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OMB APPROVAL |
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OMB Number: |
3235-0578 |
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Expires: |
April 30, 2013 |
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UNITED STATES |
Estimated average burden hours per response. . . . . . . . . . . . . . 5.6 |
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SECURITIES AND EXCHANGE COMMISSION |
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Washington, D.C. 20549 |
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FORM N-Q
QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANY
Investment Company Act file number |
811-04367 |
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Columbia Funds Series Trust I |
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(Exact name of registrant as specified in charter) |
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225 Franklin Street, Boston, Massachusetts |
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02110 |
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(Address of principal executive offices) |
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(Zip code) |
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Scott R. Plummer 5228 Ameriprise Financial Center Minneapolis, MN 55474 |
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(Name and address of agent for service) |
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Registrants telephone number, including area code: |
1-612-671-1947 |
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Date of fiscal year end: |
July 31 |
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Date of reporting period: |
October 31, 2012 |
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Item 1. Schedule of Investments.
Portfolio of Investments
CMG Ultra Short Term Bond Fund
October 31, 2012 (Unaudited)
(Percentages represent value of investments compared to net assets)
Issuer |
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Coupon
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Principal
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Value |
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Corporate Bonds & Notes (continued) |
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Banking (continued) |
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08/29/13 |
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0.362% |
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$ |
15,000,000 |
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$ |
14,992,538 |
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Senior Unsecured |
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09/13/13 |
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1.450% |
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11,000,000 |
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11,107,902 |
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Capital One Financial Corp. |
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Senior Unsecured |
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07/15/14 |
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2.125% |
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2,000,000 |
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2,039,566 |
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Capital One Financial Corp. (b) |
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Senior Unsecured |
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07/15/14 |
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1.490% |
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5,000,000 |
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5,039,640 |
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Citigroup, Inc. |
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Senior Unsecured |
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08/19/13 |
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6.500% |
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5,000,000 |
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5,228,580 |
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12/13/13 |
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6.000% |
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7,500,000 |
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7,921,905 |
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Citigroup, Inc. (b) |
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Senior Unsecured |
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04/01/14 |
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1.290% |
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2,455,000 |
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2,461,125 |
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Commonwealth Bank of Australia
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03/19/13 |
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0.931% |
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10,000,000 |
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10,020,600 |
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Fifth Third Bank
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05/17/13 |
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0.545% |
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5,500,000 |
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5,497,272 |
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Goldman Sachs Group, Inc. (The) |
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Senior Unsecured |
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07/15/13 |
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4.750% |
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4,665,000 |
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4,793,592 |
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Goldman Sachs Group, Inc. (The) (c) |
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Senior Unsecured |
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04/01/13 |
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5.250% |
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7,500,000 |
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7,640,130 |
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JPMorgan Chase & Co. |
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Senior Unsecured |
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06/01/14 |
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4.650% |
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7,500,000 |
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7,948,373 |
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Subordinated Notes |
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01/02/13 |
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5.750% |
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3,975,000 |
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4,009,980 |
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JPMorgan Chase & Co. (b) |
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09/30/13 |
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1.112% |
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7,500,000 |
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7,547,235 |
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KeyCorp
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05/14/13 |
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6.500% |
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8,000,000 |
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8,247,880 |
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Morgan Stanley
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01/09/14 |
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0.651% |
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6,500,000 |
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6,442,813 |
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National Australia Bank Ltd.
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04/11/14 |
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1.067% |
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5,000,000 |
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5,029,740 |
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National Bank of Canada
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06/26/15 |
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1.500% |
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5,000,000 |
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5,101,441 |
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Royal Bank of Canada |
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03/15/13 |
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2.250% |
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3,000,000 |
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3,022,857 |
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Royal Bank of Canada (c) |
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Senior Unsecured |
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07/29/13 |
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2.100% |
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12,000,000 |
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12,154,620 |
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Toronto-Dominion Bank (The) (b) |
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Senior Unsecured |
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07/14/14 |
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0.640% |
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2,000,000 |
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2,009,652 |
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Issuer |
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Coupon
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Principal
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Value |
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Corporate Bonds & Notes (continued) |
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Non-Captive Diversified (continued) |
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04/07/14 |
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0.981% |
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$ |
5,000,000 |
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$ |
5,030,280 |
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07/02/15 |
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1.389% |
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7,500,000 |
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7,574,176 |
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Total |
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20,235,117 |
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Pharmaceuticals 1.3% |
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Novartis Capital Corp. |
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04/24/13 |
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1.900% |
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5,300,000 |
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5,339,220 |
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Sanofi |
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Senior Unsecured |
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09/30/14 |
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1.200% |
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5,000,000 |
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5,068,350 |
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Sanofi (b) |
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Senior Unsecured |
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|
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03/28/14 |
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0.672% |
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5,000,000 |
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5,024,975 |
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Teva Pharmaceutical Finance Co. BV (b) |
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11/08/13 |
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1.339% |
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5,000,000 |
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5,038,805 |
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Teva Pharmaceutical Finance IV LLC |
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11/10/14 |
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1.700% |
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1,000,000 |
|
1,022,100 |
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Total |
|
|
|
|
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21,493,450 |
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Property & Casualty 1.8% |
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Allstate Life Global Funding Trusts
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04/30/13 |
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5.375% |
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14,005,000 |
|
14,348,865 |
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Berkshire Hathaway Finance Corp. (b) |
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01/10/14 |
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0.680% |
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4,600,000 |
|
4,619,062 |
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Berkshire Hathaway, Inc.
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08/15/14 |
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1.135% |
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10,000,000 |
|
10,115,530 |
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Total |
|
|
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29,083,457 |
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Railroads 0.6% |
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Union Pacific Corp.
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01/31/13 |
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5.450% |
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10,000,000 |
|
10,121,970 |
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Refining 0.6% |
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Valero Energy Corp. |
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|
|
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06/15/13 |
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4.750% |
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8,800,000 |
|
9,023,203 |
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Retailers 1.1% |
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CVS Caremark Corp.
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|
|
|
|
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09/15/14 |
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4.875% |
|
8,000,000 |
|
8,643,624 |
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Target Corp.
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07/18/14 |
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1.125% |
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3,950,000 |
|
3,994,157 |
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Walgreen Co.
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03/13/14 |
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0.899% |
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5,000,000 |
|
5,013,950 |
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Total |
|
|
|
|
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17,651,731 |
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Issuer |
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Coupon
|
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Principal
|
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Value |
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Corporate Bonds & Notes (continued) |
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Supermarkets 0.4% |
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Kroger Co. (The) |
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02/01/13 |
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5.500% |
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$ |
2,000,000 |
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$ |
2,023,116 |
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04/15/13 |
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5.000% |
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5,000,000 |
|
5,099,860 |
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Total |
|
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7,122,976 |
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Technology 2.4% |
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Hewlett-Packard Co. (b) |
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Senior Unsecured |
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05/30/14 |
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0.823% |
|
10,000,000 |
|
9,889,570 |
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09/19/14 |
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1.931% |
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5,000,000 |
|
5,042,995 |
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International Business Machines Corp. |
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Senior Unsecured |
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|
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|
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02/06/15 |
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0.550% |
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4,950,000 |
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4,962,187 |
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05/11/15 |
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0.750% |
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7,500,000 |
|
7,543,072 |
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Xerox Corp. (b) |
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Senior Unsecured |
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09/13/13 |
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1.799% |
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7,950,000 |
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8,012,328 |
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05/16/14 |
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1.257% |
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3,000,000 |
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2,996,307 |
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Total |
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38,446,459 |
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Transportation Services 0.4% |
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ERAC U.S.A. Finance LLC (a) |
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01/10/14 |
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2.250% |
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7,000,000 |
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7,079,660 |
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Wireless 0.2% |
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Rogers Communications, Inc. |
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03/15/14 |
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5.500% |
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2,500,000 |
|
2,664,550 |
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Wirelines 2.4% |
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AT&T, Inc.
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02/13/15 |
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0.875% |
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5,000,000 |
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5,046,275 |
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BellSouth Corp.
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09/15/14 |
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5.200% |
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3,000,000 |
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3,251,202 |
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British Telecommunications PLC
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12/20/13 |
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1.504% |
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10,000,000 |
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10,066,420 |
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Deutsche Telekom International Finance BV |
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08/20/13 |
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5.875% |
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5,715,000 |
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5,947,543 |
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Telefonica Emisiones SAU (b) |
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02/04/13 |
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0.643% |
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10,000,000 |
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9,973,660 |
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Verizon Communications, Inc. |
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Senior Unsecured |
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|
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03/28/14 |
|
1.950% |
|
1,000,000 |
|
1,021,079 |
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Verizon Communications, Inc. (b) |
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Senior Unsecured |
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|
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03/28/14 |
|
0.972% |
|
3,000,000 |
|
3,023,391 |
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Total |
|
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|
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38,329,570 |
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Total Corporate Bonds & Notes (Cost: $784,833,611) |
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$ |
788,649,743 |
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Issuer |
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Coupon
|
|
Principal
|
|
Value |
|
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|
|
|
|
|
|
|
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Residential Mortgage-Backed Securities - Agency 0.5% |
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|
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|
|
|
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Federal Home Loan Mortgage Corp. (b)(d) |
|
|
|
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02/01/36 |
|
2.385% |
|
$ |
368,259 |
|
$ |
389,990 |
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Federal Home Loan Mortgage Corp. (d) |
|
|
|
|
|
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CMO Series 2843 Class BA |
|
|
|
|
|
|
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01/15/18 |
|
5.000% |
|
439,963 |
|
441,604 |
|
||
CMO Series 2958 Class QC |
|
|
|
|
|
|
|
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09/15/18 |
|
4.500% |
|
220,605 |
|
220,818 |
|
||
CMO Series 3241 Class DC |
|
|
|
|
|
|
|
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07/15/34 |
|
4.500% |
|
645,242 |
|
648,247 |
|
||
Federal National Mortgage Association (b)(d) |
|
|
|
|
|
||||
03/01/34 |
|
3.255% |
|
370,291 |
|
395,660 |
|
||
Federal National Mortgage Association (d) |
|
|
|
|
|
||||
CMO Series 2011-18 Class EM |
|
|
|
|
|
||||
06/25/37 |
|
4.000% |
|
5,271,725 |
|
5,385,057 |
|
||
|
|
|
|
|
|
|
|
||
Total Residential Mortgage-Backed Securities - Agency (Cost: $7,532,871) |
|
$ |
7,481,376 |
|
|||||
|
|
|
|
|
|
|
|
||
Residential Mortgage-Backed Securities - Non-Agency 0.5% |
|
||||||||
|
|
|
|
|
|
|
|
||
Credit Suisse Mortgage Capital Certificates
|
|
|
|
|
|
||||
01/27/36 |
|
2.590% |
|
1,094,689 |
|
1,083,524 |
|
||
JPMorgan Resecuritization Trust
|
|
|
|
|
|
||||
02/26/37 |
|
6.000% |
|
2,004,664 |
|
2,127,144 |
|
||
RBSSP Resecuritization Trust
|
|
|
|
|
|
||||
05/26/47 |
|
0.347% |
|
4,657,116 |
|
4,606,179 |
|
||
|
|
|
|
|
|
|
|
||
Total Residential Mortgage-Backed Securities - Non-Agency (Cost: $7,743,475) |
|
$ |
7,816,847 |
|
|||||
|
|
|
|
|
|
|
|
||
Commercial Mortgage-Backed Securities - Agency 1.5% |
|
||||||||
|
|
|
|
|
|
|
|
||
Government National Mortgage Association (d) |
|
|
|
|
|
||||
CMO Series 2007-13 Class C |
|
|
|
|
|
|
|
||
06/16/40 |
|
5.020% |
|
5,901,645 |
|
6,145,284 |
|
||
CMO Series 2010-102 Class AB |
|
|
|
|
|
||||
07/16/32 |
|
1.852% |
|
3,906,011 |
|
3,939,837 |
|
||
CMO Series 2010-13 Class A |
|
|
|
|
|
|
|
||
08/16/22 |
|
2.461% |
|
4,544,610 |
|
4,575,655 |
|
||
CMO Series 2010-132 Class AE |
|
|
|
|
|
||||
02/16/15 |
|
2.500% |
|
1,638,543 |
|
1,660,991 |
|
||
CMO Series 2010-141 Class A |
|
|
|
|
|
||||
08/16/31 |
|
1.864% |
|
4,680,936 |
|
4,740,922 |
|
||
CMO Series 2010-83 Class A |
|
|
|
|
|
|
|
||
10/16/50 |
|
2.021% |
|
3,920,825 |
|
3,958,335 |
|
||
|
|
|
|
|
|
|
|
||
Total Commercial Mortgage-Backed Securities - Agency (Cost: $25,097,568) |
|
$ |
25,021,024 |
|
|||||
Issuer |
|
Coupon
|
|
Principal
|
|
Value |
|
||
|
|
|
|
|
|
|
|
||
Foreign Government Obligations 0.5% |
|
|
|
||||||
|
|
|
|
|
|
|
|
||
AUSTRALIA 0.5% |
|
|
|
|
|
|
|
||
|
|
|
|
|
|
|
|
||
Westpac Banking Corp. (a) |
|
|
|
|
|
|
|
||
09/10/14 |
|
2.900% |
|
$ |
7,400,000 |
|
$ |
7,724,860 |
|
|
|
|
|
|
|
|
|
||
Total Foreign Government Obligations (Cost: $7,739,566) |
|
|
|
$ |
7,724,860 |
|
|||
|
|
|
|
|
|
|
|
||
Issue Description |
|
Coupon
|
|
Principal
|
|
Value |
|
||
|
|
|
|
|
|
|
|
||
Municipal Bonds 2.3% |
|
|
|
||||||
|
|
|
|
|
|
|
|
||
Citizens Property Insurance Corp. (b) |
|
|
|
|
|
||||
Revenue Bonds |
|
|
|
|
|
|
|
||
High Risk |
|
|
|
|
|
|
|
||
Series 2010A3 |
|
|
|
|
|
|
|
||
06/01/13 |
|
1.960% |
|
5,000,000 |
|
5,037,050 |
|
||
Personal & Commercial Lines |
|
|
|
|
|
|
|||
Series 2012 |
|
|
|
|
|
|
|
||
06/01/15 |
|
1.460% |
|
5,000,000 |
|
5,038,600 |
|
||
City of Baton Rouge/Parish of East Baton Rouge
|
|
|
|
||||||
01/15/15 |
|
1.239% |
|
1,000,000 |
|
1,005,510 |
|
||
Illinois Municipal Electric Agency
|
|
|
|
|
|
||||
02/01/13 |
|
4.160% |
|
750,000 |
|
756,727 |
|
||
New York State Energy Research & Development Authority
|
|
|
|
||||||
06/01/36 |
|
1.450% |
|
4,210,000 |
|
4,210,000 |
|
||
State of Illinois |
|
|
|
|
|
|
|
||
Unlimited General Oblgiation Bonds |
|
|
|
|
|
||||
Series 2004B |
|
|
|
|
|
|
|
||
03/01/13 |
|
5.000% |
|
7,400,000 |
|
7,516,624 |
|
||
Unlimited General Obligation Taxable Bonds |
|
|
|
||||||
Series 2010 |
|
|
|
|
|
|
|
||
01/01/13 |
|
3.321% |
|
3,500,000 |
|
3,514,700 |
|
||
State of New Jersey
|
|
|
|
|
|
||||
06/15/14 |
|
5.000% |
|
5,000,000 |
|
5,332,200 |
|
||
Notes to Portfolio of Investments |
|
|
(a) |
Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933. This security may be resold in transactions exempt from registration, normally to qualified institutional buyers. At October 31, 2012, the value of these securities amounted to $231,059,002 or 14.39% of net assets. |
|
(b) |
Variable rate security. The interest rate shown reflects the rate as of October 31, 2012. |
|
(c) |
At October 31, 2012, security was partially or fully on loan. |
|
(d) |
The maturity dates shown represent the original maturity of the underlying obligation. Actual maturity may vary based upon prepayment activity on these obligations. Unless otherwise noted, the coupon rates presented are fixed rates. |
(e) |
Represents a security purchased on a when-issued or delayed delivery basis. |
(f) |
Income from this security may be subject to alternative minimum tax. |
(g) |
The rate shown is the seven-day current annualized yield at October 31, 2012. |
(h) |
As defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of its outstanding voting securities, or a company which is under common ownership or control with the Fund. Holdings and transactions in these affiliated companies during the period ended October 31, 2012, are as follows: |
Issuer |
|
Beginning
|
|
Purchase
|
|
Proceeds from
|
|
Ending Cost ($) |
|
Dividends or Interest
|
|
Value ($) |
|
Columbia Short-Term Cash Fund |
|
27,934 |
|
195,490,033 |
|
(114,460,601 |
) |
81,057,366 |
|
15,917 |
|
81,057,366 |
|
(i) |
The following table represents securities received as collateral for repurchase agreements. This collateral is deposited with the Funds custodian and, pursuant to the terms of the repurchase agreement, must have an aggregate value greater than or equal to the repurchase price plus accrued interest at all times. The value of securities and/or cash held as collateral for repurchase agreements is monitored on a daily basis to ensure the proper level of collateral. |
Mizuho Securities USA, Inc. (0.350%)
Security Description |
|
Value ($) |
|
|
|
|
|
Cash Collateral in Lieu of Securities |
|
2,000 |
|
United States Treasury Bill |
|
20,119 |
|
United States Treasury Inflation Indexed Bonds |
|
360 |
|
United States Treasury Note/Bond |
|
43,195 |
|
United States Treasury Strip Coupon |
|
688 |
|
Total Market Value of Collateral Securities |
|
66,362 |
|
|
|
|
|
Natixis Financial Products, Inc. (0.380%) |
|
|
|
|
|
|
|
Security Description |
|
Value ($) |
|
|
|
|
|
Fannie Mae Pool |
|
161,732 |
|
Fannie Mae REMICS |
|
172,701 |
|
Fannie Mae-Aces |
|
2,871 |
|
Freddie Mac Gold Pool |
|
1,139 |
|
Freddie Mac Non Gold Pool |
|
35,576 |
|
Freddie Mac REMICS |
|
88,599 |
|
Ginnie Mae I Pool |
|
27,326 |
|
Ginnie Mae II Pool |
|
87,458 |
|
Government National Mortgage Association |
|
442,609 |
|
Total Market Value of Collateral Securities |
|
1,020,011 |
|
|
|
|
|
Nomura Securities (0.360%) |
|
|
|
|
|
|
|
Security Description |
|
Value ($) |
|
|
|
|
|
Fannie Mae Pool |
|
315,153 |
|
Freddie Mac Gold Pool |
|
744,912 |
|
Ginnie Mae I Pool |
|
1,294,133 |
|
Ginnie Mae II Pool |
|
2,745,802 |
|
Total Market Value of Collateral Securities |
|
5,100,000 |
|
(j) |
At October 31, 2012, the cost of securities for federal income tax purposes was approximately $1,596,078,000 and the approximate aggregate gross unrealized appreciation and depreciation based on that cost was: |
Unrealized Appreciation |
|
$ |
5,223,000 |
|
Unrealized Depreciation |
|
(2,760,000 |
) |
|
Net Unrealized Appreciation |
|
$ |
2,463,000 |
|
(k) |
Investments are valued using policies described in the notes to financial statements in the most recent shareholder report. |
Abbreviation Legend |
|
|
AMT |
Alternative Minimum Tax |
|
CMO |
Collateralized Mortgage Obligation |
|
REMIC(S) |
Real Estate Mortgage Investment Conduit(s) |
|
Fair Value Measurements |
|
Generally accepted accounting principles (GAAP) require disclosure regarding the inputs and valuation techniques used to measure fair value and any changes in valuation inputs or techniques. In addition, investments shall be disclosed by major category.
The Fund categorizes its fair value measurements according to a three-level hierarchy that maximizes the use of observable inputs and minimizes the use of unobservable inputs by prioritizing that the most observable input be used when available. Observable inputs are those that market participants would use in pricing an investment based on market data obtained from sources independent of the reporting entity. Unobservable inputs are those that reflect the Funds assumptions about the information market participants would use in pricing an investment. An investments level within the fair value hierarchy is based on the lowest level of any input that is deemed significant to the asset or liabilitys fair value measurement. The input levels are not necessarily an indication of the risk or liquidity associated with investments at that level. For example, certain U.S. government securities are generally high quality and liquid, however, they are reflected as Level 2 because the inputs used to determine fair value may not always be quoted prices in an active market.
Fair value inputs are summarized in the three broad levels listed below:
· |
Level 1 - Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date (including NAV for open-end mutual funds). Valuation adjustments are not applied to Level 1 investments. |
|
|
· |
Level 2 Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
|
|
· |
Level 3 Valuations based on significant unobservable inputs (including the Funds 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 investments 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 rely on one or more significant unobservable inputs and/or significant assumptions by the Investment Manager. Inputs used in valuations may include, but are not limited to, financial statement analysis, capital account balances, discount rates and estimated cash flows, and comparable company data.
Under the direction of the Funds Board of Trustees (the Board), the Investment Managers Valuation Committee (the Committee) is responsible for carrying out the valuation procedures approved by the Board. The Committee consists of voting and non-voting members from various groups within the Investment Managers organization, including operations and accounting, trading and investments, compliance, risk management and legal.
The Committee meets at least monthly to review and approve valuation matters, which may include a description of specific valuation determinations, data regarding pricing information received from approved pricing vendors and brokers and the results of Board-approved valuation control policies and procedures (the Policies). The Policies address, among other things, instances when market quotations are readily available, including recommendations of third party pricing vendors and a determination of appropriate pricing methodologies; events that require specific valuation determinations and assessment of fair value techniques; securities with a potential for stale pricing, including those that are illiquid, restricted, or in default; and the effectiveness of third- party pricing vendors, including periodic reviews of vendors. The Committee meets more frequently, as needed, to discuss additional valuation matters, which may include the need to review back-testing results, review time-sensitive information or approve related valuation actions. The Committee reports to the Board, with members of the Committee meeting with the Board at each of its regularly scheduled meetings to discuss valuation matters and actions during the period, similar to those described earlier.
For investments categorized as Level 3, the Committee monitors information similar to that described above, which may include: (i) data specific to the issuer or comparable issuers, (ii) general market or specific sector news and (iii) quoted prices and specific or similar security transactions. The Committee considers this data and any changes from prior periods in order to assess the reasonableness of observable and unobservable inputs, any assumptions or internal models used to value those securities and changes in fair value. This data is also used to corroborate, when available, information received from approved pricing vendors and brokers. Various factors impact the frequency of monitoring this information (which may occur as often as daily). However, the Committee may determine that changes to inputs, assumptions and models are not required as a result of the monitoring procedures performed.
The following table is a summary of the inputs used to value the Funds investments at October 31, 2012:
Description |
|
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
|
|
|
|
|
|
Quoted Prices in |
|
|
Other Significant |
|
|
Significant |
|
|
|
|
|
|
|
Active Markets for |
|
|
Observable |
|
|
Unobservable |
|
|
|
|
|
|
|
Identical Assets ($) |
|
|
Inputs ($) |
|
|
Inputs ($) |
|
|
Total ($) |
|
Bonds |
|
|
|
|
|
|
|
|
|
|
|
|
|
Corporate Bonds & Notes |
|
|
|
|
|
788,649,743 |
|
|
|
|
|
788,649,743 |
|
Residential Mortgage-Backed Securities - Agency |
|
|
|
|
|
7,481,376 |
|
|
|
|
|
7,481,376 |
|
Residential Mortgage-Backed Securities - Non-Agency |
|
|
|
|
|
3,210,668 |
|
|
4,606,179 |
|
|
7,816,847 |
|
Commercial Mortgage-Backed Securities - Agency |
|
|
|
|
|
25,021,024 |
|
|
|
|
|
25,021,024 |
|
Commercial Mortgage-Backed Securities - Non-Agency |
|
|
|
|
|
172,330,084 |
|
|
4,305,213 |
|
|
176,635,297 |
|
Asset-Backed Securities - Non-Agency |
|
|
|
|
|
287,468,330 |
|
|
4,256,659 |
|
|
291,724,989 |
|
U.S. Treasury Obligations |
|
|
92,963,434 |
|
|
|
|
|
|
|
|
92,963,434 |
|
U.S. Government & Agency Obligations |
|
|
|
|
|
75,979,585 |
|
|
|
|
|
75,979,585 |
|
Foreign Government Obligations |
|
|
|
|
|
7,724,860 |
|
|
|
|
|
7,724,860 |
|
Municipal Bonds |
|
|
|
|
|
37,421,161 |
|
|
|
|
|
37,421,161 |
|
Total Bonds |
|
|
92,963,434 |
|
|
1,405,286,831 |
|
|
13,168,051 |
|
|
1,511,418,316 |
|
Other |
|
|
|
|
|
|
|
|
|
|
|
|
|
Money Market Funds |
|
|
81,057,366 |
|
|
|
|
|
|
|
|
81,057,366 |
|
Investments of Cash Collateral Received for Securities on Loan |
|
|
|
|
|
6,065,100 |
|
|
|
|
|
6,065,100 |
|
Total Other |
|
|
81,057,366 |
|
|
6,065,100 |
|
|
|
|
|
87,122,466 |
|
Total |
|
|
174,020,800 |
|
|
1,411,351,931 |
|
|
13,168,051 |
|
|
1,598,540,782 |
|
See the Portfolio of Investments for all investment classifications not indicated in the table.
The Funds assets assigned to the Level 2 input category are generally valued using the market approach, in which a securitys value is determined through reference to prices and information from market transactions for similar or identical assets.
There were no transfers of financial assets between Levels 1 and 2 during the period.
The following table is a reconciliation of Level 3 assets for which significant observable and/or unobservable inputs were used to determine fair value.
|
|
|
Residential |
|
|
Commercial |
|
|
|
|
|
|
|
|
|
|
Mortgage-Backed |
|
|
Mortgage-Backed |
|
|
Asset-Backed |
|
|
|
|
|
|
|
Securities - |
|
|
Securities - |
|
|
Securities - |
|
|
|
|
|
|
|
Non-Agency ($) |
|
|
Non-Agency ($) |
|
|
Non-Agency ($) |
|
|
Total ($) |
|
Balance as of July 31, 2012 |
|
|
5,312,251 |
|
|
|
|
|
7,104,183 |
|
|
12,416,434 |
|
Accrued discounts/premiums |
|
|
|
|
|
(22 |
) |
|
37,159 |
|
|
37,137 |
|
Realized gain (loss) |
|
|
14,857 |
|
|
|
|
|
|
|
|
14,857 |
|
Change in unrealized appreciation (depreciation)(a) |
|
|
21,955 |
|
|
8,938 |
|
|
(13,656 |
) |
|
17,237 |
|
Sales |
|
|
(742,884 |
) |
|
(8,661 |
) |
|
(2,871,027 |
) |
|
(3,622,572 |
) |
Purchases |
|
|
|
|
|
4,304,958 |
|
|
|
|
|
4,304,958 |
|
Transfers into Level 3 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Transfers out of Level 3 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Balance as of October 31, 2012 |
|
|
4,606,179 |
|
|
4,305,213 |
|
|
4,256,659 |
|
|
13,168,051 |
|
(a)Change in unrealized appreciation (depreciation) relating to securities held at October 31, 2012 was $17,237, which is comprised of Residential Mortgage-Backed Securities - Non-Agency of $21,955, Commercial Mortgage-Backed Securities - Non-Agency of $8,938, and Asset-Backed Securities - Non-Agency of $(13,656).
The Fund does not hold any significant investments with unobservable inputs which are categorized as Level 3.
The Funds assets assigned to the Level 3 category are valued utilizing the valuation technique deemed the most appropriate in the circumstances. Certain Residential, Commercial and Asset Backed Securities classified as Level 3 are valued using the market approach and utilize single market quotations from broker dealers which may have included, but not limited to, the distressed nature of the security and observable transactions for similar assets in the market. Significant increases (decreases) to any of these inputs would result in a significantly lower (higher) fair value measurement.
Transfers in and/or out of Level 3 are determined based on the fair value at the beginning of the period for security positions held throughout the period.
Portfolio of Investments
Columbia Large Cap Growth Fund
October 31, 2012 (Unaudited)
(Percentages represent value of investments compared to net assets)
Issuer |
|
Shares |
|
Value |
|
|
|
|
|
|
|
|
|
Common Stocks 96.2% |
|
|
|
|
|
|
CONSUMER DISCRETIONARY 16.0% |
|
|
|
|
|
|
Automobiles 0.7% |
|
|
|
|
|
|
Ford Motor Co. |
|
1,573,800 |
|
$ |
17,563,608 |
|
Distributors 0.7% |
|
|
|
|
|
|
LKQ Corp. (a) |
|
882,200 |
|
18,429,158 |
|
|
Hotels, Restaurants & Leisure 1.9% |
|
|
|
|
|
|
Las Vegas Sands Corp. |
|
797,900 |
|
37,054,476 |
|
|
Yum! Brands, Inc. |
|
151,000 |
|
10,586,610 |
|
|
Total |
|
|
|
47,641,086 |
|
|
Internet & Catalog Retail 2.6% |
|
|
|
|
|
|
Amazon.com, Inc. (a) |
|
211,985 |
|
49,354,348 |
|
|
Expedia, Inc. (b) |
|
268,400 |
|
15,875,860 |
|
|
Total |
|
|
|
65,230,208 |
|
|
Media 4.5% |
|
|
|
|
|
|
Comcast Corp., Class A (b) |
|
785,300 |
|
29,456,603 |
|
|
Discovery Communications, Inc., Class A (a)(b) |
|
370,000 |
|
21,837,400 |
|
|
DISH Network Corp., Class A |
|
983,300 |
|
35,034,979 |
|
|
News Corp., Class A |
|
1,222,600 |
|
29,244,592 |
|
|
Total |
|
|
|
115,573,574 |
|
|
Multiline Retail 2.0% |
|
|
|
|
|
|
Macys, Inc. |
|
470,900 |
|
17,927,163 |
|
|
Target Corp. |
|
517,800 |
|
33,009,750 |
|
|
Total |
|
|
|
50,936,913 |
|
|
Specialty Retail 3.6% |
|
|
|
|
|
|
Gap, Inc. (The) |
|
775,100 |
|
27,686,572 |
|
|
Home Depot, Inc. (The) |
|
824,200 |
|
50,589,396 |
|
|
Urban Outfitters, Inc. (a) |
|
412,400 |
|
14,747,424 |
|
|
Total |
|
|
|
93,023,392 |
|
|
TOTAL CONSUMER DISCRETIONARY |
|
|
|
408,397,939 |
|
|
CONSUMER STAPLES 10.5% |
|
|
|
|
|
|
Beverages 0.7% |
|
|
|
|
|
|
Anheuser-Busch InBev NV, ADR |
|
225,300 |
|
18,880,140 |
|
|
Food & Staples Retailing 4.3% |
|
|
|
|
|
|
CVS Caremark Corp. |
|
959,100 |
|
44,502,240 |
|
|
Wal-Mart Stores, Inc. |
|
870,400 |
|
65,297,408 |
|
|
Total |
|
|
|
109,799,648 |
|
|
Food Products 2.6% |
|
|
|
|
|
|
Hershey Co. (The) (b) |
|
356,000 |
|
24,510,600 |
|
|
Kraft Foods Group, Inc. (a) |
|
560,766 |
|
25,503,637 |
|
|
Issuer |
|
Shares |
|
Value |
|
|
|
|
|
|
|
|
|
Common Stocks (continued) |
|
|||||
CONSUMER STAPLES (CONTINUED) |
|
|
|
|
|
|
Food Products (continued) |
|
|
|
|
|
|
Mondelez International, Inc., Class A |
|
599,300 |
|
$ |
15,905,422 |
|
Total |
|
|
|
65,919,659 |
|
|
Household Products 1.1% |
|
|
|
|
|
|
Procter & Gamble Co. (The) |
|
414,900 |
|
28,727,676 |
|
|
Personal Products 1.0% |
|
|
|
|
|
|
Estee Lauder Companies, Inc. (The), Class A |
|
438,200 |
|
27,001,884 |
|
|
Tobacco 0.8% |
|
|
|
|
|
|
Philip Morris International, Inc. |
|
219,505 |
|
19,439,363 |
|
|
TOTAL CONSUMER STAPLES |
|
|
|
269,768,370 |
|
|
ENERGY 4.5% |
|
|
|
|
|
|
Energy Equipment & Services 2.3% |
|
|
|
|
|
|
Ensco PLC, Class A |
|
487,200 |
|
28,169,904 |
|
|
National Oilwell Varco, Inc. |
|
412,400 |
|
30,393,880 |
|
|
Total |
|
|
|
58,563,784 |
|
|
Oil, Gas & Consumable Fuels 2.2% |
|
|
|
|
|
|
Anadarko Petroleum Corp. |
|
222,500 |
|
15,310,225 |
|
|
Chevron Corp. |
|
123,620 |
|
13,624,160 |
|
|
Kinder Morgan Management LLC (c) |
|
42,621 |
|
32 |
|
|
Pioneer Natural Resources Co. (b) |
|
258,200 |
|
27,278,830 |
|
|
Total |
|
|
|
56,213,247 |
|
|
TOTAL ENERGY |
|
|
|
114,777,031 |
|
|
FINANCIALS 4.5% |
|
|
|
|
|
|
Capital Markets 0.6% |
|
|
|
|
|
|
BlackRock, Inc. |
|
86,100 |
|
16,331,448 |
|
|
Commercial Banks 2.0% |
|
|
|
|
|
|
Fifth Third Bancorp |
|
1,585,200 |
|
23,032,956 |
|
|
Wells Fargo & Co. |
|
855,500 |
|
28,821,795 |
|
|
Total |
|
|
|
51,854,751 |
|
|
Diversified Financial Services 1.3% |
|
|
|
|
|
|
Citigroup, Inc. |
|
430,500 |
|
16,096,395 |
|
|
IntercontinentalExchange, Inc. (a) |
|
128,900 |
|
16,885,900 |
|
|
Total |
|
|
|
32,982,295 |
|
|
Real Estate Investment Trusts (REITs) 0.6% |
|
|
|
|||
Simon Property Group, Inc. |
|
93,600 |
|
14,246,856 |
|
|
Issuer |
|
Shares |
|
Value |
|
|
|
|
|
|
|
|
|
Common Stocks (continued) |
|
|
|
|||
FINANCIALS (CONTINUED) |
|
|
|
|
|
|
TOTAL FINANCIALS |
|
|
|
115,415,350 |
|
|
HEALTH CARE 15.5% |
|
|
|
|
|
|
Biotechnology 5.0% |
|
|
|
|
|
|
Amgen, Inc. |
|
436,900 |
|
$ |
37,811,510 |
|
Gilead Sciences, Inc. (a)(b) |
|
789,100 |
|
52,995,956 |
|
|
Onyx Pharmaceuticals, Inc. (a)(b) |
|
248,500 |
|
19,472,460 |
|
|
Vertex Pharmaceuticals, Inc. (a) |
|
384,000 |
|
18,524,160 |
|
|
Total |
|
|
|
128,804,086 |
|
|
Health Care Equipment & Supplies 2.0% |
|
|
|
|||
Edwards Lifesciences Corp. (a)(b) |
|
167,800 |
|
14,570,074 |
|
|
Hologic, Inc. (a)(b) |
|
867,900 |
|
17,896,098 |
|
|
Zimmer Holdings, Inc. |
|
266,900 |
|
17,137,649 |
|
|
Total |
|
|
|
49,603,821 |
|
|
Health Care Providers & Services 2.2% |
|
|
|
|||
Express Scripts Holding Co. (a) |
|
919,340 |
|
56,576,184 |
|
|
Life Sciences Tools & Services 1.4% |
|
|
|
|
|
|
Thermo Fisher Scientific, Inc. |
|
581,600 |
|
35,512,496 |
|
|
Pharmaceuticals 4.9% |
|
|
|
|
|
|
Allergan, Inc. |
|
434,380 |
|
39,059,450 |
|
|
Eli Lilly & Co. |
|
364,600 |
|
17,730,498 |
|
|
Johnson & Johnson |
|
373,800 |
|
26,472,516 |
|
|
Watson Pharmaceuticals, Inc. (a) |
|
493,500 |
|
42,416,325 |
|
|
Total |
|
|
|
125,678,789 |
|
|
TOTAL HEALTH CARE |
|
|
|
396,175,376 |
|
|
INDUSTRIALS 9.8% |
|
|
|
|
|
|
Aerospace & Defense 1.8% |
|
|
|
|
|
|
Honeywell International, Inc. |
|
761,000 |
|
46,603,640 |
|
|
Commercial Services & Supplies 1.9% |
|
|
|
|
|
|
ADT Corp. (The) (a) |
|
557,900 |
|
23,158,429 |
|
|
Tyco International Ltd. |
|
939,300 |
|
25,238,991 |
|
|
Total |
|
|
|
48,397,420 |
|
|
Construction & Engineering 0.6% |
|
|
|
|
|
|
KBR, Inc. |
|
570,100 |
|
15,882,986 |
|
|
Electrical Equipment 1.0% |
|
|
|
|
|
|
Rockwell Automation, Inc. |
|
356,600 |
|
25,339,996 |
|
|
Issuer |
|
Shares |
|
Value |
|
|
|
|
|
|
|
|
|
Common Stocks (continued) |
|
|
|
|||
INDUSTRIALS (CONTINUED) |
|
|
|
|
|
|
Industrial Conglomerates 1.4% |
|
|
|
|
|
|
General Electric Co. |
|
1,726,300 |
|
$ |
36,355,878 |
|
Machinery 1.0% |
|
|
|
|
|
|
Pall Corp. (b) |
|
386,000 |
|
24,302,560 |
|
|
Road & Rail 2.1% |
|
|
|
|
|
|
JB Hunt Transport Services, Inc. |
|
487,000 |
|
28,586,900 |
|
|
Kansas City Southern |
|
316,300 |
|
25,449,498 |
|
|
Total |
|
|
|
54,036,398 |
|
|
TOTAL INDUSTRIALS |
|
|
|
250,918,878 |
|
|
INFORMATION TECHNOLOGY 29.3% |
|
|
|
|
|
|
Communications Equipment 3.6% |
|
|
|
|
|
|
F5 Networks, Inc. (a)(b) |
|
326,600 |
|
26,937,968 |
|
|
QUALCOMM, Inc. |
|
1,126,080 |
|
65,960,136 |
|
|
Total |
|
|
|
92,898,104 |
|
|
Computers & Peripherals 9.7% |
|
|
|
|
|
|
Apple, Inc. |
|
288,866 |
|
171,904,157 |
|
|
EMC Corp. (a) |
|
2,080,310 |
|
50,801,170 |
|
|
NCR Corp. (a) |
|
1,202,900 |
|
25,597,712 |
|
|
Total |
|
|
|
248,303,039 |
|
|
Internet Software & Services 6.7% |
|
|
|
|
|
|
eBay, Inc. (a) |
|
1,106,500 |
|
53,432,885 |
|
|
Google, Inc., Class A (a) |
|
145,756 |
|
99,080,556 |
|
|
LinkedIn Corp., Class A (a) |
|
160,500 |
|
17,162,265 |
|
|
Total |
|
|
|
169,675,706 |
|
|
IT Services 5.0% |
|
|
|
|
|
|
Accenture PLC, Class A |
|
409,700 |
|
27,617,877 |
|
|
Alliance Data Systems Corp. (a)(b) |
|
222,100 |
|
31,771,405 |
|
|
Mastercard, Inc., Class A |
|
98,400 |
|
45,355,512 |
|
|
Teradata Corp. (a) |
|
343,340 |
|
23,453,555 |
|
|
Total |
|
|
|
128,198,349 |
|
|
Semiconductors & Semiconductor Equipment 0.4% |
|
|
|
|||
Skyworks Solutions, Inc. (a) |
|
466,600 |
|
10,918,440 |
|
|
Software 3.9% |
|
|
|
|
|
|
Citrix Systems, Inc. (a) |
|
367,293 |
|
22,702,380 |
|
|
Microsoft Corp. |
|
1,245,900 |
|
35,551,757 |
|
|
Salesforce.com, Inc. (a)(b) |
|
222,500 |
|
32,480,550 |
|
|
ServiceNow, Inc. (a)(b) |
|
290,400 |
|
8,900,760 |
|
|
Total |
|
|
|
99,635,447 |
|
|
TOTAL INFORMATION TECHNOLOGY |
|
|
|
749,629,085 |
|
|
Notes to Portfolio of Investments |
|
(a) |
Non-income producing. |
(b) |
At October 31, 2012, security was partially or fully on loan. |
(c) |
Identifies issues considered to be illiquid as to their marketability. The aggregate value of such securities at October 31, 2012 was $32, representing less than 0.01% of net assets. Information concerning such security holdings at October 31, 2012 was as follows: |
Security Description |
|
Acquisition Dates |
|
Cost ($) |
|
Kinder Morgan Management LLC |
|
12-18-02 - 01-18-05 |
|
10 |
|
(d) |
The rate shown is the seven-day current annualized yield at October 31, 2012. |
(e) |
As defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of its outstanding voting securities, or a company which is under common ownership or control with the Fund. Holdings and transactions in these affiliated companies during the period ended October 31, 2012, are as follows: |
Issuer |
|
Beginning
|
|
Purchase
|
|
Proceeds from
|
|
Realized
|
|
Ending Cost
|
|
Dividends or
|
|
Value ($) |
|
Columbia Short-Term Cash Fund |
|
45,679,584 |
|
214,125,274 |
|
(183,369,401 |
) |
|
|
76,435,457 |
|
26,274 |
|
76,435,457 |
|
(f) |
The following table represents securities received as collateral for repurchase agreements. This collateral is deposited with the Funds custodian and, pursuant to the terms of the repurchase agreement, must have an aggregate value greater than or equal to the repurchase price plus accrued interest at all times. The value of securities and/or cash held as collateral for repurchase agreements is monitored on a daily basis to ensure the proper level of collateral. |
Deutsche Bank AG (0.350%) |
|
|
|
|
|
|
|
Security Description |
|
Value ($) |
|
|
|
|
|
United States Treasury Strip Coupon |
|
90,189,525 |
|
Total Market Value of Collateral Securities |
|
90,189,525 |
|
|
|
|
|
Mizuho Securities USA, Inc. (0.400%) |
|
|
|
|
|
|
|
Security Description |
|
Value ($) |
|
|
|
|
|
Fannie Mae Pool |
|
16,382,901 |
|
Fannie Mae REMICS |
|
2,670,311 |
|
Freddie Mac Gold Pool |
|
1,072,273 |
|
Freddie Mac Non Gold Pool |
|
997,035 |
|
Freddie Mac REMICS |
|
2,766,197 |
|
Government National Mortgage Association |
|
1,611,283 |
|
Total Market Value of Collateral Securities |
|
25,500,000 |
|
Natixis Financial Products, Inc. (0.380%) |
|
|
|
|
|
|
|
Security Description |
|
Value ($) |
|
|
|
|
|
Fannie Mae Pool |
|
5,984,075 |
|
Fannie Mae REMICS |
|
6,389,930 |
|
Fannie Mae-Aces |
|
106,226 |
|
Freddie Mac Gold Pool |
|
42,156 |
|
Freddie Mac Non Gold Pool |
|
1,316,295 |
|
Freddie Mac REMICS |
|
3,278,172 |
|
Ginnie Mae I Pool |
|
1,011,065 |
|
Ginnie Mae II Pool |
|
3,235,961 |
|
Government National Mortgage Association |
|
16,376,518 |
|
Total Market Value of Collateral Securities |
|
37,740,398 |
|
(g) |
At October 31, 2012, the cost of securities for federal income tax purposes was approximately $2,365,158,000 and the approximate aggregate gross unrealized appreciation and depreciation based on that cost was: |
Unrealized Appreciation |
|
$ |
434,388,000 |
|
Unrealized Depreciation |
|
(34,306,000 |
) |
|
Net Unrealized Appreciation |
|
$ |
400,082,000 |
|
(h) |
Investments are valued using policies described in the notes to financial statements in the most recent shareholder report. |
Abbreviation Legend |
|
ADR |
American Depositary Receipt |
REMIC(S) |
Real Estate Mortgage Investment Conduit(s) |
Fair Value Measurements |
|
Generally accepted accounting principles (GAAP) require disclosure regarding the inputs and valuation techniques used to measure fair value and any changes in valuation inputs or techniques. In addition, investments shall be disclosed by major category.
The Fund categorizes its fair value measurements according to a three-level hierarchy that maximizes the use of observable inputs and minimizes the use of unobservable inputs by prioritizing that the most observable input be used when available. Observable inputs are those that market participants would use in pricing an investment based on market data obtained from sources independent of the reporting entity. Unobservable inputs are those that reflect the Funds assumptions about the information market participants would use in pricing an investment. An investments level within the fair value hierarchy is based on the lowest level of any input that is deemed significant to the asset or liabilitys fair value measurement. The input levels are not necessarily an indication of the risk or liquidity associated with investments at that level. For example, certain U.S. government securities are generally high quality and liquid, however, they are reflected as Level 2 because the inputs used to determine fair value may not always be quoted prices in an active market.
Fair value inputs are summarized in the three broad levels listed below:
· Level 1 - Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date (including NAV for open-end mutual funds). Valuation adjustments are not applied to Level 1 investments.
· Level 2 Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.).
· Level 3 Valuations based on significant unobservable inputs (including the Funds 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 investments 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 rely on one or more significant unobservable inputs and/or significant assumptions by the Investment Manager. Inputs used in valuations may include, but are not limited to, financial statement analysis, capital account balances, discount rates and estimated cash flows, and comparable company data.
Under the direction of the Funds Board of Trustees (the Board), the Investment Managers Valuation Committee (the Committee) is responsible for carrying out the valuation procedures approved by the Board. The Committee consists of voting and non-voting members from various groups within the Investment Managers organization, including operations and accounting, trading and investments, compliance, risk management and legal.
The Committee meets at least monthly to review and approve valuation matters, which may include a description of specific valuation determinations, data regarding pricing information received from approved pricing vendors and brokers and the results of Board-approved valuation control policies and procedures (the Policies). The Policies address, among other things, instances when market quotations are readily available, including recommendations of third party pricing vendors and a determination of appropriate pricing methodologies; events that require specific valuation determinations and assessment of fair value techniques; securities with a potential for stale pricing, including those that are illiquid, restricted, or in default; and the effectiveness of third- party pricing vendors, including periodic reviews of vendors. The Committee meets more frequently, as needed, to discuss additional valuation matters, which may include the need to review back-testing results, review time-sensitive information or approve related valuation actions. The Committee reports to the Board, with members of the Committee meeting with the Board at each of its regularly scheduled meetings to discuss valuation matters and actions during the period, similar to those described earlier.
For investments categorized as Level 3, the Committee monitors information similar to that described above, which may include: (i) data specific to the issuer or comparable issuers, (ii) general market or specific sector news and (iii) quoted prices and specific or similar security transactions. The Committee considers this data and any changes from prior periods in order to assess the reasonableness of observable and unobservable inputs, any assumptions or internal models used to value those securities and changes in fair value. This data is also used to corroborate, when available, information received from approved pricing vendors and brokers. Various factors impact the frequency of monitoring this information (which may occur as often as daily). However, the Committee may determine that changes to inputs, assumptions and models are not required as a result of the monitoring procedures performed.
The following table is a summary of the inputs used to value the Funds investments at October 31, 2012:
Description |
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
|
|
|
|
|
Quoted Prices in |
|
|
Other Significant |
|
|
Significant |
|
|
|
|
|
|
Active Markets for |
|
|
Observable |
|
|
Unobservable |
|
|
|
|
|
|
Identical Assets ($) |
|
|
Inputs ($) |
|
|
Inputs ($) |
|
|
Total ($) |
|
Equity Securities |
|
|
|
|
|
|
|
|
|
|||
Common Stocks |
|
|
|
|
|
|
|
|
|
|||
Consumer Discretionary |
|
408,397,939 |
|
|
|
|
|
408,397,939 |
|
|||
Consumer Staples |
|
269,768,370 |
|
|
|
|
|
269,768,370 |
|
|||
Energy |
|
114,776,999 |
|
32 |
|
|
|
114,777,031 |
|
|||
Financials |
|
115,415,350 |
|
|
|
|
|
115,415,350 |
|
|||
Health Care |
|
396,175,376 |
|
|
|
|
|
396,175,376 |
|
|||
Industrials |
|
250,918,878 |
|
|
|
|
|
250,918,878 |
|
|||
Information Technology |
|
749,629,085 |
|
|
|
|
|
749,629,085 |
|
|||
Materials |
|
119,164,402 |
|
|
|
|
|
119,164,402 |
|
|||
Telecommunication Services |
|
37,649,376 |
|
|
|
|
|
37,649,376 |
|
|||
Convertible Preferred Stocks |
|
|
|
|
|
|
|
|
|
|||
Industrials |
|
29,495,712 |
|
|
|
|
|
29,495,712 |
|
|||
Total Equity Securities |
|
2,491,391,487 |
|
32 |
|
|
|
2,491,391,519 |
|
|||
Other |
|
|
|
|
|
|
|
|
|
|||
Money Market Funds |
|
76,435,457 |
|
|
|
|
|
76,435,457 |
|
|||
Investments of Cash Collateral Received for Securities on Loan |
|
|
|
197,413,141 |
|
|
|
197,413,141 |
|
|||
Total Other |
|
76,435,457 |
|
197,413,141 |
|
|
|
273,848,598 |
|
|||
Total |
|
2,567,826,944 |
|
197,413,173 |
|
|
|
2,765,240,117 |
|
See the Portfolio of Investments for all investment classifications not indicated in the table.
The Funds assets assigned to the Level 2 input category are generally valued using the market approach, in which a securitys value is determined through reference to prices and information from market transactions for similar or identical assets.
There were no transfers of financial assets between Levels 1 and 2 during the period.
Portfolio of Investments
Columbia Oregon Intermediate Municipal Bond Fund
October 31, 2012 (Unaudited)
(Percentages represent value of investments compared to net assets)
Issue
|
|
Coupon
|
|
Principal
|
|
Value |
|
||
|
|
|
|
|
|
|
|
||
Municipal Bonds (continued) |
|
||||||||
HOSPITAL (CONTINUED) |
|
|
|
|
|
|
|
||
Deschutes County Hospital Facilities Authority
|
|
|
|
||||||
01/01/23 |
|
7.375% |
|
$ |
2,000,000 |
|
$ |
2,501,940 |
|
Multnomah County Hospital Facilities Authority |
|
|
|
||||||
Revenue Bonds |
|
|
|
|
|
|
|
||
Adventist Health West |
|
|
|
|
|
|
|
||
Series 2009A |
|
|
|
|
|
|
|
||
09/01/21 |
|
5.000% |
|
3,685,000 |
|
4,249,431 |
|
||
Providence Health Systems |
|
|
|
|
|
||||
Series 2004 |
|
|
|
|
|
|
|
||
10/01/13 |
|
5.250% |
|
1,045,000 |
|
1,091,377 |
|
||
10/01/16 |
|
5.250% |
|
2,970,000 |
|
3,225,479 |
|
||
Oregon State Facilities Authority |
|
|
|
||||||
Refunding Revenue Bonds |
|
|
|
|
|
|
|
||
Legacy Health Project |
|
|
|
|
|
|
|
||
Series 2011A |
|
|
|
|
|
|
|
||
05/01/20 |
|
5.250% |
|
5,000,000 |
|
6,071,000 |
|
||
Legacy Health Systems |
|
|
|
|
|
|
|
||
Series 2010A |
|
|
|
|
|
|
|
||
03/15/15 |
|
5.000% |
|
1,000,000 |
|
1,087,710 |
|
||
03/15/16 |
|
5.000% |
|
1,500,000 |
|
1,675,230 |
|
||
Peacehealth |
|
|
|
|
|
|
|
||
Series 2009A |
|
|
|
|
|
|
|
||
11/01/17 |
|
5.000% |
|
4,450,000 |
|
5,286,867 |
|
||
11/01/19 |
|
5.000% |
|
3,695,000 |
|
4,418,370 |
|
||
Samaritan Health Services |
|
|
|
|
|
|
|
||
Series 2010A |
|
|
|
|
|
|
|
||
10/01/22 |
|
5.000% |
|
3,450,000 |
|
3,955,839 |
|
||
10/01/23 |
|
5.000% |
|
2,000,000 |
|
2,274,300 |
|
||
Revenue Bonds |
|
|
|
|
|
|
|
||
Providence Health Services |
|
|
|
||||||
Series 2011C |
|
|
|
|
|
|
|
||
10/01/14 |
|
4.000% |
|
1,625,000 |
|
1,728,513 |
|
||
Salem Hospital Facility Authority |
|
|
|
||||||
Revenue Bonds |
|
|
|
|
|
|
|
||
Salem Hospital Project |
|
|
|
|
|
|
|
||
Series 2006A |
|
|
|
|
|
|
|
||
08/15/27 |
|
5.000% |
|
3,500,000 |
|
3,735,025 |
|
||
Series 2008A |
|
|
|
|
|
|
|
||
08/15/15 |
|
5.750% |
|
785,000 |
|
881,053 |
|
||
08/15/18 |
|
5.250% |
|
2,500,000 |
|
2,964,575 |
|
||
Total |
|
|
|
|
|
49,558,910 |
|
||
INDEPENDENT POWER 0.8% |
|
|
|
||||||
Western Generation Agency |
|
|
|
|
|
|
|
||
Revenue Bonds |
|
|
|
|
|
|
|
||
Wauna Cogeneration Project |
|
|
|
||||||
Series 2006A |
|
|
|
|
|
|
|
||
01/01/20 |
|
5.000% |
|
1,000,000 |
|
1,003,850 |
|
||
01/01/21 |
|
5.000% |
|
3,000,000 |
|
3,002,910 |
|
||
Total |
|
|
|
|
|
4,006,760 |
|
||
Issue
|
|
Coupon
|
|
Principal
|
|
Value |
|
||
|
|
|
|
|
|
|
|
||
Municipal Bonds (continued) |
|
|
|
||||||
MUNICIPAL POWER (CONTINUED) |
|
|
|
|
|
||||
Refunding Revenue Bonds |
|
|
|
|
|
|
|
||
Series 1996 (NPFGC/FGIC) |
|
|
|
|
|
||||
11/01/12 |
|
7.350% |
|
$ |
2,490,000 |
|
$ |
2,490,451 |
|
11/01/13 |
|
7.350% |
|
2,675,000 |
|
2,846,147 |
|
||
Series 2003A (AGM) |
|
|
|
|
|
|
|
||
11/01/20 |
|
5.250% |
|
605,000 |
|
630,573 |
|
||
Total |
|
|
|
|
|
12,690,502 |
|
||
OTHER BOND ISSUE 1.0% |
|
|
|
|
|
|
|
||
Oregon State Facilities Authority
|
|
|
|
||||||
11/15/22 |
|
6.650% |
|
2,590,000 |
|
2,592,150 |
|
||
Puerto Rico Housing Finance Authority
|
|
|
|
||||||
12/01/13 |
|
5.000% |
|
2,455,000 |
|
2,558,036 |
|
||
Total |
|
|
|
|
|
5,150,186 |
|
||
PORTS 0.5% |
|
|
|
|
|
|
|
||
Port of Morrow |
|
|
|
|
|
|
|
||
Refunding Revenue Bonds |
|
|
|
|
|
|
|
||
Series 2007 |
|
|
|
|
|
|
|
||
06/01/20 |
|
4.875% |
|
750,000 |
|
750,337 |
|
||
06/01/25 |
|
5.000% |
|
1,000,000 |
|
1,000,170 |
|
||
Port of St. Helens |
|
|
|
|
|
|
|
||
Revenue Bonds |
|
|
|
|
|
|
|
||
Series 1999 |
|
|
|
|
|
|
|
||
08/01/14 |
|
5.600% |
|
135,000 |
|
135,180 |
|
||
08/01/19 |
|
5.750% |
|
425,000 |
|
425,357 |
|
||
Total |
|
|
|
|
|
2,311,044 |
|
||
RECREATION 4.9% |
|
|
|
|
|
|
|
||
Oregon State Department of Administrative Services |
|
|
|
||||||
Revenue Bonds |
|
|
|
|
|
|
|
||
Series 2008A |
|
|
|
|
|
|
|
||
04/01/24 |
|
5.000% |
|
3,130,000 |
|
3,700,536 |
|
||
Series 2009A |
|
|
|
|
|
|
|
||
04/01/21 |
|
5.000% |
|
5,000,000 |
|
6,067,650 |
|
||
04/01/22 |
|
5.000% |
|
5,000,000 |
|
5,985,600 |
|
||
04/01/27 |
|
5.000% |
|
4,000,000 |
|
4,676,560 |
|
||
Series 2012B |
|
|
|
|
|
|
|
||
04/01/18 |
|
3.000% |
|
3,600,000 |
|
3,992,796 |
|
||
Unrefunded Revenue Bonds |
|
|
|
|
|
||||
Series 2003A (AGM) |
|
|
|
|
|
|
|
||
04/01/14 |
|
5.000% |
|
380,000 |
|
396,462 |
|
||
Total |
|
|
|
|
|
24,819,604 |
|
||
Issue
|
|
Coupon
|
|
Principal
|
|
Value |
|
||
|
|
|
|
|
|
|
|
||
Municipal Bonds (continued) |
|
|
|
||||||
STATE GENERAL OBLIGATION (CONTINUED) |
|
|
|
||||||
Unlimited General Obligation Refunding Bonds |
|
|
|
||||||
Oregon University System |
|
|
|
|
|
|
|
||
Series 2012A |
|
|
|
|
|
|
|
||
08/01/19 |
|
5.000% |
|
$ |
5,000,000 |
|
$ |
6,279,350 |
|
Unrefunded Unlimited General Obligation Refunding Bonds |
|
|
|||||||
Series 2004D |
|
|
|
|
|
|
|
||
08/01/24 |
|
5.000% |
|
3,455,000 |
|
3,712,225 |
|
||
State of Oregon (a) |
|
|
|
|
|
|
|
||
Unlimited General Obligation Bonds |
|
|
|
||||||
State Board of Higher Education |
|
|
|
||||||
Series 2001A |
|
|
|
|
|
|
|
||
08/01/17 |
|
0.000% |
|
1,050,000 |
|
992,932 |
|
||
State Higher Board of Education |
|
|
|
|
|
||||
Series 1996A |
|
|
|
|
|
|
|
||
08/01/14 |
|
0.000% |
|
490,000 |
|
485,198 |
|
||
Total |
|
|
|
|
|
11,469,705 |
|
||
TRANSPORTATION 1.1% |
|
|
|
|
|
|
|
||
Tri-County Metropolitan Transportation District
|
|
|
|
||||||
10/01/25 |
|
5.000% |
|
4,775,000 |
|
5,760,847 |
|
||
WATER & SEWER 5.3% |
|
|
|
|
|
|
|
||
City of Myrtle Point Water
|
|
|
|
|
|
|
|
||
12/01/20 |
|
6.000% |
|
510,000 |
|
510,326 |
|
||
City of Portland Sewer System |
|
|
|
|
|
||||
Refunding Revenue Bonds |
|
|
|
|
|
|
|
||
1st Lien |
|
|
|
|
|
|
|
||
Series 2008A |
|
|
|
|
|
|
|
||
06/15/17 |
|
5.000% |
|
1,500,000 |
|
1,785,735 |
|
||
Revenue Bonds |
|
|
|
|
|
|
|
||
First Lien |
|
|
|
|
|
|
|
||
Series 2004A (AGM) |
|
|
|
|
|
|
|
||
10/01/21 |
|
4.250% |
|
2,500,000 |
|
2,660,625 |
|
||
City of Portland Water System |
|
|
|
|
|
|
|
||
Refunding Revenue Bonds |
|
|
|
|
|
|
|
||
1st Lien |
|
|
|
|
|
|
|
||
Series 2006B |
|
|
|
|
|
|
|
||
10/01/16 |
|
5.000% |
|
5,330,000 |
|
6,259,072 |
|
||
Revenue Bonds |
|
|
|
|
|
|
|
||
Series 2004B |
|
|
|
|
|
|
|
||
10/01/13 |
|
5.000% |
|
730,000 |
|
762,105 |
|
||
City of Sutherlin Water
|
|
|
|
|
|
|
|
||
11/15/13 |
|
1.400% |
|
1,230,000 |
|
1,230,800 |
|
||
City of Woodburn |
|
|
|
|
|
|
|
||
Refunding Revenue Bonds |
|
|
|
|
|
|
|
||
Series 2011A |
|
|
|
|
|
|
|
||
03/01/18 |
|
3.000% |
|
1,115,000 |
|
1,196,875 |
|
||
03/01/19 |
|
5.000% |
|
3,490,000 |
|
4,157,637 |
|
||
Issue
|
|
Coupon
|
|
Principal
|
|
Value |
|
||
|
|
|
|
|
|
|
|
||
Municipal Bonds (continued) |
|
|
|
||||||
WATER & SEWER (CONTINUED) |
|
|
|
||||||
03/01/22 |
|
5.000% |
|
$ |
4,620,000 |
|
$ |
5,616,257 |
|
Washington County Clean Water Services
|
|
|
|
|
|
||||
10/01/13 |
|
5.000% |
|
2,310,000 |
|
2,409,630 |
|
||
Total |
|
|
|
|
|
26,589,062 |
|
||
Total Municipal Bonds
|
|
|
|
|
|
$ |
481,918,050 |
|
|
|
|
|
|
Shares |
|
Value |
|
|
|
|
|
|
|
|
|
|
|
Money Market Funds 3.5% |
|
|
|
|||||
Dreyfus Tax-Exempt Cash
|
|
9,509,037 |
|
$ |
9,509,037 |
|
||
JPMorgan Tax Free Money Market
|
|
8,130,839 |
|
8,130,839 |
|
|||
Total Money Market Funds
|
|
|
|
|
|
$ |
17,639,876 |
|
Total Investments
|
|
|
|
|
|
$ |
499,557,926(g) |
|
Other Assets & Liabilities, Net |
|
|
|
|
|
5,736,925 |
|
|
Total Net Assets |
|
|
|
|
|
$ |
505,294,851 |
|
Notes to Portfolio of Investments |
|
(a) |
|
Zero coupon bond. |
(b) |
|
Variable rate security. The interest rate shown reflects the rate as of October 31, 2012. |
(c) |
|
Identifies issues considered to be illiquid as to their marketability. The aggregate value of such securities at October 31, 2012 was $2,592,150, representing 0.51% of net assets. Information concerning such security holdings at October 31, 2012 was as follows: |
Security Description |
|
|
|
Acquisition Dates |
|
Cost ($) |
|
Oregon State Facilities Authority |
|
|
|
|
|
|
|
Revenue Bonds |
|
|
|
|
|
|
|
Goodwill Industries Lane County |
|
|
|
|
|
|
|
Series 1998A |
|
|
|
|
|
|
|
11/15/22 |
|
6.650% |
|
06-17-98 |
|
2,590,000 |
|
(d) |
|
Municipal obligations include debt obligations issued by or on behalf of territories, possessions, or sovereign nations within the territorial boundaries of the United States. At October 31, 2012, the value of these securities amounted to $20,113,430 or 3.98% of net assets. |
(e) |
|
The rate shown is the seven-day current annualized yield at October 31, 2012. |
(f) |
|
At October 31, 2012, the cost of securities for federal income tax purposes was approximately $458,931,000 and the approximate aggregate gross unrealized appreciation and depreciation based on that cost was: |
Unrealized Appreciation |
|
$ |
40,687,000 |
|
Unrealized Depreciation |
|
(60,000 |
) |
|
Net Unrealized Appreciation |
|
$ |
40,627,000 |
|
(g) |
|
Investments are valued using policies described in the notes to financial statements in the most recent shareholder report. |
Abbreviation Legend |
|
AGM |
|
Assured Guaranty Municipal Corporation |
AMBAC |
|
Ambac Assurance Corporation |
BAN |
|
Bond Anticipation Note |
FGIC |
|
Financial Guaranty Insurance Company |
FHLMC |
|
Federal Home Loan Mortgage Corporation |
NPFGC |
|
National Public Finance Guarantee Corporation |
Fair Value Measurements |
|
Generally accepted accounting principles (GAAP) require disclosure regarding the inputs and valuation techniques used to measure fair value and any changes in valuation inputs or techniques. In addition, investments shall be disclosed by major category.
The Fund categorizes its fair value measurements according to a three-level hierarchy that maximizes the use of observable inputs and minimizes the use of unobservable inputs by prioritizing that the most observable input be used when available. Observable inputs are those that market participants would use in pricing an investment based on market data obtained from sources independent of the reporting entity. Unobservable inputs are those that reflect the Funds assumptions about the information market participants would use in pricing an investment. An investments level within the fair value hierarchy is based on the lowest level of any input that is deemed significant to the asset or liabilitys fair value measurement. The input levels are not necessarily an indication of the risk or liquidity associated with investments at that level. For example, certain U.S. government securities are generally high quality and liquid, however, they are reflected as Level 2 because the inputs used to determine fair value may not always be quoted prices in an active market.
Fair value inputs are summarized in the three broad levels listed below:
· Level 1 - Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date (including NAV for open-end mutual funds). Valuation adjustments are not applied to Level 1 investments.
· Level 2 Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.).
· Level 3 Valuations based on significant unobservable inputs (including the Funds 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 investments 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 rely on one or more significant unobservable inputs and/or significant assumptions by the Investment Manager. Inputs used in valuations may include, but are not limited to, financial statement analysis, capital account balances, discount rates and estimated cash flows, and comparable company data.
Under the direction of the Funds Board of Trustees (the Board), the Investment Managers Valuation Committee (the Committee) is responsible for carrying out the valuation procedures approved by the Board. The Committee consists of voting and non-voting members from various groups within the Investment Managers organization, including operations and accounting, trading and investments, compliance, risk management and legal.
The Committee meets at least monthly to review and approve valuation matters, which may include a description of specific valuation determinations, data regarding pricing information received from approved pricing vendors and brokers and the results of Board-approved valuation control policies and procedures (the Policies). The Policies address, among other things, instances when market quotations are readily available, including recommendations of third party pricing vendors and a determination of appropriate pricing methodologies; events that require specific valuation determinations and assessment of fair value techniques; securities with a potential for stale pricing, including those that are illiquid, restricted, or in default; and the effectiveness of third-party pricing vendors, including periodic reviews of vendors. The Committee meets more frequently, as needed, to discuss additional valuation matters, which may include the need to review back-testing results, review time-sensitive information or approve related valuation actions. The Committee reports to the Board, with members of the Committee meeting with the Board at each of its regularly scheduled meetings to discuss valuation matters and actions during the period, similar to those described earlier.
For investments categorized as Level 3, the Committee monitors information similar to that described above, which may include: (i) data specific to the issuer or comparable issuers, (ii) general market or specific sector news and (iii) quoted prices and specific or similar security transactions. The Committee considers this data and any changes from prior periods in order to assess the reasonableness of observable and unobservable inputs, any assumptions or internal models used to value those securities and changes in fair value. This data is also used to corroborate, when available, information received from approved pricing vendors and brokers. Various factors impact the frequency of monitoring this information (which may occur as often as daily). However, the Committee may determine that changes to inputs, assumptions and models are not required as a result of the monitoring procedures performed.
The following table is a summary of the inputs used to value the Funds investments at October 31, 2012:
Description |
|
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
|
|
|
|
|
|
Quoted Prices in |
|
|
Other Significant |
|
|
Significant |
|
|
|
|
|
|
|
Active Markets for |
|
|
Observable |
|
|
Unobservable |
|
|
|
|
|
|
|
Identical Assets ($) |
|
|
Inputs ($) |
|
|
Inputs ($) |
|
|
Total ($) |
|
Bonds |
|
|
|
|
|
|
|
|
|
||||
Municipal Bonds |
|
|
|
481,918,050 |
|
|
|
481,918,050 |
|
||||
Total Bonds |
|
|
|
481,918,050 |
|
|
|
481,918,050 |
|
||||
Other |
|
|
|
|
|
|
|
|
|
||||
Money Market Funds |
|
17,639,876 |
|
|
|
|
|
17,639,876 |
|
||||
Total Other |
|
17,639,876 |
|
|
|
|
|
17,639,876 |
|
||||
Total |
|
17,639,876 |
|
481,918,050 |
|
|
|
499,557,926 |
|
See the Portfolio of Investments for all investment classifications not indicated in the table.
The Funds assets assigned to the Level 2 input category are generally valued using the market approach, in which a securitys value is determined through reference to prices and information from market transactions for similar or identical assets.
There were no transfers of financial assets between Levels 1 and 2 during the period.
Portfolio of Investments
Columbia Tax-Exempt Fund
October 31, 2012 (Unaudited)
(Percentages represent value of investments compared to net assets)
Issue
|
|
Coupon
|
|
Principal
|
|
Value |
|
||
|
|
|
|
|
|
|
|
||
Municipal Bonds (continued) |
|
||||||||
LOUISIANA (CONTINUED) |
|
|
|
||||||
Lafayette Consolidated Government
|
|
|
|
||||||
05/01/21 |
|
5.000% |
|
$ |
1,000,000 |
|
$ |
1,135,940 |
|
Louisiana Housing Finance Agency
|
|
|
|
||||||
12/01/23 |
|
4.875% |
|
640,000 |
|
680,998 |
|
||
Louisiana Local Government Environmental Facilities & Community Development Authority
|
|
|
|
||||||
11/01/35 |
|
6.500% |
|
6,250,000 |
|
7,282,875 |
|
||
Louisiana Public Facilities Authority |
|
|
|
|
|
||||
Refunding Revenue Bonds |
|
|
|
|
|
||||
Tulane University Project |
|
|
|
|
|
||||
Series 2007A-1 (NPFGC) |
|
|
|
|
|
||||
02/15/26 |
|
5.000% |
|
1,000,000 |
|
1,092,360 |
|
||
Revenue Bonds |
|
|
|
|
|
|
|
||
Hurricane Recovery Program |
|
|
|
|
|
||||
Series 2007 (AMBAC) |
|
|
|
|
|
|
|
||
06/01/20 |
|
5.000% |
|
1,000,000 |
|
1,107,040 |
|
||
Louisiana State Citizens Property Insurance Corp. |
|
|
|
||||||
Revenue Bonds |
|
|
|
|
|
|
|
||
Series 2006B (AMBAC) |
|
|
|
|
|
||||
06/01/16 |
|
5.000% |
|
9,500,000 |
|
10,599,530 |
|
||
Series 2009C-4 |
|
|
|
|
|
|
|
||
06/01/24 |
|
6.125% |
|
1,000,000 |
|
1,033,860 |
|
||
New Orleans Aviation Board |
|
|
|
|
|
||||
Revenue Bonds |
|
|
|
|
|
||||
Consolidated Rental Car |
|
|
|
|
|
||||
Series 2009A |
|
|
|
|
|
|
|
||
01/01/30 |
|
6.250% |
|
5,250,000 |
|
5,969,407 |
|
||
01/01/40 |
|
6.500% |
|
20,400,000 |
|
23,030,580 |
|
||
Parish of St. Charles
|
|
|
|
||||||
12/01/40 |
|
4.000% |
|
7,900,000 |
|
8,670,961 |
|
||
Parish of St. John the Baptist
|
|
|
|
||||||
06/01/37 |
|
5.125% |
|
18,600,000 |
|
20,007,834 |
|
||
Port New Orleans Board of Commissioners
|
|
|
|
||||||
04/01/32 |
|
5.000% |
|
1,250,000 |
|
1,254,000 |
|
||
St. Tammany Parish Wide School District No. 12
|
|
|
|
||||||
03/01/23 |
|
4.500% |
|
1,000,000 |
|
1,115,580 |
|
||
Issue
|
|
Coupon
|
|
Principal
|
|
Value |
|
||
|
|
|
|
|
|
|
|
||
Municipal Bonds (continued) |
|
|
|
||||||
LOUISIANA (CONTINUED) |
|
|
|
||||||
Tobacco Settlement Financing Corp. |
|
|
|
|
|
||||
Asset-Backed Revenue Bonds |
|
|
|
|
|
||||
Series 2001B |
|
|
|
|
|
|
|
||
05/15/30 |
|
5.500% |
|
$ |
17,555,000 |
|
$ |
17,993,524 |
|
05/15/39 |
|
5.875% |
|
31,270,000 |
|
32,051,125 |
|
||
Total |
|
|
|
|
|
135,554,230 |
|
||
|
|
|
|
|
|
|
|
||
MARYLAND 0.7% |
|
|
|
|
|
|
|
||
City of Brunswick
|
|
|
|
||||||
07/01/36 |
|
5.500% |
|
6,804,000 |
|
6,200,553 |
|
||
County of Baltimore
|
|
|
|
||||||
01/01/37 |
|
5.000% |
|
5,000,000 |
|
5,155,000 |
|
||
Maryland Economic Development Corp. |
|
|
|
|
|
||||
Refunding Revenue Bonds |
|
|
|
|
|
||||
CNX Marine Terminals, Inc. |
|
|
|
|
|
||||
Series 2010 |
|
|
|
|
|
|
|
||
09/01/25 |
|
5.750% |
|
4,000,000 |
|
4,357,040 |
|
||
Revenue Bonds |
|
|
|
|
|
|
|
||
Salisbury University Project |
|
|
|
|
|
||||
Series 2012 |
|
|
|
|
|
|
|
||
06/01/30 |
|
5.000% |
|
400,000 |
|
433,560 |
|
||
University of Maryland College Park Projects |
|
|
|
||||||
Series 2008 |
|
|
|
|
|
|
|
||
06/01/33 |
|
5.750% |
|
1,600,000 |
|
1,755,584 |
|
||
Senior Revenue Bonds |
|
|
|
|
|
||||
Towson University Project |
|
|
|
|
|
||||
Series 2012 |
|
|
|
|
|
|
|
||
07/01/29 |
|
5.000% |
|
650,000 |
|
718,673 |
|
||
Maryland Health & Higher Educational Facilities Authority |
|
|
|
||||||
Revenue Bonds |
|
|
|
|
|
|
|
||
Anne Arundel Health System |
|
|
|
|
|
||||
Series 2009A |
|
|
|
|
|
|
|
||
07/01/39 |
|
6.750% |
|
5,000,000 |
|
6,067,800 |
|
||
University of Maryland Medical System |
|
|
|
||||||
Series 2005 (AMBAC) |
|
|
|
|
|
|
|
||
07/01/28 |
|
5.250% |
|
3,000,000 |
|
3,352,530 |
|
||
Washington County Hospital |
|
|
|
|
|
||||
Series 2008 |
|
|
|
|
|
|
|
||
01/01/33 |
|
5.750% |
|
3,495,000 |
|
3,813,499 |
|
||
Morgan State University
|
|
|
|
||||||
07/01/32 |
|
5.000% |
|
450,000 |
|
464,166 |
|
||
Total |
|
|
|
|
|
32,318,405 |
|
||
Issue
|
|
Coupon
|
|
Principal
|
|
Value |
|
||
|
|
|
|
|
|
|
|
||
Municipal Bonds (continued) |
|
|
|||||||
PENNSYLVANIA (CONTINUED) |
|
|
|
||||||
Berks County Municipal Authority
|
|
|
|
||||||
10/01/14 |
|
5.700% |
|
$ |
370,000 |
|
$ |
387,323 |
|
Butler County Hospital Authority
|
|
|
|
||||||
07/01/39 |
|
7.250% |
|
7,000,000 |
|
8,789,900 |
|
||
Chester County Industrial Development Authority
|
|
|
|
||||||
05/01/32 |
|
8.500% |
|
5,910,000 |
|
6,027,727 |
|
||
Commonwealth of Pennsylvania
|
|
|
|
||||||
02/15/19 |
|
5.000% |
|
10,000,000 |
|
12,337,800 |
|
||
Dauphin County Industrial Development Authority
|
|
|
|
||||||
06/01/24 |
|
6.900% |
|
3,400,000 |
|
4,413,098 |
|
||
Delaware County Industrial Development Authority
|
|
|
|
||||||
10/01/31 |
|
5.350% |
|
3,000,000 |
|
3,005,100 |
|
||
Delaware Valley Regional Financial Authority
|
|
|
|
||||||
07/01/27 |
|
7.750% |
|
1,000,000 |
|
1,453,750 |
|
||
Montgomery County Industrial Development Authority
|
|
|
|
||||||
02/01/28 |
|
6.125% |
|
2,000,000 |
|
2,039,040 |
|
||
Northampton County General Purpose Authority
|
|
|
|
||||||
08/15/28 |
|
5.375% |
|
4,000,000 |
|
4,326,520 |
|
||
Pennsylvania Convention Center Authority
|
|
|
|
||||||
09/01/19 |
|
6.000% |
|
14,010,000 |
|
18,012,657 |
|
||
Pennsylvania Economic Development Financing Authority |
|
|
|
||||||
Revenue Bonds |
|
|
|
||||||
Allegheny Energy Supply Co. |
|
|
|
||||||
Series 2009 |
|
|
|
||||||
07/15/39 |
|
7.000% |
|
13,000,000 |
|
15,545,660 |
|
||
Philadelphia Biosolids Facility |
|
|
|
||||||
Issue
|
|
Coupon
|
|
Principal
|
|
Value |
|
||
|
|
|
|
|
|
|
|
||
Municipal Bonds (continued) |
|
|
|
||||||
TEXAS (CONTINUED) |
|
|
|
|
|
|
|
||
La Vernia Higher Education Finance Corp.
|
|
|
|
||||||
Series 2009A |
|
|
|
|
|
|
|
||
08/15/44 |
|
6.375% |
|
$ |
7,500,000 |
|
$ |
8,777,625 |
|
Matagorda County Navigation District No. 1
|
|
|
|
||||||
11/01/29 |
|
6.300% |
|
2,800,000 |
|
3,275,776 |
|
||
Mission Economic Development Corp
|
|
|
|
||||||
12/01/24 |
|
6.875% |
|
15,000,000 |
|
16,110,450 |
|
||
North East Independent School District
|
|
|
|
||||||
02/01/31 |
|
5.250% |
|
10,000,000 |
|
13,464,700 |
|
||
North Texas Tollway Authority |
|
|
|
|
|
||||
Refunding Revenue Bonds |
|
|
|
|
|
||||
1st Tier |
|
|
|
|
|
|
|
||
Series 2009C |
|
|
|
|
|
|
|
||
01/01/44 |
|
5.250% |
|
10,000,000 |
|
10,898,900 |
|
||
Series 2011 |
|
|
|
|
|
|
|
||
01/01/38 |
|
5.000% |
|
5,500,000 |
|
6,064,905 |
|
||
First Tier |
|
|
|
|
|
|
|
||
Series 2012B |
|
|
|
|
|
|
|
||
01/01/42 |
|
5.000% |
|
12,845,000 |
|
14,280,300 |
|
||
Toll 2nd Tier |
|
|
|
|
|
|
|
||
Series 2008F |
|
|
|
|
|
|
|
||
01/01/38 |
|
5.750% |
|
11,355,000 |
|
12,518,547 |
|
||
Permanent University Fund
|
|
|
|
||||||
07/01/23 |
|
5.250% |
|
1,000,000 |
|
1,310,220 |
|
||
San Juan Higher Education Finance Authority
|
|
|
|
||||||
08/15/40 |
|
6.700% |
|
2,700,000 |
|
3,138,399 |
|
||
Sanger Industrial Development Corp.
|
|
|
|
||||||
07/01/38 |
|
8.000% |
|
35,000,000 |
|
35,162,050 |
|
||
Tarrant County Cultural Education Facilities Finance Corp. |
|
|
|
||||||
Revenue Bonds |
|
|
|
|
|
||||
Air Force Obligation Group |
|
|
|
|
|
||||
Series 2007 |
|
|
|
|
|
|
|
||
05/15/27 |
|
5.125% |
|
2,000,000 |
|
2,045,520 |
|
||
CC Young Memorial Home |
|
|
|
||||||
Series 2009A |
|
|
|
|
|
|
|
||
02/15/38 |
|
8.000% |
|
4,000,000 |
|
4,426,440 |
|
||
Issue
|
|
Coupon
|
|
Principal
|
|
Value |
|
||
|
|
|
|
|
|
|
|
||
Municipal Bonds (continued) |
|
|
|
||||||
WISCONSIN (CONTINUED) |
|
|
|
|
|
||||
Refunding Revenue Bonds |
|
|
|
||||||
Wheaton Healthcare |
|
|
|
|
|
|
|
||
Series 2006B |
|
|
|
|
|
|
|
||
08/15/24 |
|
5.125% |
|
$ |
15,910,000 |
|
$ |
16,874,305 |
|
08/15/25 |
|
5.125% |
|
15,500,000 |
|
16,412,485 |
|
||
Revenue Bonds |
|
|
|
|
|
|
|
||
Aurora Health Care, Inc. |
|
|
|
||||||
Series 2003 |
|
|
|
|
|
|
|
||
04/15/33 |
|
6.400% |
|
4,250,000 |
|
4,308,565 |
|
||
Series 2010A |
|
|
|
|
|
|
|
||
04/15/39 |
|
5.625% |
|
6,100,000 |
|
6,965,529 |
|
||
Medical College of Wisconsin |
|
|
|
||||||
Series 2008A |
|
|
|
|
|
|
|
||
12/01/35 |
|
5.250% |
|
14,400,000 |
|
15,728,400 |
|
||
ProHealth Care, Inc. |
|
|
|
|
|
|
|
||
Series 2012 |
|
|
|
|
|
|
|
||
08/15/28 |
|
5.000% |
|
1,570,000 |
|
1,750,550 |
|
||
ProHealth Care, Inc. Obligation Group |
|
|
|
||||||
Series 2009 |
|
|
|
|
|
|
|
||
02/15/32 |
|
6.625% |
|
1,000,000 |
|
1,080,720 |
|
||
02/15/39 |
|
6.625% |
|
25,150,000 |
|
29,457,441 |
|
||
Riverview Hospital Association |
|
|
|
||||||
Series 2008 |
|
|
|
|
|
|
|
||
04/01/33 |
|
5.750% |
|
6,000,000 |
|
6,617,100 |
|
||
04/01/38 |
|
5.750% |
|
4,000,000 |
|
4,386,680 |
|
||
St. Johns Community, Inc. |
|
|
|
||||||
Series 2009A |
|
|
|
|
|
|
|
||
09/15/29 |
|
7.250% |
|
1,000,000 |
|
1,152,650 |
|
||
09/15/39 |
|
7.625% |
|
1,000,000 |
|
1,162,680 |
|
||
Total |
|
|
|
|
|
146,446,628 |
|
||
WYOMING 0.2% |
|
|
|
|
|
|
|
||
County of Campbell
|
|
|
|
||||||
07/15/39 |
|
5.750% |
|
7,900,000 |
|
9,075,836 |
|
||
Total Municipal Bonds
|
|
|
|
$ |
4,534,277,146 |
|
|||
|
|
|
|
|
|
|
|
||
Municipal Bonds Held in Trust 0.6% |
|
|
|
||||||
MASSACHUSETTS 0.4% |
|
|
|
|
|
||||
Massachusetts Health & Educational Facilities Authority
|
|
|
|
||||||
11/15/36 |
|
5.500% |
|
16,000,000 |
|
19,375,680 |
|
||
TEXAS 0.2% |
|
|
|
|
|
|
|
||
Texas Department of Housing & Community Affairs (b)(c)(g)(i) |
|
|
|||||||
Revenue Bonds |
|
|
|
|
|
|
|
||
Mortgage |
|
|
|
|
|
|
|
||
Notes to Portfolio of Investments |
|
(a) |
|
Municipal obligations include debt obligations issued by or on behalf of territories, possessions, or sovereign nations within the territorial boundaries of the United States. At October 31, 2012, the value of these securities amounted to $165,744,362 or 3.49% of net assets. |
(b) |
|
Income from this security may be subject to alternative minimum tax. |
(c) |
|
Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933. This security may be resold in transactions exempt from registration, normally to qualified institutional buyers. At October 31, 2012, the value of these securities amounted to $83,789,244 or 1.76% of net assets. |
(d) |
|
Identifies issues considered to be illiquid as to their marketability. The aggregate value of such securities at October 31, 2012 was $61,669,105, representing 1.30% of net assets. Information concerning such security holdings at October 31, 2012 was as follows: |
Security Description |
|
Acquisition Dates |
|
Cost($) |
|
Boston Industrial Development Financing Authority |
|
|
|
|
|
Revenue Bonds |
|
|
|
|
|
Crosstown Center Project |
|
|
|
|
|
Senior Series 2002 AMT |
|
|
|
|
|
6.500% 09/01/35 |
|
09-20-02 |
|
2,811,352 |
|
|
|
|
|
|
|
Broward County Housing Finance Authority |
|
|
|
|
|
Revenue Bonds |
|
|
|
|
|
Chaves Lake Apartments Project |
|
|
|
|
|
Series 2000A AMT |
|
|
|
|
|
7.500% 07/01/40 |
|
03-07-00 |
|
7,780,303 |
|
|
|
|
|
|
|
Cabazon Band Mission Indians |
|
|
|
|
|
Revenue Bonds |
|
|
|
|
|
Series 2004 |
|
|
|
|
|
13.000% 10/01/13 |
|
05-14-10 |
|
365,949 |
|
|
|
|
|
|
|
Cabazon Band Mission Indians |
|
|
|
|
|
Revenue Bonds |
|
|
|
|
|
Series 2004 |
|
|
|
|
|
8.375% 10/01/15 |
|
10-04-04 - 05-14-10 |
|
1,691,224 |
|
|
|
|
|
|
|
Cabazon Band Mission Indians |
|
|
|
|
|
Revenue Bonds |
|
|
|
|
|
Series 2004 |
|
|
|
|
|
8.750% 10/01/19 |
|
10-04-04 - 05-14-10 |
|
8,381,812 |
|
|
|
|
|
|
|
Cabazon Band Mission Indians |
|
|
|
|
|
Revenue Bonds |
|
|
|
|
|
Series 2010 |
|
|
|
|
|
8.375% 10/01/20 |
|
05-14-10 |
|
1,415,000 |
|
|
|
|
|
|
|
California Municipal Finance Authority |
|
|
|
|
|
Revenue Bonds |
|
|
|
|
|
UTS Renewable Energy - Waste Water |
|
|
|
|
|
Series 2011 AMT |
|
|
|
|
|
3.950% 12/01/15 |
|
12-22-11 |
|
1,415,000 |
|
California Municipal Finance Authority |
|
|
|
|
|
Revenue Bonds |
|
|
|
|
|
UTS Renewable Energy - Waste Water |
|
|
|
|
|
Series 2011 AMT |
|
|
|
|
|
7.500% 12/01/32 |
|
12-22-11 |
|
1,925,000 |
|
|
|
|
|
|
|
Capital Trust Agency, Inc. |
|
|
|
|
|
Revenue Bonds |
|
|
|
|
|
Atlantic Housing Foundation |
|
|
|
|
|
Subordinated Series 2008B |
|
|
|
|
|
7.000% 07/15/32 |
|
07-23-08 |
|
1,895,000 |
|
|
|
|
|
|
|
Chester County Industrial Development Authority |
|
|
|
|
|
1st Mortgage - RHA/Pennsylvania Nursing Home |
|
|
|
|
|
Series 2002 |
|
|
|
|
|
8.500% 05/01/32 |
|
05-01-02 |
|
5,509,587 |
|
|
|
|
|
|
|
Durham Housing Authority |
|
|
|
|
|
Revenue Bonds |
|
|
|
|
|
Series 2005 AMT |
|
|
|
|
|
5.650% 02/01/38 |
|
12-18-06 |
|
3,184,497 |
|
|
|
|
|
|
|
Hickory Chase Community Authority |
|
|
|
|
|
Revenue Bonds |
|
|
|
|
|
Hickory Chase Project |
|
|
|
|
|
Series 2008 |
|
|
|
|
|
6.750% 12/01/27 |
|
04-23-08 |
|
5,644,000 |
|
|
|
|
|
|
|
Indianapolis Airport Authority |
|
|
|
|
|
Revenue Bonds |
|
|
|
|
|
Special Facilities-United Air Lines Project |
|
|
|
|
|
Series 1995A AMT |
|
|
|
|
|
6.500% 11/15/31 |
|
10-17-95 - 10-31-12 |
|
803,250 |
|
|
|
|
|
|
|
Mashantucket Western Pequot Tribe |
|
|
|
|
|
Revenue Bonds |
|
|
|
|
|
Subordinated Series 2007A |
|
|
|
|
|
5.750% 09/01/34 |
|
11-09-07 |
|
3,865,989 |
|
|
|
|
|
|
|
Massachusetts Development Finance Agency |
|
|
|
|
|
Revenue Bonds |
|
|
|
|
|
Groves-Lincoln |
|
|
|
|
|
Series 20009A |
|
|
|
|
|
7.750% 06/01/39 |
|
11-12-09 - 11-16-09 |
|
2,224,069 |
|
|
|
|
|
|
|
Massachusetts Development Finance Agency |
|
|
|
|
|
Revenue Bonds |
|
|
|
|
|
Linden Ponds, Inc. Facility |
|
|
|
|
|
Series 2011B |
|
|
|
|
|
0.000% 11/15/56 |
|
06-04-11 |
|
1,573 |
|
Metropolitan Government Nashville & Davidson County |
|
|
|
|
|
Health & Educational Facilities Board |
|
|
|
|
|
1st Mortgage |
|
|
|
|
|
AHF Project |
|
|
|
|
|
Series 2003 |
|
|
|
|
|
8.500% 01/01/29 |
|
12-30-03 |
|
378,917 |
|
|
|
|
|
|
|
Michigan Strategic Fund |
|
|
|
|
|
Refunding Revenue Bonds |
|
|
|
|
|
Michigan Sugar Co.-Carollton |
|
|
|
|
|
Series 1998C AMT |
|
|
|
|
|
6.550% 11/01/25 |
|
11-24-98 |
|
4,250,000 |
|
|
|
|
|
|
|
Middlesex County Improvement Authority |
|
|
|
|
|
Revenue Bonds |
|
|
|
|
|
Heldrich Center Hotel |
|
|
|
|
|
Series 2005C |
|
|
|
|
|
8.750% 01/01/37 |
|
09-25-07 |
|
1,461,135 |
|
|
|
|
|
|
|
Middlesex County Improvement Authority |
|
|
|
|
|
Subordinated Revenue Bonds |
|
|
|
|
|
Heldrich Center Hotel |
|
|
|
|
|
Series 2005B |
|
|
|
|
|
6.250% 01/01/37 |
|
03-18-05 |
|
3,865,993 |
|
|
|
|
|
|
|
Munimae TE Bond Subsidiary LLC |
|
|
|
|
|
Series 2000B AMT |
|
|
|
|
|
9.640% 06/30/50 |
|
05-30-00 |
|
10,000,000 |
|
|
|
|
|
|
|
Munimae TE Bond Subsidiary LLC |
|
|
|
|
|
Series 2005C-3 AMT |
|
|
|
|
|
5.500% 11/29/49 |
|
11-02-05 |
|
1,000,000 |
|
|
|
|
|
|
|
Rankin County Five Lakes Utility District |
|
|
|
|
|
Series 1994 |
|
|
|
|
|
7.000% 07/15/37 |
|
10-02-07 |
|
465,000 |
|
|
|
|
|
|
|
Resolution Trust Corp. |
|
|
|
|
|
Pass-Through Certificates |
|
|
|
|
|
Series 1993A |
|
|
|
|
|
8.500% 12/01/16 |
|
08-27-93 |
|
6,671,200 |
|
|
|
|
|
|
|
Washington County Industrial Development Authority |
|
|
|
|
|
1st Mortgage |
|
|
|
|
|
Central Project |
|
|
|
|
|
Series 2003 |
|
|
|
|
|
8.500% 01/01/29 |
|
12-30-03 |
|
1,893,640 |
|
(e) |
|
Represents securities that have defaulted on payment of interest. The Fund has stopped accruing interest on these securities. At October 31, 2012, the value of these securities amounted to $13,167,500, which represents 0.28% of net assets. |
(f) |
|
Zero coupon bond. |
(g) |
|
Variable rate security. The interest rate shown reflects the rate as of October 31, 2012. |
(h) |
|
Represents a security purchased on a when-issued or delayed delivery basis. |
(i) |
|
The Fund entered into transactions in which it transfers to trusts fixed rate municipal bonds in exchange for cash and residual interests in the trusts assets and cash flows, which are in the form of inverse floating rate securities. The trust funds the purchases of the municipal bonds by issuing short-term floating rate notes to third parties, which are included as a liability in the Funds Statement of Assets and Liabilities. The liability approximates fair value. The municipal bonds transferred to the trusts remain in the Funds Portfolio of Investments. |
(j) |
|
The Fund is entitled to receive principal and interest from the guarantor after a day or a weeks notice or upon maturity. The maturity date disclosed represents the final maturity. |
(k) |
|
The rate shown is the seven-day current annualized yield at October 31, 2012. |
(l) |
|
At October 31, 2012, the cost of securities for federal income tax purposes was approximately $4,185,654,000 and the approximate aggregate gross unrealized appreciation and depreciation based on that cost was: |
Unrealized Appreciation |
|
$ |
563,418,000 |
|
Unrealized Depreciation |
|
(36,823,000 |
) |
|
Net Unrealized Appreciation |
|
$ |
526,595,000 |
|
(m) |
|
Investments are valued using policies described in the notes to financial statements in the most recent shareholder report. |
Abbreviation Legend |
|
||
AGM |
|
Assured Guaranty Municipal Corporation |
|
AMBAC |
|
Ambac Assurance Corporation |
|
AMT |
|
Alternative Minimum Tax |
|
FGIC |
|
Financial Guaranty Insurance Company |
|
FHA |
|
Federal Housing Authority |
|
FHLMC |
|
Federal Home Loan Mortgage Corporation |
|
FNMA |
|
Federal National Mortgage Association |
|
IBC |
|
Insurance Bond Certificate |
|
GNMA |
|
Government National Mortgage Association |
|
MGIC |
|
Mortgage Guaranty Insurance Corporation |
|
NPFGC |
|
National Public Finance Guarantee Corporation |
|
TCRS |
|
Transferable Custodial Receipts |
|
VRDN |
|
Variable Rate Demand Note |
|
XLCA |
|
XL Capital Assurance |
|
Fair Value Measurements |
|
Generally accepted accounting principles (GAAP) require disclosure regarding the inputs and valuation techniques used to measure fair value and any changes in valuation inputs or techniques. In addition, investments shall be disclosed by major category.
The Fund categorizes its fair value measurements according to a three-level hierarchy that maximizes the use of observable inputs and minimizes the use of unobservable inputs by prioritizing that the most observable input be used when available. Observable inputs are those that market participants would use in pricing an investment based on market data obtained from sources independent of the reporting entity. Unobservable inputs are those that reflect the Funds assumptions about the information market participants would use in pricing an investment. An investments level within the fair value hierarchy is based on the lowest level of any input that is deemed significant to the asset or liabilitys fair value measurement. The input levels are not necessarily an indication of the risk or liquidity associated with investments at that level. For example, certain U.S. government securities are generally high quality and liquid, however, they are reflected as Level 2 because the inputs used to determine fair value may not always be quoted prices in an active market.
Fair value inputs are summarized in the three broad levels listed below:
· Level 1 - Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date (including NAV for open-end mutual funds). Valuation adjustments are not applied to Level 1 investments.
· Level 2 Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.).
· Level 3 Valuations based on significant unobservable inputs (including the Funds 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 investments 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 rely on one or more significant unobservable inputs and/or significant assumptions by the Investment Manager. Inputs used in valuations may include, but are not limited to, financial statement analysis, capital account balances, discount rates and estimated cash flows, and comparable company data.
Under the direction of the Funds Board of Trustees (the Board), the Investment Managers Valuation Committee (the Committee) is responsible for carrying out the valuation procedures approved by the Board. The Committee consists of voting and non-voting members from various groups within the Investment Managers organization, including operations and accounting, trading and investments, compliance, risk management and legal.
The Committee meets at least monthly to review and approve valuation matters, which may include a description of specific valuation determinations, data regarding pricing information received from approved pricing vendors and brokers and the results of Board-approved valuation control policies and procedures (the Policies). The Policies address, among other things, instances when market quotations are readily available, including recommendations of third party pricing vendors and a determination of appropriate pricing methodologies; events that require specific valuation determinations and assessment of fair value techniques; securities with a potential for stale pricing, including those that are illiquid, restricted, or in default; and the effectiveness of third- party pricing vendors, including periodic reviews of vendors. The Committee meets more frequently, as needed, to discuss additional valuation matters, which may include the need to review back-testing results, review time-sensitive information or approve related valuation actions. The Committee reports to the Board, with members of the Committee meeting with the Board at each of its regularly scheduled meetings to discuss valuation matters and actions during the period, similar to those described earlier.
For investments categorized as Level 3, the Committee monitors information similar to that described above, which may include: (i) data specific to the issuer or comparable issuers, (ii) general market or specific sector news and (iii) quoted prices and specific or similar security transactions. The Committee considers this data and any changes from prior periods in order to assess the reasonableness of observable and unobservable inputs, any assumptions or internal models used to value those securities and changes in fair value. This data is also used to corroborate, when available, information received from approved pricing vendors and brokers. Various factors impact the frequency of monitoring this information (which may occur as often as daily). However, the Committee may determine that changes to inputs, assumptions and models are not required as a result of the monitoring procedures performed.
The following table is a summary of the inputs used to value the Funds investments at October 31, 2012:
Description |
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
|
|
|
|
|
Quoted Prices in |
|
|
Other Significant |
|
|
Significant |
|
|
|
|
|
|
Active Markets for |
|
|
Observable |
|
|
Unobservable |
|
|
|
|
|
|
Identical Assets ($) |
|
|
Inputs ($) |
|
|
Inputs ($) |
|
|
Total ($) |
|
Bonds |
|
|
|
|
|
|
|
|
|
|||
Municipal Bonds |
|
|
|
4,534,277,146 |
|
|
|
4,534,277,146 |
|
|||
Municipal Bonds Held in Trust |
|
|
|
29,018,239 |
|
|
|
29,018,239 |
|
|||
Total Bonds |
|
|
|
4,563,295,385 |
|
|
|
4,563,295,385 |
|
|||
|
|
|
|
|
|
|
|
|
|
|||
Equity Securities |
|
|
|
|
|
|
|
|
|
|||
Municipal Preferred Stocks |
|
|
|
10,169,890 |
|
|
|
10,169,890 |
|
|||
Total Equity Securities |
|
|
|
10,169,890 |
|
|
|
10,169,890 |
|
|||
|
|
|
|
|
|
|
|
|
|
|||
Short-Term Securities |
|
|
|
|
|
|
|
|
|
|||
Floating Rate Notes |
|
|
|
60,495,000 |
|
|
|
60,495,000 |
|
|||
Total Short-Term Securities |
|
|
|
60,495,000 |
|
|
|
60,495,000 |
|
|||
|
|
|
|
|
|
|
|
|
|
|||
Other |
|
|
|
|
|
|
|
|
|
|||
Money Market Funds |
|
78,288,990 |
|
|
|
|
|
78,288,990 |
|
|||
Total Other |
|
78,288,990 |
|
|
|
|
|
78,288,990 |
|
|||
Total |
|
78,288,990 |
|
4,633,960,275 |
|
|
|
4,712,249,265 |
|
See the Portfolio of Investments for all investment classifications not indicated in the table.
The Funds assets assigned to the Level 2 input category are generally valued using the market approach, in which a securitys value is determined through reference to prices and information from market transactions for similar or identical assets.
There were no transfers of financial assets between Levels 1 and 2 during the period.
Item 2. Controls and Procedures.
(a) The registrants principal executive officer and principal financial officers, based on their evaluation of the registrants disclosure controls and procedures as of a date within 90 days of the filing of this report, have concluded that such controls and procedures are adequately designed to ensure that information required to be disclosed by the registrant in Form N-Q is accumulated and communicated to the registrants 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 registrants internal control over financial reporting that occurred during the registrants last fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrants internal control over financial reporting.
Item 3. Exhibits.
Certifications pursuant to Rule 30a-2(a) under the Investment Company Act of 1940 (17 CFR 270.30a-2(a)) attached hereto as Exhibit 99.CERT.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
(registrant) |
Columbia Funds Series Trust I |
|
|||
|
|||||
|
|||||
By (Signature and Title) |
/s/ J. Kevin Connaughton |
|
|||
|
J. Kevin Connaughton, President and Principal Executive Officer |
|
|||
|
|||||
|
|||||
Date |
December 21, 2012 |
|
|||
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/ J. Kevin Connaughton |
|
|||
|
J. Kevin Connaughton, President and Principal Executive Officer |
|
|||
|
|||||
|
|||||
Date |
December 21, 2012 |
|
|||
|
|||||
|
|||||
By (Signature and Title) |
/s/ Michael G. Clarke |
|
|||
|
Michael G. Clarke, Treasurer and Chief Financial Officer |
|
|||
|
|||||
|
|
||||
Date |
December 21, 2012 |
|
|||