UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-Q
QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANY
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Investment Company Act file number
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811-22154
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Columbia ETF Trust
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(Exact name of registrant as specified in charter)
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225 Franklin Street
Boston, MA
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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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Registrant’s telephone number, including area code:
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1-612-671-1947
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Date of fiscal year end:
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October 31
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Date of reporting period:
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January 31, 2013
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Form N-Q is to be used by management investment companies, other than small business investment companies registered on Form N-5 (§§ 239.24 and 274.5 of this chapter), to file reports with the Commission, not later than 60 days after the close of the first and third fiscal quarters, pursuant to rule 30b1-5 under the Investment Company Act of 1940 (17 CFR 270.30b1-5). The Commission may use the information provided on Form N-Q in its regulatory, disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-Q, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-Q unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to the Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.
Item 1. Schedule of Investments.
Investment Portfolio
Columbia Concentrated Large Cap Value Strategy Fund
January 31, 2013 (unaudited)
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Issuer
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Shares
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Value ($)
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Common Stocks 100.0%
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|
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Consumer Discretionary 8.8%
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|
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Multiline Retail 2.8%
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Nordstrom, Inc.
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1,700
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93,891
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Specialty Retail 6.0%
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Gap, Inc. (The)
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2,476
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80,916
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Lowe’s Cos., Inc.
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3,100
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118,389
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Total Specialty Retail
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199,305
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Total Consumer Discretionary
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293,196
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Consumer Staples 12.1%
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Food & Staples Retailing 2.5%
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Costco Wholesale Corp.
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800
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81,872
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Food Products 3.4%
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Tyson Foods, Inc. Class A
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5,200
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115,024
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Tobacco 6.2%
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Altria Group, Inc.
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3,160
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106,429
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Philip Morris International, Inc.
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1,150
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101,384
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Total Tobacco
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207,813
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Total Consumer Staples
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404,709
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Energy 18.3%
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Oil, Gas & Consumable Fuels 18.3%
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Anadarko Petroleum Corp.
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1,500
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120,030
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Chevron Corp.
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414
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47,672
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ConocoPhillips
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1,150
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66,700
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Marathon Oil Corp.
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2,600
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87,386
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Marathon Petroleum Corp.
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800
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59,368
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Valero Energy Corp.
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3,100
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135,563
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Williams Cos., Inc. (The)
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2,700
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94,635
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Total Oil, Gas & Consumable Fuels
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611,354
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Total Energy
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611,354
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Financials 27.6%
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Capital Markets 3.9%
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Morgan Stanley
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5,647
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129,034
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Commercial Banks 7.5%
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U.S. Bancorp
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3,400
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112,540
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Wells Fargo & Co.
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4,000
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139,320
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Total Commercial Banks
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251,860
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Diversified Financial Services 9.1%
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Bank of America Corp.
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8,000
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90,560
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Citigroup, Inc.
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2,400
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101,184
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JPMorgan Chase & Co.
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2,350
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110,567
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Total Diversified Financial Services
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302,311
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Insurance 7.1%
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MetLife, Inc.
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1,959
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73,149
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Prudential Financial, Inc.
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1,360
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78,717
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Unum Group
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3,600
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83,916
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Total Insurance
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235,782
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Total Financials
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918,987
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Health Care 8.7%
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Health Care Equipment & Supplies 2.9%
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Baxter International, Inc.
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1,450
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98,368
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Health Care Providers & Services 2.5%
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Humana, Inc.
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1,100
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81,796
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Pharmaceuticals 3.3%
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Bristol-Myers Squibb Co.
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3,000
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108,420
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Total Health Care
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288,584
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Industrials 13.1%
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Aerospace & Defense 7.6%
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General Dynamics Corp.
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1,100
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72,930
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Honeywell International, Inc.
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1,350
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92,124
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United Technologies Corp.
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1,000
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87,570
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Total Aerospace & Defense
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252,624
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Road & Rail 5.5%
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CSX Corp.
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3,000
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66,090
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Union Pacific Corp.
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900
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118,314
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Total Road & Rail
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184,404
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Total Industrials
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437,028
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Information Technology 2.2%
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Communications Equipment 2.2%
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Juniper Networks, Inc.*
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3,300
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73,854
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Total Information Technology
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73,854
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Materials 7.1%
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Chemicals 4.8%
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E.I. du Pont de Nemours & Co.
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1,500
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71,175
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Praxair, Inc.
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800
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88,296
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Total Chemicals
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159,471
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Metals & Mining 2.3%
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Freeport-McMoRan Copper & Gold, Inc.
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2,200
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77,550
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Total Materials
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237,021
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Utilities 2.1%
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Independent Power Producers & Energy Traders 2.1%
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AES Corp. (The)
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6,600
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71,544
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Total Utilities
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71,544
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Total Common Stocks
(Cost $3,020,197)
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3,336,277
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Short Term Investment 0.3%
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Money Market Fund 0.3%
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Dreyfus Treasury Prime Cash Management 0.00%†
(Cost $8,746)
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8,746
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8,746
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Total Investments 100.3%
(Cost $3,028,943)
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3,345,023
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Liabilities in Excess of Other Assets (0.3)%
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(8,460
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)
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Net Assets 100.0%
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3,336,563
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*
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Non-income producing security.
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†
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Represents average annualized seven-day yield as of January 31, 2013.
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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 Fund’s assumptions about the information market participants would use in pricing an investment. An investment’s level within the fair value hierarchy is based on the lowest level of any input that is deemed significant to the asset or liability’s fair value measurement. The input levels are not necessarily an indication of the risk or liquidity associated with investments at that level. For example, certain U.S. government securities are generally high quality and liquid, however, they are reflected as Level 2 because the inputs used to determine fair value may not always be quoted prices in an active market.
Fair value inputs are summarized in the three broad levels listed below:
·
Level
1 – Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date (including NAV for open-end mutual funds). Valuation adjustments are not applied to Level 1 investments.
·
Level 2 – Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.).
·
Level
3 – Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments).
Inputs that are used in determining fair value of an investment may include price information, credit data, volatility statistics, and other factors. These inputs can be either observable or unobservable. The availability of observable inputs can vary between investments, and is affected by various factors such as the type of investment, and the volume and level of activity for that investment or similar investments in the marketplace. The inputs will be considered by the Investment Manager, along with any other relevant factors in the calculation of an investment’s fair value. The Fund uses prices and inputs that are current as of the measurement date, which may include periods of market dislocations. During these periods, the availability of prices and inputs may be reduced for many investments. This condition could cause an investment to be reclassified between the various levels within the hierarchy.
Investments falling into the Level 3 category are primarily supported by quoted prices from brokers and dealers participating in the market for those investments. However, these may be classified as Level 3 investments due to lack of market transparency and corroboration to support these quoted prices. Additionally, valuation models may be used as the pricing source for any remaining investments classified as Level 3. These models rely on one or more significant unobservable inputs and/or significant assumptions by the Investment Manager. Inputs used in valuations may include, but are not limited to, financial statement analysis, capital account balances, discount rates and estimated cash flows, and comparable company data.
Under the direction of the Fund’s Board of Trustees (the Board), the Investment Manager’s Valuation Committee (the Committee) is responsible for carrying out the valuation procedures approved by the Board. The Committee consists of voting and non-voting members from various groups within the Investment Manager’s organization, including operations and accounting, trading and investments, compliance, risk management and legal.
The Committee meets at least monthly to review and approve valuation matters, which may include a description of specific valuation determinations, data regarding pricing information received from approved pricing vendors and brokers and the results of Board-approved valuation control policies and procedures (the Policies). The Policies address, among other things, instances when market quotations are readily available, including recommendation 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 Fund’s investments as of January 31, 2013:
|
Valuation
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Columbia Concentrated Large
Cap Value Strategy Fund
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Inputs
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Level 1
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Level 2
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Level 3
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Total
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Common Stocks*
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$
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3,336,277
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|
$
|
—
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|
$
|
—
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|
$
|
3,336,277
|
|
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Money Market Fund
|
|
8,746
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|
—
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|
—
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|
8,746
|
|
|
Total
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$
|
3,345,023
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|
$
|
—
|
|
$
|
—
|
|
$
|
3,345,023
|
|
* Please refer to the investment portfolio above to view securities segregated by industry type.
There were no transfers of financial assets between Levels 1 and 2 during the period.
For more information on the valuation of investments, please refer to the most recent Shareholder Report.
Investment Portfolio
Columbia Growth Equity Strategy Fund
January 31, 2013 (unaudited)
|
Issuer
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Shares
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Value ($)
|
|
|
|
|
|
|
|
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Common Stocks 97.5%
|
|
|
|
|
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Consumer Discretionary 17.6%
|
|
|
|
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Automobiles 0.4%
|
|
|
|
|
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Ford Motor Co.
|
|
525
|
|
6,799
|
|
|
|
|
|
|
|
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Distributors 1.0%
|
|
|
|
|
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LKQ Corp.*
|
|
740
|
|
16,569
|
|
|
|
|
|
|
|
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Hotels, Restaurants & Leisure 5.0%
|
|
|
|
|
|
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Las Vegas Sands Corp.
|
|
557
|
|
30,774
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|
|
McDonald’s Corp.
|
|
120
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|
11,435
|
|
|
Starbucks Corp.
|
|
341
|
|
19,137
|
|
|
Starwood Hotels & Resorts Worldwide, Inc.
|
|
104
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|
6,386
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|
|
Yum! Brands, Inc.
|
|
220
|
|
14,287
|
|
|
Total Hotels, Restaurants & Leisure
|
|
|
|
82,019
|
|
|
|
|
|
|
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Internet & Catalog Retail 2.8%
|
|
|
|
|
|
|
Amazon.com, Inc.*
|
|
132
|
|
35,046
|
|
|
Expedia, Inc.
|
|
150
|
|
9,787
|
|
|
Total Internet & Catalog Retail
|
|
|
|
44,833
|
|
|
|
|
|
|
|
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Media 4.0%
|
|
|
|
|
|
|
Comcast Corp. Class A
|
|
440
|
|
16,755
|
|
|
Discovery Communications, Inc. Class A*
|
|
200
|
|
13,876
|
|
|
DISH Network Corp. Class A
|
|
426
|
|
15,877
|
|
|
News Corp. Class A
|
|
640
|
|
17,754
|
|
|
Total Media
|
|
|
|
64,262
|
|
|
|
|
|
|
|
|
|
Multiline Retail 0.6%
|
|
|
|
|
|
|
Target Corp.
|
|
166
|
|
10,028
|
|
|
|
|
|
|
|
|
|
Specialty Retail 3.8%
|
|
|
|
|
|
|
Gap, Inc. (The)
|
|
400
|
|
13,072
|
|
|
Home Depot, Inc. (The)
|
|
191
|
|
12,782
|
|
|
Lowe’s Cos., Inc.
|
|
690
|
|
26,351
|
|
|
Urban Outfitters, Inc.*
|
|
215
|
|
9,200
|
|
|
Total Specialty Retail
|
|
|
|
61,405
|
|
|
Total Consumer Discretionary
|
|
|
|
285,915
|
|
|
|
|
|
|
|
|
|
Consumer Staples 8.6%
|
|
|
|
|
|
|
Food & Staples Retailing 2.7%
|
|
|
|
|
|
|
Costco Wholesale Corp.
|
|
232
|
|
23,743
|
|
|
CVS Caremark Corp.
|
|
400
|
|
20,480
|
|
|
Total Food & Staples Retailing
|
|
|
|
44,223
|
|
|
|
|
|
|
|
|
|
Food Products 1.6%
|
|
|
|
|
|
|
Hershey Co. (The)
|
|
240
|
|
19,068
|
|
|
Kraft Foods Group, Inc.
|
|
156
|
|
7,210
|
|
|
Total Food Products
|
|
|
|
26,278
|
|
|
|
|
|
|
|
|
|
Household Products 1.5%
|
|
|
|
|
|
|
Procter & Gamble Co. (The)
|
|
320
|
|
24,051
|
|
|
|
|
|
|
|
|
|
Personal Products 0.9%
|
|
|
|
|
|
|
Estee Lauder Cos., Inc. (The) Class A
|
|
230
|
|
14,014
|
|
|
|
|
|
|
|
|
|
Tobacco 1.9%
|
|
|
|
|
|
|
Philip Morris International, Inc.
|
|
345
|
|
30,415
|
|
|
Total Consumer Staples
|
|
|
|
138,981
|
|
|
|
|
|
|
|
|
|
Energy 6.9%
|
|
|
|
|
|
|
Energy Equipment & Services 3.5%
|
|
|
|
|
|
|
Ensco PLC Class A
|
|
253
|
|
16,083
|
|
|
Halliburton Co.
|
|
817
|
|
33,235
|
|
|
Schlumberger Ltd.
|
|
92
|
|
7,181
|
|
|
Total Energy Equipment & Services
|
|
|
|
56,499
|
|
|
|
|
|
|
|
|
|
Oil, Gas & Consumable Fuels 3.4%
|
|
|
|
|
|
|
Anadarko Petroleum Corp.
|
|
230
|
|
18,405
|
|
|
EQT Corp.
|
|
98
|
|
5,822
|
|
|
Exxon Mobil Corp.
|
|
108
|
|
9,717
|
|
|
Pioneer Natural Resources Co.
|
|
180
|
|
21,157
|
|
|
Total Oil, Gas & Consumable Fuels
|
|
|
|
55,101
|
|
|
Total Energy
|
|
|
|
111,600
|
|
|
|
|
|
|
|
|
|
Financials 4.7%
|
|
|
|
|
|
|
Capital Markets 1.8%
|
|
|
|
|
|
|
BlackRock, Inc.
|
|
93
|
|
21,974
|
|
|
Charles Schwab Corp. (The)
|
|
409
|
|
6,761
|
|
|
Total Capital Markets
|
|
|
|
28,735
|
|
|
|
|
|
|
|
|
|
Commercial Banks 1.3%
|
|
|
|
|
|
|
Fifth Third Bancorp
|
|
677
|
|
11,028
|
|
|
Wells Fargo & Co.
|
|
300
|
|
10,449
|
|
|
Total Commercial Banks
|
|
|
|
21,477
|
|
|
|
|
|
|
|
|
|
Diversified Financial Services 1.0%
|
|
|
|
|
|
|
Citigroup, Inc.
|
|
370
|
|
15,599
|
|
|
|
|
|
|
|
|
|
Real Estate Investment Trusts 0.6%
|
|
|
|
|
|
|
Kilroy Realty Corp.
|
|
196
|
|
9,781
|
|
|
Total Financials
|
|
|
|
75,592
|
|
|
|
|
|
|
|
|
|
Health Care 15.4%
|
|
|
|
|
|
|
Biotechnology 5.0%
|
|
|
|
|
|
|
Amgen, Inc.
|
|
119
|
|
10,170
|
|
|
Celgene Corp.*
|
|
167
|
|
16,526
|
|
|
Gilead Sciences, Inc.*
|
|
840
|
|
33,138
|
|
|
Onyx Pharmaceuticals, Inc.*
|
|
151
|
|
11,705
|
|
|
Vertex Pharmaceuticals, Inc.*
|
|
202
|
|
9,046
|
|
|
Total Biotechnology
|
|
|
|
80,585
|
|
|
|
|
|
|
|
|
|
Health Care Equipment & Supplies 4.8%
|
|
|
|
|
|
|
Abbott Laboratories
|
|
663
|
|
22,462
|
|
|
Edwards Lifesciences Corp.*
|
|
110
|
|
9,892
|
|
|
Hologic, Inc.*
|
|
650
|
|
15,496
|
|
|
Medtronic, Inc.
|
|
225
|
|
10,485
|
|
|
Zimmer Holdings, Inc.
|
|
263
|
|
19,620
|
|
|
Total Health Care Equipment & Supplies
|
|
|
|
77,955
|
|
|
Issuer
|
|
Shares
|
|
Value ($)
|
|
|
|
|
|
|
|
|
|
Common Stocks (continued)
|
|
|
|
|
|
|
Health Care Providers & Services 0.3%
|
|
|
|
|
|
|
Express Scripts Holding Co.*
|
|
99
|
|
5,289
|
|
|
|
|
|
|
|
|
|
Life Sciences Tools & Services 1.3%
|
|
|
|
|
|
|
Thermo Fisher Scientific, Inc.
|
|
290
|
|
20,921
|
|
|
|
|
|
|
|
|
|
Pharmaceuticals-4.0%
|
|
|
|
|
|
|
AbbVie, Inc.
|
|
203
|
|
7,448
|
|
|
Actavis, Inc.*
|
|
209
|
|
18,056
|
|
|
Allergan, Inc.
|
|
237
|
|
24,887
|
|
|
Johnson & Johnson
|
|
200
|
|
14,784
|
|
|
Total Pharmaceuticals
|
|
|
|
65,175
|
|
|
Total Health Care
|
|
|
|
249,925
|
|
|
|
|
|
|
|
|
|
Industrials 11.5%
|
|
|
|
|
|
|
Aerospace & Defense 2.9%
|
|
|
|
|
|
|
Honeywell International, Inc.
|
|
438
|
|
29,889
|
|
|
Precision Castparts Corp.
|
|
90
|
|
16,506
|
|
|
Total Aerospace & Defense
|
|
|
|
46,395
|
|
|
|
|
|
|
|
|
|
Air Freight & Logistics 0.6%
|
|
|
|
|
|
|
FedEx Corp.
|
|
102
|
|
10,348
|
|
|
|
|
|
|
|
|
|
Commercial Services & Supplies 1.8%
|
|
|
|
|
|
|
ADT Corp. (The)
|
|
208
|
|
9,880
|
|
|
Tyco International Ltd.
|
|
636
|
|
19,226
|
|
|
Total Commercial Services & Supplies
|
|
|
|
29,106
|
|
|
|
|
|
|
|
|
|
Electrical Equipment 2.9%
|
|
|
|
|
|
|
Eaton Corp. PLC
|
|
469
|
|
26,710
|
|
|
Rockwell Automation, Inc.
|
|
234
|
|
20,871
|
|
|
Total Electrical Equipment
|
|
|
|
47,581
|
|
|
|
|
|
|
|
|
|
Machinery 1.9%
|
|
|
|
|
|
|
Caterpillar, Inc.
|
|
77
|
|
7,576
|
|
|
Pall Corp.
|
|
348
|
|
23,768
|
|
|
Total Machinery
|
|
|
|
31,344
|
|
|
|
|
|
|
|
|
|
Road & Rail 1.4%
|
|
|
|
|
|
|
J.B. Hunt Transport Services, Inc.
|
|
239
|
|
16,078
|
|
|
Kansas City Southern
|
|
67
|
|
6,238
|
|
|
Total Road & Rail
|
|
|
|
22,316
|
|
|
Total Industrials
|
|
|
|
187,090
|
|
|
|
|
|
|
|
|
|
Information Technology 30.2%
|
|
|
|
|
|
|
Communications Equipment 4.5%
|
|
|
|
|
|
|
Cisco Systems, Inc.
|
|
306
|
|
6,294
|
|
|
F5 Networks, Inc.*
|
|
186
|
|
19,508
|
|
|
QUALCOMM, Inc.
|
|
706
|
|
46,617
|
|
|
Total Communications Equipment
|
|
|
|
72,419
|
|
|
|
|
|
|
|
|
|
Computers & Peripherals 7.2%
|
|
|
|
|
|
|
Apple, Inc.
|
|
149
|
|
67,841
|
|
|
EMC Corp.*
|
|
1,329
|
|
32,707
|
|
|
NCR Corp.*
|
|
623
|
|
17,301
|
|
|
Total Computers & Peripherals
|
|
|
|
117,849
|
|
|
|
|
|
|
|
|
|
Internet Software & Services 8.3%
|
|
|
|
|
|
|
Akamai Technologies, Inc.*
|
|
274
|
|
11,155
|
|
|
eBay, Inc.*
|
|
523
|
|
29,251
|
|
|
Facebook, Inc. Class A*
|
|
689
|
|
21,338
|
|
|
Google, Inc. Class A*
|
|
79
|
|
59,700
|
|
|
Linkedin Corp. Class A*
|
|
110
|
|
13,617
|
|
|
Total Internet Software & Services
|
|
|
|
135,061
|
|
|
|
|
|
|
|
|
|
IT Services 3.2%
|
|
|
|
|
|
|
Accenture PLC Class A
|
|
215
|
|
15,456
|
|
|
Alliance Data Systems Corp.*
|
|
61
|
|
9,614
|
|
|
International Business Machines Corp.
|
|
69
|
|
14,012
|
|
|
Teradata Corp.*
|
|
190
|
|
12,665
|
|
|
Total IT Services
|
|
|
|
51,747
|
|
|
|
|
|
|
|
|
|
Semiconductors & Semiconductor Equipment 1.8%
|
|
|
|
|
|
|
KLA-Tencor Corp.
|
|
360
|
|
19,768
|
|
|
Xilinx, Inc.
|
|
250
|
|
9,122
|
|
|
Total Semiconductors & Semiconductor Equipment
|
|
|
|
28,890
|
|
|
|
|
|
|
|
|
|
Software 5.2%
|
|
|
|
|
|
|
Citrix Systems, Inc.*
|
|
199
|
|
14,559
|
|
|
Microsoft Corp.
|
|
375
|
|
10,301
|
|
|
Oracle Corp.
|
|
1,120
|
|
39,771
|
|
|
Salesforce.com, Inc.*
|
|
120
|
|
20,656
|
|
|
Total Software
|
|
|
|
85,287
|
|
|
Total Information Technology
|
|
|
|
491,253
|
|
|
|
|
|
|
|
|
|
Materials 2.6%
|
|
|
|
|
|
|
Chemicals 2.6%
|
|
|
|
|
|
|
LyondellBasell Industries NV Class A
|
|
327
|
|
20,738
|
|
|
Monsanto Co.
|
|
220
|
|
22,297
|
|
|
Total Chemicals
|
|
|
|
43,035
|
|
|
Total Materials
|
|
|
|
43,035
|
|
|
|
|
|
|
|
|
|
Total Common Stocks
(Cost $1,333,032)
|
|
|
|
1,583,391
|
|
|
|
|
|
|
|
|
|
Short Term Investment 2.5%
|
|
|
|
|
|
|
Money Market Fund 2.5%
|
|
|
|
|
|
|
Dreyfus Treasury Prime Cash Management 0.00%†
(Cost $41,630)
|
|
41,630
|
|
41,630
|
|
|
Total Investments 100.0%
(Cost $1,374,662)
|
|
|
|
1,625,021
|
|
|
Liabilities in Excess of Other Assets (0.0)%(a)
|
|
|
|
(786
|
)
|
|
Net Assets 100.0%
|
|
|
|
1,624,235
|
|
|
*
|
Non-income producing security.
|
|
†
|
Represents average annualized seven-day yield as of January 31, 2013.
|
|
(a)
|
Less than 0.05%.
|
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 Fund’s assumptions about the information market participants would use in pricing an investment. An investment’s level within the fair value hierarchy is based on the lowest level of any input that is deemed significant to the asset or liability’s fair value measurement. The input levels are not necessarily an indication of the risk or liquidity associated with investments at that level. For example, certain U.S. government securities are generally high quality and liquid, however, they are reflected as Level 2 because the inputs used to determine fair value may not always be quoted prices in an active market.
Fair value inputs are summarized in the three broad levels listed below:
·
Level 1 – Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date (including NAV for open-end mutual funds). Valuation adjustments are not applied to Level 1 investments.
·
Level 2 – Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.).
·
Level 3 – Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments).
Inputs that are used in determining fair value of an investment may include price information, credit data, volatility statistics, and other factors. These inputs can be either observable or unobservable. The availability of observable inputs can vary between investments, and is affected by various factors such as the type of investment, and the volume and level of activity for that investment or similar investments in the marketplace. The inputs will be considered by the Investment Manager, along with any other relevant factors in the calculation of an investment’s fair value. The Fund uses prices and inputs that are current as of the measurement date, which may include periods of market dislocations. During these periods, the availability of prices and inputs may be reduced for many investments. This condition could cause an investment to be reclassified between the various levels within the hierarchy.
Investments falling into the Level 3 category are primarily supported by quoted prices from brokers and dealers participating in the market for those investments. However, these may be classified as Level 3 investments due to lack of market transparency and corroboration to support these quoted prices. Additionally, valuation models may be used as the pricing source for any remaining investments classified as Level 3. These models rely on one or more significant unobservable inputs and/or significant assumptions by the Investment Manager. Inputs used in valuations may include, but are not limited to, financial statement analysis, capital account balances, discount rates and estimated cash flows, and comparable company data.
Under the direction of the Fund’s Board of Trustees (the Board), the Investment Manager’s Valuation Committee (the Committee) is responsible for carrying out the valuation procedures approved by the Board. The Committee consists of voting and non-voting members from various groups within the Investment Manager’s organization, including operations and accounting, trading and investments, compliance, risk management and legal.
The Committee meets at least monthly to review and approve valuation matters, which may include a description of specific valuation determinations, data regarding pricing information received from approved pricing vendors and brokers and the results of Board-approved valuation control policies and procedures (the Policies). The Policies address, among other things, instances when market quotations are readily available, including recommendation 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 Fund’s investments as of January 31, 2013:
|
Valuation
|
|
Columbia Growth Equity Strategy Fund
|
|
|
Inputs
|
|
Level 1
|
|
Level 2
|
|
Level 3
|
|
Total
|
|
|
Common Stocks*
|
|
$
|
1,583,391
|
|
$
|
—
|
|
$
|
—
|
|
$
|
1,583,391
|
|
|
Money Market Fund
|
|
41,630
|
|
—
|
|
—
|
|
41,630
|
|
|
Total
|
|
$
|
1,625,021
|
|
$
|
—
|
|
$
|
—
|
|
$
|
1,625,021
|
|
* Please refer to the investment portfolio above to view securities segregated by industry type.
There were no transfers of financial assets between Levels 1 and 2 during the period.
For more information on the valuation of investments, please refer to the most recent Shareholder Report.
Investment Portfolio
Columbia Large-Cap Growth Equity Strategy Fund
January 31, 2013 (unaudited)
|
Issuer
|
|
Shares
|
|
Value ($)
|
|
|
|
|
|
|
|
|
|
Common Stocks 99.7%
|
|
|
|
|
|
|
Consumer Discretionary 21.0%
|
|
|
|
|
|
|
Hotels, Restaurants & Leisure 7.3%
|
|
|
|
|
|
|
Las Vegas Sands Corp.
|
|
4,541
|
|
250,890
|
|
|
McDonald’s Corp.
|
|
594
|
|
56,602
|
|
|
Starwood Hotels & Resorts Worldwide, Inc.
|
|
512
|
|
31,442
|
|
|
Yum! Brands, Inc.
|
|
3,887
|
|
252,422
|
|
|
Total Hotels, Restaurants & Leisure
|
|
|
|
591,356
|
|
|
|
|
|
|
|
|
|
Internet & Catalog Retail 6.3%
|
|
|
|
|
|
|
Amazon.com, Inc.*
|
|
1,000
|
|
265,500
|
|
|
Priceline.com, Inc.*
|
|
362
|
|
248,140
|
|
|
Total Internet & Catalog Retail
|
|
|
|
513,640
|
|
|
|
|
|
|
|
|
|
Specialty Retail 0.8%
|
|
|
|
|
|
|
Home Depot, Inc. (The)
|
|
943
|
|
63,106
|
|
|
|
|
|
|
|
|
|
Textiles, Apparel & Luxury Goods 6.6%
|
|
|
|
|
|
|
Lululemon Athletica, Inc.*
|
|
2,994
|
|
206,586
|
|
|
Michael Kors Holdings Ltd.*
|
|
5,866
|
|
329,259
|
|
|
Total Textiles, Apparel & Luxury Goods
|
|
|
|
535,845
|
|
|
Total Consumer Discretionary
|
|
|
|
1,703,947
|
|
|
|
|
|
|
|
|
|
Consumer Staples 3.7%
|
|
|
|
|
|
|
Food & Staples Retailing 0.6%
|
|
|
|
|
|
|
Costco Wholesale Corp.
|
|
508
|
|
51,989
|
|
|
|
|
|
|
|
|
|
Personal Products 2.5%
|
|
|
|
|
|
|
Estee Lauder Cos., Inc. (The) Class A
|
|
3,312
|
|
201,800
|
|
|
|
|
|
|
|
|
|
Tobacco 0.6%
|
|
|
|
|
|
|
Philip Morris International, Inc.
|
|
567
|
|
49,987
|
|
|
Total Consumer Staples
|
|
|
|
303,776
|
|
|
|
|
|
|
|
|
|
Energy 7.6%
|
|
|
|
|
|
|
Energy Equipment & Services 4.1%
|
|
|
|
|
|
|
FMC Technologies, Inc.*
|
|
6,277
|
|
297,216
|
|
|
Schlumberger Ltd.
|
|
454
|
|
35,435
|
|
|
Total Energy Equipment & Services
|
|
|
|
332,651
|
|
|
|
|
|
|
|
|
|
Oil, Gas & Consumable Fuels 3.5%
|
|
|
|
|
|
|
EOG Resources, Inc.
|
|
1,655
|
|
206,842
|
|
|
EQT Corp.
|
|
481
|
|
28,576
|
|
|
Exxon Mobil Corp.
|
|
534
|
|
48,044
|
|
|
Total Oil, Gas & Consumable Fuels
|
|
|
|
283,462
|
|
|
Total Energy
|
|
|
|
616,113
|
|
|
|
|
|
|
|
|
|
Financials 3.3%
|
|
|
|
|
|
|
Capital Markets 2.7%
|
|
|
|
|
|
|
Charles Schwab Corp. (The)
|
|
2,014
|
|
33,291
|
|
|
Franklin Resources, Inc.
|
|
1,360
|
|
186,157
|
|
|
Total Capital Markets
|
|
|
|
219,448
|
|
|
|
|
|
|
|
|
|
Real Estate Investment Trusts 0.6%
|
|
|
|
|
|
|
Kilroy Realty Corp.
|
|
967
|
|
48,253
|
|
|
Total Financials
|
|
|
|
267,701
|
|
|
|
|
|
|
|
|
|
Health Care 22.7%
|
|
|
|
|
|
|
Biotechnology 12.7%
|
|
|
|
|
|
|
Alexion Pharmaceuticals, Inc.*
|
|
2,449
|
|
230,182
|
|
|
Amgen, Inc.
|
|
587
|
|
50,165
|
|
|
Biogen Idec, Inc.*
|
|
1,422
|
|
221,946
|
|
|
Celgene Corp.*
|
|
3,090
|
|
305,786
|
|
|
Gilead Sciences, Inc.*
|
|
5,766
|
|
227,469
|
|
|
Total Biotechnology
|
|
|
|
1,035,548
|
|
|
|
|
|
|
|
|
|
Health Care Equipment & Supplies 3.7%
|
|
|
|
|
|
|
Abbott Laboratories
|
|
1,001
|
|
33,914
|
|
|
Edwards Lifesciences Corp.*
|
|
2,375
|
|
213,583
|
|
|
Medtronic, Inc.
|
|
1,108
|
|
51,633
|
|
|
Total Health Care Equipment & Supplies
|
|
|
|
299,130
|
|
|
|
|
|
|
|
|
|
Health Care Providers & Services 0.3%
|
|
|
|
|
|
|
Express Scripts Holding Co.*
|
|
488
|
|
26,069
|
|
|
|
|
|
|
|
|
|
Pharmaceuticals 6.0%
|
|
|
|
|
|
|
AbbVie, Inc.
|
|
1,001
|
|
36,727
|
|
|
Allergan, Inc.
|
|
2,041
|
|
214,325
|
|
|
Novo Nordisk A/S(a)
|
|
1,267
|
|
233,571
|
|
|
Total Pharmaceuticals
|
|
|
|
484,623
|
|
|
Total Health Care
|
|
|
|
1,845,370
|
|
|
|
|
|
|
|
|
|
Industrials 6.4%
|
|
|
|
|
|
|
Aerospace & Defense 2.5%
|
|
|
|
|
|
|
Precision Castparts Corp.
|
|
1,109
|
|
203,391
|
|
|
|
|
|
|
|
|
|
Air Freight & Logistics 0.6%
|
|
|
|
|
|
|
FedEx Corp.
|
|
503
|
|
51,029
|
|
|
|
|
|
|
|
|
|
Electrical Equipment 0.3%
|
|
|
|
|
|
|
Eaton Corp. PLC
|
|
478
|
|
27,222
|
|
|
|
|
|
|
|
|
|
Machinery 1.1%
|
|
|
|
|
|
|
Caterpillar, Inc.
|
|
380
|
|
37,388
|
|
|
Pall Corp.
|
|
710
|
|
48,493
|
|
|
Total Machinery
|
|
|
|
85,881
|
|
|
|
|
|
|
|
|
|
Trading Companies & Distributors 1.9%
|
|
|
|
|
|
|
Fastenal Co.
|
|
3,010
|
|
149,537
|
|
|
Total Industrials
|
|
|
|
517,060
|
|
|
|
|
|
|
|
|
|
Information Technology 32.8%
|
|
|
|
|
|
|
Communications Equipment 4.2%
|
|
|
|
|
|
|
Cisco Systems, Inc.
|
|
1,510
|
|
31,061
|
|
|
QUALCOMM, Inc.
|
|
4,650
|
|
307,040
|
|
|
Total Communications Equipment
|
|
|
|
338,101
|
|
|
|
|
|
|
|
|
|
Computers & Peripherals 4.0%
|
|
|
|
|
|
|
Apple, Inc.
|
|
185
|
|
84,232
|
|
|
EMC Corp.*
|
|
9,681
|
|
238,249
|
|
|
Total Computers & Peripherals
|
|
|
|
322,481
|
|
|
Issuer
|
|
Shares
|
|
Value ($)
|
|
|
|
|
|
|
|
|
|
Common Stocks (continued)
|
|
|
|
|
|
|
Internet Software & Services 14.0%
|
|
|
|
|
|
|
Baidu, Inc.(a)*
|
|
2,353
|
|
254,830
|
|
|
Facebook, Inc. Class A*
|
|
8,680
|
|
268,820
|
|
|
Google, Inc. Class A*
|
|
396
|
|
299,253
|
|
|
Linkedin Corp. Class A*
|
|
2,510
|
|
310,713
|
|
|
Total Internet Software & Services
|
|
|
|
1,133,616
|
|
|
|
|
|
|
|
|
|
IT Services 6.4%
|
|
|
|
|
|
|
Cognizant Technology Solutions Corp. Class A*
|
|
2,842
|
|
222,187
|
|
|
International Business Machines Corp.
|
|
340
|
|
69,044
|
|
|
Visa, Inc. Class A
|
|
1,480
|
|
233,707
|
|
|
Total IT Services
|
|
|
|
524,938
|
|
|
|
|
|
|
|
|
|
Semiconductors & Semiconductor Equipment 0.5%
|
|
|
|
|
|
|
Xilinx, Inc.
|
|
1,234
|
|
45,029
|
|
|
|
|
|
|
|
|
|
Software 3.7%
|
|
|
|
|
|
|
Microsoft Corp.
|
|
1,849
|
|
50,792
|
|
|
Salesforce.com, Inc.*
|
|
1,465
|
|
252,170
|
|
|
Total Software
|
|
|
|
302,962
|
|
|
Total Information Technology
|
|
|
|
2,667,127
|
|
|
|
|
|
|
|
|
|
Materials 2.2%
|
|
|
|
|
|
|
Chemicals 2.2%
|
|
|
|
|
|
|
Monsanto Co.
|
|
1,750
|
|
177,362
|
|
|
Total Materials
|
|
|
|
177,362
|
|
|
|
|
|
|
|
|
|
Total Common Stocks
(Cost $6,571,528)
|
|
|
|
8,098,456
|
|
|
|
|
|
|
|
|
|
Short Term Investment 0.2%
|
|
|
|
|
|
|
Money Market Fund 0.2%
|
|
|
|
|
|
|
Dreyfus Treasury Prime Cash Management 0.00%†
(Cost $16,865)
|
|
16,865
|
|
16,865
|
|
|
Total Investments 99.9%
(Cost $6,588,393)
|
|
|
|
8,115,321
|
|
|
Other Assets in Excess of Liabilities 0.1%
|
|
|
|
7,888
|
|
|
Net Assets 100.0%
|
|
|
|
8,123,209
|
|
|
*
|
Non-income producing security.
|
|
(a)
|
American Depositary Receipts.
|
|
†
|
Represents average annualized seven-day yield as of January 31, 2013.
|
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 Fund’s assumptions about the information market participants would use in pricing an investment. An investment’s level within the fair value hierarchy is based on the lowest level of any input that is deemed significant to the asset or liability’s fair value measurement. The input levels are not necessarily an indication of the risk or liquidity associated with investments at that level. For example, certain U.S. government securities are generally high quality and liquid, however, they are reflected as Level 2 because the inputs used to determine fair value may not always be quoted prices in an active market.
Fair value inputs are summarized in the three broad levels listed below:
·
Level 1 – Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date (including NAV for open-end mutual funds). Valuation adjustments are not applied to Level 1 investments.
·
Level 2 – Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.).
·
Level 3 – Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments).
Inputs that are used in determining fair value of an investment may include price information, credit data, volatility statistics, and other factors. These inputs can be either observable or unobservable. The availability of observable inputs can vary between investments, and is affected by various factors such as the type of investment, and the volume and level of activity for that investment or similar investments in the marketplace. The inputs will be considered by the Investment Manager, along with any other relevant factors in the calculation of an investment’s fair value. The Fund uses prices and inputs that are current as of the measurement date, which may include periods of market dislocations. During these periods, the availability of prices and inputs may be reduced for many investments. This condition could cause an investment to be reclassified between the various levels within the hierarchy.
Investments falling into the Level 3 category are primarily supported by quoted prices from brokers and dealers participating in the market for those investments. However, these may be classified as Level 3 investments due to lack of market transparency and corroboration to support these quoted prices. Additionally, valuation models may be used as the pricing source for any remaining investments classified as Level 3. These models rely on one or more significant unobservable inputs and/or significant assumptions by the Investment Manager. Inputs used in valuations may include, but are not limited to, financial statement analysis, capital account balances, discount rates and estimated cash flows, and comparable company data.
Under the direction of the Fund’s Board of Trustees (the Board), the Investment Manager’s Valuation Committee (the Committee) is responsible for carrying out the valuation procedures approved by the Board. The Committee consists of voting and non-voting members from various groups within the Investment Manager’s organization, including operations and accounting, trading and investments, compliance, risk management and legal.
The Committee meets at least monthly to review and approve valuation matters, which may include a description of specific
valuation determinations, data regarding pricing information received from approved pricing vendors and brokers and the results of Board-approved valuation control policies and procedures (the Policies). The Policies address, among other things, instances when market quotations are readily available, including recommendation 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 Fund’s investments as of January 31, 2013:
|
Valuation
|
|
Columbia Large-Cap Growth
Equity Strategy Fund
|
|
|
Inputs
|
|
Level 1
|
|
Level 2
|
|
Level 3
|
|
Total
|
|
|
Common Stocks*
|
|
$
|
8,098,456
|
|
$
|
—
|
|
$
|
—
|
|
$
|
8,098,456
|
|
|
Money Market Fund
|
|
16,865
|
|
—
|
|
—
|
|
16,865
|
|
|
Total
|
|
$
|
8,115,321
|
|
$
|
—
|
|
$
|
—
|
|
$
|
8,115,321
|
|
*
Please refer to the investment portfolio above to view securities segregated by industry type.
There were no transfers of financial assets between Levels 1 and 2 during the period.
For more information on the valuation of investments, please refer to the most recent Shareholder Report.
Investment Portfolio
Columbia Intermediate Municipal Bond Strategy Fund
January 31, 2013 (unaudited)
|
Issuer
|
|
Principal
Amount
($)
|
|
Value
($)
|
|
|
Municipal Bonds 98.1%
|
|
|
|
|
|
|
Alaska 4.3%
|
|
|
|
|
|
|
Alaska Industrial Development & Export Authority Revolving Fund
|
|
|
|
|
|
|
Series A
|
|
|
|
|
|
|
Revenue Bonds
|
|
|
|
|
|
|
5.000%, 04/01/19
|
|
100,000
|
|
120,527
|
|
|
North Slope Borough of Alaska
|
|
|
|
|
|
|
Series A
|
|
|
|
|
|
|
5.000%, 06/30/15
|
|
100,000
|
|
110,464
|
|
|
5.000%, 06/30/17
|
|
100,000
|
|
117,433
|
|
|
Total Alaska
|
|
|
|
348,424
|
|
|
|
|
|
|
|
|
|
Arizona 3.1%
|
|
|
|
|
|
|
City of Scottsdale
|
|
|
|
|
|
|
5.000%, 07/01/24
|
|
210,000
|
|
257,027
|
|
|
|
|
|
|
|
|
|
California 12.2%
|
|
|
|
|
|
|
California Health Facilities Financing Authority Revenue Scripps Health
|
|
|
|
|
|
|
Series A
|
|
|
|
|
|
|
Revenue Bonds
|
|
|
|
|
|
|
5.000%, 11/15/24
|
|
200,000
|
|
238,026
|
|
|
California State Economic Recovery
|
|
|
|
|
|
|
Series A
|
|
|
|
|
|
|
5.000%, 07/01/22
|
|
100,000
|
|
113,027
|
|
|
California State Public Works Board Lease Revenue Department of Correction and Rehabilitation
|
|
|
|
|
|
|
Revenue Bonds
|
|
|
|
|
|
|
5.000%, 06/01/20
|
|
200,000
|
|
236,910
|
|
|
San Diego Public Facilities Financing Authority Sewer Revenue
|
|
|
|
|
|
|
Series A
|
|
|
|
|
|
|
Revenue Bonds
|
|
|
|
|
|
|
5.000%, 05/15/24
|
|
150,000
|
|
176,706
|
|
|
State of California
|
|
|
|
|
|
|
5.000%, 02/01/27
|
|
200,000
|
|
237,592
|
|
|
Total California
|
|
|
|
1,002,261
|
|
|
|
|
|
|
|
|
|
Colorado 2.8%
|
|
|
|
|
|
|
Colorado Department of Transportation
|
|
|
|
|
|
|
Series B
|
|
|
|
|
|
|
Revenue Bonds
|
|
|
|
|
|
|
5.500%, 06/15/15
|
|
100,000
|
|
111,791
|
|
|
Denver Colorado City & County Airport Revenue System
|
|
|
|
|
|
|
Series A
|
|
|
|
|
|
|
Revenue Bonds
|
|
|
|
|
|
|
5.000%, 11/15/23
|
|
100,000
|
|
113,853
|
|
|
Total Colorado
|
|
|
|
225,644
|
|
|
|
|
|
|
|
|
|
Connecticut 2.2%
|
|
|
|
|
|
|
City of New Haven
|
|
|
|
|
|
|
5.000%, 11/01/18
|
|
150,000
|
|
176,481
|
|
|
|
|
|
|
|
|
|
Florida 9.3%
|
|
|
|
|
|
|
Citizens Property Insurance Corp.
|
|
|
|
|
|
|
Revenue Bonds
|
|
|
|
|
|
|
5.500%, 06/01/17
|
|
150,000
|
|
174,942
|
|
|
City of Jacksonville Florida
|
|
|
|
|
|
|
Series C
|
|
|
|
|
|
|
Revenue Bonds
|
|
|
|
|
|
|
5.000%, 10/01/27
|
|
180,000
|
|
215,095
|
|
|
Orange County School Board
|
|
|
|
|
|
|
Series B
|
|
|
|
|
|
|
5.000%, 08/01/26
|
|
100,000
|
|
118,185
|
|
|
Orlando Utilities Commission Utility System Revenue
|
|
|
|
|
|
|
Series B
|
|
|
|
|
|
|
Revenue Bonds
|
|
|
|
|
|
|
5.000%, 10/01/23
|
|
100,000
|
|
118,660
|
|
|
South Miami Health Facilities Authority Hospital Revenue Baptist Health South Florida Group
|
|
|
|
|
|
|
Revenue Bonds
|
|
|
|
|
|
|
5.000%, 08/15/14
|
|
125,000
|
|
133,683
|
|
|
Total Florida
|
|
|
|
760,565
|
|
|
|
|
|
|
|
|
|
Guam 1.4%
|
|
|
|
|
|
|
Guam Power Authority Revenue
|
|
|
|
|
|
|
Revenue Bonds
|
|
|
|
|
|
|
5.000%, 10/01/24
|
|
100,000
|
|
116,051
|
|
|
|
|
|
|
|
|
|
Hawaii 1.4%
|
|
|
|
|
|
|
State of Hawaii
|
|
|
|
|
|
|
5.000%, 11/01/16
|
|
100,000
|
|
116,060
|
|
|
|
|
|
|
|
|
|
Illinois 4.3%
|
|
|
|
|
|
|
City of Chicago Waterworks Revenue
|
|
|
|
|
|
|
Revenue Bonds
|
|
|
|
|
|
|
5.000%, 11/01/25
|
|
200,000
|
|
240,238
|
|
|
Illinois Finance Authority Revenue Swedish Covenant Hospital
|
|
|
|
|
|
|
Series A
|
|
|
|
|
|
|
Revenue Bonds
|
|
|
|
|
|
|
5.500%, 08/15/24
|
|
100,000
|
|
110,926
|
|
|
Total Illinois
|
|
|
|
351,164
|
|
|
|
|
|
|
|
|
|
Indiana 1.4%
|
|
|
|
|
|
|
Indiana Health & Education Facilities Financing Authority Hospital Revenue Clarian Health Obligation Group
|
|
|
|
|
|
|
Series B
|
|
|
|
|
|
|
Revenue Bonds
|
|
|
|
|
|
|
5.000%, 02/15/16
|
|
100,000
|
|
112,778
|
|
|
Issuer
|
|
Principal
Amount
($)
|
|
Value
($)
|
|
|
Iowa 1.3%
|
|
|
|
|
|
|
Iowa Student Loan Liquidity Corp.
|
|
|
|
|
|
|
Series A-1
|
|
|
|
|
|
|
Revenue Bonds
|
|
|
|
|
|
|
3.875%, 12/01/16
|
|
100,000
|
|
107,824
|
|
|
|
|
|
|
|
|
|
Maryland 5.0%
|
|
|
|
|
|
|
County of Howard
|
|
|
|
|
|
|
5.000%, 02/15/21
|
|
150,000
|
|
175,616
|
|
|
Maryland Health & Higher Educational Facilities Authority Revenue Carroll Hospital
|
|
|
|
|
|
|
Series A
|
|
|
|
|
|
|
Revenue Bonds
|
|
|
|
|
|
|
5.000%, 07/01/21
|
|
200,000
|
|
233,112
|
|
|
Total Maryland
|
|
|
|
408,728
|
|
|
|
|
|
|
|
|
|
Massachusetts 1.4%
|
|
|
|
|
|
|
Commonwealth of Massachusetts Development Finance Agency Revenue College Holy Cross
|
|
|
|
|
|
|
Series B
|
|
|
|
|
|
|
Revenue Bonds
|
|
|
|
|
|
|
4.750%, 09/01/23
|
|
100,000
|
|
116,492
|
|
|
|
|
|
|
|
|
|
Michigan 2.8%
|
|
|
|
|
|
|
Michigan Municipal Bond Authority Clean Water Revolving Fund
|
|
|
|
|
|
|
Revenue Bonds
|
|
|
|
|
|
|
5.000%, 10/01/24
|
|
200,000
|
|
232,964
|
|
|
|
|
|
|
|
|
|
Missouri 2.2%
|
|
|
|
|
|
|
Missouri Joint Municipal Electric Utility Commission Power Project Revenue
|
|
|
|
|
|
|
Series A
|
|
|
|
|
|
|
Revenue Bonds
|
|
|
|
|
|
|
5.000%, 01/01/16
|
|
165,000
|
|
183,068
|
|
|
|
|
|
|
|
|
|
Nevada 2.0%
|
|
|
|
|
|
|
County of Clark Highway Improvement Revenue Motor Vehicle Fuel Tax
|
|
|
|
|
|
|
Revenue Bonds
|
|
|
|
|
|
|
5.000%, 07/01/19
|
|
135,000
|
|
163,296
|
|
|
|
|
|
|
|
|
|
New Jersey 7.3%
|
|
|
|
|
|
|
New Jersey Economic Development Authority Revenue School Facilities Construction
|
|
|
|
|
|
|
Series EE
|
|
|
|
|
|
|
Revenue Bonds
|
|
|
|
|
|
|
5.000%, 09/01/23
|
|
165,000
|
|
195,058
|
|
|
New Jersey Transportation Trust Fund Authority
|
|
|
|
|
|
|
Transportation Program
|
|
|
|
|
|
|
Series AA
|
|
|
|
|
|
|
Revenue Bonds
|
|
|
|
|
|
|
4.000%, 06/15/27
|
|
150,000
|
|
163,080
|
|
|
New Jersey Transportation Trust Fund Authority Transportation System
|
|
|
|
|
|
|
Series A
|
|
|
|
|
|
|
Revenue Bonds
|
|
|
|
|
|
|
5.500%, 12/15/15
|
|
100,000
|
|
113,330
|
|
|
New Jersey Transportation Trust Fund Authority Transportation System Series B
|
|
|
|
|
|
|
Revenue Bonds
|
|
|
|
|
|
|
5.500%, 12/15/19
|
|
100,000
|
|
124,004
|
|
|
Total New Jersey
|
|
|
|
595,472
|
|
|
|
|
|
|
|
|
|
New Mexico 1.4%
|
|
|
|
|
|
|
New Mexico Finance Authority Revenue Subordinated Lien Public PJ Revolving Fund
|
|
|
|
|
|
|
Series C
|
|
|
|
|
|
|
Revenue Bonds
|
|
|
|
|
|
|
5.250%, 06/15/18
|
|
100,000
|
|
117,372
|
|
|
|
|
|
|
|
|
|
New York 8.3%
|
|
|
|
|
|
|
Metropolitan Transportation Authority Revenue
|
|
|
|
|
|
|
Series E
|
|
|
|
|
|
|
Revenue Bonds
|
|
|
|
|
|
|
5.000%, 11/15/28
|
|
100,000
|
|
118,436
|
|
|
Metropolitan Transportation Authority Revenue Transportation System
|
|
|
|
|
|
|
Series B
|
|
|
|
|
|
|
Revenue Bonds
|
|
|
|
|
|
|
5.000%, 11/15/20
|
|
175,000
|
|
213,929
|
|
|
New York City General Obligation
|
|
|
|
|
|
|
Series C
|
|
|
|
|
|
|
5.000%, 08/01/15
|
|
100,000
|
|
111,068
|
|
|
New York State Thruway Authority Personal Income Tax
|
|
|
|
|
|
|
Revenue Transportation System
|
|
|
|
|
|
|
Series A Revenue Bonds
|
|
|
|
|
|
|
5.000%, 03/15/18
|
|
100,000
|
|
119,680
|
|
|
New York State Thruway Authority Series H
|
|
|
|
|
|
|
Revenue Bonds
|
|
|
|
|
|
|
5.000%, 01/01/22
|
|
100,000
|
|
116,065
|
|
|
Total New York
|
|
|
|
679,178
|
|
|
|
|
|
|
|
|
|
North Carolina 2.1%
|
|
|
|
|
|
|
Charlotte, North Carolina Airport Revenue
|
|
|
|
|
|
|
Series B
|
|
|
|
|
|
|
Revenue Bonds
|
|
|
|
|
|
|
5.000%, 07/01/16
|
|
150,000
|
|
170,320
|
|
|
|
|
|
|
|
|
|
Ohio 2.7%
|
|
|
|
|
|
|
American Municipal Power, Inc. Revenue Praire State Energy Campus PJ
|
|
|
|
|
|
|
Series A
|
|
|
|
|
|
|
Revenue Bonds
|
|
|
|
|
|
|
5.000%, 02/15/31
|
|
200,000
|
|
224,136
|
|
|
Issuer
|
|
Principal
Amount
($)
|
|
Value
($)
|
|
|
Oklahoma 1.4%
|
|
|
|
|
|
|
Oklahoma Municipal Power Authority Supply Systems Revenue
|
|
|
|
|
|
|
Series A
|
|
|
|
|
|
|
Revenue Bonds
|
|
|
|
|
|
|
5.000%, 01/01/23
|
|
100,000
|
|
118,224
|
|
|
|
|
|
|
|
|
|
Oregon 1.7%
|
|
|
|
|
|
|
City of Salem
|
|
|
|
|
|
|
5.000%, 06/01/16
|
|
125,000
|
|
142,846
|
|
|
|
|
|
|
|
|
|
Texas 7.9%
|
|
|
|
|
|
|
Dallas/Fort Worth International Airport
|
|
|
|
|
|
|
Series B
|
|
|
|
|
|
|
Revenue Bonds
|
|
|
|
|
|
|
5.000%, 11/01/28
|
|
100,000
|
|
114,329
|
|
|
Harris Country, Texas
|
|
|
|
|
|
|
Series C
|
|
|
|
|
|
|
Revenue Bonds
|
|
|
|
|
|
|
5.000%, 08/15/22
|
|
100,000
|
|
117,932
|
|
|
Leander Independent School District
|
|
|
|
|
|
|
5.250%, 08/15/17
|
|
100,000
|
|
119,752
|
|
|
Lower Colorado River Authority Texas Revenue
|
|
|
|
|
|
|
Revenue Bonds
|
|
|
|
|
|
|
5.000%, 05/15/22
|
|
100,000
|
|
116,854
|
|
|
North Texas Tollway Authority Revenue Specials Projects System
|
|
|
|
|
|
|
Series A
|
|
|
|
|
|
|
Revenue Bonds
|
|
|
|
|
|
|
5.000%, 09/01/30
|
|
150,000
|
|
175,644
|
|
|
Total Texas
|
|
|
|
644,511
|
|
|
|
|
|
|
|
|
|
Washington 6.8%
|
|
|
|
|
|
|
Energy Northwest Washington Electric Revenue Columbia Generating
|
|
|
|
|
|
|
Series A
|
|
|
|
|
|
|
Revenue Bonds
|
|
|
|
|
|
|
5.000%, 07/01/22
|
|
185,000
|
|
210,772
|
|
|
Energy Northwest Washington Electric Revenue Columbia Station
|
|
|
|
|
|
|
Series A
|
|
|
|
|
|
|
Revenue Bonds
|
|
|
|
|
|
|
5.000%, 07/01/22
|
|
75,000
|
|
92,348
|
|
|
FYI Properties Washington Lease Revenue Washington State District Project
|
|
|
|
|
|
|
Revenue Bonds
|
|
|
|
|
|
|
5.000%, 06/01/22
|
|
100,000
|
|
115,507
|
|
|
Port of Seattle Washington Revenue Authority
|
|
|
|
|
|
|
Revenue Bonds
|
|
|
|
|
|
|
5.500%, 09/01/20
|
|
115,000
|
|
141,605
|
|
|
Total Washington
|
|
|
|
560,232
|
|
|
|
|
|
|
|
|
|
Wisconsin 1.4%
|
|
|
|
|
|
|
Wisconsin Health & Educational Facilities Authority Revenue Aurora Health Care Inc.
|
|
|
|
|
|
|
Series A
|
|
|
|
|
|
|
Revenue Bonds
|
|
|
|
|
|
|
5.250%, 04/15/24
|
|
100,000
|
|
113,825
|
|
|
Total Municipal Bonds
(Cost $7,566,397)
|
|
|
|
8,044,943
|
|
|
|
|
Shares
|
|
|
|
|
Short Term Investment 1.0%
|
|
|
|
|
|
|
Money Market Fund 1.0%
|
|
|
|
|
|
|
Dreyfus Tax Exempt Cash Management Institutional Fund 0.00%†
(Cost $83,878)
|
|
83,878
|
|
83,878
|
|
|
Total Investments 99.1%
(Cost $7,650,275)
|
|
|
|
8,128,821
|
|
|
Other Assets in Excess of Liabilities 0.9%
|
|
|
|
71,371
|
|
|
Net Assets 100.0%
|
|
|
|
8,200,192
|
|
†
Represents average annualized seven-day yield as of January 31, 2013.
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 Fund’s assumptions about the information market participants would use in pricing an investment. An investment’s level within the fair value hierarchy is based on the lowest level of any input that is deemed significant to the asset or liability’s fair value measurement. The input levels are not necessarily an indication of the risk or liquidity associated with investments at that level. For example, certain U.S. government securities are generally high quality and liquid, however, they are reflected as Level 2 because the inputs used to determine fair value may not always be quoted prices in an active market.
Fair value inputs are summarized in the three broad levels listed below:
·
Level 1 – Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date (including NAV for open-end mutual funds). Valuation adjustments are not applied to Level 1 investments.
·
Level 2 – Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.).
·
Level 3 – Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments).
Inputs that are used in determining fair value of an investment may include price information, credit data, volatility statistics, and other factors. These inputs can be either observable or unobservable. The availability of observable inputs can vary between investments, and is affected by various factors such as the type of investment, and the volume and level of activity for that investment or similar investments in the marketplace. The inputs will be considered by the Investment Manager, along with any other relevant factors in the calculation of an investment’s fair value. The Fund uses prices and inputs that are current as of the measurement date, which may include periods of market dislocations. During these periods, the availability of prices and inputs may be reduced for many investments. This condition could cause an investment to be reclassified between the various levels within the hierarchy.
Investments falling into the Level 3 category are primarily supported by quoted prices from brokers and dealers participating in the market for those investments. However, these may be classified as Level 3 investments due to lack of market transparency and corroboration to support these quoted prices. Additionally, valuation models may be used as the pricing source for any remaining investments classified as Level 3. These models rely on one or more significant unobservable inputs and/or significant assumptions by the Investment Manager. Inputs used in valuations may include, but are not limited to, financial statement analysis, capital account balances, discount rates and estimated cash flows, and comparable company data.
Under the direction of the Fund’s Board of Trustees (the Board), the Investment Manager’s Valuation Committee (the Committee) is responsible for carrying out the valuation procedures approved by the Board. The Committee consists of voting and non-voting members from various groups within the Investment Manager’s organization, including operations and accounting, trading and investments, compliance, risk management and legal.
The Committee meets at least monthly to review and approve valuation matters, which may include a description of specific valuation determinations, data regarding pricing information received from approved pricing vendors and brokers and the results of Board-approved valuation control policies and procedures (the Policies). The Policies address, among other things, instances when market quotations are readily available, including recommendation 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 Fund’s investments as of January 31, 2013:
|
Valuation
|
|
Columbia Intermediate
Municipal Bond Strategy Fund
|
|
|
Inputs
|
|
Level 1
|
|
Level 2
|
|
Level 3
|
|
Total
|
|
|
Municipal Bonds*
|
|
$
|
—
|
|
$
|
8,044,943
|
|
$
|
—
|
|
$
|
8,044,943
|
|
|
Money Market Fund
|
|
83,878
|
|
—
|
|
—
|
|
83,878
|
|
|
Total
|
|
$
|
83,878
|
|
$
|
8,044,943
|
|
$
|
—
|
|
$
|
8,128,821
|
|
The Fund’s assets assigned to the Level 2 input category are generally valued using the market approach, in which a security’s value is determined through reference to prices and information from market transactions for similar or identical assets.
* Please refer to the investment portfolio above to view securities segregated by state.
There were no transfers of financial assets between Levels 1 and 2 during the period.
For more information on the valuation of investments, please refer to the most recent Shareholder Report.
Investment Portfolio
Columbia Core Bond Strategy Fund
January 31, 2013 (unaudited)
|
Issuer
|
|
Principal
Amount
($)
|
|
Value
($)
|
|
|
U.S. Government & Agency Obligations 41.0%
|
|
|
|
|
|
|
Federal National Mortgage Association 20.0%
|
|
|
|
|
|
|
2.375%, 07/28/15
|
|
100,000
|
|
104,972
|
|
|
3.000%, 02/15/28(a)
|
|
50,000
|
|
52,492
|
|
|
3.500%, 01/25/24
|
|
51,509
|
|
53,513
|
|
|
3.500%, 02/15/28(a)
|
|
75,000
|
|
79,301
|
|
|
3.500%, 02/15/43(a)
|
|
75,000
|
|
79,090
|
|
|
4.000%, 03/01/26
|
|
40,067
|
|
42,797
|
|
|
4.000%, 02/15/28(a)
|
|
25,000
|
|
26,684
|
|
|
4.000%, 06/25/37
|
|
6,567
|
|
6,694
|
|
|
4.000%, 03/01/41
|
|
79,761
|
|
84,862
|
|
|
4.000%, 02/15/43(a)
|
|
50,000
|
|
53,141
|
|
|
4.500%, 02/01/22
|
|
18,265
|
|
19,915
|
|
|
4.500%, 02/15/28(a)
|
|
25,000
|
|
26,855
|
|
|
4.500%, 08/01/39
|
|
126,586
|
|
136,983
|
|
|
4.500%, 03/01/41
|
|
73,981
|
|
80,243
|
|
|
5.000%, 03/01/24
|
|
3,894
|
|
4,204
|
|
|
5.000%, 02/15/28(a)
|
|
25,000
|
|
26,980
|
|
|
5.000%, 10/01/39
|
|
49,113
|
|
53,025
|
|
|
5.500%, 04/01/38
|
|
39,424
|
|
42,781
|
|
|
6.000%, 09/01/39
|
|
39,308
|
|
43,011
|
|
|
6.500%, 09/01/38
|
|
33,648
|
|
37,278
|
|
|
Total Federal National Mortgage Association
|
|
|
|
1,054,821
|
|
|
|
|
|
|
|
|
|
Government National Mortgage Association 10.6%
|
|
|
|
|
|
|
1.852%, 07/16/32
|
|
4,743
|
|
4,756
|
|
|
1.883%, 04/16/32
|
|
29,257
|
|
29,620
|
|
|
2.169%, 11/16/37
|
|
21,179
|
|
21,755
|
|
|
2.210%, 11/16/34
|
|
33,033
|
|
33,583
|
|
|
2.210%, 12/16/35
|
|
47,636
|
|
48,696
|
|
|
3.500%, 02/15/43(a)
|
|
25,000
|
|
26,871
|
|
|
4.000%, 02/15/43(a)
|
|
75,000
|
|
81,574
|
|
|
4.500%, 06/16/34
|
|
25,176
|
|
25,721
|
|
|
4.500%, 02/15/43(a)
|
|
175,000
|
|
190,887
|
|
|
4.549%, 06/16/28
|
|
22,207
|
|
22,584
|
|
|
5.000%, 02/15/40
|
|
26,853
|
|
29,456
|
|
|
5.500%, 02/15/43(a)
|
|
25,000
|
|
27,332
|
|
|
6.000%, 12/15/37
|
|
10,915
|
|
12,277
|
|
|
Total Government National Mortgage Association
|
|
|
|
555,112
|
|
|
|
|
|
|
|
|
|
Federal Home Loan Mortgage Corp. 10.4%
|
|
|
|
|
|
|
2.500%, 05/27/16
|
|
200,000
|
|
212,839
|
|
|
3.500%, 03/15/24
|
|
15,785
|
|
16,247
|
|
|
3.500%, 09/15/24
|
|
9,892
|
|
10,236
|
|
|
3.750%, 03/27/19
|
|
100,000
|
|
114,382
|
|
|
5.000%, 02/01/40
|
|
103,353
|
|
111,249
|
|
|
5.500%, 05/01/35
|
|
44,588
|
|
48,474
|
|
|
6.000%, 10/01/38
|
|
24,459
|
|
26,689
|
|
|
6.500%, 08/01/38
|
|
6,469
|
|
7,351
|
|
|
Total Federal Home Loan Mortgage Corp.
|
|
|
|
547,467
|
|
|
Total U.S. Government & Agency Obligations
(Cost $2,099,332)
|
|
|
|
2,157,400
|
|
|
|
|
|
|
|
|
|
Corporate Bonds 37.8%
|
|
|
|
|
|
|
Aerospace & Defense 0.7%
|
|
|
|
|
|
|
L-3 Communications Corp.
|
|
|
|
|
|
|
3.950%, 11/15/16
|
|
20,000
|
|
21,636
|
|
|
Lockheed Martin Corp.
|
|
|
|
|
|
|
2.125%, 09/15/16
|
|
15,000
|
|
15,578
|
|
|
Total Aerospace & Defense
|
|
|
|
37,214
|
|
|
|
|
|
|
|
|
|
Banking 6.8%
|
|
|
|
|
|
|
American Express Credit Corp.
|
|
|
|
|
|
|
1.160%, 06/24/14(b)
|
|
25,000
|
|
25,237
|
|
|
Bank of America Corp.
|
|
|
|
|
|
|
1.855%, 07/11/14(b)
|
|
10,000
|
|
10,144
|
|
|
Bank of America NA
|
|
|
|
|
|
|
0.588%, 06/15/16(b)
|
|
10,000
|
|
9,637
|
|
|
BNP Paribas SA
|
|
|
|
|
|
|
1.205%, 01/10/14(b)
|
|
15,000
|
|
15,072
|
|
|
Citigroup, Inc.
|
|
|
|
|
|
|
1.755%, 01/13/14(b)
|
|
25,000
|
|
25,257
|
|
|
4.500%, 01/14/22
|
|
10,000
|
|
10,951
|
|
|
6.125%, 11/21/17
|
|
40,000
|
|
47,221
|
|
|
Fifth Third Bancorp
|
|
|
|
|
|
|
0.729%, 12/20/16(b)
|
|
10,000
|
|
9,740
|
|
|
Goldman Sachs Group, Inc.(The)
|
|
|
|
|
|
|
1.312%, 02/07/14(b)
|
|
20,000
|
|
20,088
|
|
|
5.250%, 07/27/21
|
|
10,000
|
|
11,294
|
|
|
6.000%, 06/15/20
|
|
30,000
|
|
35,393
|
|
|
HSBC Holdings PLC
|
|
|
|
|
|
|
5.100%, 04/05/21
|
|
10,000
|
|
11,562
|
|
|
JPMorgan Chase & Co.
|
|
|
|
|
|
|
5.150%, 10/01/15
|
|
25,000
|
|
27,442
|
|
|
6.400%, 05/15/38
|
|
10,000
|
|
13,043
|
|
|
Merrill Lynch & Co., Inc.
|
|
|
|
|
|
|
6.400%, 08/28/17
|
|
40,000
|
|
46,855
|
|
|
Morgan Stanley
|
|
|
|
|
|
|
4.750%, 04/01/14
|
|
15,000
|
|
15,544
|
|
|
4.750%, 03/22/17
|
|
10,000
|
|
10,922
|
|
|
Wells Fargo & Co.
|
|
|
|
|
|
|
1.250%, 02/13/15
|
|
10,000
|
|
10,098
|
|
|
Total Banking
|
|
|
|
355,500
|
|
|
|
|
|
|
|
|
|
Chemicals 0.8%
|
|
|
|
|
|
|
Dow Chemical Co.
|
|
|
|
|
|
|
8.550%, 05/15/19
|
|
30,000
|
|
40,458
|
|
|
|
|
|
|
|
|
|
Construction Machinery 0.9%
|
|
|
|
|
|
|
Caterpillar Financial Services Corp.
|
|
|
|
|
|
|
5.450%, 04/15/18
|
|
30,000
|
|
35,501
|
|
|
John Deere Capital Corp.
|
|
|
|
|
|
|
0.875%, 04/17/15
|
|
10,000
|
|
10,051
|
|
|
Total Construction Machinery
|
|
|
|
45,552
|
|
|
|
|
|
|
|
|
|
Diversified Manufacturing 0.7%
|
|
|
|
|
|
|
Eaton Corp.
|
|
|
|
|
|
|
0.638%, 06/16/14(b)
|
|
10,000
|
|
9,987
|
|
|
Issuer
|
|
Principal
Amount
($)
|
|
Value
($)
|
|
|
United Technologies Corp.
|
|
|
|
|
|
|
3.100%, 06/01/22
|
|
25,000
|
|
25,850
|
|
|
Total Diversified Manufacturing
|
|
|
|
35,837
|
|
|
|
|
|
|
|
|
|
Electric 3.2%
|
|
|
|
|
|
|
Appalachian Power Co.
|
|
|
|
|
|
|
0.685%, 08/16/13(b)
|
|
15,000
|
|
15,020
|
|
|
DTE Energy Co.
|
|
|
|
|
|
|
1.011%, 06/03/13(b)
|
|
25,000
|
|
25,035
|
|
|
Entergy Corp.
|
|
|
|
|
|
|
3.625%, 09/15/15
|
|
10,000
|
|
10,409
|
|
|
Entergy Gulf States Louisiana LLC
|
|
|
|
|
|
|
3.950%, 10/01/20
|
|
10,000
|
|
10,656
|
|
|
Exelon Generation Co. LLC
|
|
|
|
|
|
|
5.200%, 10/01/19
|
|
10,000
|
|
11,310
|
|
|
FirstEnergy Solutions Corp.
|
|
|
|
|
|
|
6.050%, 08/15/21
|
|
10,000
|
|
11,442
|
|
|
MidAmerican Energy Holdings Co.
|
|
|
|
|
|
|
5.750%, 04/01/18
|
|
14,000
|
|
16,778
|
|
|
Sierra Pacific Power Co.
|
|
|
|
|
|
|
6.000%, 05/15/16
|
|
15,000
|
|
17,268
|
|
|
Southern California Edison Co.
|
|
|
|
|
|
|
0.758%, 09/15/14(b)
|
|
20,000
|
|
20,116
|
|
|
Southern Power Co.
|
|
|
|
|
|
|
4.875%, 07/15/15
|
|
30,000
|
|
32,907
|
|
|
Total Electric
|
|
|
|
170,941
|
|
|
|
|
|
|
|
|
|
Environmental 0.6%
|
|
|
|
|
|
|
Waste Management, Inc.
|
|
|
|
|
|
|
4.750%, 06/30/20
|
|
30,000
|
|
33,961
|
|
|
|
|
|
|
|
|
|
Food and Beverage 1.2%
|
|
|
|
|
|
|
Anheuser-Busch InBev Worldwide, Inc.
|
|
|
|
|
|
|
5.375%, 01/15/20
|
|
30,000
|
|
35,964
|
|
|
Campbell Soup Co.
|
|
|
|
|
|
|
3.800%, 08/02/42
|
|
2,000
|
|
1,877
|
|
|
ConAgra Foods, Inc.
|
|
|
|
|
|
|
1.900%, 01/25/18
|
|
25,000
|
|
25,104
|
|
|
Total Food and Beverage
|
|
|
|
62,945
|
|
|
|
|
|
|
|
|
|
Foreign Agencies 0.5%
|
|
|
|
|
|
|
Petrobras International Finance Co.
|
|
|
|
|
|
|
5.875%, 03/01/18
|
|
15,000
|
|
16,863
|
|
|
Petroleos Mexicanos
|
|
|
|
|
|
|
5.500%, 06/27/44
|
|
10,000
|
|
10,275
|
|
|
Total Foreign Agencies
|
|
|
|
27,138
|
|
|
|
|
|
|
|
|
|
Gas Pipelines 1.8%
|
|
|
|
|
|
|
El Paso Corp.
|
|
|
|
|
|
|
6.500%, 09/15/20
|
|
20,000
|
|
22,368
|
|
|
El Paso Pipeline Partners Operating Co. LLC
|
|
|
|
|
|
|
5.000%, 10/01/21
|
|
10,000
|
|
11,096
|
|
|
Energy Transfer Partners LP
|
|
|
|
|
|
|
6.500%, 02/01/42
|
|
10,000
|
|
11,536
|
|
|
NiSource Finance Corp.
|
|
|
|
|
|
|
5.250%, 02/15/43
|
|
10,000
|
|
10,520
|
|
|
5.800%, 02/01/42
|
|
15,000
|
|
16,559
|
|
|
Transcanada Pipelines Ltd.
|
|
|
|
|
|
|
3.800%, 10/01/20
|
|
10,000
|
|
11,073
|
|
|
Transcontinental Gas Pipe Line Co. LLC
|
|
|
|
|
|
|
4.450%, 08/01/42
|
|
10,000
|
|
9,977
|
|
|
Total Gas Pipelines
|
|
|
|
93,129
|
|
|
|
|
|
|
|
|
|
Health Care 1.5%
|
|
|
|
|
|
|
Bio-Rad Laboratories, Inc.
|
|
|
|
|
|
|
4.875%, 12/15/20
|
|
30,000
|
|
31,455
|
|
|
Boston Scientific Corp.
|
|
|
|
|
|
|
6.250%, 11/15/15
|
|
15,000
|
|
16,927
|
|
|
McKesson Corp.
|
|
|
|
|
|
|
3.250%, 03/01/16
|
|
30,000
|
|
32,043
|
|
|
Total Health Care
|
|
|
|
80,425
|
|
|
|
|
|
|
|
|
|
Healthcare Insurance 0.4%
|
|
|
|
|
|
|
Aetna, Inc.
|
|
|
|
|
|
|
2.750%, 11/15/22
|
|
10,000
|
|
9,678
|
|
|
WellPoint, Inc.
|
|
|
|
|
|
|
3.300%, 01/15/23
|
|
10,000
|
|
10,011
|
|
|
Total Healthcare Insurance
|
|
|
|
19,689
|
|
|
|
|
|
|
|
|
|
Independent Energy 0.9%
|
|
|
|
|
|
|
Anadarko Petroleum Corp.
|
|
|
|
|
|
|
6.375%, 09/15/17
|
|
20,000
|
|
23,698
|
|
|
EnCana Corp.
|
|
|
|
|
|
|
3.900%, 11/15/21
|
|
10,000
|
|
10,559
|
|
|
Nexen, Inc.
|
|
|
|
|
|
|
5.875%, 03/10/35
|
|
10,000
|
|
11,953
|
|
|
Total Independent Energy
|
|
|
|
46,210
|
|
|
|
|
|
|
|
|
|
Integrated Energy 0.4%
|
|
|
|
|
|
|
BP Capital Markets PLC
|
|
|
|
|
|
|
0.910%, 03/11/14(b)
|
|
10,000
|
|
10,059
|
|
|
Shell International Finance BV
|
|
|
|
|
|
|
3.100%, 06/28/15
|
|
10,000
|
|
10,587
|
|
|
Total Integrated Energy
|
|
|
|
20,646
|
|
|
|
|
|
|
|
|
|
Life Insurance 1.8%
|
|
|
|
|
|
|
Hartford Financial Services Group, Inc.
|
|
|
|
|
|
|
5.375%, 03/15/17
|
|
25,000
|
|
28,122
|
|
|
MetLife, Inc.
|
|
|
|
|
|
|
6.400%, 12/15/36
|
|
40,000
|
|
43,304
|
|
|
Prudential Financial, Inc.
|
|
|
|
|
|
|
4.500%, 11/16/21
|
|
15,000
|
|
16,560
|
|
|
6.625%, 06/21/40
|
|
5,000
|
|
6,209
|
|
|
Total Life Insurance
|
|
|
|
94,195
|
|
|
|
|
|
|
|
|
|
Media Cable 0.6%
|
|
|
|
|
|
|
Comcast Corp.
|
|
|
|
|
|
|
5.150%, 03/01/20
|
|
20,000
|
|
23,282
|
|
|
DirecTV Holdings LLC
|
|
|
|
|
|
|
2.400%, 03/15/17
|
|
8,000
|
|
8,163
|
|
|
Total Media Cable
|
|
|
|
31,445
|
|
|
Issuer
|
|
Principal
Amount
($)
|
|
Value
($)
|
|
|
Media Non-Cable 0.3%
|
|
|
|
|
|
|
Reed Elsevier Capital, Inc.
|
|
|
|
|
|
|
3.125%, 10/15/22
|
|
15,000
|
|
14,501
|
|
|
|
|
|
|
|
|
|
Metals 0.5%
|
|
|
|
|
|
|
Alcoa, Inc.
|
|
|
|
|
|
|
6.750%, 07/15/18
|
|
5,000
|
|
5,716
|
|
|
Arcelormittal
|
|
|
|
|
|
|
6.000%, 03/01/21
|
|
5,000
|
|
5,256
|
|
|
Rio Tinto Finance USA PLC
|
|
|
|
|
|
|
1.125%, 03/20/15
|
|
15,000
|
|
15,115
|
|
|
Total Metals
|
|
|
|
26,087
|
|
|
|
|
|
|
|
|
|
Non-Captive Consumer 0.2%
|
|
|
|
|
|
|
Discover Financial Services
|
|
|
|
|
|
|
6.450%, 06/12/17
|
|
10,000
|
|
11,672
|
|
|
|
|
|
|
|
|
|
Non-Captive Diversified 1.2%
|
|
|
|
|
|
|
General Electric Capital Corp.
|
|
|
|
|
|
|
2.150%, 01/09/15
|
|
10,000
|
|
10,279
|
|
|
2.300%, 04/27/17
|
|
10,000
|
|
10,301
|
|
|
4.375%, 09/16/20
|
|
40,000
|
|
44,191
|
|
|
Total Non-Captive Diversified
|
|
|
|
64,771
|
|
|
|
|
|
|
|
|
|
Oil Field Services 0.1%
|
|
|
|
|
|
|
Weatherford International Ltd.
|
|
|
|
|
|
|
6.000%, 03/15/18
|
|
5,000
|
|
5,705
|
|
|
|
|
|
|
|
|
|
Other Financial Institutions 0.4%
|
|
|
|
|
|
|
NYSE Euronext
|
|
|
|
|
|
|
2.000%, 10/05/17
|
|
20,000
|
|
20,420
|
|
|
|
|
|
|
|
|
|
Packaging 0.3%
|
|
|
|
|
|
|
Ball Corp.
|
|
|
|
|
|
|
7.125%, 09/01/16
|
|
15,000
|
|
16,012
|
|
|
|
|
|
|
|
|
|
Pharmaceuticals 1.1%
|
|
|
|
|
|
|
Johnson & Johnson
|
|
|
|
|
|
|
0.400%, 05/15/14(b)
|
|
25,000
|
|
25,051
|
|
|
Teva Pharmaceutical Finance III LLC
|
|
|
|
|
|
|
3.000%, 06/15/15
|
|
30,000
|
|
31,512
|
|
|
Total Pharmaceuticals
|
|
|
|
56,563
|
|
|
|
|
|
|
|
|
|
Property & Casualty 1.6%
|
|
|
|
|
|
|
ACE INA Holdings, Inc.
|
|
|
|
|
|
|
5.700%, 02/15/17
|
|
30,000
|
|
35,032
|
|
|
Berkshire Hathaway, Inc.
|
|
|
|
|
|
|
1.900%, 01/31/17
|
|
10,000
|
|
10,232
|
|
|
Liberty Mutual Group, Inc.
|
|
|
|
|
|
|
4.950%, 05/01/22
|
|
20,000
|
|
21,720
|
|
|
Willis North America, Inc.
|
|
|
|
|
|
|
7.000%, 09/29/19
|
|
15,000
|
|
17,419
|
|
|
Total Property & Casualty
|
|
|
|
84,403
|
|
|
|
|
|
|
|
|
|
Railroads 1.6%
|
|
|
|
|
|
|
Burlington Northern Santa Fe LLC
|
|
|
|
|
|
|
5.650%, 05/01/17
|
|
30,000
|
|
35,145
|
|
|
Canadian Pacific Railway Co.
|
|
|
|
|
|
|
6.500%, 05/15/18
|
|
10,000
|
|
12,152
|
|
|
CSX Corp.
|
|
|
|
|
|
|
7.375%, 02/01/19
|
|
30,000
|
|
38,065
|
|
|
Total Railroads
|
|
|
|
85,362
|
|
|
|
|
|
|
|
|
|
REITs 0.4%
|
|
|
|
|
|
|
Boston Properties LP
|
|
|
|
|
|
|
4.125%, 05/15/21
|
|
5,000
|
|
5,366
|
|
|
Duke Realty LP
|
|
|
|
|
|
|
6.750%, 03/15/20
|
|
5,000
|
|
6,073
|
|
|
Simon Property Group LP
|
|
|
|
|
|
|
2.150%, 09/15/17
|
|
10,000
|
|
10,311
|
|
|
Total REITs
|
|
|
|
21,750
|
|
|
|
|
|
|
|
|
|
Restaurants 0.2%
|
|
|
|
|
|
|
McDonald’s Corp.
|
|
|
|
|
|
|
2.625%, 01/15/22
|
|
10,000
|
|
10,152
|
|
|
|
|
|
|
|
|
|
Retailers 0.6%
|
|
|
|
|
|
|
AutoZone, Inc.
|
|
|
|
|
|
|
5.750%, 01/15/15
|
|
30,000
|
|
32,761
|
|
|
|
|
|
|
|
|
|
Supermarkets 0.1%
|
|
|
|
|
|
|
Safeway, Inc.
|
|
|
|
|
|
|
4.750%, 12/01/21
|
|
3,000
|
|
3,046
|
|
|
|
|
|
|
|
|
|
Supranational 1.0%
|
|
|
|
|
|
|
European Investment Bank
|
|
|
|
|
|
|
5.125%, 05/30/17
|
|
25,000
|
|
29,387
|
|
|
International Finance Corp.
|
|
|
|
|
|
|
3.000%, 04/22/14
|
|
25,000
|
|
25,816
|
|
|
Total Supranational
|
|
|
|
55,203
|
|
|
|
|
|
|
|
|
|
Technology 3.2%
|
|
|
|
|
|
|
Cisco Systems, Inc.
|
|
|
|
|
|
|
4.450%, 01/15/20
|
|
30,000
|
|
34,460
|
|
|
Hewlett-Packard Co.
|
|
|
|
|
|
|
0.711%, 05/30/14(b)
|
|
15,000
|
|
14,843
|
|
|
Intel Corp.
|
|
|
|
|
|
|
3.300%, 10/01/21
|
|
25,000
|
|
26,023
|
|
|
Jabil Circuit, Inc.
|
|
|
|
|
|
|
7.750%, 07/15/16
|
|
30,000
|
|
35,025
|
|
|
Oracle Corp.
|
|
|
|
|
|
|
6.500%, 04/15/38
|
|
30,000
|
|
40,753
|
|
|
Xerox Corp.
|
|
|
|
|
|
|
1.130%, 05/16/14(b)
|
|
15,000
|
|
14,971
|
|
|
Total Technology
|
|
|
|
166,075
|
|
|
|
|
|
|
|
|
|
Transportation Services 0.2%
|
|
|
|
|
|
|
Erac USA Finance LLC
|
|
|
|
|
|
|
5.625%, 03/15/42
|
|
10,000
|
|
11,044
|
|
|
|
|
|
|
|
|
|
Wireless 0.4%
|
|
|
|
|
|
|
American Tower Corp.
|
|
|
|
|
|
|
5.050%, 09/01/20
|
|
20,000
|
|
22,179
|
|
|
|
|
|
|
|
|
|
Wirelines 1.6%
|
|
|
|
|
|
|
AT&T, Inc.
|
|
|
|
|
|
|
1.700%, 06/01/17
|
|
10,000
|
|
10,078
|
|
|
5.800%, 02/15/19
|
|
30,000
|
|
36,174
|
|
|
Telecom Italia Capital SA
|
|
|
|
|
|
|
6.175%, 06/18/14
|
|
10,000
|
|
10,596
|
|
|
Issuer
|
|
Principal
Amount
($)
|
|
Value
($)
|
|
|
Verizon Communications, Inc.
|
|
|
|
|
|
|
6.350%, 04/01/19
|
|
20,000
|
|
24,803
|
|
|
Total Wirelines
|
|
|
|
81,651
|
|
|
Total Corporate Bonds
(Cost $1,856,553)
|
|
|
|
1,984,642
|
|
|
|
|
|
|
|
|
|
U.S. Treasury Obligations 11.9%
|
|
|
|
|
|
|
U.S. Treasury Bond 7.8%
|
|
|
|
|
|
|
2.750%, 08/15/42
|
|
15,000
|
|
13,814
|
|
|
4.375%, 02/15/38
|
|
70,000
|
|
87,227
|
|
|
4.375%, 05/15/41
|
|
75,000
|
|
93,621
|
|
|
5.000%, 05/15/37
|
|
40,000
|
|
54,287
|
|
|
5.250%, 11/15/28
|
|
90,000
|
|
120,572
|
|
|
5.375%, 02/15/31
|
|
30,000
|
|
41,391
|
|
|
Total U.S. Treasury Bond
|
|
|
|
410,912
|
|
|
|
|
|
|
|
|
|
U.S. Treasury Note 4.1%
|
|
|
|
|
|
|
0.125%, 12/31/13
|
|
95,000
|
|
94,959
|
|
|
1.000%, 11/30/19
|
|
50,000
|
|
48,891
|
|
|
7.500%, 11/15/24
|
|
45,000
|
|
70,024
|
|
|
Total U.S. Treasury Note
|
|
|
|
213,874
|
|
|
Total U.S. Treasury Obligations
(Cost $597,855)
|
|
|
|
624,786
|
|
|
|
|
|
|
|
|
|
Asset Backed Securities - Non-Agency 4.1%
|
|
|
|
|
|
|
Ally Auto Receivables Trust
|
|
|
|
|
|
|
1.380%, 07/15/14
|
|
2,812
|
|
2,816
|
|
|
BMW Vehicle Owner Trust
|
|
|
|
|
|
|
0.760%, 08/25/15
|
|
25,000
|
|
25,075
|
|
|
Honda Auto Receivables Owner Trust
|
|
|
|
|
|
|
1.980%, 05/23/16
|
|
20,514
|
|
20,577
|
|
|
Hyundai Auto Receivables Trust
|
|
|
|
|
|
|
2.450%, 12/15/16
|
|
25,000
|
|
25,556
|
|
|
Mercedes-Benz Auto Receivables Trust
|
|
|
|
|
|
|
2.140%, 08/15/16
|
|
25,000
|
|
25,251
|
|
|
Nissan Auto Receivables Owner Trust
|
|
|
|
|
|
|
0.870%, 07/15/14
|
|
8,434
|
|
8,447
|
|
|
Small Business Administration Participation Certificates
|
|
|
|
|
|
|
3.920%, 10/01/29
|
|
38,304
|
|
41,527
|
|
|
Smart Trust/Australia
|
|
|
|
|
|
|
0.840%, 09/14/16
|
|
13,000
|
|
13,001
|
|
|
Toyota Auto Receivables Owner Trust
|
|
|
|
|
|
|
0.750%, 02/16/16
|
|
12,000
|
|
12,047
|
|
|
0.980%, 10/15/14
|
|
14,616
|
|
14,648
|
|
|
Volkswagen Auto Loan Enhanced Trust
|
|
|
|
|
|
|
1.980%, 09/20/17
|
|
25,000
|
|
25,573
|
|
|
Total Asset Backed Securities - Non-Agency
(Cost $209,465)
|
|
|
|
214,518
|
|
|
|
|
|
|
|
|
|
Municipal Bonds 2.0%
|
|
|
|
|
|
|
California 0.5%
|
|
|
|
|
|
|
State of California
|
|
|
|
|
|
|
7.550%, 04/01/39
|
|
20,000
|
|
28,883
|
|
|
|
|
|
|
|
|
|
Illinois-1.0%
|
|
|
|
|
|
|
Metropolitan Water Reclamation District of Greater Chicago
|
|
|
|
|
|
|
5.720%, 12/01/38
|
|
30,000
|
|
38,778
|
|
|
State of Illinois
|
|
|
|
|
|
|
5.877%, 03/01/19
|
|
10,000
|
|
11,384
|
|
|
Total Illinois
|
|
|
|
50,162
|
|
|
|
|
|
|
|
|
|
Ohio-0.5%
|
|
|
|
|
|
|
Bowling Green State University
|
|
|
|
|
|
|
Revenue Bonds
|
|
|
|
|
|
|
5.080%, 06/01/18
|
|
20,000
|
|
22,544
|
|
|
Jobsohio Beverage System
|
|
|
|
|
|
|
Series B
|
|
|
|
|
|
|
Revenue Bonds
|
|
|
|
|
|
|
3.235%, 01/01/23
|
|
5,000
|
|
5,066
|
|
|
Total Ohio
|
|
|
|
27,610
|
|
|
Total Municipal Bonds
(Cost $91,783)
|
|
|
|
106,655
|
|
|
|
|
|
|
|
|
|
Mortgage Backed Securities 1.8%
|
|
|
|
|
|
|
Citigroup/Deutsche Bank Commercial Mortgage Trust
|
|
|
|
|
|
|
5.322%, 12/11/49
|
|
25,000
|
|
28,404
|
|
|
Greenwich Capital Commercial Funding Corp.
|
|
|
|
|
|
|
5.444%, 03/10/39
|
|
25,000
|
|
28,469
|
|
|
Morgan Stanley Capital I
|
|
|
|
|
|
|
5.150%, 06/13/41
|
|
19,490
|
|
19,686
|
|
|
Wachovia Bank Commercial Mortgage Trust
|
|
|
|
|
|
|
5.298%, 12/15/44(b)
|
|
18,000
|
|
19,911
|
|
|
Total Mortgage Backed Securities
(Cost $95,086)
|
|
|
|
96,470
|
|
|
|
|
|
|
|
|
|
Foreign Government Obligations 0.4%
|
|
|
|
|
|
|
Brazilian Government International Bond 0.2%
|
|
|
|
|
|
|
7.875%, 03/07/15
|
|
10,000
|
|
11,370
|
|
|
|
|
|
|
|
|
|
Mexico Government International Bond 0.2%
|
|
|
|
|
|
|
3.625%, 03/15/22
|
|
8,000
|
|
8,580
|
|
|
Total Foreign Government Obligations
(Cost $20,028)
|
|
|
|
19,950
|
|
|
|
|
Shares
|
|
|
|
|
Short Term Investment-13.8%
|
|
|
|
|
|
|
Money Market Funds 13.8%
|
|
|
|
|
|
|
Dreyfus Treasury Prime Cash Management 0.00%†
(Cost $725,325)
|
|
725,325
|
|
725,325
|
|
|
Total Investments 112.8%
(Cost $5,695,427)
|
|
|
|
5,929,746
|
|
|
Liabilities in Excess of Other Assets (12.8)%
|
|
|
|
(672,459
|
)
|
|
Net Assets 100.0%
|
|
|
|
5,257,287
|
|
(a) Represents a security purchased on a when-issued or delayed delivery basis.
(b) Variable rate security. The interest rate shown reflects the rate as of January 31, 2013.
† Represents average annualized seven-day yield as of January 31, 2013.
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 Fund’s assumptions about the information market participants would use in pricing an investment. An investment’s level within the fair value hierarchy is based on the lowest level of any input that is deemed significant to the asset or liability’s fair value measurement. The input levels are not necessarily an indication of the risk or liquidity associated with investments at that level. For example, certain U.S. government securities are generally high quality and liquid, however, they are reflected as Level 2 because the inputs used to determine fair value may not always be quoted prices in an active market.
Fair value inputs are summarized in the three broad levels listed below:
·
Level 1 – Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date (including NAV for open-end mutual funds). Valuation adjustments are not applied to Level 1 investments.
·
Level 2 – Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.).
·
Level 3 – Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments).
Inputs that are used in determining fair value of an investment may include price information, credit data, volatility statistics, and other factors. These inputs can be either observable or unobservable. The availability of observable inputs can vary between investments, and is affected by various factors such as the type of investment, and the volume and level of activity for that investment or similar investments in the marketplace. The inputs will be considered by the Investment Manager, along with any other relevant factors in the calculation of an investment’s fair value. The Fund uses prices and inputs that are current as of the measurement date, which may include periods of market dislocations. During these periods, the availability of prices and inputs may be reduced for many investments. This condition could cause an investment to be reclassified between the various levels within the hierarchy.
Investments falling into the Level 3 category are primarily supported by quoted prices from brokers and dealers participating in the market for those investments. However, these may be classified as Level 3 investments due to lack of market transparency and corroboration to support these quoted prices. Additionally, valuation models may be used as the pricing source for any remaining investments classified as Level 3. These models rely on one or more significant unobservable inputs and/or significant assumptions by the Investment Manager. Inputs used in valuations may include, but are not limited to, financial statement analysis, capital account balances, discount rates and estimated cash flows, and comparable company data.
Under the direction of the Fund’s Board of Trustees (the Board), the Investment Manager’s Valuation Committee (the Committee) is responsible for carrying out the valuation procedures approved by the Board. The Committee consists of voting and non-voting members from various groups within the Investment Manager’s organization, including operations and accounting, trading and investments, compliance, risk management and legal.
The Committee meets at least monthly to review and approve valuation matters, which may include a description of specific valuation determinations, data regarding pricing information received from approved pricing vendors and brokers and the results of Board-approved valuation control policies and procedures (the Policies). The Policies address, among other things, instances when market quotations are readily available, including recommendation 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 Fund’s investments as of January 31, 2013:
|
Valuation
|
|
Columbia Core Bond Strategy Fund
|
|
|
Inputs
|
|
Level 1
|
|
Level 2
|
|
Level 3
|
|
Total
|
|
|
U.S. Government & Agency Obligations
|
|
$
|
—
|
|
$
|
2,157,400
|
|
$
|
—
|
|
$
|
2,157,400
|
|
|
Corporate Bonds*
|
|
—
|
|
1,984,642
|
|
—
|
|
1,984,642
|
|
|
U.S. Treasury Obligations
|
|
624,786
|
|
—
|
|
—
|
|
624,786
|
|
|
Asset-Backed Securities- Non-Agency
|
|
—
|
|
214,518
|
|
—
|
|
214,518
|
|
|
Municipal Bonds**
|
|
—
|
|
106,655
|
|
—
|
|
106,655
|
|
|
Mortgage Backed Securities
|
|
—
|
|
96,470
|
|
—
|
|
96,470
|
|
|
Foreign Government Obligations
|
|
—
|
|
19,950
|
|
—
|
|
19,950
|
|
|
Money Market Fund
|
|
725,325
|
|
—
|
|
—
|
|
725,325
|
|
|
Total
|
|
$
|
1,350,111
|
|
$
|
4,579,635
|
|
$
|
—
|
|
$
|
5,929,746
|
|
The Fund’s assets assigned to the Level 2 input category are generally valued using the market approach, in which a security’s value is determined through reference to prices and information from market transactions for similar or identical assets.
*Please refer to the investment portfolio above to view securities segregated by industry type.
**Please refer to the investment portfolio above to view securities segregated by state.
There were no transfers of financial assets between Levels 1 and 2 during the period.
For more information on the valuation of investments, please refer to the most recent Shareholder Report.
The valuation policy and a listing of other significant accounting policies are available in the most recent shareholder report.
The cost basis of investments for Federal income tax purposes at January 31, 2013 was as follows (unaudited)*:
|
Fund
|
|
Cost
|
|
Gross
Unrealized
Appreciation
|
|
Gross
Unrealized
(Depreciation)
|
|
Net
Unrealized
Appreciation
|
|
|
Columbia Concentrated Large Cap Value Strategy Fund
|
|
$
|
3,031,200
|
|
$
|
462,535
|
|
$
|
(148,712
|
)
|
$
|
313,823
|
|
|
Columbia Growth Equity Strategy Fund
|
|
1,383,149
|
|
247,100
|
|
(5,228
|
)
|
241,872
|
|
|
Columbia Large-Cap Growth Equity Strategy Fund
|
|
6,626,121
|
|
1,537,600
|
|
(48,400
|
)
|
1,489,200
|
|
|
Columbia Intermediate Municipal Bond Strategy Fund
|
|
7,650,275
|
|
485,166
|
|
(6,620
|
)
|
478,546
|
|
|
Columbia Core Bond Strategy Fund
|
|
5,699,984
|
|
238,436
|
|
(8,674
|
)
|
229,762
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
*Because tax adjustments are calculated annually, the above table reflects the tax adjustments outstanding at the Fund’s previous fiscal year end. For the previous fiscal year’s federal income tax information, please refer to the Notes to Financial Statements section in the Fund’s most recent annual report.
Item 2. Controls and Procedures.
(a)
The registrant’s principal executive officer and principal financial officers, based on their evaluation of the registrant’s disclosure controls and procedures as of a date within 90 days of the filing of this report, have concluded that such controls and procedures are adequately designed to ensure that information required to be disclosed by the registrant in Form N-Q is accumulated and communicated to the registrant’s management, including the principal executive officer and principal financial officer, or persons performing similar functions, as appropriate to allow timely decisions regarding required disclosure.
(b)
There was no change in the registrant’s internal control over financial reporting that occurred during the registrant’s last fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.
Item 3. Exhibits.
Certifications pursuant to Rule 30a-2(a) under the Investment Company Act of 1940 (17 CFR 270.30a-2(a)) attached hereto as Exhibit 99.CERT.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
|
(Registrant)
|
|
Columbia ETF Trust
|
|
|
|
|
|
|
|
|
|
By (Signature and Title)
|
|
/s/ J. Kevin Connaughton
|
|
|
|
J. Kevin Connaughton, President and Principal Executive Officer
|
|
|
|
|
|
|
|
|
|
Date
|
|
March 22, 2013
|
|
|
|
|
|
|
|
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
|
|
March 22, 2013
|
|
|
|
|
|
|
|
|
|
By (Signature and Title)
|
|
/s/ Michael G. Clarke
|
|
|
|
Michael G. Clarke, Treasurer and Chief Financial Officer
|
|
|
|
|
|
|
|
|
|
Date
|
|
March 22, 2013
|
|
|
|
|
|