010-2021; Independent Director, (Executive Committee and Chair, Audit Committee), Consumer Credit Counseling Services (formerly Guidewell Financial Solutions), since 2016; Independent Director, (Investment Committee), Sarona Asset Management, since 2019 |
| 46 | Columbia High Yield Municipal Fund | Annual Report 2023 |
TRUSTEES AND OFFICERS (continued)
(Unaudited)
Independent trustees (continued)
(Unaudited)
Independent trustees (continued)
| Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years and other relevant Board experience |
| Sandra L. Yeager c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1964 | Trustee since 2017 | Retired; President and founder, Hanoverian Capital, LLC (SEC registered investment advisor firm), 2008-2016; Managing Director, DuPont Capital, 2006-2008; Managing Director, Morgan Stanley Investment Management, 2004-2006; Senior Vice President, Alliance Bernstein, 1990-2004 | 174 | Former Director, NAPE (National Alliance for Partnerships in Equity) Education Foundation, October 2016-October 2020; Advisory Board, Jennersville YMCA, since 2022 |
Interested trustee affiliated
with Investment Manager*
| Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex overseen | Other directorships held by Trustee during the past five years and other relevant Board experience |
| Daniel J. Beckman c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1962 | Trustee since November 2021 and President since June 2021 | Vice President – Head of North America Product, Columbia Management Investment Advisers, LLC, since April 2015; President and Principal Executive Officer of the Columbia Funds, since June 2021; officer of Columbia Funds and affiliated funds, 2020-2021 | 174 | Director, Ameriprise Trust Company, since October 2016; Director, Columbia Management Investment Distributors, Inc. since November 2018; Board of Governors, Columbia Wanger Asset Management, LLC since, January 2022; Director, Columbia Threadneedle Canada, Inc., since December 2022 |
| * | The term “Columbia Funds Complex” as used herein includes Columbia Seligman Premium Technology Growth Fund, Tri-Continental Corporation and each series of Columbia Funds Series Trust (CFST), Columbia Funds Series Trust I (CFST I), Columbia Funds Series Trust II (CFST II), Columbia ETF Trust I (CET I), Columbia ETF Trust II (CET II), Columbia Funds Variable Insurance Trust (CFVIT) and Columbia Funds Variable Series Trust II (CFVST II). Messrs. Batejan, Beckman, Gallagher and Hacker and Mses. Blatz, Carlton, Carrig, Flynn, Paglia, and Yeager serve as directors of Columbia Seligman Premium Technology Growth Fund and Tri-Continental Corporation. |
| ** | Interested person (as defined under the 1940 Act) by reason of being an officer, director, security holder and/or employee of the Investment Manager or Ameriprise Financial. |
The Statement of Additional
Information has additional information about the Fund’s Board members and is available, without charge, upon request by calling 800.345.6611, visiting columbiathreadneedleus.com/investor/ or contacting your
financial intermediary.
| Columbia High Yield Municipal Fund | Annual Report 2023 | 47 |
TRUSTEES AND OFFICERS (continued)
(Unaudited)
The Board has appointed officers who are responsible for day-to-day business decisions based on policies it has established. The officers serve at the pleasure of the Board. The following table provides basic information about the Officers of the Fund as of the printing of this report, including principal occupations during the past five years, although their specific titles may have varied over the period. In addition to Mr. Beckman, who is President and Principal Executive Officer, the Fund’s other officers are:
(Unaudited)
The Board has appointed officers who are responsible for day-to-day business decisions based on policies it has established. The officers serve at the pleasure of the Board. The following table provides basic information about the Officers of the Fund as of the printing of this report, including principal occupations during the past five years, although their specific titles may have varied over the period. In addition to Mr. Beckman, who is President and Principal Executive Officer, the Fund’s other officers are:
Fund officers
| Name, address and year of birth | Position and year first appointed to position for any Fund in the Columbia Funds Complex or a predecessor thereof | Principal occupation(s) during past five years |
| Michael G. Clarke 290 Congress Street Boston, MA 02210 1969 | Chief Financial Officer and Principal Financial Officer (2009) and Senior Vice President (2019) | Senior Vice President and North America Head of Operations & Investor Services, Columbia Management Investment Advisers, LLC, since June 2023 (previously Senior Vice President and Head of Global Operations, March 2022 – June 2023, Vice President, Head of North America Operations, and Co-Head of Global Operations, June 2019 - February 2022 and Vice President – Accounting and Tax, May 2010 - May 2019); senior officer of Columbia Funds and affiliated funds, since 2002. Director, Ameriprise Trust Company, since June 2023. |
| Joseph Beranek 5890 Ameriprise Financial Center Minneapolis, MN 55474 1965 | Treasurer and Chief Accounting Officer (Principal Accounting Officer) (2019) and Principal Financial Officer (2020), CFST, CFST I, CFST II, CFVIT and CFVST II; Assistant Treasurer, CET I and CET II | Vice President – Mutual Fund Accounting and Financial Reporting, Columbia Management Investment Advisers, LLC, since December 2018 and March 2017, respectively. |
| Marybeth Pilat 290 Congress Street Boston, MA 02210 1968 | Treasurer and Chief Accounting Officer (Principal Accounting Officer) and Principal Financial Officer (2020) for CET I and CET II; Assistant Treasurer, CFST, CFST I, CFST II, CFVIT and CFVST II | Vice President – Product Pricing and Administration, Columbia Management Investment Advisers, LLC, since May 2017. |
| William F. Truscott 290 Congress Street Boston, MA 02210 1960 | Senior Vice President (2001) | Formerly, Trustee/Director of Columbia Funds Complex or legacy funds, November 2001 - January 1, 2021; Chief Executive Officer, Global Asset Management, Ameriprise Financial, Inc., since September 2012; Chairman of the Board and President, Columbia Management Investment Advisers, LLC, since July 2004 and February 2012, respectively; Chairman of the Board and Chief Executive Officer, Columbia Management Investment Distributors, Inc., since November 2008 and February 2012, respectively;Chairman of the Board and Director, Threadneedle Asset Management Holdings, Sàrl, since March 2013 and December 2008, respectively; senior executive of various entities affiliated with Columbia Threadneedle. |
| Christopher O. Petersen 5228 Ameriprise Financial Center Minneapolis, MN 55474 1970 | Senior Vice President and Assistant Secretary (2021) | Formerly, Trustee/Director of funds within the Columbia Funds Complex, July 1, 2020 - November 22, 2021; Senior Vice President and Assistant General Counsel, Ameriprise Financial, Inc., since September 2021 (previously Vice President and Lead Chief Counsel, January 2015 - September 2021); formerly, President and Principal Executive Officer of the Columbia Funds, 2015 - 2021; officer of Columbia Funds and affiliated funds, since 2007. |
| Thomas P. McGuire 290 Congress Street Boston, MA 02210 1972 | Senior Vice President and Chief Compliance Officer (2012) | Vice President – Asset Management Compliance, Ameriprise Financial, Inc., since May 2010; Chief Compliance Officer, Columbia Acorn/Wanger Funds, since December 2015; formerly, Chief Compliance Officer, Ameriprise Certificate Company, September 2010 – September 2020. |
| Ryan C. Larrenaga 290 Congress Street Boston, MA 02210 1970 | Senior Vice President (2017), Chief Legal Officer (2017), and Secretary (2015) | Vice President and Chief Counsel, Ameriprise Financial, Inc., since August 2018 (previously Vice President and Group Counsel, August 2011 - August 2018); Chief Legal Officer, Columbia Acorn/Wanger Funds, since September 2020; officer of Columbia Funds and affiliated funds, since 2005. |
| 48 | Columbia High Yield Municipal Fund | Annual Report 2023 |
TRUSTEES AND OFFICERS (continued)
(Unaudited)
Fund officers (continued)
(Unaudited)
Fund officers (continued)
| Name, address and year of birth | Position and year first appointed to position for any Fund in the Columbia Funds Complex or a predecessor thereof | Principal occupation(s) during past five years |
| Michael E. DeFao 290 Congress Street Boston, MA 02210 1968 | Vice President (2011) and Assistant Secretary (2010) | Vice President and Chief Counsel, Ameriprise Financial, Inc., since May 2010; Vice President, Chief Legal Officer and Assistant Secretary, Columbia Management Investment Advisers, LLC, since October 2021 (previously Vice President and Assistant Secretary, May 2010 – September 2021). |
| Lyn Kephart-Strong 5903 Ameriprise Financial Center Minneapolis, MN 55474 1960 | Vice President (2015) | Vice President, Global Investment Operations Services, Columbia Management Investment Advisers, LLC, since 2010; Director (since January 2007) and President (since October 2014), Columbia Management Investment Services Corp.; Director (since December 2017) and President (since January 2017), Ameriprise Trust Company. |
Liquidity Risk
Management Program
(Unaudited)
Pursuant to Rule 22e-4 under the
1940 Act, the Fund has adopted a liquidity risk management program (Program). The Program’s principal objectives include assessing, managing and periodically reviewing the Fund’s liquidity risk. Liquidity
risk is defined as the risk that the Fund could not meet redemption requests without significant dilution of remaining investors’ interests in the Fund.
The Board has appointed the
Investment Manager as the program administrator for the Fund’s Program. The Investment Manager has delegated oversight of the Program to its Liquidity Risk Management Committee (the Committee). At a board
meeting during the fiscal period, the Committee provided the Board with a report addressing the operations of the program and assessing its adequacy and effectiveness of implementation for the period January 1, 2022,
through December 31, 2022, including:
| • | the Fund had sufficient liquidity to both meet redemptions and operate effectively on behalf of shareholders; |
| • | there were no material changes to the Program during the period; |
| • | the implementation of the Program was effective to manage the Fund’s liquidity risk; and |
| • | the Program operated adequately during the period. |
There can be no assurance that the
Program will achieve its objectives in the future. Please refer to the Fund’s prospectus for more information regarding the Fund’s exposure to liquidity risk and other principal risks to which an
investment in the Fund may be subject.
| Columbia High Yield Municipal Fund | Annual Report 2023 | 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.
© 2023 Columbia Management Investment
Advisers, LLC.
columbiathreadneedleus.com/investor/
ANN161_05_N01_(07/23)
Item 2. Code of Ethics.
|
(a) |
The registrant has adopted a code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party. |
|
(b) |
During the period covered by this report, there were not any amendments to a provision of the code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party, and that relates to any element of the code of ethics definition enumerated in paragraph (b) of this Item. |
|
(c) |
During the period covered by this report, there were no waivers, including any implicit waivers, from a provision of the code of ethics to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party that relates to one or more of the items set forth in paragraph (b) of this Item. |
Item 3. Audit Committee Financial Expert.
The registrant’s Board of Trustees has determined that David M. Moffett, Brian J. Gallagher, J. Kevin Connaughton, Sandra L. Yeager, and Douglas A. Hacker, each of whom are members of the registrant’s Board of Trustees and Audit Committee, each qualify as an audit committee financial expert. Mr. Moffett, Mr. Gallagher, Mr. Connaughton, Ms. Yeager, and Mr. Hacker are each independent trustees, as defined in paragraph (a)(2) of this item’s instructions.
Item 4. Principal Accountant Fees and Services.
Fee information below is disclosed for the four series of the registrant whose reports to stockholders are included in this annual filing.
(a) Audit Fees. Aggregate Audit Fees billed by the principal accountant for professional services rendered during the fiscal years ended May 31, 2023 and May 31, 2022 are approximately as follows:
|
2023 |
2022 |
|
$171,400 |
$168,000 |
Audit Fees include amounts related to the audit of the registrant’s annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements for those fiscal years.
(b) Audit-Related Fees. Aggregate Audit-Related Fees billed to the registrant by the principal accountant for professional services rendered during the fiscal years ended May 31, 2023 and May 31, 2022 are approximately as follows:
|
2023 |
2022 |
|
$0 |
$2,800 |
Audit-Related Fees include amounts for assurance and related services by the principal accountant that are reasonably related to the performance of the audit of the registrant’s financial statements and are not reported in Audit Fees above.
During the fiscal years ended May 31, 2023 and May 31, 2022, there were no Audit-Related Fees billed by the registrant’s principal accountant to the registrant’s investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser) and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant for an engagement that related directly to the operations and financial reporting of the registrant.
(c) Tax Fees. Aggregate Tax Fees billed by the principal accountant to the registrant for professional services rendered during the fiscal years ended May 31, 2023 and May 31, 2022 are approximately as follows:
|
2023 |
2022 |
|
$50,000 |
$20,200 |
Tax Fees include amounts for the review of annual tax returns, the review of required shareholder distribution calculations and typically include amounts for professional services by the principal accountant for tax compliance, tax advice and tax planning.
During the fiscal years ended May 31, 2023 and May 31, 2022, there were no Tax Fees billed by the registrant’s principal accountant to the registrant’s investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser) and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant for an engagement that related directly to the operations and financial reporting of the registrant.
(d) All Other Fees. Aggregate All Other Fees billed by the principal accountant to the registrant for professional services rendered during the fiscal years ended May 31, 2023 and May 31, 2022 are approximately as follows:
|
2023 |
2022 |
|
$0 |
$0 |
All Other Fees, if any, include amounts for products and services provided by the principal accountant, other than the services reported in paragraphs (a) through (c) above.
Aggregate All Other Fees billed by the registrant’s principal accountant to the registrant’s investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser) and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant for an engagement that related directly to the operations and financial reporting of the registrant during the fiscal years ended May 31, 2023 and May 31, 2022 are approximately as follows:
|
2023 |
2022 |
|
$557,000 |
$535,000 |
In fiscal years 2023 and 2022, All Other Fees primarily consists of fees billed for internal control examinations of the registrant’s transfer agent and investment adviser.
(e)(1) Audit Committee Pre-Approval Policies and Procedures
The registrant’s Audit Committee is required to pre-approve the engagement of the registrant’s independent auditors to provide audit and non-audit services to the registrant and non-audit services to its investment adviser (excluding any sub-adviser whose role is primarily portfolio management and is sub-contracted or overseen by another investment adviser (the “Adviser”) or any entity controlling, controlled by or under common control with the Adviser that provides ongoing services to the Fund (a “Control Affiliate”) if the engagement relates directly to the operations and financial reporting of the registrant.
The Audit Committee has adopted a Policy for Engagement of Independent Auditors for Audit and Non-Audit Services (the “Policy”). The Policy sets forth the understanding of the Audit Committee regarding the engagement of the registrant’s independent accountants to provide (i) audit and permissible audit-related, tax and other services to the registrant (“Fund Services”); (ii) non-audit services to the registrant’s Adviser and any Control Affiliates, that relates directly to the operations and financial reporting of a Fund (“Fund-related Adviser Services”); and (iii) certain other audit and non-audit services to the registrant’s Adviser and its Control Affiliates. A service will require specific pre-approval by the Audit Committee if it is to be provided by the Fund’s independent auditor; provided, however, that pre-approval of non-audit services to the Fund, the Adviser or Control Affiliates may be waived if certain de minimis requirements set forth in the SEC’s rules are met.
Under the Policy, the Audit Committee may delegate pre-approval authority to any pre-designated member or members who are independent board members. The member(s) to whom such authority is delegated must report, for informational purposes only, any pre-approval decisions to the Audit Committee at its next regular meeting. The Audit Committee's responsibilities with respect to the pre-approval of services performed by the independent auditor may not be delegated to management.
On an annual basis, at a regularly scheduled Audit Committee meeting, the Fund’s Treasurer or other Fund officer shall submit to the Audit Committee a schedule of the types of Fund Services and Fund-related Adviser Services that are subject to specific pre-approval. This schedule will provide a description of each type of service that is subject to specific pre-approval, along with total projected fees for each service. The pre-approval will generally cover a one-year period. The Audit Committee will review and approve the types of services and the projected fees for the next one-year period and may add to, or subtract from, the list of pre-approved services from time to time, based on subsequent determinations. This specific approval acknowledges that the Audit Committee is in agreement with the specific types of services that the independent auditor will be permitted to perform and the projected fees for each service.
The Fund’s Treasurer or other Fund officer shall report to the Audit Committee at each of its regular meetings regarding all Fund Services or Fund-related Adviser Services provided since the last such report was rendered, including a description of the services, by category, with forecasted fees for the annual reporting period, proposed changes requiring specific pre-approval and a description of services provided by the independent auditor, by category, with actual fees during the current reporting period.
*****
(e)(2) None, or 0%, of the Audit-Related Fees, Tax Fees and All Other Fees paid by the Fund or affiliated entities relating directly to the operations and financial reporting of the Registrant disclosed above were approved by the audit committee pursuant to paragraphs (c)(7)(i)(C) of Rule 2-01 of Regulation S-X (which permits audit committee approval after the start of the engagement with respect to services other than audit, review or attest services, if certain conditions are satisfied).
(f) Not applicable.
(g) The aggregate non-audit fees billed by the registrant’s accountant for services rendered to the registrant, and rendered to the registrant’s investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant for the fiscal years ended May 31, 2023 and May 31, 2022 are approximately as follows:
|
2023 |
2022 |
|
$607,000 |
$558,000 |
(h) The registrant’s Audit Committee of the Board of Directors has considered whether the provision of non-audit services that were rendered to the registrant’s adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X, is compatible with maintaining the principal accountant’s independence.
Item 5. Audit Committee of Listed Registrants.
Not applicable.
Item 6. Investments
|
(a) |
The registrant’s “Schedule I – Investments in securities of unaffiliated issuers” (as set forth in 17 CFR 210.12-12) is included in Item 1 of this Form N-CSR. |
|
(b) |
Not applicable. |
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders.
There were no material changes to the procedures by which shareholders may recommend nominees to the registrant's board of directors.
Item 11. Controls and Procedures.
|
(a) |
The registrant’s principal executive officer and principal financial officer, based on their evaluation of the registrant’s disclosure controls and procedures as of a date within 90 days of the filing of this report, have concluded that such controls and procedures are adequately designed to ensure that information required to be disclosed by the registrant in Form N-CSR is accumulated and communicated to the registrant’s management, including the principal executive officer and principal financial officer, or persons performing similar functions, as appropriate to allow timely decisions regarding required disclosure. |
|
(b) |
There was no change in the registrant's internal control over financial reporting that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting. |
Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies
Not applicable.
Item 13. Exhibits.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
|
(registrant) |
Columbia Funds Series Trust I |
|
|
|
|
By (Signature and Title) |
/s/ Daniel J. Beckman |
|
|
Daniel J. Beckman, President and Principal Executive Officer |
|
|
|
|
Date |
July 21, 2023 |
|
|
|
|
|
|
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
|
By (Signature and Title) |
/s/ Daniel J. Beckman |
|
|
Daniel J. Beckman, President and Principal Executive Officer |
|
|
|
|
Date |
July 21, 2023 |
|
By (Signature and Title) |
/s/ Michael G. Clarke |
|
|
Michael G. Clarke, Chief Financial Officer, |
|
|
Principal Financial Officer and Senior Vice President |
|
|
|
|
Date |
July 21, 2023 |
|
By (Signature and Title) |
/s/ Joseph Beranek |
|
|
Joseph Beranek, Treasurer, Chief Accounting |
|
|
Officer and Principal Financial Officer |
|
|
|
|
Date |
July 21, 2023 |
