ANNUAL SOCIAL IMPACT REPORT 2021

COLUMBIA U.S. SOCIAL BOND FUND

ANNUAL SOCIAL IMPACT REPORT 2021

Share class

Symbol

A

CONAX

Advisor

CONFX

C

CONCX

Institutional

CONZX

Institutional 2

COVNX

Institutional 3

CONYX

Contents

Letter from the fund’s portfolio managers

Executive summary

Investment process

Municipal social assessment framework

Case studies: Areas of impact

Affordable housing

Connectivity

Economic opportunity and community development

Education

Environment and energy

Health and social services

Corporate bonds

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Letter from the fund’s portfolio managers

As portfolio managers of Columbia U.S. Social Bond Fund, we’re excited to be part

of an investment solution for investors seeking strong financial performance paired

with a responsible investment process. Our conviction that investors can achieve

their financial objectives and responsible investment goals at the same time is central

to the fund’s investment objective, our investment philosophy and our security selection

process. We hope you’ll find this Annual Social Impact Report a helpful overview

of the fund, selected securities, and the projects they help to finance.

In this report, we highlight the following issuers from the fund’s six thematic

investment areas:

■ Aspire Public Schools

■ Seattle Children’s Hospital

■ No Place Like Home Program

■ The Enterprise Community Loan Fund

■ The Philadelphia Biosolids Project

■ The Northern Indiana Commuter Transportation District

COVID-19 restrictions are being lifted, the economy is strengthening and credit

concerns that arose during the initial months of the pandemic are declining. Surprisingly

strong tax revenues throughout the pandemic, plus significant federal aid administered

through the American Rescue Plan, have strengthened the credit fundamentals of

many municipal bond issuers. However, we continue to closely monitor the trajectory and potential impact of the virus, with intense research fueling our investment

decisions. As always, our experienced management team is guided by our key tenets

of fundamental credit analysis, prudent security selection and risk management

in an effort to deliver strong long-term performance for the fund’s investors.

Columbia U.S. Social Bond Fund is built on the belief that investors do not need

to choose between pursuing financial or social goals. We remain committed

to helping our clients achieve both.

Kimberly CampbellSenior Portfolio Manager

Malcolm RyerseSenior Portfolio Manager

Head of Stewardship, Responsible Investment

Tom Murphy, CFASenior Portfolio Manager

Head of Investment Grade Credit

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Annual Social Impact Report 2021

Executive summary

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Doing well and doing good aren’t mutually exclusiveHow the fund and Sustainalytics work together

Who is Sustainalytics?Sustainalytics, a Morningstar Company, is a leading ESG research, ratings and data firm that supports investors around the world with the development and implementation of responsible investment strategies.

For more than 25 years, the firm has been at the forefront of developing high-quality, innovative solutions to meet the evolving needs of global investors.

Today Sustainalytics works with hundreds of the world’s leading asset managers and pension funds who incorporate ESG and corporate governance information and assessments into their investment processes.

Sustainalytics also works with hundreds of companies and their financial intermediaries to help them consider sustainability in policies, practices and capital projects.

With 16 offices globally, Sustainalytics has more than 650 staff members, including more than 200 analysts with varied multidisciplinary expertise across more than 40 industry groups.

For more information, visit sustainalytics.com.

Capital markets play an important role in addressing social and environmental challenges, and there’s a growing appetite among investors to effect positive change through their investments. Columbia U.S. Social Bond Fund helps to meet this growing demand.

What is the fund’s objective?Columbia U.S. Social Bond Fund seeks total return, consisting of current income and capital appreciation, through investments that strive to support and fund socially and environmentally beneficial activities and developments primarily in the U.S.

Investments may aim to increase access to education, affordable housing, health care, employment, renewable energy, clean water and similar socially or environmentally impactful benefits among underserved or at-risk populations. The fund may also invest in solutions aimed at mitigating the negative effects of climate change and environmental degradation.

The fund’s social impact strategy focuses on municipal bonds that inherently serve the social and environmental needs of communities. In addition, the strategy may allocate a portion of its assets to corporate bonds that demonstrate strong financial characteristics and adhere to our ESG standards. These bonds can make a positive and measurable social and environmental impact.

What role does Sustainalytics play?Sustainalytics codeveloped the Columbia U.S. Social Bond Fund impact assessment framework and is responsible for the production of an annual Social Impact Report for the fund. The report provides an overview of the social impact assessment methodology of the fund and illustrates some of the positive results of the projects and services the fund is helping to finance. Columbia Threadneedle separately reports on the fund’s financial performance.

Quarterly, Sustainalytics reviews the impact intensity ratings of each security with the fund’s portfolio managers. Sustainalytics also consults, as needed, on how to apply the impact assessment framework for a specific security.

MUNICIPAL BOND THEMATIC IMPACT AREAS

■ High

■■ Elevated

■■ Moderate

MUNICIPAL BOND IMPACT

As of August 31, 2021, the fund invested $71 million in 196 bonds, 90% of which are municipal securities.

■ Education

■ Affordable housing

■ Health and social services

■ Environment and energy

■ Economic opportunity and community development

■ Connectivity

■ Other

Underserved communities have the potential to be vibrant places of opportunity. A holistic approach that fosters the development of people, businesses, services and infrastructure can strengthen communities and improve both the quality of life and the local economy. Carefully selected responsible investments can catalyze positive changes within communities.

Columbia U.S. Social Bond Fund is distinctive in offering clients a mutual fund solution that incorporates the potential for social and environmental impact with a disciplined investment process that emphasizes tax-efficient financial return. We actively manage a portfolio that seeks total return through relative value by investing in bonds that promote demonstrable positive impact and offer high potential to outperform.

79% of the fund’s muni bonds have high and elevated social impact*

Content was written by Jensen Hodge, Sr Associate, Client Relations, and Mary Catherine Landy, Associate, Client Relations of Sustainalytics.

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Investment process

Our disciplined investment process enhances security selection through independent credit analysis — providing detailed fundamental credit research that considers many analytical factors such as financial performance, sector trends, covenant provisions, liability profile and social impact score. Detailed research reports including internal ratings and recommendations help us identify opportunities and potential risks.

Our active portfolio management approach emphasizes risk management and targets risk-awareness through calculated risk-taking to enhance returns and promote diversification. Portfolio managers use a top-down, bottom-up investment approach that incorporates relative value analysis to express their strategy through yield curve positioning, issuer selection, and quality and sector allocations.

Exploiting value opportunities requires an experienced team to adapt to changing sources of value, to focus on risk-adjusted return and to capitalize on market dislocations. Our knowledgeable investment team consists of portfolio managers, analysts and traders who have experience working through multiple market cycles.

$36.6 billion in RI assets (as of 06/30/2021) Through mutual funds, ETFs, high‑net‑worth accounts and institutional separate accounts, in the U.S. and overseas, Columbia Threadneedle is fully committed to responsible investment.

Portfolio management and risk management: A continuous process

Impact measurement and evaluation are rooted in our fundamental credit research process.

How a continuous process targets strong outcomes

INVESTMENT GOALS FUNDAMENTAL

CREDIT RESEARCH

■ Proprietary research independent from rating agencies

■ Experienced analysts with sector knowledge assign internal ratings and impact scores

■ Securities reviewed before purchase and ongoing surveillance

■ Collaborative partnership with portfolio managers and traders

DEDICATED TRADING TEAM

■ Pursues best execution and capitalizes on market inefficiencies

■ Identifies and sources relative value opportunities

■ Equipped with leading-edge technologies

■ Attractive risk-adjusted return and measurable positive impact

■ Calculated approach to risk management

■ Relative value portfolio construction

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Where we invest — and whyHow we choose our investments

AFFORDABLE HOUSINGThe challenge of housing affordability contributes to a cycle of poverty and restricted access to education and quality employment for low- and moderate-income families. The fund’s investments aim to support affordable housing initiatives in communities across the nation. 35 holdings | 18% of assets | 86% high and elevated impact

CONNECTIVITYSustainable initiatives that connect communities through transportation or information connectivity not only facilitate community and economic development, but also provide environmental benefits. Examples of investments in this area may include public mass transit, bicycle lanes or public communication networks, which provide affordable connectivity options. 11 holdings | 7% of assets | 82% high and elevated impact

ECONOMIC OPPORTUNITY AND COMMUNITY DEVELOPMENTThe viability and diversification of local economies can improve the social fabric of the nation as a whole. The fund seeks investment opportunities that support local community economic development efforts to create economic opportunities and improve quality of life. 18 holdings | 10% of assets | 89% high and elevated impact

EDUCATIONBy providing access and eliminating barriers to education for economically disadvantaged students, the fund seeks to support schools and communities making a difference in learning and development.

45 holdings | 24% of assets | 84% high and elevated impact

ENVIRONMENT AND ENERGYCommunities and society at large benefit from improvements in energy efficiency, as well as sustainable water and waste management practices. The fund actively seeks investments in sustainable energy and resource management. 26 holdings | 15% of assets | 73% high and elevated impact

HEALTH AND SOCIAL SERVICES Many Americans face barriers accessing basic health care services. The fund’s investments target providers of health care services that serve disadvantaged populations who rely on government programs, such as Medicaid, for their coverage.

32 holdings | 20% of assets | 84% high and elevated impact

Municipal social assessment framework

Columbia U.S. Social Bond Fund strategically targets six thematic impact areas described in the table below. All are interrelated and interdependent. Investments in education, connectivity, affordable housing and the environment are closely linked to health and economic opportunities; the benefits of investing in one area may have a positive ripple effect in other areas.

For example, quality affordable housing helps create a stable environment for children, which can contribute to improved educational outcomes. While the evaluation of impact in this report does not consider those future ripple effects, it’s worth considering how investing in critical thematic areas can help reach a broader scale of social outcomes.

High and elevated impact percentages are based on number of holdings within theme.

Columbia Threadneedle and Sustainalytics codeveloped a social impact assessment framework that evaluates expected positive impact in a structured and consistent manner. The assessment focuses on two dimensions of impact: what the nature of the service or project is (nature of impact) and who it targets (intensity of impact).

Nature of impact measures the degree to which, based on the nature of the service or project, the proceeds invested can be expected to have a positive impact on the lives of people and communities, especially those in disadvantaged communities.

Intensity of impact measures the extent to which investments target disadvantaged individuals and/or communities.

The thresholds used to determine the intensity of impact have been defined for each thematic area using quantitative data such as poverty rates, median income and other socioeconomic metrics.

After assessing the nature of impact and intensity of impact of a bond, the two dimensions are combined to determine the expected overall impact of each investment opportunity on a scale of high, elevated or moderate.

HIGH IMPACTThe project/activity financed by the bond is expected to have a high social and/or environmental impact that typically benefits the neediest segments of the population.

ELEVATED IMPACTThe project/activity financed by the bond is expected to have an elevated social and/or environmental impact that typically benefits needy segments of the population.

MODERATE IMPACTThe project/activity financed by the bond is expected to have a positive social and/or environmental impact that typically benefits the general population.

Nature of impact

Intensity of impact

Overall impact



Case studies: Areas of impact

Where the fund is making a difference

SPOTLIGHT ON

Connectivity

The South Shore Line is 90 miles long, offering rail service to downtown Chicago.

Northern Indiana Commuter Transportation DistrictINDIANA

The Northern Indiana Commuter Transportation District (NICTD) maintains and improves the electric-powered South Shore rail passenger service, operating between South Bend Regional Airport in South Bend, Indiana, and Millennial Station in Chicago. The line is approximately 90 miles long and serves the communities of Hammond, East Chicago, Gary, Ogden Dunes, Portage, Chesterton, Michigan City and South Bend. The goal of NICTD in operating the South Shore Line is to ensure that no one is denied participation, denied the economic and social benefits, or otherwise discriminated against in the provision of public transportation by commuter rail because of race, color or national origin.

The project connects the wider South Shore region to downtown Chicago jobs and employment centers, entices economic development, provides an alternative mode of transportation besides driving, lowers commuter costs, and increases property values near stations. NICTD also plans to extend transit service to Chicago along a nine-mile area from Hammond to Dyer.

The funds raised will support operating the South Shore Line, including enhancing safety, improving service reliability and reducing travel times.

SPOTLIGHT ON

Affordable housing

$1.1 billion has been awarded to projects expected to create 4,489 housing units.

No Place Like Home ProgramCALIFORNIA

The No Place Like Home Program is a California-based public initiative to invest in the development of permanent supportive housing for people who require mental health services and are experiencing homelessness or chronic homelessness, or who are at risk of chronic homelessness. A key feature of the program is that the funding for permanent supportive housing must utilize low-barrier tenant selection practices that prioritize vulnerable populations and offer flexible, voluntary and individualized supportive services. Counties that qualify to take part in the program must commit to provide mental health services and help coordinate access to other community-based supportive services.2

The mission of No Place Like Home is to promote safe, affordable homes, and vibrant, inclusive, sustainable communities for all Californians. Since March 2019, the program has awarded more than $1.1 billion to projects expected to create 4,489 housing units directly targeted to serve at-risk, under-privileged, low-income people who are at risk of chronic homelessness and mental health issues.3

The bond proceeds will finance the acquisition, design, construction, rehabilitation or preservation of permanent supportive housing so that California residents can live, work and play in healthy communities of opportunity, irrespective of income disparity or mental health disability.



SPOTLIGHT ON

Economic opportunity and community development

$1.74 billion has been invested in underserved communities since 1990.

Enterprise Community Loan Fund UNITED STATES SPOTLIGHT ON

Education

81% of the students Aspire serves qualify for free‑or‑reduced lunch

Aspire Public SchoolsCALIFORNIA

The Enterprise Community Loan Fund (ECLF) is one of the largest nonprofit loan funds in the country and has invested more than $1.74 billion across the United States since 1990. With a mission to create opportunities for low- and moderate-income people, they deliver innovative financial products and technical assistance to organizations that acquire, develop and preserve affordable housing in thriving, diverse communities.

ECLF aims to provide access to good jobs, schools, transportation and healthy living environments by addressing economic needs not met by traditional lenders. They provide loans for commercial development, educational services, manufacturing, and businesses, resulting in the facilitation of over 590,000 health care visits, the creation of 15,000 educational seats, and the development and rehab of over 4.1 million square feet of commercial real estate.

The funds raised help the ECLF support underserved communities, and access the funds and capital necessary to foster pride, power and belonging through mobility and development.4

Aspire Public Schools is a K-12 school system with the mission to open and operate small, high-quality, college-prep charter schools in underserved neighborhoods, and the goal to give every student the academic qualification and life skills to prepare them for a college education. Over its history, Aspire has delivered on its goal: for six years it has sent 100% of graduating seniors to four-year colleges and universities.

As of 2021, Aspire had enrolled over 15,500 students in 38 low-income communities across California,1 where 81% of the student body qualifies for free or reduced lunch — significantly higher than the 2019-20 state-wide average of 60%.

Proceeds from the bond will finance the continued operations and growth of the Aspire program, promoting better access to education and community development.



SPOTLIGHT ON

Health and social services

$184 million went toward uncompensated care for families in financial hardship in 2019 and 2020.

Seattle Children’s Hospital provides patient care and pediatric research across Washington, Alaska, Montana and Idaho, making it the central care system serving the largest geographic region of any children’s hospital in the United States. Backed by 100 years of experience, Seattle Children’s Hospital employs physicians in over 50 pediatric subspecialties and offers inpatient, outpatient, diagnostic, surgical, rehabilitative, behavioral, emergency and outreach services.

In 2019 and 2020, Seattle Children’s Hospital provided over $184 million in uncompensated care for families facing financial hardship. In addition, the hospital dedicated over $13 million to community programs and services, with a current focus on mental and behavioral health. Seattle Children’s Hospital has been ranked as a top children’s hospital by the U.S. News and World Report every year the report has been published.

Proceeds from the bond will help support the acquisition, expansion and modernization of facilities to provide the highest quality pediatric care and industry leading research for thousands of children and adolescents across the Northwest United States.

Seattle Children’s HospitalWASHINGTON, ALASKA, MONTANA AND IDAHO

SPOTLIGHT ON

Environment and energy

The project produces more than 50,000 dry tons of biosolid pellets annually.

The Philadelphia Biosolids Project is a recycling facility that processes Philadelphia’s sewage sludge into pelletized landfill, fertilizer and fuel materials. Started in 2009, the project produces more than 50,000 dry tons of biosolid pellets annually through a thermal drying process that removes moisture and significantly reduces the amount of sewage waste placed in landfills.

Over the 20-year contract, the City of Philadelphia and surrounding areas will see job creation, a reduction in off-site odor and noise disruptions, increased support for local farmers, and a significant reduction in greenhouse emissions. The project will also aide the city in its zero-waste efforts.5

The bond proceeds will help to increase the capacity of the Philadelphia Biosolids Project and continue to develop sustainable, renewable energy and organic fertilizer for the community.6

Philadelphia Biosolids ProjectPHILADELPHIA, PENNSYLVANIA



Corporate bonds

ESG impacts are a core consideration in the selection and management of the fund’s corporate investment‑grade bond holdings. Columbia Threadneedle takes this approach because of the fund’s focus on impact investing and its belief that the integration of ESG factors into traditional investment analysis and decision-making can improve long-term financial performance. In addition to Columbia Threadneedle’s fundamental credit research, the fund managers apply an assessment methodology to corporate bonds.

Corporate bond assessment methodologyTo assess the sustainability of each corporate issuer’s operations, products and services, Columbia Threadneedle uses proprietary research from Sustainalytics. This research provides an assessment of each company in terms of its preparedness and performance across a range of ESG indicators. It also provides information about the company’s involvement in any products that have notably positive or negative impacts.

The process considers the following: Ranking within peer group. The fund gives preference to companies with lower risk ratings within their peer group based on their overall ESG Risk Rating score. It excludes companies whose risk ratings rank in the top quartile of their industry.

Impact of product/service. The fund gives preference to issuers that offer products or services with notable social or environmental benefits. It excludes companies with substantial involvement in the production of alcohol, gambling, military contracting, firearms and tobacco.

Involvement in controversies. The fund will not invest in bonds issued by companies involved in major ESG controversies.§

1

2

3

How we assess bonds based on ESG factors

§ The controversy screen does not apply to credible green or social bonds unless a controversy relates to the bond’s use of proceeds and undermines Columbia Threadneedle’s confidence in the ability of the company to use the proceeds effectively.

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Investors should consider the investment objectives, risks, charges and expenses of a mutual fund carefully before investing. For a free prospectus or a summary prospectus, which contains this and other important information about the funds, visit columbiathreadneedle.com. Read the prospectus carefully before investing.

The views expressed in this material are the views of Sustainalytics through the period ended 08/31/21 and are subject to change without notice at any time based upon market and other factors. All information has been obtained from sources believed to be reliable, but its accuracy is not guaranteed. Investment decisions should always be made based on an investor’s specific financial needs, objectives, goals, time horizon and risk tolerance.

Columbia Threadneedle Investments’ views expressed are as of the date given, may change as market or other conditions change and may differ from views expressed by other associates or affiliates. This information is not intended to provide investment advice and does not take into consideration individual investor circumstances. Investment decisions should always be made based on an investor’s specific financial needs, objectives, goals, time horizon and risk tolerance. Asset classes described may not be suitable for all investors.

Market risk may affect a single issuer, sector of the economy, industry or the market as a whole. Social impact investing may increase risk due to the limitations and constraints involved in investment selection and, as a result, the fund may underperform other funds that do not consider the social impact. Fixed-income securities present issuer default risk. A rise in interest rates may result in a price decline of fixed-income instruments held by the fund, negatively impacting its performance and NAV. Falling rates may result in the fund investing in lower yielding debt instruments, lowering the fund’s income and yield. These risks may be heightened for longer maturity and duration securities. Non-investment-grade (high-yield or junk) securities present greater price volatility and more risk to principal and income than higher rated securities. Prepayment and extension risk exists because the timing of payments on a loan, bond or other investment may accelerate when interest rates fall or decelerate when interest rates rise, which may reduce investment opportunities and potential returns. The fund invests substantially in municipal securities and will be affected by tax, legislative, regulatory, demographic or political changes, as well as changes impacting a state’s financial, economic or other conditions. A relatively small number of tax-exempt issuers may necessitate the fund investing more heavily in a single issuer and, therefore, be more exposed to the risk of loss than a fund that invests more broadly. The fund may invest significantly in issuers within a particular sector, which may be negatively affected by market, economic or other conditions, making the fund more vulnerable to unfavorable developments in the sector. Market or other (e.g., interest rate) environments may adversely affect the liquidity of fund investments, negatively impacting their price. Generally, the less liquid the market at the time the fund sells a holding, the greater the risk of loss or decline of value to the fund. As a non-diversified fund, fewer investments could have a greater effect on performance.

Impact investing and/or Environmental Social Governance (ESG) investing has certain risks based on the fact that ESG criteria excludes securities of certain issuers for nonfinancial reasons; therefore, investors may forgo some market opportunities and the universe of investments available will be smaller.

Current and future holdings are subject to risk. Income from tax-exempt municipal bonds or municipal bond funds may be subject to state and local taxes, and a portion of income may be subject to the federal and/or state alternative minimum

tax for certain investors. Federal income tax rules will apply to any capital gains. Duration measures the sensitivity of bond prices to changes in interest rates. Bonds with a higher duration experience greater price volatility from interest rate movements. Top ten holdings and percentages as of 08/31/2021: PR HSG FIN AUTH PROJ 1.20%; CO DENVER CITY & CNTY SCH DIST #1 1.03%; IL CHICAGO WTR REV 1.01%; CA ST HFA NO PLACE LIKE

HOME 0.91%; DC WASHINGTON MET TRAN DEDICTD REV 0.90%; PA ST TURNPIKE COMMN TURNPIKE REV 0.89%; NJ ST ECO DEV AUTH TRANSIT PROJ 0.89%; IN BALL ST UNIV HSG & DINING SYS 0.87%; AL ST PUBLIC SCH & CLG AUTH 0.87%; TN BALLAD HEALTH OBLIG GROUP 0.87%

1 aspirepublicschools.org/discover_aspire/ 2 hcd.ca.gov/grants-funding/active-funding/nplh.shtml#background 3 hcd.ca.gov/grants-funding/active-funding/nplh/docs/hcd_nplh_annualreport_2019-20_web_ada.pdf 4 enterprisecommunity.org/financing-and-development/community-loan-fund 5 waterworld.com/home/article/16193172/facility-to-transform-philadelphias-sludge-into-class-a-biosolids 6 pidcphila.com/images/uploads/resource_library/AGENDA_PAID_7.28.20.pdf * Overall social impact ratings are assigned to each municipal investment on a scale of high, elevated and moderate; the overall rating considers both the nature of impact and the intensity of

impact. An investment is assigned a high-impact score if the project/activity financed by the bond is expected to have a high social and/or environmental impact that typically benefits the neediest segments of the population. An elevated-impact score is assigned if the project/activity financed by the bond is expected to have an elevated social and/or environmental impact that typically benefits needy segments of the population. A moderate-impact score is assigned if the project/activity financed by the bond is expected to have a positive social and/or environmental impact that typically benefits the general population.

Columbia Threadneedle Investments (Columbia Threadneedle) is the global brand name of the Columbia and Threadneedle group of companies. Columbia funds are distributed by Columbia Management Investment Distributors, Inc., member FINRA, and managed by Columbia Management Investment Advisers, LLC. Columbia Management Investment Distributors, Inc., 225 Franklin Street, Boston, MA 02110-2804 © 2021 Columbia Management Investment Advisers, LLC. All rights reserved.

To find out more, call 800.426.3750 or visit columbiathreadneedle.com

CT-MK/111939 J (10/21) VH96/3686076

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ANNUAL SOCIAL IMPACT REPORT 2021

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