Portfolio of Investments
Columbia Variable Portfolio – Intermediate Bond Fund, September 30, 2022 (Unaudited)
Columbia Variable Portfolio – Intermediate Bond Fund, September 30, 2022 (Unaudited)
(Percentages represent value of investments compared to net assets)
Investments in securities
Asset-Backed Securities — Agency 0.0% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
United States Small Business Administration | ||||
Series 2014-20I Class 1 | ||||
09/01/2034 | 2.920% | 131,564 | 123,068 | |
Total Asset-Backed Securities — Agency (Cost $133,534) | 123,068 | |||
Asset-Backed Securities — Non-Agency 15.5% | ||||
American Credit Acceptance Receivables Trust(a) | ||||
Subordinated Series 2021-3 Class B | ||||
02/13/2026 | 0.660% | 8,100,000 | 8,050,113 | |
Ares LVIII CLO Ltd.(a),(b) | ||||
Series 2020-58A Class DR | ||||
3-month Term SOFR + 3.200% Floor 3.200% 01/15/2035 | 5.528% | 6,500,000 | 5,637,158 | |
Ares XLVI CLO Ltd.(a),(b) | ||||
Series 2017-46A Class B1 | ||||
3-month USD LIBOR + 1.350% Floor 1.350% 01/15/2030 | 3.862% | 18,020,000 | 17,038,198 | |
Bain Capital Credit CLO Ltd.(a),(b) | ||||
Series 2018-1A Class B | ||||
3-month USD LIBOR + 1.400% 04/23/2031 | 4.183% | 22,300,000 | 20,797,671 | |
Series 2020-3A Class DR | ||||
3-month USD LIBOR + 3.250% Floor 3.250% 10/23/2034 | 6.033% | 5,000,000 | 4,340,760 | |
Series 2020-4A Class D | ||||
3-month USD LIBOR + 4.250% Floor 4.250% 10/20/2033 | 6.960% | 7,000,000 | 6,490,449 | |
Carlyle Group LP(a),(b) | ||||
Series 2017-5A Class A2 | ||||
3-month USD LIBOR + 1.400% 01/20/2030 | 4.110% | 12,000,000 | 11,211,480 | |
Cent CLO Ltd.(a),(b) | ||||
Series 2018-C17A Class A2R | ||||
3-month USD LIBOR + 1.600% Floor 1.600% 04/30/2031 | 4.382% | 21,000,000 | 19,737,690 | |
Dryden CLO Ltd.(a),(b) | ||||
Series 2018-57A Class B | ||||
3-month USD LIBOR + 1.350% Floor 1.350% 05/15/2031 | 4.255% | 14,617,500 | 13,767,346 |
Asset-Backed Securities — Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Series 2020-83A Class D | ||||
3-month USD LIBOR + 3.500% Floor 3.500% 01/18/2032 | 6.240% | 8,000,000 | 7,271,856 | |
Goldentree Loan Opportunities XI Ltd.(a),(b) | ||||
Series 2015-11A Class BR2 | ||||
3-month USD LIBOR + 1.350% 01/18/2031 | 4.090% | 10,000,000 | 9,536,800 | |
LendingPoint Asset Securitization Trust(a) | ||||
Series 2021-A Class A | ||||
12/15/2028 | 1.000% | 2,014,929 | 2,005,309 | |
Series 2021-B Class A | ||||
02/15/2029 | 1.110% | 5,235,332 | 5,138,555 | |
LL ABS Trust(a) | ||||
Series 2021-1A Class A | ||||
05/15/2029 | 1.070% | 3,954,827 | 3,813,173 | |
LP LMS Asset Securitization Trust(a) | ||||
Series 2021-2A Class A | ||||
01/15/2029 | 1.750% | 9,358,416 | 9,091,507 | |
Lucali CLO Ltd.(a),(b) | ||||
Series 2020-1A Class D | ||||
3-month USD LIBOR + 3.600% Floor 3.600% 01/15/2033 | 6.112% | 9,750,000 | 8,680,991 | |
Madison Park Funding XLVII Ltd.(a),(b) | ||||
Series 2020-47A Class D | ||||
3-month USD LIBOR + 4.100% Floor 4.000% 01/19/2034 | 6.738% | 13,175,000 | 12,409,150 | |
Madison Park Funding XXIV Ltd.(a),(b) | ||||
Series 2016-24A Class BR | ||||
3-month USD LIBOR + 1.750% 10/20/2029 | 4.489% | 20,000,000 | 19,510,660 | |
Madison Park Funding XXVII Ltd.(a),(b) | ||||
Series 2018-27A Class A2 | ||||
3-month USD LIBOR + 1.350% 04/20/2030 | 4.060% | 11,300,000 | 10,687,811 | |
Marlette Funding Trust(a) | ||||
Series 2020-2A Class D | ||||
09/16/2030 | 4.650% | 4,145,000 | 4,037,017 | |
Octagon 55 Ltd.(a),(b) | ||||
Series 2021-1A Class D | ||||
3-month USD LIBOR + 3.100% Floor 3.100% 07/20/2034 | 5.810% | 6,000,000 | 5,313,234 |
Columbia Variable Portfolio – Intermediate Bond Fund | Third Quarter Report 2022 | 1 |
Portfolio of Investments (continued)
Columbia Variable Portfolio – Intermediate Bond Fund, September 30, 2022 (Unaudited)
Columbia Variable Portfolio – Intermediate Bond Fund, September 30, 2022 (Unaudited)
Asset-Backed Securities — Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Octagon Investment Partners 35 Ltd.(a),(b) | ||||
Series 2018-1A Class A2 | ||||
3-month USD LIBOR + 1.400% Floor 1.400% 01/20/2031 | 4.110% | 20,375,000 | 19,310,875 | |
Octagon Investment Partners XXII Ltd.(a),(b) | ||||
Series 2014-1A Class BRR | ||||
3-month USD LIBOR + 1.450% Floor 1.450% 01/22/2030 | 4.209% | 45,625,000 | 43,464,063 | |
Oportun Issuance Trust(a) | ||||
Series 2021-B Class A | ||||
05/08/2031 | 1.470% | 27,500,000 | 24,484,917 | |
Subordinated Series 2021-B Class B | ||||
05/08/2031 | 1.960% | 3,065,000 | 2,704,148 | |
OZLM Funding IV Ltd.(a),(b) | ||||
Series 2013-4A Class D2R | ||||
3-month USD LIBOR + 7.250% Floor 7.250% 10/22/2030 | 10.009% | 1,962,500 | 1,625,766 | |
OZLM XXI(a),(b) | ||||
Series 2017-21A Class A2 | ||||
3-month USD LIBOR + 1.450% 01/20/2031 | 4.160% | 20,000,000 | 18,639,480 | |
Pagaya AI Debt Selection Trust(a) | ||||
Series 2020-3 Class B | ||||
05/17/2027 | 3.220% | 9,051,310 | 9,022,412 | |
Series 2021-1 Class A | ||||
11/15/2027 | 1.180% | 4,463,019 | 4,384,599 | |
Series 2021-3 Class A | ||||
05/15/2029 | 1.150% | 17,990,523 | 17,527,059 | |
Series 2021-5 Class A | ||||
08/15/2029 | 1.530% | 11,944,361 | 11,531,615 | |
Subordinated Series 2021-3 Class B | ||||
05/15/2029 | 1.740% | 9,049,507 | 8,362,226 | |
Subordinated Series 2021-5 Class B | ||||
08/15/2029 | 2.630% | 10,998,704 | 9,956,818 | |
Pagaya AI Debt Trust(a) | ||||
Series 2022-1 Class A | ||||
10/15/2029 | 2.030% | 15,014,599 | 14,493,257 | |
Subordinated Series 2022-1 Class B | ||||
10/15/2029 | 3.344% | 10,198,651 | 9,155,506 | |
PAGAYA AI Debt Trust(a) | ||||
Subordinated Series 2022-3 Class B | ||||
03/15/2030 | 8.050% | 9,000,000 | 8,745,632 | |
Prosper Pass-Through Trust(a),(c) | ||||
Series 2019-ST2 Class A | ||||
11/15/2025 | 3.750% | 1,251,861 | 1,251,861 |
Asset-Backed Securities — Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Research-Driven Pagaya Motor Asset Trust IV(a) | ||||
Series 2021-2A Class A | ||||
03/25/2030 | 2.650% | 8,367,697 | 7,326,006 | |
RR 3 Ltd.(a),(b) | ||||
Series 2014-14A Class A2R2 | ||||
3-month USD LIBOR + 1.400% Floor 1.400% 01/15/2030 | 3.912% | 28,000,000 | 26,628,308 | |
Stewart Park CLO Ltd.(a),(b) | ||||
Series 2017-1A Class BR | ||||
3-month USD LIBOR + 1.370% Floor 1.370% 01/15/2030 | 3.882% | 11,171,429 | 10,552,331 | |
Theorem Funding Trust(a) | ||||
Series 2021-1A Class A | ||||
12/15/2027 | 1.210% | 5,963,852 | 5,843,035 | |
Upstart Pass-Through Trust(a) | ||||
Series 2020-ST6 Class A | ||||
01/20/2027 | 3.000% | 4,325,882 | 4,126,357 | |
Series 2021-ST1 Class A | ||||
02/20/2027 | 2.750% | 6,238,118 | 5,951,722 | |
Series 2021-ST10 Class A | ||||
01/20/2030 | 2.250% | 12,883,859 | 12,223,619 | |
Upstart Securitization Trust(a) | ||||
Series 2021-3 Class A | ||||
07/20/2031 | 0.830% | 5,480,639 | 5,298,224 | |
Series 2021-4 Class A | ||||
09/20/2031 | 0.840% | 11,421,698 | 10,961,909 | |
Subordinated Series 2021-3 Class B | ||||
07/20/2031 | 1.660% | 11,050,000 | 10,248,391 | |
Subordinated Series 2021-4 Class B | ||||
09/20/2031 | 1.840% | 11,370,000 | 10,237,143 | |
Total Asset-Backed Securities — Non-Agency (Cost $551,140,848) | 518,624,207 | |||
Commercial Mortgage-Backed Securities - Agency 1.7% | ||||
Federal National Mortgage Association(d) | ||||
Series 2017-M15 Class ATS2 | ||||
11/25/2027 | 3.209% | 47,110,982 | 44,361,185 | |
FRESB Mortgage Trust(d) | ||||
Series 2018-SB45 Class A10F (FHLMC) | ||||
11/25/2027 | 3.160% | 7,985,424 | 7,644,465 | |
Government National Mortgage Association(d),(e) | ||||
Series 2019-147 Class IO | ||||
06/16/2061 | 0.396% | 125,791,773 | 5,190,131 | |
Total Commercial Mortgage-Backed Securities - Agency (Cost $67,568,778) | 57,195,781 | |||
2 | Columbia Variable Portfolio – Intermediate Bond Fund | Third Quarter Report 2022 |
Portfolio of Investments (continued)
Columbia Variable Portfolio – Intermediate Bond Fund, September 30, 2022 (Unaudited)
Columbia Variable Portfolio – Intermediate Bond Fund, September 30, 2022 (Unaudited)
Commercial Mortgage-Backed Securities - Non-Agency 7.0% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
American Homes 4 Rent Trust(a) | ||||
Series 2014-SFR3 Class A | ||||
12/17/2036 | 3.678% | 2,148,469 | 2,073,661 | |
BAMLL Commercial Mortgage Securities Trust(a),(d) | ||||
Series 2013-WBRK Class A | ||||
03/10/2037 | 3.652% | 5,550,000 | 5,070,655 | |
BBCMS Trust(a),(b) | ||||
Subordinated Series 2018-BXH Class E | ||||
1-month USD LIBOR + 2.250% Floor 2.250% 10/15/2037 | 5.068% | 10,581,000 | 10,059,049 | |
BFLD Trust(a),(b) | ||||
Series 2019-DPLO Class F | ||||
1-month USD LIBOR + 2.540% Floor 2.540% 10/15/2034 | 5.358% | 4,900,000 | 4,631,563 | |
Subordinated Series 2019-DPLO Class D | ||||
1-month USD LIBOR + 1.840% Floor 1.840% 10/15/2034 | 4.658% | 3,050,000 | 2,888,950 | |
Braemar Hotels & Resorts Trust(a),(b) | ||||
Series 2018-PRME Class E | ||||
1-month USD LIBOR + 2.400% Floor 2.400% 06/15/2035 | 5.218% | 6,310,000 | 5,855,789 | |
Subordinated Series 2018-PRME Class D | ||||
1-month USD LIBOR + 1.800% Floor 1.925% 06/15/2035 | 4.618% | 6,950,000 | 6,691,612 | |
CLNY Trust(a),(b) | ||||
Series 2019-IKPR Class A | ||||
1-month USD LIBOR + 1.129% Floor 1.129% 11/15/2038 | 3.947% | 4,400,000 | 4,235,567 | |
Subordinated Series 2019-IKPR Class E | ||||
1-month USD LIBOR + 2.721% Floor 2.721% 11/15/2038 | 5.539% | 14,900,000 | 13,857,769 | |
Cold Storage Trust(a),(b) | ||||
Subordinated Series 2020-ICE5 Class F | ||||
1-month USD LIBOR + 3.492% Floor 3.333% 11/15/2037 | 6.310% | 3,096,420 | 2,942,685 | |
COMM Mortgage Trust(a),(d) | ||||
Subordinated Series 2020-CBM Class E | ||||
02/10/2037 | 3.754% | 10,950,000 | 9,394,636 | |
Credit Suisse Mortgage Capital Certificates OA LLC(a) | ||||
Series 2014-USA Class A2 | ||||
09/15/2037 | 3.953% | 15,735,000 | 14,282,782 | |
Subordinated Series 2014-USA Class E | ||||
09/15/2037 | 4.373% | 19,065,000 | 14,070,061 |
Commercial Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Subordinated Series 2014-USA Class F | ||||
09/15/2037 | 4.373% | 16,000,000 | 10,933,394 | |
Extended Stay America Trust(a),(b) | ||||
Series 2021-ESH Class D | ||||
1-month USD LIBOR + 2.250% Floor 2.250% 07/15/2038 | 4.641% | 9,938,831 | 9,492,256 | |
Hilton USA Trust(a),(d) | ||||
Series 2016-HHV Class F | ||||
11/05/2038 | 4.333% | 4,500,000 | 3,799,588 | |
Hilton USA Trust(a) | ||||
Subordinated Series 2016-SFP Class E | ||||
11/05/2035 | 5.519% | 10,901,000 | 10,440,941 | |
Morgan Stanley Capital I Trust(a),(d) | ||||
Series 2019-MEAD Class E | ||||
11/10/2036 | 3.283% | 13,400,000 | 11,589,344 | |
One New York Plaza Trust(a),(b) | ||||
Subordinated Series 2020-1NYP Class C | ||||
1-month USD LIBOR + 2.200% Floor 2.200% 01/15/2036 | 5.018% | 6,600,000 | 6,254,790 | |
Subordinated Series 2020-1NYP Class D | ||||
1-month USD LIBOR + 2.750% Floor 2.750% 01/15/2036 | 5.568% | 4,150,000 | 3,883,021 | |
Progress Residential 2020-SFR3 Trust(a) | ||||
Series 2020-SFR3 Class A | ||||
10/17/2027 | 1.294% | 7,982,076 | 7,173,211 | |
Progress Residential Trust(a) | ||||
Series 2020-SFR1 Class E | ||||
04/17/2037 | 3.032% | 19,775,000 | 18,102,767 | |
Subordinated Series 2019-SFR3 Class F | ||||
09/17/2036 | 3.867% | 2,775,000 | 2,646,916 | |
Subordinated Series 2019-SFR4 Class F | ||||
10/17/2036 | 3.684% | 1,735,000 | 1,642,281 | |
Subordinated Series 2020-SFR2 Class E | ||||
06/17/2037 | 5.115% | 5,900,000 | 5,618,327 | |
SFO Commercial Mortgage Trust(a),(b) | ||||
Series 2021-555 Class A | ||||
1-month USD LIBOR + 1.150% Floor 1.150% 05/15/2038 | 3.968% | 22,000,000 | 20,900,838 | |
UBS Commercial Mortgage Trust(a),(b) | ||||
Series 2018-NYCH Class B | ||||
1-month USD LIBOR + 1.250% Floor 1.250% 02/15/2032 | 4.068% | 10,469,000 | 10,194,179 |
Columbia Variable Portfolio – Intermediate Bond Fund | Third Quarter Report 2022 | 3 |
Portfolio of Investments (continued)
Columbia Variable Portfolio – Intermediate Bond Fund, September 30, 2022 (Unaudited)
Columbia Variable Portfolio – Intermediate Bond Fund, September 30, 2022 (Unaudited)
Commercial Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Wells Fargo Commercial Mortgage Trust(a),(b) | ||||
Series 2021-FCMT Class A | ||||
1-month USD LIBOR + 1.200% Floor 1.200% 05/15/2031 | 4.018% | 6,250,000 | 6,006,143 | |
Subordinated Series 2017-SMP Class C | ||||
1-month USD LIBOR + 1.325% Floor 1.200% 12/15/2034 | 4.143% | 9,000,000 | 8,753,017 | |
Total Commercial Mortgage-Backed Securities - Non-Agency (Cost $253,172,839) | 233,485,792 | |||
Convertible Bonds 0.0% | ||||
Cable and Satellite 0.0% | ||||
DISH Network Corp. | ||||
Subordinated | ||||
08/15/2026 | 3.375% | 721,000 | 496,048 | |
Total Convertible Bonds (Cost $686,690) | 496,048 | |||
Corporate Bonds & Notes(f) 22.9% | ||||
Aerospace & Defense 0.7% | ||||
BAE Systems PLC(a) | ||||
02/15/2031 | 1.900% | 11,480,000 | 8,695,481 | |
Boeing Co. (The) | ||||
08/01/2059 | 3.950% | 8,329,000 | 5,198,574 | |
05/01/2060 | 5.930% | 4,933,000 | 4,226,244 | |
Bombardier, Inc.(a) | ||||
12/01/2024 | 7.500% | 534,000 | 530,613 | |
TransDigm, Inc.(a) | ||||
03/15/2026 | 6.250% | 1,995,000 | 1,934,816 | |
TransDigm, Inc. | ||||
06/15/2026 | 6.375% | 1,198,000 | 1,132,390 | |
11/15/2027 | 5.500% | 438,000 | 380,388 | |
05/01/2029 | 4.875% | 460,000 | 370,788 | |
Total | 22,469,294 | |||
Airlines 0.1% | ||||
Air Canada(a) | ||||
08/15/2026 | 3.875% | 358,000 | 307,171 | |
American Airlines, Inc.(a) | ||||
07/15/2025 | 11.750% | 600,000 | 627,204 | |
American Airlines, Inc./AAdvantage Loyalty IP Ltd.(a) | ||||
04/20/2026 | 5.500% | 1,446,165 | 1,359,054 | |
04/20/2029 | 5.750% | 207,779 | 181,330 | |
Hawaiian Brand Intellectual Property Ltd./Miles Loyalty Ltd.(a) | ||||
01/20/2026 | 5.750% | 802,736 | 709,368 |
Corporate Bonds & Notes(f) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
United Airlines, Inc.(a) | ||||
04/15/2026 | 4.375% | 347,000 | 309,605 | |
04/15/2029 | 4.625% | 389,000 | 323,024 | |
Total | 3,816,756 | |||
Automotive 0.2% | ||||
Ford Motor Co. | ||||
02/12/2032 | 3.250% | 864,000 | 622,305 | |
Ford Motor Credit Co. LLC | ||||
11/13/2025 | 3.375% | 325,000 | 287,503 | |
01/09/2027 | 4.271% | 934,000 | 816,956 | |
08/17/2027 | 4.125% | 334,000 | 287,575 | |
02/16/2028 | 2.900% | 368,000 | 289,802 | |
02/10/2029 | 2.900% | 960,000 | 729,568 | |
Goodyear Tire & Rubber Co. (The) | ||||
07/15/2029 | 5.000% | 357,000 | 292,461 | |
IAA Spinco, Inc.(a) | ||||
06/15/2027 | 5.500% | 727,000 | 663,388 | |
KAR Auction Services, Inc.(a) | ||||
06/01/2025 | 5.125% | 355,000 | 342,650 | |
Panther BF Aggregator 2 LP/Finance Co., Inc.(a) | ||||
05/15/2027 | 8.500% | 665,000 | 635,569 | |
Tenneco, Inc.(a) | ||||
01/15/2029 | 7.875% | 335,000 | 331,791 | |
Total | 5,299,568 | |||
Banking 5.9% | ||||
Bank of America Corp.(g) | ||||
07/23/2031 | 1.898% | 32,855,000 | 24,473,830 | |
10/20/2032 | 2.572% | 10,390,000 | 7,954,695 | |
02/04/2033 | 2.972% | 18,020,000 | 14,116,784 | |
Citigroup, Inc.(g) | ||||
06/03/2031 | 2.572% | 4,618,000 | 3,637,608 | |
01/25/2033 | 3.057% | 19,236,000 | 15,168,997 | |
Goldman Sachs Group, Inc. (The)(g) | ||||
07/21/2032 | 2.383% | 13,579,000 | 10,257,482 | |
10/21/2032 | 2.650% | 18,433,000 | 14,122,925 | |
HSBC Holdings PLC(g) | ||||
05/24/2032 | 2.804% | 9,154,000 | 6,730,438 | |
11/22/2032 | 2.871% | 21,713,000 | 15,833,338 | |
JPMorgan Chase & Co.(g) | ||||
10/15/2030 | 2.739% | 7,987,000 | 6,508,943 | |
04/22/2032 | 2.580% | 27,720,000 | 21,452,559 | |
11/08/2032 | 2.545% | 24,791,000 | 18,845,817 | |
Morgan Stanley(g) | ||||
07/21/2032 | 2.239% | 4,533,000 | 3,408,586 | |
Subordinated | ||||
09/16/2036 | 2.484% | 1,860,000 | 1,332,819 | |
04/20/2037 | 5.297% | 9,485,000 | 8,547,462 |
4 | Columbia Variable Portfolio – Intermediate Bond Fund | Third Quarter Report 2022 |
Portfolio of Investments (continued)
Columbia Variable Portfolio – Intermediate Bond Fund, September 30, 2022 (Unaudited)
Columbia Variable Portfolio – Intermediate Bond Fund, September 30, 2022 (Unaudited)
Corporate Bonds & Notes(f) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Wells Fargo & Co.(g) | ||||
10/30/2030 | 2.879% | 609,000 | 501,330 | |
02/11/2031 | 2.572% | 32,216,000 | 25,785,578 | |
Total | 198,679,191 | |||
Brokerage/Asset Managers/Exchanges 0.1% | ||||
AG TTMT Escrow Issuer LLC(a) | ||||
09/30/2027 | 8.625% | 357,000 | 335,789 | |
Hightower Holding LLC(a) | ||||
04/15/2029 | 6.750% | 364,000 | 298,529 | |
NFP Corp(a) | ||||
10/01/2030 | 7.500% | 401,000 | 382,248 | |
NFP Corp.(a) | ||||
08/15/2028 | 4.875% | 366,000 | 312,449 | |
08/15/2028 | 6.875% | 1,494,000 | 1,165,320 | |
Total | 2,494,335 | |||
Building Materials 0.1% | ||||
American Builders & Contractors Supply Co., Inc.(a) | ||||
01/15/2028 | 4.000% | 408,000 | 356,941 | |
Beacon Roofing Supply, Inc.(a) | ||||
11/15/2026 | 4.500% | 670,000 | 613,946 | |
SRS Distribution, Inc.(a) | ||||
07/01/2028 | 4.625% | 470,000 | 402,922 | |
07/01/2029 | 6.125% | 385,000 | 309,566 | |
12/01/2029 | 6.000% | 515,000 | 410,317 | |
White Cap Buyer LLC(a) | ||||
10/15/2028 | 6.875% | 493,000 | 407,339 | |
Total | 2,501,031 | |||
Cable and Satellite 1.0% | ||||
CCO Holdings LLC/Capital Corp.(a) | ||||
03/01/2030 | 4.750% | 626,000 | 507,155 | |
08/15/2030 | 4.500% | 1,435,000 | 1,135,141 | |
02/01/2031 | 4.250% | 459,000 | 355,092 | |
02/01/2032 | 4.750% | 552,000 | 430,756 | |
CCO Holdings LLC/Capital Corp. | ||||
05/01/2032 | 4.500% | 558,000 | 425,305 | |
Charter Communications Operating LLC/Capital | ||||
05/01/2047 | 5.375% | 4,412,000 | 3,397,418 | |
06/30/2062 | 3.950% | 6,039,000 | 3,589,013 | |
04/01/2063 | 5.500% | 15,112,000 | 11,511,490 | |
CSC Holdings LLC(a) | ||||
02/01/2028 | 5.375% | 789,000 | 688,214 | |
01/15/2030 | 5.750% | 722,000 | 513,429 | |
12/01/2030 | 4.125% | 1,466,000 | 1,101,393 | |
12/01/2030 | 4.625% | 284,000 | 193,122 | |
11/15/2031 | 5.000% | 258,000 | 170,173 | |
DIRECTV Holdings LLC/Financing Co., Inc.(a) | ||||
08/15/2027 | 5.875% | 756,000 | 653,238 |
Corporate Bonds & Notes(f) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
DISH DBS Corp. | ||||
07/01/2026 | 7.750% | 466,000 | 357,373 | |
06/01/2029 | 5.125% | 1,327,000 | 779,746 | |
DISH DBS Corp.(a) | ||||
12/01/2028 | 5.750% | 1,086,000 | 818,773 | |
Radiate Holdco LLC/Finance, Inc.(a) | ||||
09/15/2026 | 4.500% | 604,000 | 495,219 | |
09/15/2028 | 6.500% | 907,000 | 629,380 | |
Sirius XM Radio, Inc.(a) | ||||
09/01/2026 | 3.125% | 552,000 | 484,835 | |
07/01/2030 | 4.125% | 266,000 | 217,004 | |
Videotron Ltd.(a) | ||||
06/15/2029 | 3.625% | 3,204,000 | 2,599,735 | |
Virgin Media Finance PLC(a) | ||||
07/15/2030 | 5.000% | 671,000 | 502,406 | |
Virgin Media Secured Finance PLC(a) | ||||
05/15/2029 | 5.500% | 566,000 | 487,197 | |
VZ Secured Financing BV(a) | ||||
01/15/2032 | 5.000% | 901,000 | 687,967 | |
Ziggo Bond Co. BV(a) | ||||
02/28/2030 | 5.125% | 432,000 | 309,505 | |
Ziggo Bond Finance BV(a) | ||||
01/15/2027 | 6.000% | 419,000 | 352,002 | |
Ziggo BV(a) | ||||
01/15/2030 | 4.875% | 896,000 | 708,472 | |
Total | 34,100,553 | |||
Chemicals 0.2% | ||||
Avient Corp.(a) | ||||
08/01/2030 | 7.125% | 343,000 | 317,922 | |
Axalta Coating Systems LLC(a) | ||||
02/15/2029 | 3.375% | 390,000 | 305,452 | |
Axalta Coating Systems LLC/Dutch Holding B BV(a) | ||||
06/15/2027 | 4.750% | 555,000 | 496,297 | |
Cheever Escrow Issuer LLC(a) | ||||
10/01/2027 | 7.125% | 398,000 | 358,438 | |
Element Solutions, Inc.(a) | ||||
09/01/2028 | 3.875% | 732,000 | 589,520 | |
HB Fuller Co. | ||||
10/15/2028 | 4.250% | 600,000 | 504,567 | |
Herens Holdco Sarl(a) | ||||
05/15/2028 | 4.750% | 544,000 | 445,046 | |
Illuminate Buyer LLC/Holdings IV, Inc.(a) | ||||
07/01/2028 | 9.000% | 845,000 | 702,758 | |
Innophos Holdings, Inc.(a) | ||||
02/15/2028 | 9.375% | 535,000 | 514,659 |
Columbia Variable Portfolio – Intermediate Bond Fund | Third Quarter Report 2022 | 5 |
Portfolio of Investments (continued)
Columbia Variable Portfolio – Intermediate Bond Fund, September 30, 2022 (Unaudited)
Columbia Variable Portfolio – Intermediate Bond Fund, September 30, 2022 (Unaudited)
Corporate Bonds & Notes(f) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Iris Holdings, Inc.(a),(h) | ||||
02/15/2026 | 8.750% | 323,000 | 284,532 | |
Olympus Water US Holding Corp.(a) | ||||
10/01/2029 | 6.250% | 188,000 | 128,718 | |
SPCM SA(a) | ||||
03/15/2027 | 3.125% | 228,000 | 199,395 | |
Unifrax Escrow Issuer Corp.(a) | ||||
09/30/2028 | 5.250% | 417,000 | 320,771 | |
WR Grace Holdings LLC(a) | ||||
06/15/2027 | 4.875% | 816,000 | 703,000 | |
08/15/2029 | 5.625% | 1,174,000 | 886,407 | |
Total | 6,757,482 | |||
Construction Machinery 0.0% | ||||
H&E Equipment Services, Inc.(a) | ||||
12/15/2028 | 3.875% | 651,000 | 516,877 | |
Herc Holdings, Inc.(a) | ||||
07/15/2027 | 5.500% | 162,000 | 145,813 | |
Ritchie Bros. Auctioneers, Inc.(a) | ||||
01/15/2025 | 5.375% | 223,000 | 219,000 | |
Total | 881,690 | |||
Consumer Cyclical Services 0.1% | ||||
APX Group, Inc.(a) | ||||
07/15/2029 | 5.750% | 171,000 | 135,342 | |
Arches Buyer, Inc.(a) | ||||
12/01/2028 | 6.125% | 635,000 | 488,107 | |
Staples, Inc.(a) | ||||
04/15/2026 | 7.500% | 353,000 | 296,367 | |
Uber Technologies, Inc.(a) | ||||
05/15/2025 | 7.500% | 315,000 | 314,323 | |
08/15/2029 | 4.500% | 1,999,000 | 1,682,348 | |
Total | 2,916,487 | |||
Consumer Products 0.1% | ||||
CD&R Smokey Buyer, Inc.(a) | ||||
07/15/2025 | 6.750% | 699,000 | 641,010 | |
Mattel, Inc.(a) | ||||
12/15/2027 | 5.875% | 380,000 | 366,362 | |
04/01/2029 | 3.750% | 788,000 | 664,586 | |
Mattel, Inc. | ||||
10/01/2040 | 6.200% | 1,049,000 | 986,402 | |
Newell Brands, Inc. | ||||
09/15/2027 | 6.375% | 137,000 | 135,864 | |
09/15/2029 | 6.625% | 194,000 | 189,719 | |
Prestige Brands, Inc.(a) | ||||
01/15/2028 | 5.125% | 470,000 | 424,171 |
Corporate Bonds & Notes(f) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Scotts Miracle-Gro Co. (The) | ||||
04/01/2031 | 4.000% | 133,000 | 93,549 | |
Spectrum Brands, Inc. | ||||
07/15/2025 | 5.750% | 254,000 | 241,131 | |
Spectrum Brands, Inc.(a) | ||||
10/01/2029 | 5.000% | 234,000 | 184,607 | |
07/15/2030 | 5.500% | 29,000 | 22,826 | |
Tempur Sealy International, Inc.(a) | ||||
10/15/2031 | 3.875% | 133,000 | 97,332 | |
Total | 4,047,559 | |||
Diversified Manufacturing 0.7% | ||||
Carrier Global Corp. | ||||
02/15/2030 | 2.722% | 9,344,000 | 7,712,223 | |
04/05/2050 | 3.577% | 3,739,000 | 2,584,044 | |
Gates Global LLC/Co.(a) | ||||
01/15/2026 | 6.250% | 1,054,000 | 979,482 | |
GE Capital International Funding Co. Unlimited Co. | ||||
11/15/2035 | 4.418% | 11,333,000 | 10,166,135 | |
General Electric Co.(b) | ||||
Junior Subordinated | ||||
3-month USD LIBOR + 3.330% 12/31/2049 | 6.623% | 5,000 | 4,692 | |
Madison IAQ LLC(a) | ||||
06/30/2028 | 4.125% | 1,154,000 | 933,822 | |
06/30/2029 | 5.875% | 407,000 | 283,796 | |
Resideo Funding, Inc.(a) | ||||
09/01/2029 | 4.000% | 516,000 | 416,069 | |
Vertical US Newco, Inc.(a) | ||||
07/15/2027 | 5.250% | 401,000 | 341,593 | |
WESCO Distribution, Inc.(a) | ||||
06/15/2025 | 7.125% | 770,000 | 770,020 | |
06/15/2028 | 7.250% | 299,000 | 294,279 | |
Total | 24,486,155 | |||
Electric 1.8% | ||||
AEP Texas, Inc. | ||||
01/15/2050 | 3.450% | 6,785,000 | 4,614,139 | |
Clearway Energy Operating LLC(a) | ||||
02/15/2031 | 3.750% | 760,000 | 604,191 | |
01/15/2032 | 3.750% | 229,000 | 177,783 | |
Duke Energy Corp. | ||||
08/15/2052 | 5.000% | 8,018,000 | 6,848,746 | |
Emera US Finance LP | ||||
06/15/2046 | 4.750% | 13,116,000 | 10,312,535 | |
Georgia Power Co. | ||||
03/15/2042 | 4.300% | 4,675,000 | 3,732,409 |
6 | Columbia Variable Portfolio – Intermediate Bond Fund | Third Quarter Report 2022 |
Portfolio of Investments (continued)
Columbia Variable Portfolio – Intermediate Bond Fund, September 30, 2022 (Unaudited)
Columbia Variable Portfolio – Intermediate Bond Fund, September 30, 2022 (Unaudited)
Corporate Bonds & Notes(f) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
NextEra Energy Operating Partners LP(a) | ||||
07/15/2024 | 4.250% | 631,000 | 604,920 | |
NRG Energy, Inc.(a) | ||||
02/15/2029 | 3.375% | 322,000 | 261,011 | |
06/15/2029 | 5.250% | 776,000 | 683,362 | |
02/15/2031 | 3.625% | 3,930,000 | 3,068,443 | |
02/15/2032 | 3.875% | 659,000 | 515,244 | |
Pacific Gas and Electric Co. | ||||
07/01/2050 | 4.950% | 14,610,000 | 10,743,452 | |
Southern Co. (The) | ||||
07/01/2046 | 4.400% | 3,505,000 | 2,755,216 | |
Vistra Operations Co. LLC(a) | ||||
02/15/2027 | 5.625% | 225,000 | 210,717 | |
05/01/2029 | 4.375% | 449,000 | 375,277 | |
Xcel Energy, Inc. | ||||
12/01/2029 | 2.600% | 3,308,000 | 2,744,388 | |
06/01/2030 | 3.400% | 11,830,000 | 10,295,935 | |
Total | 58,547,768 | |||
Environmental 0.1% | ||||
GFL Environmental, Inc.(a) | ||||
08/01/2025 | 3.750% | 735,000 | 678,229 | |
12/15/2026 | 5.125% | 481,000 | 448,897 | |
08/01/2028 | 4.000% | 612,000 | 510,126 | |
06/15/2029 | 4.750% | 402,000 | 340,134 | |
Waste Pro USA, Inc.(a) | ||||
02/15/2026 | 5.500% | 987,000 | 873,785 | |
Total | 2,851,171 | |||
Finance Companies 0.1% | ||||
Navient Corp. | ||||
01/25/2023 | 5.500% | 272,000 | 272,036 | |
OneMain Finance Corp. | ||||
09/15/2030 | 4.000% | 22,000 | 15,422 | |
Provident Funding Associates LP/Finance Corp.(a) | ||||
06/15/2025 | 6.375% | 556,000 | 499,937 | |
Quicken Loans LLC/Co-Issuer, Inc.(a) | ||||
03/01/2029 | 3.625% | 968,000 | 744,874 | |
Rocket Mortgage LLC/Co-Issuer, Inc.(a) | ||||
10/15/2033 | 4.000% | 1,580,000 | 1,092,145 | |
Total | 2,624,414 | |||
Food and Beverage 1.4% | ||||
Anheuser-Busch Companies LLC/InBev Worldwide, Inc. | ||||
02/01/2046 | 4.900% | 16,486,000 | 14,288,230 | |
Bacardi Ltd.(a) | ||||
05/15/2048 | 5.300% | 13,380,000 | 11,396,806 | |
Darling Ingredients, Inc.(a) | ||||
06/15/2030 | 6.000% | 429,000 | 409,475 |
Corporate Bonds & Notes(f) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
FAGE International SA/USA Dairy Industry, Inc.(a) | ||||
08/15/2026 | 5.625% | 1,961,000 | 1,725,889 | |
Grupo Bimbo SAB de CV(a) | ||||
06/27/2024 | 3.875% | 2,256,000 | 2,205,402 | |
JBS USA LUX SA/Food Co./Finance, Inc.(a) | ||||
01/15/2030 | 5.500% | 496,000 | 458,101 | |
12/01/2031 | 3.750% | 715,000 | 571,038 | |
Kraft Heinz Foods Co. | ||||
06/01/2046 | 4.375% | 9,456,000 | 7,366,068 | |
Lamb Weston Holdings, Inc.(a) | ||||
01/31/2030 | 4.125% | 375,000 | 317,093 | |
01/31/2032 | 4.375% | 373,000 | 309,145 | |
Pilgrim’s Pride Corp.(a) | ||||
09/30/2027 | 5.875% | 971,000 | 944,049 | |
04/15/2031 | 4.250% | 1,471,000 | 1,180,010 | |
03/01/2032 | 3.500% | 4,719,000 | 3,559,159 | |
Post Holdings, Inc.(a) | ||||
03/01/2027 | 5.750% | 510,000 | 487,015 | |
09/15/2031 | 4.500% | 897,000 | 722,085 | |
Primo Water Holdings, Inc.(a) | ||||
04/30/2029 | 4.375% | 770,000 | 637,950 | |
Simmons Foods, Inc./Prepared Foods, Inc./Pet Food, Inc./Feed(a) | ||||
03/01/2029 | 4.625% | 833,000 | 680,703 | |
US Foods, Inc.(a) | ||||
04/15/2025 | 6.250% | 342,000 | 336,958 | |
02/15/2029 | 4.750% | 535,000 | 457,941 | |
06/01/2030 | 4.625% | 377,000 | 312,688 | |
Total | 48,365,805 | |||
Gaming 0.2% | ||||
Boyd Gaming Corp.(a) | ||||
06/15/2031 | 4.750% | 589,000 | 476,890 | |
Caesars Entertainment, Inc.(a) | ||||
10/15/2029 | 4.625% | 1,045,000 | 801,650 | |
Colt Merger Sub, Inc.(a) | ||||
07/01/2025 | 5.750% | 924,000 | 891,810 | |
07/01/2025 | 6.250% | 1,994,000 | 1,921,718 | |
07/01/2027 | 8.125% | 756,000 | 723,087 | |
International Game Technology PLC(a) | ||||
04/15/2026 | 4.125% | 244,000 | 222,844 | |
Midwest Gaming Borrower LLC(a) | ||||
05/01/2029 | 4.875% | 660,000 | 544,169 | |
Penn National Gaming, Inc.(a) | ||||
07/01/2029 | 4.125% | 730,000 | 562,158 | |
Scientific Games Holdings LP/US FinCo, Inc.(a) | ||||
03/01/2030 | 6.625% | 618,000 | 495,100 | |
Wynn Las Vegas LLC/Capital Corp.(a) | ||||
03/01/2025 | 5.500% | 311,000 | 291,049 |
Columbia Variable Portfolio – Intermediate Bond Fund | Third Quarter Report 2022 | 7 |
Portfolio of Investments (continued)
Columbia Variable Portfolio – Intermediate Bond Fund, September 30, 2022 (Unaudited)
Columbia Variable Portfolio – Intermediate Bond Fund, September 30, 2022 (Unaudited)
Corporate Bonds & Notes(f) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Wynn Resorts Finance LLC/Capital Corp.(a) | ||||
04/15/2025 | 7.750% | 285,000 | 280,017 | |
10/01/2029 | 5.125% | 241,000 | 194,753 | |
Total | 7,405,245 | |||
Health Care 1.0% | ||||
Acadia Healthcare Co., Inc.(a) | ||||
07/01/2028 | 5.500% | 233,000 | 212,830 | |
04/15/2029 | 5.000% | 243,000 | 215,512 | |
AdaptHealth LLC(a) | ||||
08/01/2029 | 4.625% | 121,000 | 96,967 | |
03/01/2030 | 5.125% | 920,000 | 759,150 | |
Avantor Funding, Inc.(a) | ||||
07/15/2028 | 4.625% | 574,000 | 511,649 | |
11/01/2029 | 3.875% | 1,000,000 | 812,401 | |
Becton Dickinson Euro Finance SARL | ||||
08/13/2041 | 1.336% | EUR | 5,285,000 | 3,132,839 |
Charles River Laboratories International, Inc.(a) | ||||
03/15/2029 | 3.750% | 423,000 | 352,131 | |
03/15/2031 | 4.000% | 128,000 | 104,161 | |
CHS/Community Health Systems, Inc.(a) | ||||
03/15/2026 | 8.000% | 194,000 | 168,889 | |
03/15/2027 | 5.625% | 154,000 | 118,614 | |
04/15/2029 | 6.875% | 489,000 | 236,735 | |
05/15/2030 | 5.250% | 1,032,000 | 718,055 | |
CVS Health Corp. | ||||
03/25/2048 | 5.050% | 3,890,000 | 3,424,496 | |
HCA, Inc.(a) | ||||
03/15/2052 | 4.625% | 23,308,000 | 17,536,250 | |
Mozart Debt Merger Sub, Inc.(a) | ||||
04/01/2029 | 3.875% | 151,000 | 121,260 | |
10/01/2029 | 5.250% | 228,000 | 172,138 | |
Owens & Minor, Inc.(a) | ||||
04/01/2030 | 6.625% | 376,000 | 330,851 | |
Radiology Partners, Inc.(a) | ||||
02/01/2028 | 9.250% | 159,000 | 104,042 | |
RP Escrow Issuer LLC(a) | ||||
12/15/2025 | 5.250% | 495,000 | 408,846 | |
Select Medical Corp.(a) | ||||
08/15/2026 | 6.250% | 800,000 | 753,102 | |
Tenet Healthcare Corp. | ||||
07/15/2024 | 4.625% | 574,000 | 555,384 | |
Tenet Healthcare Corp.(a) | ||||
01/01/2026 | 4.875% | 495,000 | 459,667 | |
02/01/2027 | 6.250% | 627,000 | 585,186 | |
10/01/2028 | 6.125% | 820,000 | 723,411 | |
06/01/2029 | 4.250% | 91,000 | 75,323 | |
01/15/2030 | 4.375% | 674,000 | 562,137 | |
Total | 33,252,026 |
Corporate Bonds & Notes(f) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Healthcare Insurance 0.2% | ||||
Centene Corp. | ||||
12/15/2029 | 4.625% | 834,000 | 749,223 | |
10/15/2030 | 3.000% | 734,000 | 580,903 | |
08/01/2031 | 2.625% | 4,954,000 | 3,750,283 | |
Total | 5,080,409 | |||
Home Construction 0.0% | ||||
Meritage Homes Corp.(a) | ||||
04/15/2029 | 3.875% | 974,000 | 774,093 | |
Taylor Morrison Communities, Inc./Holdings II(a) | ||||
04/15/2023 | 5.875% | 623,000 | 625,809 | |
Total | 1,399,902 | |||
Independent Energy 1.0% | ||||
Apache Corp. | ||||
01/15/2030 | 4.250% | 1,243,000 | 1,082,737 | |
09/01/2040 | 5.100% | 873,000 | 706,224 | |
02/01/2042 | 5.250% | 398,000 | 324,518 | |
04/15/2043 | 4.750% | 434,000 | 323,989 | |
01/15/2044 | 4.250% | 424,000 | 302,300 | |
Callon Petroleum Co. | ||||
07/01/2026 | 6.375% | 1,124,000 | 1,013,028 | |
Callon Petroleum Co.(a) | ||||
08/01/2028 | 8.000% | 213,000 | 196,315 | |
CNX Resources Corp.(a) | ||||
03/14/2027 | 7.250% | 50,000 | 48,706 | |
01/15/2029 | 6.000% | 337,000 | 309,665 | |
01/15/2031 | 7.375% | 50,000 | 48,986 | |
Colgate Energy Partners III LLC(a) | ||||
07/01/2029 | 5.875% | 558,000 | 498,417 | |
Comstock Resources, Inc.(a) | ||||
03/01/2029 | 6.750% | 307,000 | 284,116 | |
01/15/2030 | 5.875% | 566,000 | 492,747 | |
Hilcorp Energy I LP/Finance Co.(a) | ||||
02/01/2029 | 5.750% | 571,000 | 503,891 | |
04/15/2030 | 6.000% | 334,000 | 294,631 | |
04/15/2032 | 6.250% | 231,000 | 205,471 | |
Matador Resources Co. | ||||
09/15/2026 | 5.875% | 582,000 | 562,094 | |
Occidental Petroleum Corp. | ||||
07/15/2025 | 8.000% | 494,000 | 524,709 | |
09/01/2030 | 6.625% | 1,880,000 | 1,904,772 | |
01/01/2031 | 6.125% | 5,569,000 | 5,484,849 | |
09/15/2036 | 6.450% | 11,432,000 | 11,382,184 | |
03/15/2040 | 6.200% | 1,074,000 | 1,039,048 | |
03/15/2046 | 6.600% | 5,510,000 | 5,618,456 |
8 | Columbia Variable Portfolio – Intermediate Bond Fund | Third Quarter Report 2022 |
Portfolio of Investments (continued)
Columbia Variable Portfolio – Intermediate Bond Fund, September 30, 2022 (Unaudited)
Columbia Variable Portfolio – Intermediate Bond Fund, September 30, 2022 (Unaudited)
Corporate Bonds & Notes(f) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Southwestern Energy Co. | ||||
02/01/2029 | 5.375% | 249,000 | 226,209 | |
02/01/2032 | 4.750% | 1,181,000 | 992,699 | |
Total | 34,370,761 | |||
Integrated Energy 0.1% | ||||
Cenovus Energy, Inc. | ||||
02/15/2052 | 3.750% | 3,240,000 | 2,195,570 | |
Lukoil International Finance BV(a) | ||||
04/24/2023 | 4.563% | 2,256,000 | 2,005,681 | |
Total | 4,201,251 | |||
Leisure 0.2% | ||||
Carnival Corp.(a) | ||||
03/01/2026 | 7.625% | 704,000 | 535,040 | |
03/01/2027 | 5.750% | 1,410,000 | 988,640 | |
08/01/2028 | 4.000% | 510,000 | 411,652 | |
05/01/2029 | 6.000% | 607,000 | 400,260 | |
Cedar Fair LP/Canada’s Wonderland Co./Magnum Management Corp./Millennium Operations LLC(a) | ||||
05/01/2025 | 5.500% | 564,000 | 543,154 | |
Cedar Fair LP/Canada’s Wonderland Co./Magnum Management Corp./Millennium Operations LLC | ||||
10/01/2028 | 6.500% | 284,000 | 263,268 | |
Cinemark USA, Inc.(a) | ||||
05/01/2025 | 8.750% | 168,000 | 170,787 | |
03/15/2026 | 5.875% | 841,000 | 705,678 | |
NCL Corp., Ltd.(a) | ||||
02/15/2029 | 7.750% | 91,000 | 68,691 | |
NCL Finance Ltd.(a) | ||||
03/15/2028 | 6.125% | 181,000 | 127,962 | |
Royal Caribbean Cruises Ltd.(a) | ||||
06/15/2023 | 9.125% | 176,000 | 179,755 | |
07/01/2026 | 4.250% | 474,000 | 349,936 | |
08/31/2026 | 5.500% | 600,000 | 459,045 | |
07/15/2027 | 5.375% | 235,000 | 172,664 | |
04/01/2028 | 5.500% | 619,000 | 435,145 | |
Royal Caribbean Cruises Ltd. | ||||
03/15/2028 | 3.700% | 620,000 | 402,991 | |
Royal Caribbean Cruises Ltd.(a),(i) | ||||
01/15/2029 | 8.250% | 431,000 | 419,264 | |
Total | 6,633,932 | |||
Life Insurance 0.2% | ||||
Peachtree Corners Funding Trust(a) | ||||
02/15/2025 | 3.976% | 4,984,000 | 4,811,757 |
Corporate Bonds & Notes(f) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Teachers Insurance & Annuity Association of America(a) | ||||
Subordinated | ||||
09/15/2044 | 4.900% | 992,000 | 884,495 | |
Total | 5,696,252 | |||
Lodging 0.0% | ||||
Hilton Domestic Operating Co., Inc.(a) | ||||
02/15/2032 | 3.625% | 535,000 | 410,239 | |
Media and Entertainment 1.3% | ||||
Cengage Learning, Inc.(a) | ||||
06/15/2024 | 9.500% | 841,000 | 788,873 | |
Clear Channel Outdoor Holdings, Inc.(a) | ||||
04/15/2028 | 7.750% | 249,000 | 186,565 | |
06/01/2029 | 7.500% | 1,070,000 | 777,251 | |
Clear Channel Worldwide Holdings, Inc.(a) | ||||
08/15/2027 | 5.125% | 401,000 | 339,868 | |
iHeartCommunications, Inc. | ||||
05/01/2026 | 6.375% | 566,350 | 525,439 | |
05/01/2027 | 8.375% | 441,774 | 372,038 | |
iHeartCommunications, Inc.(a) | ||||
08/15/2027 | 5.250% | 439,000 | 374,195 | |
01/15/2028 | 4.750% | 313,000 | 260,854 | |
Magallanes, Inc.(a) | ||||
03/15/2052 | 5.141% | 1,963,000 | 1,426,430 | |
03/15/2062 | 5.391% | 31,893,000 | 23,118,723 | |
Netflix, Inc. | ||||
11/15/2028 | 5.875% | 1,470,000 | 1,427,799 | |
05/15/2029 | 4.625% | EUR | 4,904,000 | 4,490,564 |
05/15/2029 | 6.375% | 1,124,000 | 1,119,573 | |
Netflix, Inc.(a) | ||||
11/15/2029 | 3.875% | EUR | 2,729,000 | 2,359,646 |
11/15/2029 | 5.375% | 379,000 | 356,454 | |
06/15/2030 | 3.625% | EUR | 4,658,000 | 3,904,755 |
06/15/2030 | 4.875% | 276,000 | 251,977 | |
Outfront Media Capital LLC/Corp.(a) | ||||
08/15/2027 | 5.000% | 318,000 | 276,738 | |
01/15/2029 | 4.250% | 245,000 | 192,325 | |
03/15/2030 | 4.625% | 177,000 | 138,068 | |
Roblox Corp.(a) | ||||
05/01/2030 | 3.875% | 479,000 | 389,795 | |
Univision Communications, Inc.(a) | ||||
05/01/2029 | 4.500% | 252,000 | 205,454 | |
06/30/2030 | 7.375% | 345,000 | 327,768 | |
Total | 43,611,152 | |||
Metals and Mining 0.1% | ||||
Allegheny Technologies, Inc. | ||||
10/01/2029 | 4.875% | 129,000 | 107,660 | |
10/01/2031 | 5.125% | 625,000 | 513,332 |
Columbia Variable Portfolio – Intermediate Bond Fund | Third Quarter Report 2022 | 9 |
Portfolio of Investments (continued)
Columbia Variable Portfolio – Intermediate Bond Fund, September 30, 2022 (Unaudited)
Columbia Variable Portfolio – Intermediate Bond Fund, September 30, 2022 (Unaudited)
Corporate Bonds & Notes(f) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Constellium SE(a) | ||||
06/15/2028 | 5.625% | 848,000 | 697,033 | |
04/15/2029 | 3.750% | 1,110,000 | 814,034 | |
Hudbay Minerals, Inc.(a) | ||||
04/01/2029 | 6.125% | 776,000 | 626,666 | |
Kaiser Aluminum Corp.(a) | ||||
03/01/2028 | 4.625% | 74,000 | 60,516 | |
06/01/2031 | 4.500% | 1,076,000 | 781,643 | |
Novelis Corp.(a) | ||||
11/15/2026 | 3.250% | 321,000 | 269,843 | |
01/30/2030 | 4.750% | 713,000 | 584,995 | |
08/15/2031 | 3.875% | 387,000 | 288,829 | |
Total | 4,744,551 | |||
Midstream 1.3% | ||||
Cheniere Energy Partners LP | ||||
10/01/2029 | 4.500% | 463,000 | 408,802 | |
03/01/2031 | 4.000% | 801,000 | 673,085 | |
01/31/2032 | 3.250% | 778,000 | 597,605 | |
CNX Midstream Partners LP(a) | ||||
04/15/2030 | 4.750% | 602,000 | 473,362 | |
Delek Logistics Partners LP/Finance Corp. | ||||
05/15/2025 | 6.750% | 164,000 | 156,345 | |
DT Midstream, Inc.(a) | ||||
06/15/2031 | 4.375% | 377,000 | 310,880 | |
Enterprise Products Operating LLC | ||||
03/15/2044 | 4.850% | 1,496,000 | 1,250,459 | |
01/31/2060 | 3.950% | 3,571,000 | 2,457,934 | |
EQM Midstream Partners LP(a) | ||||
07/01/2025 | 6.000% | 195,000 | 180,592 | |
07/01/2027 | 6.500% | 492,000 | 456,510 | |
01/15/2029 | 4.500% | 679,000 | 550,632 | |
01/15/2031 | 4.750% | 1,269,000 | 1,007,187 | |
EQM Midstream Partners LP | ||||
07/15/2048 | 6.500% | 411,000 | 314,028 | |
Galaxy Pipeline Assets Bidco Ltd.(a) | ||||
09/30/2040 | 3.250% | 2,775,000 | 2,032,317 | |
Holly Energy Partners LP/Finance Corp.(a) | ||||
04/15/2027 | 6.375% | 225,000 | 214,891 | |
02/01/2028 | 5.000% | 695,000 | 613,557 | |
Kinder Morgan Energy Partners LP | ||||
03/01/2043 | 5.000% | 202,000 | 163,674 | |
Kinder Morgan, Inc. | ||||
02/15/2046 | 5.050% | 10,253,000 | 8,395,092 | |
NuStar Logistics LP | ||||
10/01/2025 | 5.750% | 462,000 | 427,979 | |
06/01/2026 | 6.000% | 344,000 | 316,545 | |
04/28/2027 | 5.625% | 190,000 | 166,072 |
Corporate Bonds & Notes(f) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Plains All American Pipeline LP/Finance Corp. | ||||
06/15/2044 | 4.700% | 18,015,000 | 12,926,001 | |
Targa Resources Partners LP/Finance Corp. | ||||
01/15/2028 | 5.000% | 351,000 | 324,837 | |
03/01/2030 | 5.500% | 574,000 | 517,155 | |
TransMontaigne Partners LP/TLP Finance Corp. | ||||
02/15/2026 | 6.125% | 707,000 | 594,565 | |
Venture Global Calcasieu Pass LLC(a) | ||||
08/15/2029 | 3.875% | 908,000 | 780,477 | |
08/15/2031 | 4.125% | 990,000 | 820,424 | |
11/01/2033 | 3.875% | 577,000 | 456,891 | |
Williams Companies, Inc. (The) | ||||
09/15/2045 | 5.100% | 3,178,000 | 2,691,200 | |
Williams Cos, Inc. (The) | ||||
08/15/2052 | 5.300% | 2,945,000 | 2,580,035 | |
Total | 42,859,133 | |||
Natural Gas 0.4% | ||||
NiSource, Inc. | ||||
05/01/2030 | 3.600% | 4,570,000 | 3,975,812 | |
02/15/2043 | 5.250% | 990,000 | 891,623 | |
05/15/2047 | 4.375% | 10,560,000 | 8,378,662 | |
Total | 13,246,097 | |||
Oil Field Services 0.0% | ||||
Transocean Sentry Ltd.(a) | ||||
05/15/2023 | 5.375% | 988,738 | 952,993 | |
Other REIT 0.2% | ||||
Digital Dutch Finco BV(a) | ||||
03/15/2030 | 1.500% | EUR | 3,014,000 | 2,267,718 |
Digital Intrepid Holding BV(a) | ||||
07/18/2032 | 1.375% | EUR | 1,449,000 | 967,935 |
Ladder Capital Finance Holdings LLLP/Corp.(a) | ||||
10/01/2025 | 5.250% | 1,295,000 | 1,191,446 | |
02/01/2027 | 4.250% | 407,000 | 333,063 | |
06/15/2029 | 4.750% | 853,000 | 639,204 | |
RHP Hotel Properties LP/Finance Corp.(a) | ||||
02/15/2029 | 4.500% | 269,000 | 223,847 | |
RLJ Lodging Trust LP(a) | ||||
07/01/2026 | 3.750% | 354,000 | 302,235 | |
Service Properties Trust | ||||
03/15/2024 | 4.650% | 262,000 | 242,237 | |
Total | 6,167,685 | |||
Packaging 0.1% | ||||
Ardagh Metal Packaging Finance USA LLC/PLC(a) | ||||
06/15/2027 | 6.000% | 418,000 | 395,831 | |
09/01/2029 | 4.000% | 1,197,000 | 879,236 |
10 | Columbia Variable Portfolio – Intermediate Bond Fund | Third Quarter Report 2022 |
Portfolio of Investments (continued)
Columbia Variable Portfolio – Intermediate Bond Fund, September 30, 2022 (Unaudited)
Columbia Variable Portfolio – Intermediate Bond Fund, September 30, 2022 (Unaudited)
Corporate Bonds & Notes(f) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Ardagh Packaging Finance PLC/Holdings USA, Inc.(a) | ||||
08/15/2026 | 4.125% | 364,000 | 302,793 | |
BWAY Holding Co.(a) | ||||
04/15/2024 | 5.500% | 326,000 | 309,313 | |
CANPACK SA/Eastern PA Land Investment Holding LLC(a) | ||||
11/01/2025 | 3.125% | 261,000 | 231,368 | |
Canpack SA/US LLC(a) | ||||
11/15/2029 | 3.875% | 837,000 | 656,245 | |
Trivium Packaging Finance BV(a) | ||||
08/15/2026 | 5.500% | 830,000 | 749,033 | |
08/15/2027 | 8.500% | 373,000 | 329,854 | |
Total | 3,853,673 | |||
Pharmaceuticals 0.6% | ||||
1375209 BC Ltd.(a) | ||||
01/30/2028 | 9.000% | 208,428 | 206,865 | |
AbbVie, Inc. | ||||
06/15/2044 | 4.850% | 7,435,000 | 6,483,943 | |
11/14/2048 | 4.875% | 917,000 | 805,216 | |
11/21/2049 | 4.250% | 405,000 | 324,978 | |
Amgen, Inc. | ||||
03/01/2053 | 4.875% | 4,593,000 | 4,044,825 | |
02/22/2062 | 4.400% | 6,833,000 | 5,314,670 | |
Bausch Health Companies, Inc.(a) | ||||
02/01/2027 | 6.125% | 415,000 | 287,868 | |
06/01/2028 | 4.875% | 243,000 | 156,551 | |
09/30/2028 | 11.000% | 369,950 | 298,735 | |
10/15/2030 | 14.000% | 73,112 | 39,846 | |
Endo Dac/Finance LLC/Finco, Inc.(a),(j) | ||||
06/30/2028 | 0.000% | 381,000 | 22,663 | |
Grifols Escrow Issuer SA(a) | ||||
10/15/2028 | 4.750% | 394,000 | 304,289 | |
Organon Finance 1 LLC(a) | ||||
04/30/2028 | 4.125% | 857,000 | 732,666 | |
04/30/2031 | 5.125% | 951,000 | 780,051 | |
Total | 19,803,166 | |||
Property & Casualty 0.4% | ||||
Alliant Holdings Intermediate LLC/Co-Issuer(a) | ||||
10/15/2027 | 4.250% | 346,000 | 296,754 | |
10/15/2027 | 6.750% | 983,000 | 851,836 | |
11/01/2029 | 5.875% | 641,000 | 526,139 | |
AssuredPartners, Inc.(a) | ||||
08/15/2025 | 7.000% | 446,000 | 413,874 | |
01/15/2029 | 5.625% | 410,000 | 320,357 | |
Berkshire Hathaway Finance Corp. | ||||
03/15/2052 | 3.850% | 11,012,000 | 8,455,850 | |
BroadStreet Partners, Inc.(a) | ||||
04/15/2029 | 5.875% | 994,000 | 783,524 |
Corporate Bonds & Notes(f) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
GTCR AP Finance, Inc.(a) | ||||
05/15/2027 | 8.000% | 167,000 | 153,911 | |
HUB International Ltd.(a) | ||||
12/01/2029 | 5.625% | 662,000 | 552,882 | |
Ryan Specialty Group LLC(a) | ||||
02/01/2030 | 4.375% | 78,000 | 66,221 | |
Total | 12,421,348 | |||
Restaurants 0.0% | ||||
Fertitta Entertainment LLC/Finance Co., Inc.(a) | ||||
01/15/2030 | 6.750% | 566,000 | 430,550 | |
IRB Holding Corp.(a) | ||||
06/15/2025 | 7.000% | 554,000 | 551,579 | |
Yum! Brands, Inc. | ||||
04/01/2032 | 5.375% | 457,000 | 404,951 | |
Total | 1,387,080 | |||
Retailers 0.6% | ||||
Asbury Automotive Group, Inc.(a) | ||||
11/15/2029 | 4.625% | 151,000 | 120,659 | |
L Brands, Inc.(a) | ||||
10/01/2030 | 6.625% | 361,000 | 313,954 | |
L Brands, Inc. | ||||
11/01/2035 | 6.875% | 237,000 | 197,984 | |
Lithia Motors, Inc.(a) | ||||
01/15/2031 | 4.375% | 147,000 | 120,389 | |
Lowe’s Companies, Inc. | ||||
04/01/2062 | 4.450% | 5,199,000 | 3,897,497 | |
09/15/2062 | 5.800% | 13,799,000 | 12,687,890 | |
PetSmart, Inc./Finance Corp.(a) | ||||
02/15/2028 | 4.750% | 659,000 | 567,174 | |
02/15/2029 | 7.750% | 515,000 | 460,557 | |
Total | 18,366,104 | |||
Technology 1.2% | ||||
Broadcom, Inc.(a) | ||||
04/15/2034 | 3.469% | 11,191,000 | 8,416,302 | |
11/15/2036 | 3.187% | 2,726,000 | 1,866,570 | |
Clarivate Science Holdings Corp.(a) | ||||
07/01/2028 | 3.875% | 364,000 | 300,864 | |
07/01/2029 | 4.875% | 732,000 | 572,666 | |
CommScope Technologies LLC(a) | ||||
06/15/2025 | 6.000% | 181,000 | 160,667 | |
Condor Merger Sub, Inc.(a) | ||||
02/15/2030 | 7.375% | 493,000 | 403,636 | |
Entegris Escrow Corp.(a) | ||||
04/15/2029 | 4.750% | 140,000 | 124,196 | |
06/15/2030 | 5.950% | 503,000 | 459,017 |
Columbia Variable Portfolio – Intermediate Bond Fund | Third Quarter Report 2022 | 11 |
Portfolio of Investments (continued)
Columbia Variable Portfolio – Intermediate Bond Fund, September 30, 2022 (Unaudited)
Columbia Variable Portfolio – Intermediate Bond Fund, September 30, 2022 (Unaudited)
Corporate Bonds & Notes(f) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Gartner, Inc.(a) | ||||
07/01/2028 | 4.500% | 252,000 | 225,102 | |
10/01/2030 | 3.750% | 402,000 | 330,002 | |
HealthEquity, Inc.(a) | ||||
10/01/2029 | 4.500% | 774,000 | 653,902 | |
Helios Software Holdings, Inc.(a) | ||||
05/01/2028 | 4.625% | 754,000 | 566,865 | |
HP, Inc.(a) | ||||
03/01/2029 | 4.750% | 976,000 | 982,697 | |
ION Trading Technologies Sarl(a) | ||||
05/15/2028 | 5.750% | 434,000 | 352,757 | |
Logan Merger Sub, Inc.(a) | ||||
09/01/2027 | 5.500% | 894,000 | 549,678 | |
Minerva Merger Sub, Inc.(a) | ||||
02/15/2030 | 6.500% | 889,000 | 703,354 | |
NCR Corp.(a) | ||||
10/01/2028 | 5.000% | 111,000 | 87,685 | |
04/15/2029 | 5.125% | 728,000 | 545,629 | |
Nielsen Finance LLC/Co.(a) | ||||
10/01/2028 | 5.625% | 453,000 | 450,350 | |
07/15/2029 | 4.500% | 735,000 | 734,409 | |
07/15/2031 | 4.750% | 302,000 | 297,021 | |
NXP BV/Funding LLC/USA, Inc. | ||||
05/01/2030 | 3.400% | 2,090,000 | 1,740,519 | |
01/15/2033 | 5.000% | 4,258,000 | 3,818,638 | |
02/15/2042 | 3.125% | 3,869,000 | 2,459,067 | |
Oracle Corp. | ||||
04/01/2050 | 3.600% | 7,961,000 | 4,980,904 | |
03/25/2061 | 4.100% | 5,017,000 | 3,175,585 | |
Picard Midco, Inc.(a) | ||||
03/31/2029 | 6.500% | 136,000 | 114,899 | |
Sabre GLBL, Inc.(a) | ||||
04/15/2025 | 9.250% | 132,000 | 126,373 | |
09/01/2025 | 7.375% | 183,000 | 163,878 | |
Sensata Technologies BV(a) | ||||
09/01/2030 | 5.875% | 314,000 | 293,575 | |
Switch Ltd.(a) | ||||
09/15/2028 | 3.750% | 60,000 | 59,624 | |
06/15/2029 | 4.125% | 451,000 | 447,755 | |
Tempo Acquisition LLC/Finance Corp.(a) | ||||
06/01/2025 | 5.750% | 344,000 | 335,306 | |
Tencent Holdings Ltd.(a) | ||||
06/03/2050 | 3.240% | 4,250,000 | 2,558,018 | |
Verscend Escrow Corp.(a) | ||||
08/15/2026 | 9.750% | 874,000 | 841,945 | |
ZoomInfo Technologies LLC/Finance Corp.(a) | ||||
02/01/2029 | 3.875% | 371,000 | 303,388 | |
Total | 40,202,843 |
Corporate Bonds & Notes(f) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Wireless 0.8% | ||||
Altice France Holding SA(a) | ||||
02/15/2028 | 6.000% | 715,000 | 458,448 | |
Altice France SA(a) | ||||
02/01/2027 | 8.125% | 160,000 | 142,963 | |
01/15/2028 | 5.500% | 771,000 | 610,417 | |
07/15/2029 | 5.125% | 484,000 | 361,722 | |
10/15/2029 | 5.500% | 261,000 | 196,362 | |
American Tower Corp. | ||||
08/15/2029 | 3.800% | 10,707,000 | 9,406,929 | |
06/15/2030 | 2.100% | 2,980,000 | 2,280,359 | |
T-Mobile US, Inc. | ||||
04/15/2031 | 3.500% | 12,089,000 | 10,202,125 | |
Vmed O2 UK Financing I PLC(a) | ||||
01/31/2031 | 4.250% | 866,000 | 654,531 | |
07/15/2031 | 4.750% | 1,119,000 | 871,515 | |
Total | 25,185,371 | |||
Wirelines 0.4% | ||||
AT&T, Inc. | ||||
12/01/2057 | 3.800% | 14,269,000 | 9,654,637 | |
CenturyLink, Inc. | ||||
04/01/2025 | 5.625% | 619,000 | 596,281 | |
CenturyLink, Inc.(a) | ||||
12/15/2026 | 5.125% | 258,000 | 222,867 | |
Front Range BidCo, Inc.(a) | ||||
03/01/2027 | 4.000% | 801,000 | 643,671 | |
Frontier Communications Holdings LLC(a) | ||||
05/15/2030 | 8.750% | 277,000 | 277,479 | |
Iliad Holding SAS(a) | ||||
10/15/2026 | 6.500% | 859,000 | 750,768 | |
10/15/2028 | 7.000% | 840,000 | 720,197 | |
Total | 12,865,900 | |||
Total Corporate Bonds & Notes (Cost $945,743,235) | 764,956,372 | |||
Foreign Government Obligations(k) 2.3% | ||||
Canada 0.0% | ||||
NOVA Chemicals Corp.(a) | ||||
06/01/2027 | 5.250% | 346,000 | 294,402 | |
05/15/2029 | 4.250% | 647,000 | 505,536 | |
Total | 799,938 | |||
Colombia 0.5% | ||||
Colombia Government International Bond | ||||
04/22/2032 | 3.250% | 4,160,000 | 2,815,349 | |
02/26/2044 | 5.625% | 2,500,000 | 1,657,528 | |
05/15/2049 | 5.200% | 9,733,000 | 6,007,035 |
12 | Columbia Variable Portfolio – Intermediate Bond Fund | Third Quarter Report 2022 |
Portfolio of Investments (continued)
Columbia Variable Portfolio – Intermediate Bond Fund, September 30, 2022 (Unaudited)
Columbia Variable Portfolio – Intermediate Bond Fund, September 30, 2022 (Unaudited)
Foreign Government Obligations(k) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Ecopetrol SA | ||||
04/29/2030 | 6.875% | 8,700,000 | 7,329,319 | |
Total | 17,809,231 | |||
Dominican Republic 0.1% | ||||
Dominican Republic International Bond(a) | ||||
01/25/2027 | 5.950% | 1,630,000 | 1,524,559 | |
Egypt 0.1% | ||||
Egypt Government International Bond(a) | ||||
02/16/2031 | 5.875% | 909,000 | 528,591 | |
01/31/2047 | 8.500% | 2,105,000 | 1,166,758 | |
Total | 1,695,349 | |||
India 0.1% | ||||
Export-Import Bank of India(a) | ||||
01/15/2030 | 3.250% | 4,650,000 | 3,865,267 | |
Indonesia 0.1% | ||||
PT Indonesia Asahan Aluminium Persero(a) | ||||
05/15/2025 | 4.750% | 708,000 | 685,566 | |
05/15/2030 | 5.450% | 3,550,000 | 3,147,428 | |
Total | 3,832,994 | |||
Ivory Coast 0.0% | ||||
Ivory Coast Government International Bond(a) | ||||
06/15/2033 | 6.125% | 782,000 | 595,220 | |
Mexico 0.6% | ||||
Petroleos Mexicanos | ||||
09/21/2047 | 6.750% | 20,422,000 | 11,374,778 | |
01/23/2050 | 7.690% | 10,000,000 | 6,114,815 | |
01/28/2060 | 6.950% | 5,920,000 | 3,273,351 | |
Total | 20,762,944 | |||
Paraguay 0.0% | ||||
Paraguay Government International Bond(a) | ||||
08/11/2044 | 6.100% | 688,000 | 571,608 | |
Qatar 0.3% | ||||
Qatar Government International Bond(a) | ||||
03/14/2049 | 4.817% | 5,000,000 | 4,612,432 | |
Qatar Petroleum(a) | ||||
07/12/2031 | 2.250% | 5,445,000 | 4,377,106 | |
Total | 8,989,538 | |||
Russian Federation 0.0% | ||||
Gazprom OAO Via Gaz Capital SA(a) | ||||
02/06/2028 | 4.950% | 2,740,000 | 1,333,263 |
Foreign Government Obligations(k) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Saudi Arabia 0.2% | ||||
Saudi Government International Bond(a) | ||||
04/17/2049 | 5.000% | 5,250,000 | 4,705,723 | |
South Africa 0.1% | ||||
Republic of South Africa Government International Bond | ||||
09/30/2029 | 4.850% | 5,000,000 | 4,121,569 | |
09/30/2049 | 5.750% | 880,000 | 561,565 | |
Total | 4,683,134 | |||
Ukraine 0.0% | ||||
Ukraine Government International Bond(a) | ||||
09/25/2034 | 7.375% | 1,800,000 | 326,956 | |
United Arab Emirates 0.2% | ||||
DP World Ltd.(a) | ||||
09/25/2048 | 5.625% | 2,982,000 | 2,586,596 | |
DP World PLC(a) | ||||
07/02/2037 | 6.850% | 3,290,000 | 3,340,822 | |
Total | 5,927,418 | |||
Total Foreign Government Obligations (Cost $114,213,102) | 77,423,142 | |||
Municipal Bonds 0.6% | ||||
Issue Description | Coupon Rate | Principal Amount ($) | Value ($) | |
Local General Obligation 0.2% | ||||
City of New York | ||||
Unlimited General Obligation Bonds | ||||
Series 2021A-1 | ||||
08/01/2047 | 5.000% | 6,045,000 | 6,268,478 | |
Municipal Power 0.1% | ||||
Los Angeles Department of Water & Power | ||||
Refunding Revenue Bonds | ||||
Series 2021B | ||||
07/01/2051 | 5.000% | 3,105,000 | 3,240,150 | |
Special Non Property Tax 0.3% | ||||
New York State Urban Development Corp. | ||||
Refunding Revenue Bonds | ||||
State Personal Income Tax | ||||
Series 2020 | ||||
03/15/2050 | 5.000% | 10,010,000 | 10,256,078 | |
Total Municipal Bonds (Cost $20,676,194) | 19,764,706 | |||
Columbia Variable Portfolio – Intermediate Bond Fund | Third Quarter Report 2022 | 13 |
Portfolio of Investments (continued)
Columbia Variable Portfolio – Intermediate Bond Fund, September 30, 2022 (Unaudited)
Columbia Variable Portfolio – Intermediate Bond Fund, September 30, 2022 (Unaudited)
Residential Mortgage-Backed Securities - Agency 27.3% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Federal Home Loan Mortgage Corp.(l) | ||||
08/01/2045 | 3.500% | 14,123,538 | 13,038,988 | |
10/01/2045 | 4.000% | 3,167,668 | 2,984,465 | |
Federal Home Loan Mortgage Corp. | ||||
10/01/2045- 07/01/2052 | 4.000% | 31,764,997 | 29,641,673 | |
12/01/2051- 03/01/2052 | 2.500% | 44,814,112 | 37,816,897 | |
05/01/2052 | 3.000% | 27,577,533 | 24,139,340 | |
Federal Home Loan Mortgage Corp.(b),(e) | ||||
CMO Series 3922 Class SH | ||||
-1.0 x 1-month USD LIBOR + 5.900% Cap 5.900% 09/15/2041 | 3.082% | 350,698 | 28,859 | |
CMO Series 4097 Class ST | ||||
-1.0 x 1-month USD LIBOR + 6.050% Cap 6.050% 08/15/2042 | 3.232% | 1,018,560 | 151,710 | |
CMO Series 4831 Class SD | ||||
-1.0 x 1-month USD LIBOR + 6.200% Cap 6.200% 10/15/2048 | 3.382% | 8,464,689 | 1,072,298 | |
CMO Series 4903 Class SA | ||||
-1.0 x 1-month USD LIBOR + 6.050% Cap 6.050% 08/25/2049 | 2.966% | 25,606,710 | 2,850,334 | |
CMO Series 4979 Class KS | ||||
-1.0 x 1-month USD LIBOR + 6.050% Cap 6.050% 06/25/2048 | 2.966% | 11,281,018 | 1,447,142 | |
CMO STRIPS Series 2012-278 Class S1 | ||||
-1.0 x 1-month USD LIBOR + 6.050% Cap 6.050% 09/15/2042 | 3.232% | 2,068,025 | 205,320 | |
CMO STRIPS Series 309 Class S4 | ||||
-1.0 x 1-month USD LIBOR + 5.970% Cap 5.970% 08/15/2043 | 3.152% | 1,064,096 | 107,558 | |
Federal Home Loan Mortgage Corp.(e) | ||||
CMO Series 4176 Class BI | ||||
03/15/2043 | 3.500% | 967,129 | 139,231 | |
Federal Home Loan Mortgage Corp.(d),(e) | ||||
CMO Series 4620 Class AS | ||||
11/15/2042 | 0.000% | 1,186,042 | 50,576 |
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Federal National Mortgage Association | ||||
02/01/2027- 05/01/2052 | 3.000% | 152,269,825 | 133,998,168 | |
08/01/2040 | 4.500% | 1,416,889 | 1,369,222 | |
08/01/2043- 05/01/2052 | 3.500% | 63,359,703 | 57,400,396 | |
05/01/2048- 08/01/2052 | 4.000% | 94,029,414 | 87,807,108 | |
CMO Series 2017-72 Class B | ||||
09/25/2047 | 3.000% | 12,424,610 | 11,299,422 | |
Federal National Mortgage Association(l) | ||||
05/01/2044- 02/01/2048 | 4.000% | 14,955,834 | 14,202,744 | |
06/01/2044 | 4.500% | 4,704,880 | 4,609,742 | |
10/01/2051 | 2.500% | 41,268,002 | 34,772,345 | |
05/01/2052 | 3.500% | 41,188,906 | 37,527,993 | |
Federal National Mortgage Association(e) | ||||
CMO Series 2012-131 Class MI | ||||
01/25/2040 | 3.500% | 888,344 | 40,187 | |
CMO Series 2020-76 Class EI | ||||
11/25/2050 | 2.500% | 28,143,413 | 4,403,214 | |
CMO Series 2021-3 Class TI | ||||
02/25/2051 | 2.500% | 93,179,179 | 15,565,060 | |
Federal National Mortgage Association(b),(e) | ||||
CMO Series 2013-101 Class CS | ||||
-1.0 x 1-month USD LIBOR + 5.900% Cap 5.900% 10/25/2043 | 2.816% | 1,915,675 | 197,983 | |
CMO Series 2014-93 Class ES | ||||
-1.0 x 1-month USD LIBOR + 6.150% Cap 6.150% 01/25/2045 | 3.066% | 2,569,634 | 298,129 | |
CMO Series 2016-31 Class VS | ||||
-1.0 x 1-month USD LIBOR + 6.000% Cap 6.000% 06/25/2046 | 2.916% | 1,421,853 | 138,256 | |
CMO Series 2016-53 Class KS | ||||
-1.0 x 1-month USD LIBOR + 6.000% Cap 6.000% 08/25/2046 | 2.916% | 8,972,314 | 990,093 | |
CMO Series 2016-57 Class SA | ||||
-1.0 x 1-month USD LIBOR + 6.000% Cap 6.000% 08/25/2046 | 2.916% | 22,237,494 | 2,388,062 |
14 | Columbia Variable Portfolio – Intermediate Bond Fund | Third Quarter Report 2022 |
Portfolio of Investments (continued)
Columbia Variable Portfolio – Intermediate Bond Fund, September 30, 2022 (Unaudited)
Columbia Variable Portfolio – Intermediate Bond Fund, September 30, 2022 (Unaudited)
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2017-109 Class SA | ||||
-1.0 x 1-month USD LIBOR + 6.150% Cap 6.150% 01/25/2048 | 3.066% | 10,708,573 | 1,302,339 | |
CMO Series 2017-20 Class SA | ||||
-1.0 x 1-month USD LIBOR + 6.100% Cap 6.100% 04/25/2047 | 3.016% | 9,301,695 | 1,073,227 | |
CMO Series 2017-54 Class NS | ||||
-1.0 x 1-month USD LIBOR + 6.150% Cap 6.150% 07/25/2047 | 3.066% | 8,322,628 | 1,083,525 | |
CMO Series 2017-54 Class SN | ||||
-1.0 x 1-month USD LIBOR + 6.150% Cap 6.150% 07/25/2047 | 3.066% | 16,043,209 | 2,202,465 | |
CMO Series 2018-66 Class SM | ||||
-1.0 x 1-month USD LIBOR + 6.200% Cap 6.200% 09/25/2048 | 3.116% | 10,818,313 | 1,296,244 | |
CMO Series 2018-67 MS Class MS | ||||
-1.0 x 1-month USD LIBOR + 6.200% Cap 6.200% 09/25/2048 | 3.116% | 8,231,117 | 1,022,990 | |
CMO Series 2018-74 Class SA | ||||
-1.0 x 1-month USD LIBOR + 6.150% Cap 6.150% 10/25/2048 | 3.066% | 15,825,172 | 1,840,472 | |
CMO Series 2019-33 Class SB | ||||
-1.0 x 1-month USD LIBOR + 6.050% Cap 6.050% 07/25/2049 | 2.966% | 34,301,804 | 3,845,682 | |
CMO Series 2019-60 Class SH | ||||
-1.0 x 1-month USD LIBOR + 6.050% Cap 6.050% 10/25/2049 | 2.966% | 25,118,858 | 2,827,027 | |
CMO Series 2019-67 Class SE | ||||
-1.0 x 1-month USD LIBOR + 6.050% Cap 6.050% 11/25/2049 | 2.966% | 19,041,743 | 2,665,981 |
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Freddie Mac REMICS(e) | ||||
CMO Series 5152 Class XI | ||||
11/25/2050 | 2.500% | 61,322,399 | 8,721,903 | |
Government National Mortgage Association(l) | ||||
04/20/2048 | 4.500% | 8,820,074 | 8,576,327 | |
Government National Mortgage Association(e) | ||||
CMO Series 2014-184 Class CI | ||||
11/16/2041 | 3.500% | 3,457,693 | 446,091 | |
CMO Series 2020-175 Class KI | ||||
11/20/2050 | 2.500% | 60,687,915 | 8,559,047 | |
CMO Series 2020-191 Class UG | ||||
12/20/2050 | 3.500% | 36,749,838 | 6,210,800 | |
CMO Series 2021-119 Class QI | ||||
07/20/2051 | 3.000% | 34,013,625 | 5,103,064 | |
CMO Series 2021-16 Class KI | ||||
01/20/2051 | 2.500% | 41,560,627 | 6,015,676 | |
CMO Series 2021-179 Class IB | ||||
09/20/2051 | 3.000% | 41,964,445 | 6,179,214 | |
CMO Series 2021-9 Class MI | ||||
01/20/2051 | 2.500% | 38,756,359 | 5,114,839 | |
Government National Mortgage Association(b),(e) | ||||
CMO Series 2017-130 Class HS | ||||
-1.0 x 1-month USD LIBOR + 6.200% Cap 6.200% 08/20/2047 | 3.186% | 11,068,840 | 1,139,941 | |
CMO Series 2017-149 Class BS | ||||
-1.0 x 1-month USD LIBOR + 6.200% Cap 6.200% 10/20/2047 | 3.186% | 14,075,503 | 1,616,801 | |
CMO Series 2017-163 Class SA | ||||
-1.0 x 1-month USD LIBOR + 6.200% Cap 6.200% 11/20/2047 | 3.186% | 5,755,430 | 570,214 | |
CMO Series 2017-37 Class SB | ||||
-1.0 x 1-month USD LIBOR + 6.150% Cap 6.150% 03/20/2047 | 3.136% | 8,331,397 | 829,651 | |
CMO Series 2018-103 Class SA | ||||
-1.0 x 1-month USD LIBOR + 6.200% Cap 6.200% 08/20/2048 | 3.186% | 8,118,975 | 864,325 |
Columbia Variable Portfolio – Intermediate Bond Fund | Third Quarter Report 2022 | 15 |
Portfolio of Investments (continued)
Columbia Variable Portfolio – Intermediate Bond Fund, September 30, 2022 (Unaudited)
Columbia Variable Portfolio – Intermediate Bond Fund, September 30, 2022 (Unaudited)
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2018-112 Class LS | ||||
-1.0 x 1-month USD LIBOR + 6.200% Cap 6.200% 08/20/2048 | 3.186% | 10,067,415 | 1,074,993 | |
CMO Series 2018-125 Class SK | ||||
-1.0 x 1-month USD LIBOR + 6.250% Cap 6.250% 09/20/2048 | 3.236% | 13,097,866 | 1,146,214 | |
CMO Series 2018-134 Class KS | ||||
-1.0 x 1-month USD LIBOR + 6.200% Cap 6.200% 10/20/2048 | 3.186% | 10,278,047 | 1,069,284 | |
CMO Series 2018-139 Class SC | ||||
-1.0 x 1-month USD LIBOR + 6.150% Cap 6.150% 10/20/2048 | 3.136% | 7,269,527 | 734,067 | |
CMO Series 2018-148 Class SB | ||||
-1.0 x 1-month USD LIBOR + 6.200% Cap 6.200% 01/20/2048 | 3.186% | 20,128,407 | 2,269,512 | |
CMO Series 2018-151 Class SA | ||||
-1.0 x 1-month USD LIBOR + 6.150% Cap 6.150% 11/20/2048 | 3.136% | 17,040,399 | 1,785,026 | |
CMO Series 2018-89 Class MS | ||||
-1.0 x 1-month USD LIBOR + 6.200% Cap 6.200% 06/20/2048 | 3.186% | 10,516,441 | 965,081 | |
CMO Series 2018-91 Class DS | ||||
-1.0 x 1-month USD LIBOR + 6.200% Cap 6.200% 07/20/2048 | 3.186% | 10,912,262 | 1,069,189 | |
CMO Series 2018-97 Class SM | ||||
-1.0 x 1-month USD LIBOR + 6.200% Cap 6.200% 07/20/2048 | 3.186% | 10,582,170 | 861,929 | |
CMO Series 2019-20 Class JS | ||||
-1.0 x 1-month USD LIBOR + 6.000% Cap 6.000% 02/20/2049 | 2.986% | 16,529,441 | 1,709,088 |
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2019-5 Class SH | ||||
-1.0 x 1-month USD LIBOR + 6.150% Cap 6.150% 01/20/2049 | 3.136% | 12,011,926 | 1,231,785 | |
CMO Series 2019-56 Class SG | ||||
-1.0 x 1-month USD LIBOR + 6.150% Cap 6.150% 05/20/2049 | 3.136% | 12,798,720 | 1,311,311 | |
CMO Series 2019-59 Class KS | ||||
-1.0 x 1-month USD LIBOR + 6.050% Cap 6.050% 05/20/2049 | 3.036% | 12,520,146 | 1,286,002 | |
CMO Series 2019-85 Class SC | ||||
-1.0 x 1-month USD LIBOR + 6.150% Cap 6.150% 07/20/2049 | 3.136% | 11,439,555 | 1,144,945 | |
CMO Series 2019-90 Class SD | ||||
-1.0 x 1-month USD LIBOR + 6.150% 07/20/2049 | 3.136% | 16,692,365 | 1,845,181 | |
CMO Series 2020-188 Class SA | ||||
1-month USD LIBOR + 6.300% Cap 6.300% 12/20/2050 | 3.286% | 20,152,318 | 2,719,682 | |
CMO Series 2020-21 Class VS | ||||
-1.0 x 1-month USD LIBOR + 6.050% Cap 6.050% 02/20/2050 | 3.036% | 8,281,725 | 953,015 | |
CMO Series 2020-62 Class SG | ||||
-1.0 x 1-month USD LIBOR + 6.150% Cap 6.150% 05/20/2050 | 3.136% | 12,372,835 | 1,285,275 | |
CMO Series 2022-18 Class SL | ||||
-1.0 x 30-day Average SOFR + 6.300% Cap 6.300% 01/20/2052 | 4.016% | 32,683,725 | 4,454,416 | |
CMO Series 2022-63 Class GS | ||||
-1.0 x 30-day Average SOFR + 5.500% Cap 5.500% 04/20/2052 | 3.216% | 29,360,737 | 3,952,798 | |
Government National Mortgage Association TBA(i) | ||||
10/20/2052 | 4.000% | 57,000,000 | 53,225,976 |
16 | Columbia Variable Portfolio – Intermediate Bond Fund | Third Quarter Report 2022 |
Portfolio of Investments (continued)
Columbia Variable Portfolio – Intermediate Bond Fund, September 30, 2022 (Unaudited)
Columbia Variable Portfolio – Intermediate Bond Fund, September 30, 2022 (Unaudited)
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Uniform Mortgage-Backed Security TBA(i) | ||||
10/18/2037- 10/13/2052 | 3.000% | 85,000,000 | 77,800,274 | |
10/18/2037 | 3.500% | 8,000,000 | 7,560,000 | |
10/13/2052 | 5.000% | 142,500,000 | 138,804,630 | |
Total Residential Mortgage-Backed Securities - Agency (Cost $993,839,044) | 910,050,033 | |||
Residential Mortgage-Backed Securities - Non-Agency 23.6% | ||||
510 Asset Backed Trust(a),(d) | ||||
CMO Series 2021-NPL2 Class A1 | ||||
06/25/2061 | 2.116% | 13,290,922 | 12,332,647 | |
AlphaFlow Transitional Mortgage Trust(a) | ||||
CMO Series 2021-WL1 Class A1 | ||||
01/25/2026 | 3.280% | 5,000,000 | 4,893,311 | |
Angel Oak Mortgage Trust(a),(d) | ||||
CMO Series 2020-R1 Class M1 | ||||
04/25/2053 | 2.621% | 3,918,000 | 3,503,230 | |
Angel Oak Mortgage Trust I LLC(a),(d) | ||||
CMO Series 2018-3 Class M1 | ||||
09/25/2048 | 4.421% | 10,544,000 | 10,333,965 | |
CMO Series 2019-2 Class A2 | ||||
03/25/2049 | 3.782% | 19,174 | 19,078 | |
CMO Series 2019-2 Class A3 | ||||
03/25/2049 | 3.833% | 15,944 | 15,865 | |
Arroyo Mortgage Trust(a),(d) | ||||
CMO Series 2019-2 Class A3 | ||||
04/25/2049 | 3.800% | 2,387,921 | 2,182,188 | |
Bellemeade Re Ltd.(a),(b) | ||||
CMO Series 2017-1 Class M2 | ||||
1-month USD LIBOR + 3.350% 10/25/2027 | 6.434% | 1,805,479 | 1,805,528 | |
CMO Series 2019-2A Class M1C | ||||
1-month USD LIBOR + 2.000% Floor 2.000% 04/25/2029 | 5.084% | 9,907,000 | 9,836,606 | |
CMO Series 2019-3A Class M1B | ||||
1-month USD LIBOR + 1.600% Floor 1.600% 07/25/2029 | 4.684% | 7,203,731 | 7,191,680 | |
CMO Series 2020-3A Class M1B | ||||
1-month USD LIBOR + 2.850% Floor 2.850% 10/25/2030 | 5.934% | 1,733,036 | 1,732,587 | |
CMO Series 2020-3A Class M1C | ||||
1-month USD LIBOR + 3.700% Floor 3.700% 10/25/2030 | 6.784% | 13,300,000 | 13,335,656 |
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2021-1A Class M1B | ||||
30-day Average SOFR + 2.200% Floor 2.200% 03/25/2031 | 2.489% | 15,350,000 | 14,979,013 | |
CMO Series 2021-2A Class M1B | ||||
30-day Average SOFR + 1.500% Floor 1.500% 06/25/2031 | 3.014% | 7,000,000 | 6,691,362 | |
Bunker Hill Loan Depositary Trust(a),(d) | ||||
CMO Series 2019-3 Class A3 | ||||
11/25/2059 | 3.135% | 3,467,424 | 3,339,799 | |
BVRT Financing Trust(a),(b),(c) | ||||
CMO Series 2021-3F Class M1 | ||||
30-day Average SOFR + 1.750% Floor 1.750% 07/12/2033 | 3.608% | 17,502,218 | 17,502,218 | |
CMO Series 2021-3F Class M2 | ||||
30-day Average SOFR + 2.900% Floor 2.900% 07/12/2033 | 4.187% | 23,700,000 | 23,700,000 | |
CHL GMSR Issuer Trust(a),(b) | ||||
CMO Series 2018-GT1 Class A | ||||
1-month USD LIBOR + 1.000% 05/25/2023 | 5.834% | 14,900,000 | 14,659,332 | |
CHNGE Mortgage Trust(a),(d) | ||||
CMO Series 2022-2 Class A1 | ||||
03/25/2067 | 3.757% | 15,344,035 | 14,126,883 | |
CIM Trust(a),(b) | ||||
CMO Series 2018-R6 Class A1 | ||||
1-month USD LIBOR + 1.076% Floor 1.076% 09/25/2058 | 4.204% | 944,523 | 932,953 | |
Citigroup Mortgage Loan Trust, Inc.(a) | ||||
CMO Series 2015-RP2 Class B3 | ||||
01/25/2053 | 4.250% | 2,331,005 | 2,202,167 | |
Subordinated CMO Series 2014-C Class B1 | ||||
02/25/2054 | 4.250% | 3,408,312 | 3,202,775 | |
COLT Mortgage Loan Trust(a),(d) | ||||
CMO Series 2020-2 Class A2 | ||||
03/25/2065 | 3.094% | 3,906,000 | 3,756,014 | |
CMO Series 2021-3 Class A1 | ||||
09/27/2066 | 0.956% | 11,726,337 | 9,145,366 | |
CMO Series 2021-3 Class A2 | ||||
09/27/2066 | 1.162% | 4,852,278 | 3,768,577 | |
CMO Series 2021-5 Class A3 | ||||
11/26/2066 | 2.807% | 8,381,000 | 5,565,962 | |
CSMC Trust(a),(d) | ||||
CMO Series 2020-RPL2 Class A12 | ||||
02/25/2060 | 3.453% | 7,352,412 | 6,957,838 |
Columbia Variable Portfolio – Intermediate Bond Fund | Third Quarter Report 2022 | 17 |
Portfolio of Investments (continued)
Columbia Variable Portfolio – Intermediate Bond Fund, September 30, 2022 (Unaudited)
Columbia Variable Portfolio – Intermediate Bond Fund, September 30, 2022 (Unaudited)
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Deephaven Residential Mortgage Trust(a),(d) | ||||
CMO Series 2021-4 Class A3 | ||||
11/25/2066 | 2.239% | 6,806,789 | 5,739,010 | |
Ellington Financial Mortgage Trust(a),(d) | ||||
CMO Series 2019-2 Class M1 | ||||
11/25/2059 | 3.469% | 5,761,000 | 5,527,739 | |
Figure Line of Credit Trust(a),(d) | ||||
CMO Series 2020-1 Class A | ||||
09/25/2049 | 4.040% | 2,363,541 | 2,265,834 | |
Freddie Mac STACR REMIC Trust(a),(b) | ||||
CMO Series 2021-DNA5 Class M2 | ||||
30-day Average SOFR + 1.650% 01/25/2034 | 3.931% | 6,251,982 | 6,096,836 | |
CMO Series 2022-DNA1 Class M1B | ||||
30-day Average SOFR + 1.850% 01/25/2042 | 4.131% | 8,250,000 | 7,497,899 | |
Subordinated CMO Series 2020-HQA3 Class B1 | ||||
1-month USD LIBOR + 5.750% 07/25/2050 | 8.834% | 3,600,000 | 3,641,081 | |
Subordinated CMO Series 2022-DNA6 Class M1A | ||||
30-day Average SOFR + 2.150% 09/25/2042 | 4.435% | 10,650,000 | 10,583,828 | |
GCAT LLC(a),(d) | ||||
CMO Series 2020-3 Class A1 | ||||
09/25/2025 | 2.981% | 9,187,435 | 8,867,806 | |
CMO Series 2021-CM1 Class A1 | ||||
04/25/2065 | 1.469% | 11,410,625 | 10,826,436 | |
GCAT Trust(a),(d) | ||||
CMO Series 2019-NQM3 Class A3 | ||||
11/25/2059 | 3.043% | 4,500,288 | 4,162,715 | |
CMO Series 2021-CM2 Class A1 | ||||
08/25/2066 | 2.352% | 6,189,416 | 5,802,143 | |
CMO Series 2021-NQM6 Class A2 | ||||
08/25/2066 | 2.710% | 5,000,000 | 3,684,231 | |
CMO Series 2021-NQM6 Class A3 | ||||
08/25/2066 | 2.810% | 8,003,000 | 5,801,559 | |
Home Re Ltd.(a),(b) | ||||
CMO Series 2021-2 Class M1B | ||||
30-day Average SOFR + 1.600% 01/25/2034 | 3.881% | 15,662,000 | 15,261,971 | |
Subordinated CMO Series 2022-1 Class M1A | ||||
30-day Average SOFR + 2.850% 10/25/2034 | 5.131% | 9,750,000 | 9,731,114 | |
Homeward Opportunities Fund Trust(a),(g) | ||||
CMO Series 2020-BPL1 Class A1 | ||||
08/25/2025 | 3.228% | 9,380,993 | 9,366,277 | |
Imperial Fund Mortgage Trust(a),(d) | ||||
CMO Series 2021-NQM4 Class A2 | ||||
01/25/2057 | 2.296% | 4,691,740 | 3,925,960 |
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Legacy Mortgage Asset Trust(a),(d) | ||||
CMO Series 2021-SL2 Class A | ||||
10/25/2068 | 1.875% | 17,757,779 | 15,852,865 | |
Loan Revolving Advance Investment Trust(a),(b),(c),(m) | ||||
CMO Series 2021-2 Class A1X | ||||
1-month USD LIBOR + 2.750% Floor 2.750% 06/30/2023 | 4.721% | 26,000,000 | 26,000,000 | |
MFA Trust(a),(d) | ||||
CMO Series 2020-NQM2 Class M1 | ||||
04/25/2065 | 3.034% | 10,000,000 | 9,481,115 | |
NRZ Excess Spread-Collateralized Notes(a) | ||||
CMO Series 2021-GNT1 Class A | ||||
11/25/2026 | 3.474% | 12,901,290 | 11,308,370 | |
Series 2020-PLS1 Class A | ||||
12/25/2025 | 3.844% | 6,443,452 | 5,887,951 | |
Oaktown Re II Ltd.(a),(b) | ||||
CMO Series 2018-1A Class M1 | ||||
1-month USD LIBOR + 1.550% 07/25/2028 | 4.634% | 1,962,255 | 1,958,744 | |
Oaktown Re III Ltd.(a),(b) | ||||
CMO Series 2019-1A Class M1B | ||||
1-month USD LIBOR + 1.950% Floor 1.950% 07/25/2029 | 5.034% | 13,660,881 | 13,460,172 | |
Oaktown Re VI Ltd.(a),(b) | ||||
CMO Series 2021-1A Class M1B | ||||
30-day Average SOFR + 2.050% Floor 2.050% 10/25/2033 | 4.331% | 4,100,000 | 3,971,638 | |
PMT Credit Risk Transfer Trust(a),(b) | ||||
Series 2019-2R Class A | ||||
1-month USD LIBOR + 2.750% Floor 2.750% 05/27/2023 | 5.863% | 5,578,010 | 5,359,424 | |
PNMAC GMSR Issuer Trust(a),(b) | ||||
CMO Series 2018-GT1 Class A | ||||
1-month USD LIBOR + 2.850% Floor 2.850% 02/25/2023 | 5.934% | 54,900,000 | 54,498,187 | |
CMO Series 2018-GT2 Class A | ||||
1-month USD LIBOR + 2.650% 08/25/2025 | 5.734% | 73,650,000 | 72,162,292 | |
Point Securitization Trust(a),(d) | ||||
CMO Series 2021-1 Class A1 | ||||
02/25/2052 | 3.228% | 15,427,790 | 14,694,277 | |
Preston Ridge Partners Mortgage Trust(a),(d) | ||||
CMO Series 2021-1 Class A1 | ||||
01/25/2026 | 2.115% | 25,326,486 | 23,432,714 | |
CMO Series 2021-3 Class A1 | ||||
04/25/2026 | 1.867% | 12,813,908 | 11,990,662 |
18 | Columbia Variable Portfolio – Intermediate Bond Fund | Third Quarter Report 2022 |
Portfolio of Investments (continued)
Columbia Variable Portfolio – Intermediate Bond Fund, September 30, 2022 (Unaudited)
Columbia Variable Portfolio – Intermediate Bond Fund, September 30, 2022 (Unaudited)
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2021-7 Class A1 | ||||
08/25/2026 | 1.867% | 10,113,143 | 9,470,844 | |
CMO Series 2021-8 Class A1 | ||||
09/25/2026 | 1.743% | 11,148,317 | 10,271,912 | |
Pretium Mortgage Credit Partners(a),(d) | ||||
CMO Series 2022-NPL1 Class A1 | ||||
01/25/2052 | 2.981% | 8,483,249 | 7,653,071 | |
Pretium Mortgage Credit Partners LLC(a),(d) | ||||
CMO Series 2021-RN2 Class A1 | ||||
07/25/2051 | 1.744% | 7,325,431 | 6,777,489 | |
PRPM LLC(a),(d) | ||||
CMO Series 2021-RPL1 Class A1 | ||||
07/25/2051 | 1.319% | 7,118,207 | 6,471,528 | |
Radnor Re Ltd.(a),(b) | ||||
CMO Series 2019-2 Class M1B | ||||
1-month USD LIBOR + 1.750% Floor 1.750% 06/25/2029 | 4.834% | 2,134,806 | 2,128,156 | |
Residential Mortgage Loan Trust(a),(d) | ||||
CMO Series 2019-3 Class A3 | ||||
09/25/2059 | 3.044% | 597,045 | 579,126 | |
Saluda Grade Alternative Mortgage Trust(a) | ||||
CMO Series 2020-FIG1 Class A1 | ||||
09/25/2050 | 3.568% | 1,059,247 | 1,041,267 | |
SG Residential Mortgage Trust(a),(d) | ||||
CMO Series 2019-3 Class M1 | ||||
09/25/2059 | 3.526% | 7,700,000 | 7,431,236 | |
Stanwich Mortgage Loan Co. LLC(a),(d) | ||||
CMO Series 2021-NPB1 Class A1 | ||||
10/16/2026 | 2.735% | 10,763,024 | 9,865,585 | |
Starwood Mortgage Residential Trust(a) | ||||
CMO Series 2020-INV1 Class M1 | ||||
11/25/2055 | 2.501% | 2,900,000 | 2,532,698 | |
Starwood Mortgage Residential Trust(a),(d) | ||||
CMO Series 2021-3 Class A1 | ||||
06/25/2056 | 1.127% | 3,456,317 | 2,872,076 | |
Stonnington Mortgage Trust(a),(c),(d),(m) | ||||
CMO Series 2020-1 Class A | ||||
07/28/2024 | 3.500% | 5,254,443 | 5,254,443 | |
Toorak Mortgage Corp., Ltd.(a),(d) | ||||
CMO Series 2021-1 Class A1 | ||||
06/25/2024 | 2.240% | 11,000,000 | 10,600,993 | |
Towd Point Mortgage Trust(a),(d) | ||||
CMO Series 2019-4 Class M1B | ||||
10/25/2059 | 3.000% | 24,114,000 | 19,289,960 | |
Triangle Re Ltd.(a),(b) | ||||
CMO Series 2021-1 Class M1C | ||||
1-month USD LIBOR + 3.400% Floor 3.400% 08/25/2033 | 6.484% | 5,908,010 | 5,906,147 |
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2021-2 Class M1B | ||||
1-month USD LIBOR + 2.600% Floor 2.600% 10/25/2033 | 5.684% | 15,000,000 | 14,854,668 | |
VCAT Asset Securitization LLC(a),(d) | ||||
CMO Series 2021-NPL6 Class A1 | ||||
09/25/2051 | 1.917% | 14,649,431 | 13,618,245 | |
VCAT LLC(a),(d) | ||||
CMO Series 2021-NPL5 Class A1 | ||||
08/25/2051 | 1.868% | 19,344,477 | 17,699,805 | |
Vericrest Opportunity Loan Transferee XCIX LLC(a),(d) | ||||
CMO Series 2021-NPL8 Class A1 | ||||
04/25/2051 | 2.116% | 11,182,778 | 10,461,489 | |
Verus Securitization Trust(a),(d) | ||||
CMO Series 2019-4 Class A3 | ||||
11/25/2059 | 3.000% | 1,982,329 | 1,904,987 | |
CMO Series 2019-INV3 Class A3 | ||||
11/25/2059 | 3.100% | 4,298,214 | 4,125,168 | |
CMO Series 2020-1 Class A3 | ||||
01/25/2060 | 2.724% | 10,514,055 | 9,966,900 | |
CMO Series 2020-NPL1 Class A1 | ||||
08/25/2050 | 3.598% | 50,742 | 50,651 | |
CMO Series 2021-5 Class A2 | ||||
09/25/2066 | 1.218% | 3,267,822 | 2,528,891 | |
CMO Series 2021-5 Class A3 | ||||
09/25/2066 | 1.373% | 6,185,520 | 4,785,407 | |
CMO Series 2021-5 Class M1 | ||||
09/25/2066 | 2.331% | 3,800,000 | 2,250,324 | |
CMO Series 2021-7 Class A3 | ||||
10/25/2066 | 2.240% | 9,605,630 | 7,936,198 | |
Visio Trust(a),(d) | ||||
CMO Series 2019-2 Class A3 | ||||
11/25/2054 | 3.076% | 2,831,992 | 2,709,787 | |
Total Residential Mortgage-Backed Securities - Non-Agency (Cost $833,059,791) | 787,592,501 | |||
Senior Loans 0.2% | ||||
Borrower | Coupon Rate | Principal Amount ($) | Value ($) | |
Chemicals 0.0% | ||||
WR Grace Holdings LLC(b),(n) | ||||
Term Loan | ||||
1-month USD LIBOR + 3.750% Floor 0.500% 09/22/2028 | 7.438% | 853,550 | 797,002 |
Columbia Variable Portfolio – Intermediate Bond Fund | Third Quarter Report 2022 | 19 |
Portfolio of Investments (continued)
Columbia Variable Portfolio – Intermediate Bond Fund, September 30, 2022 (Unaudited)
Columbia Variable Portfolio – Intermediate Bond Fund, September 30, 2022 (Unaudited)
Senior Loans (continued) | ||||
Borrower | Coupon Rate | Principal Amount ($) | Value ($) | |
Consumer Cyclical Services 0.0% | ||||
8th Avenue Food & Provisions, Inc.(b),(n) | ||||
1st Lien Term Loan | ||||
1-month USD LIBOR + 3.750% 10/01/2025 | 2.500% | 469,893 | 409,836 | |
Consumer Products 0.1% | ||||
SWF Holdings I Corp.(b),(n) | ||||
1st Lien Term Loan | ||||
1-month USD LIBOR + 4.000% Floor 0.750% 10/06/2028 | 7.602% | 1,661,650 | 1,292,763 | |
Media and Entertainment 0.0% | ||||
Cengage Learning, Inc.(b),(n) | ||||
Tranche B 1st Lien Term Loan | ||||
1-month USD LIBOR + 4.750% Floor 1.000% 07/14/2026 | 7.814% | 1,392,828 | 1,257,682 | |
Technology 0.1% | ||||
Ascend Learning LLC(b),(n) | ||||
1st Lien Term Loan | ||||
1-month USD LIBOR + 3.500% Floor 0.500% 12/11/2028 | 6.615% | 792,015 | 729,446 | |
2nd Lien Term Loan | ||||
1-month USD LIBOR + 5.750% Floor 0.500% 12/10/2029 | 8.865% | 475,000 | 411,174 | |
DCert Buyer, Inc.(b),(n) | ||||
2nd Lien Term Loan | ||||
1-month USD LIBOR + 7.000% 02/19/2029 | 9.903% | 790,000 | 733,910 | |
Epicore Software Corp.(b),(n) | ||||
2nd Lien Term Loan | ||||
1-month USD LIBOR + 7.750% Floor 1.000% 07/31/2028 | 10.865% | 235,000 | 228,420 | |
UKG, Inc.(b),(n) | ||||
1st Lien Term Loan | ||||
1-month USD LIBOR + 3.250% Floor 0.500% 05/04/2026 | 5.535% | 475,080 | 450,932 |
Senior Loans (continued) | ||||
Borrower | Coupon Rate | Principal Amount ($) | Value ($) | |
2nd Lien Term Loan | ||||
1-month USD LIBOR + 5.250% Floor 0.500% 05/03/2027 | 7.535% | 923,000 | 867,620 | |
Total | 3,421,502 | |||
Total Senior Loans (Cost $8,024,938) | 7,178,785 | |||
U.S. Treasury Obligations 1.0% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
U.S. Treasury | ||||
08/15/2025 | 2.000% | 30,000,000 | 28,183,594 | |
08/15/2045 | 2.875% | 7,608,500 | 6,204,494 | |
Total U.S. Treasury Obligations (Cost $35,566,140) | 34,388,088 |
Options Purchased Calls 0.2% | ||||
Value ($) | ||||
(Cost $25,639,755) | 6,908,107 |
Money Market Funds 5.6% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 2.834%(o),(p) | 186,587,008 | 186,493,714 |
Total Money Market Funds (Cost $186,495,569) | 186,493,714 | |
Total Investments in Securities (Cost: $4,035,960,457) | 3,604,680,344 | |
Other Assets & Liabilities, Net | (263,427,881) | |
Net Assets | 3,341,252,463 |
At September 30, 2022, securities and/or cash totaling $80,882,624 were pledged as collateral.
20 | Columbia Variable Portfolio – Intermediate Bond Fund | Third Quarter Report 2022 |
Portfolio of Investments (continued)
Columbia Variable Portfolio – Intermediate Bond Fund, September 30, 2022 (Unaudited)
Columbia Variable Portfolio – Intermediate Bond Fund, September 30, 2022 (Unaudited)
Investments in derivatives
Forward foreign currency exchange contracts | |||||
Currency to be sold | Currency to be purchased | Counterparty | Settlement date | Unrealized appreciation ($) | Unrealized depreciation ($) |
19,766,000 EUR | 19,872,127 USD | UBS | 11/10/2022 | 449,324 | — |
1,201,000 EUR | 1,162,621 USD | UBS | 11/10/2022 | — | (17,526) |
Total | 449,324 | (17,526) |
Long futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
U.S. Treasury 10-Year Note | 7,011 | 12/2022 | USD | 785,670,188 | — | (8,294,345) |
U.S. Treasury 5-Year Note | 331 | 12/2022 | USD | 35,585,086 | — | (1,043,170) |
U.S. Treasury Ultra 10-Year Note | 146 | 12/2022 | USD | 17,298,719 | — | (1,014,330) |
U.S. Ultra Treasury Bond | 1,548 | 12/2022 | USD | 212,076,000 | — | (19,539,308) |
Total | — | (29,891,153) |
Short futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
Euro-Bobl | (854) | 12/2022 | EUR | (102,266,500) | 2,476,417 | — |
Euro-Bund | (1,427) | 12/2022 | EUR | (197,625,230) | 76,018 | — |
Euro-Schatz | (1,382) | 12/2022 | EUR | (148,102,030) | 1,326,585 | — |
Japanese 10-Year Government Bond | (106) | 12/2022 | JPY | (15,719,800,000) | 62,096 | — |
Total | 3,941,116 | — |
Call option contracts purchased | ||||||||
Description | Counterparty | Trading currency | Notional amount | Number of contracts | Exercise price/Rate | Expiration date | Cost ($) | Value ($) |
10-Year OTC interest rate swap with Citi to receive exercise rate and pay SOFR | Citi | USD | 93,240,000 | 93,240,000 | 2.25 | 04/27/2023 | 2,237,760 | 351,757 |
10-Year OTC interest rate swap with Citi to receive exercise rate and pay SOFR | Citi | USD | 190,320,000 | 190,320,000 | 2.50 | 05/12/2023 | 5,690,568 | 1,258,529 |
10-Year OTC interest rate swap with Citi to receive exercise rate and pay SOFR | Citi | USD | 131,500,000 | 131,500,000 | 2.25 | 05/26/2023 | 2,695,750 | 619,655 |
10-Year OTC interest rate swap with Citi to receive exercise rate and pay SOFR | Citi | USD | 199,800,000 | 199,800,000 | 2.75 | 06/26/2023 | 6,488,505 | 2,440,337 |
10-Year OTC interest rate swap with Citi to receive exercise rate and pay SOFR | Citi | USD | 75,880,000 | 75,880,000 | 2.75 | 07/11/2023 | 2,655,800 | 979,300 |
10-Year OTC interest rate swap with Morgan Stanley to receive exercise rate and pay SOFR | Morgan Stanley | USD | 190,320,000 | 190,320,000 | 2.50 | 05/12/2023 | 5,871,372 | 1,258,529 |
Total | 25,639,755 | 6,908,107 |
Put option contracts written | ||||||||
Description | Counterparty | Trading currency | Notional amount | Number of contracts | Exercise price/Rate | Expiration date | Premium received ($) | Value ($) |
10-Year OTC interest rate swap with Morgan Stanley to receive exercise rate and pay SOFR | Morgan Stanley | USD | (166,690,000) | (166,690,000) | 3.75 | 12/29/2022 | (2,500,350) | (2,739,334) |
Columbia Variable Portfolio – Intermediate Bond Fund | Third Quarter Report 2022 | 21 |
Portfolio of Investments (continued)
Columbia Variable Portfolio – Intermediate Bond Fund, September 30, 2022 (Unaudited)
Columbia Variable Portfolio – Intermediate Bond Fund, September 30, 2022 (Unaudited)
Credit default swap contracts - buy protection | ||||||||||||
Reference entity | Counterparty | Maturity date | Pay fixed rate (%) | Payment frequency | Notional currency | Notional amount | Value ($) | Periodic payments receivable (payable) ($) | Upfront payments ($) | Upfront receipts ($) | Unrealized appreciation ($) | Unrealized depreciation ($) |
Markit CMBX North America Index, Series 10 BBB- | JPMorgan | 11/17/2059 | 3.000 | Monthly | USD | 17,000,000 | 3,184,845 | (8,500) | 696,794 | — | 2,479,551 | — |
Markit CMBX North America Index, Series 11 BBB- | JPMorgan | 11/18/2054 | 3.000 | Monthly | USD | 3,700,000 | 600,094 | (1,850) | 126,715 | — | 471,529 | — |
Markit CMBX North America Index, Series 11 BBB- | Morgan Stanley | 11/17/2059 | 3.000 | Monthly | USD | 4,000,000 | 749,375 | (2,000) | 234,531 | — | 512,844 | — |
Total | 4,534,314 | (12,350) | 1,058,040 | — | 3,463,924 | — |
Cleared credit default swap contracts - buy protection | |||||||||||
Reference entity | Counterparty | Maturity date | Pay fixed rate (%) | Payment frequency | Notional currency | Notional amount | Value ($) | Upfront payments ($) | Upfront receipts ($) | Unrealized appreciation ($) | Unrealized depreciation ($) |
Markit CDX North America High Yield Index, Series 39 | Morgan Stanley | 12/20/2027 | 5.000 | Quarterly | USD | 330,599,000 | (2,896,724) | — | — | — | (2,896,724) |
Credit default swap contracts - sell protection | |||||||||||||
Reference entity | Counterparty | Maturity date | Receive fixed rate (%) | Payment frequency | Implied credit spread (%)* | Notional currency | Notional amount | Value ($) | Periodic payments receivable (payable) ($) | Upfront payments ($) | Upfront receipts ($) | Unrealized appreciation ($) | Unrealized depreciation ($) |
Markit CMBX North America Index, Series 10 BBB- | Citi | 11/17/2059 | 3.000 | Monthly | 8.960 | USD | 9,000,000 | (1,686,094) | 4,500 | — | (1,976,897) | 295,303 | — |
Markit CMBX North America Index, Series 10 BBB- | Goldman Sachs International | 11/17/2059 | 3.000 | Monthly | 8.960 | USD | 8,000,000 | (1,498,750) | 4,000 | — | (907,690) | — | (587,060) |
Markit CMBX North America Index, Series 10 BBB- | JPMorgan | 11/17/2059 | 3.000 | Monthly | 8.960 | USD | 10,000,000 | (1,873,438) | 5,000 | — | (2,175,259) | 306,821 | — |
Markit CMBX North America Index, Series 10 BBB- | JPMorgan | 11/17/2059 | 3.000 | Monthly | 8.960 | USD | 10,000,000 | (1,873,438) | 5,000 | — | (1,685,029) | — | (183,409) |
Markit CMBX North America Index, Series 10 BBB- | JPMorgan | 11/17/2059 | 3.000 | Monthly | 8.960 | USD | 9,500,000 | (1,779,766) | 4,750 | — | (1,541,451) | — | (233,565) |
Markit CMBX North America Index, Series 10 BBB- | JPMorgan | 11/17/2059 | 3.000 | Monthly | 8.960 | USD | 11,250,000 | (2,107,618) | 5,625 | — | (1,766,450) | — | (335,543) |
Markit CMBX North America Index, Series 10 BBB- | Morgan Stanley | 11/17/2059 | 3.000 | Monthly | 8.960 | USD | 10,000,000 | (1,873,438) | 5,000 | — | (1,968,675) | 100,237 | — |
Markit CMBX North America Index, Series 10 BBB- | Morgan Stanley | 11/17/2059 | 3.000 | Monthly | 8.960 | USD | 7,000,000 | (1,311,407) | 3,500 | — | (1,337,327) | 29,420 | — |
Markit CMBX North America Index, Series 10 BBB- | Morgan Stanley | 11/17/2059 | 3.000 | Monthly | 8.960 | USD | 14,250,000 | (2,669,649) | 7,125 | — | (2,312,177) | — | (350,347) |
Total | (16,673,598) | 44,500 | — | (15,670,955) | 731,781 | (1,689,924) |
22 | Columbia Variable Portfolio – Intermediate Bond Fund | Third Quarter Report 2022 |
Portfolio of Investments (continued)
Columbia Variable Portfolio – Intermediate Bond Fund, September 30, 2022 (Unaudited)
Columbia Variable Portfolio – Intermediate Bond Fund, September 30, 2022 (Unaudited)
* | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues as of period end serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
Notes to Portfolio of Investments
(a) | Represents privately placed and other securities and instruments exempt from Securities and Exchange Commission registration (collectively, private placements), such as Section 4(a)(2) and Rule 144A eligible securities, which are often sold only to qualified institutional buyers. At September 30, 2022, the total value of these securities amounted to $1,814,363,940, which represents 54.30% of total net assets. |
(b) | Variable rate security. The interest rate shown was the current rate as of September 30, 2022. |
(c) | Valuation based on significant unobservable inputs. |
(d) | Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. The interest rate shown was the current rate as of September 30, 2022. |
(e) | Represents interest only securities which have the right to receive the monthly interest payments on an underlying pool of mortgage loans. |
(f) | Principal amounts are denominated in United States Dollars unless otherwise noted. |
(g) | Represents a variable rate security with a step coupon where the rate adjusts according to a schedule for a series of periods, typically lower for an initial period and then increasing to a higher coupon rate thereafter. The interest rate shown was the current rate as of September 30, 2022. |
(h) | Payment-in-kind security. Interest can be paid by issuing additional par of the security or in cash. |
(i) | Represents a security purchased on a when-issued basis. |
(j) | Represents a security in default. |
(k) | Principal and interest may not be guaranteed by a governmental entity. |
(l) | This security or a portion of this security has been pledged as collateral in connection with derivative contracts. |
(m) | Represents fair value as determined in good faith under procedures approved by the Board of Trustees. At September 30, 2022, the total value of these securities amounted to $31,254,443, which represents 0.94% of total net assets. |
(n) | The stated interest rate represents the weighted average interest rate at September 30, 2022 of contracts within the senior loan facility. Interest rates on contracts are primarily determined either weekly, monthly or quarterly by reference to the indicated base lending rate and spread and the reset period. These base lending rates are primarily the LIBOR and other short-term rates. Base lending rates may be subject to a floor or minimum rate. The interest rate for senior loans purchased on a when-issued or delayed delivery basis will be determined upon settlement, therefore no interest rate is disclosed. Senior loans often require prepayments from excess cash flows or permit the borrowers to repay at their election. The degree to which borrowers repay cannot be predicted with accuracy. As a result, remaining maturities of senior loans may be less than the stated maturities. Generally, the Fund is contractually obligated to receive approval from the agent bank and/or borrower prior to the disposition of a senior loan. |
(o) | The rate shown is the seven-day current annualized yield at September 30, 2022. |
(p) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund.The value of the holdings and transactions in these affiliated companies during the period ended September 30, 2022 are as follows: |
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Realized gain (loss)($) | Dividends($) | End of period shares |
Columbia Short-Term Cash Fund, 2.834% | ||||||||
191,934,307 | 1,252,513,531 | (1,257,956,391) | 2,267 | 186,493,714 | (45,345) | 1,494,293 | 186,587,008 |
Abbreviation Legend
CMO | Collateralized Mortgage Obligation |
FHLMC | Federal Home Loan Mortgage Corporation |
LIBOR | London Interbank Offered Rate |
SOFR | Secured Overnight Financing Rate |
STRIPS | Separate Trading of Registered Interest and Principal Securities |
TBA | To Be Announced |
Currency Legend
EUR | Euro |
JPY | Japanese Yen |
USD | US Dollar |
Columbia Variable Portfolio – Intermediate Bond Fund | Third Quarter Report 2022 | 23 |
Portfolio of Investments (continued)
Columbia Variable Portfolio – Intermediate Bond Fund, September 30, 2022 (Unaudited)
Columbia Variable Portfolio – Intermediate Bond Fund, September 30, 2022 (Unaudited)
Investments are valued using policies described in the Notes to Financial Statements in the most recent shareholder report.
24 | Columbia Variable Portfolio – Intermediate Bond Fund | Third Quarter Report 2022 |
[THIS PAGE INTENTIONALLY LEFT BLANK]
You may at any time request, free of charge, to receive a paper copy of this report by calling 800.345.6611.
3QT7012_12_A01_(11/22)