Columbia Variable Portfolio – U.S. Government Mortgage Fund
First Quarter Report
March 31, 2024 (Unaudited)
Please remember that you may not buy (nor will you own) shares of the Fund directly. The Fund is available through variable annuity contracts and variable life insurance policies offered by the separate accounts of participating insurance companies as well as qualified pension and retirement plans. Please contact your financial advisor or insurance representative for more information.
Not FDIC or NCUA Insured | No Financial Institution Guarantee | May Lose Value |
Portfolio of InvestmentsColumbia Variable Portfolio – U.S. Government Mortgage Fund, March 31, 2024 (Unaudited)(Percentages represent value of investments compared to net assets)
Investments in securities
Asset-Backed Securities - Non-Agency 5.5% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
ACM Auto Trust(a) | ||||
Series 2023-2A Class A | ||||
06/20/2030 | 7.970% | 1,530,853 | 1,541,710 | |
Apidos CLO XXVIII(a),(b) | ||||
Series 2017-28A Class B | ||||
3-month Term SOFR + 1.962% Floor 1.700% 01/20/2031 | 7.279% | 4,125,000 | 4,124,987 | |
Carlyle Global Market Strategies CLO Ltd.(a),(b) | ||||
Series 2013-3A Class BR | ||||
3-month Term SOFR + 1.962% Floor 1.700% 10/15/2030 | 7.276% | 2,750,000 | 2,724,672 | |
Series 2013-4A Class BRR | ||||
3-month Term SOFR + 1.682% Floor 1.420% 01/15/2031 | 6.996% | 6,500,000 | 6,490,731 | |
Lendingpoint Asset Securitization Trust(a) | ||||
Series 2022-C Class A | ||||
02/15/2030 | 6.560% | 671,299 | 670,563 | |
Madison Park Funding XVIII Ltd.(a),(b) | ||||
Series 2015-18A Class CRR | ||||
3-month Term SOFR + 2.162% Floor 1.900% 10/21/2030 | 7.479% | 8,000,000 | 7,997,040 | |
Marlette Funding Trust(a) | ||||
Series 2023-2A Class A | ||||
06/15/2033 | 6.040% | 833,317 | 833,902 | |
OZLM XI Ltd.(a),(b) | ||||
Series 2015-11A Class A2R | ||||
3-month Term SOFR + 2.012% 10/30/2030 | 7.329% | 3,000,000 | 3,000,459 | |
Pagaya AI Debt Trust(a) | ||||
Series 2022-5 Class A | ||||
06/17/2030 | 8.096% | 1,682,349 | 1,700,403 | |
Subordinated Series 2022-1 Class B | ||||
10/15/2029 | 3.344% | 1,999,735 | 1,948,692 | |
Palmer Square Loan Funding Ltd.(a),(b) | ||||
Series 2021-4A Class B | ||||
3-month Term SOFR + 2.012% Floor 1.750% 10/15/2029 | 7.326% | 5,250,000 | 5,215,492 | |
RR 3 Ltd.(a),(b) | ||||
Series 2014-14A Class A2R2 | ||||
3-month Term SOFR + 1.662% Floor 1.400% 01/15/2030 | 6.976% | 3,750,000 | 3,739,215 |
Asset-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Sound Point IV-R CLO Ltd.(a),(b) | ||||
Series 2013-3RA Class B | ||||
3-month Term SOFR + 2.012% Floor 1.750% 04/18/2031 | 7.310% | 5,000,000 | 4,982,380 | |
Theorem Funding Trust(a) | ||||
Series 2022-3A Class A | ||||
04/15/2029 | 7.600% | 1,125,335 | 1,133,761 | |
Upstart Pass-Through Trust(a) | ||||
Series 2021-ST2 Class A | ||||
04/20/2027 | 2.500% | 267,734 | 261,624 | |
Upstart Securitization Trust(a) | ||||
Subordinated Series 2021-4 Class B | ||||
09/20/2031 | 1.840% | 1,773,921 | 1,745,827 | |
Total Asset-Backed Securities — Non-Agency (Cost $48,025,401) | 48,111,458 | |||
Commercial Mortgage-Backed Securities - Agency 4.0% | ||||
Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates(c) | ||||
Series K063 Class A2 | ||||
01/25/2027 | 3.430% | 4,362,000 | 4,215,947 | |
Federal National Mortgage Association | ||||
Series 2017-T1 Class A | ||||
06/25/2027 | 2.898% | 3,963,001 | 3,724,961 | |
Federal National Mortgage Association(c) | ||||
Series 2018-M7 Class A2 | ||||
03/25/2028 | 3.032% | 22,643,996 | 21,336,058 | |
FRESB Mortgage Trust(c) | ||||
Series 2018-SB45 Class A10F (FHLMC) | ||||
11/25/2027 | 3.160% | 2,908,719 | 2,726,284 | |
Government National Mortgage Association(c),(d) | ||||
Series 2019-102 Class IB | ||||
03/16/2060 | 0.835% | 6,587,942 | 336,958 | |
Series 2019-118 Class IO | ||||
06/16/2061 | 0.811% | 9,538,599 | 489,182 | |
Series 2019-131 Class IO | ||||
07/16/2061 | 0.802% | 12,699,702 | 697,494 | |
Series 2019-134 Class IO | ||||
08/16/2061 | 0.652% | 8,498,584 | 361,795 | |
Series 2019-139 Class IO | ||||
11/16/2061 | 0.671% | 9,038,084 | 390,667 | |
Series 2020-19 Class IO | ||||
12/16/2061 | 0.718% | 8,734,311 | 428,508 |
2
Columbia Variable Portfolio – U.S. Government Mortgage Fund | First Quarter Report 2024
Portfolio of Investments (continued)Columbia Variable Portfolio – U.S. Government Mortgage Fund, March 31, 2024 (Unaudited)
Commercial Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Series 2020-3 Class IO | ||||
02/16/2062 | 0.615% | 9,704,515 | 404,404 | |
Total Commercial Mortgage-Backed Securities - Agency (Cost $42,871,891) | 35,112,258 | |||
Commercial Mortgage-Backed Securities - Non-Agency 4.5% | ||||
Braemar Hotels & Resorts Trust(a),(b) | ||||
Subordinated Series 2018-PRME Class D | ||||
1-month Term SOFR + 1.847% Floor 1.925% 06/15/2035 | 7.240% | 3,500,000 | 3,430,207 | |
Credit Suisse Mortgage Capital Certificates OA LLC(a) | ||||
Subordinated Series 2014-USA Class E | ||||
09/15/2037 | 4.373% | 4,200,000 | 2,147,711 | |
Hilton USA Trust(a),(c) | ||||
Subordinated Series 2016-HHV Class F | ||||
11/05/2038 | 4.194% | 4,500,000 | 4,143,741 | |
Hilton USA Trust(a) | ||||
Subordinated Series 2016-SFP Class E | ||||
11/05/2035 | 5.519% | 1,000,000 | 99,996 | |
Hilton USA Trust(a),(e) | ||||
Subordinated Series 2016-SFP Class F | ||||
11/05/2035 | 0.000% | 2,000,000 | 59,769 | |
Home Partners of America Trust(a) | ||||
Subordinated Series 2021-2 Class B | ||||
12/17/2026 | 2.302% | 8,652,955 | 7,902,872 | |
Morgan Stanley Capital I Trust(a),(c) | ||||
Series 2019-MEAD Class D | ||||
11/10/2036 | 3.283% | 2,917,500 | 2,575,663 | |
Progress Residential Trust(a) | ||||
Series 2020-SFR1 Class E | ||||
04/17/2037 | 3.032% | 4,000,000 | 3,864,083 | |
Series 2020-SFR3 Class B | ||||
10/17/2027 | 1.495% | 3,000,000 | 2,808,401 | |
Series 2022-SFR1 Class A | ||||
02/17/2041 | 2.709% | 4,979,591 | 4,454,082 | |
SFO Commercial Mortgage Trust(a),(b) | ||||
Series 2021-555 Class A | ||||
1-month Term SOFR + 1.264% Floor 1.150% 05/15/2038 | 6.590% | 5,000,000 | 4,859,253 | |
Wells Fargo Commercial Mortgage Trust(a),(b) | ||||
Subordinated Series 2017-SMP Class D | ||||
1-month Term SOFR + 1.822% Floor 1.650% 12/15/2034 | 7.147% | 3,000,000 | 2,569,685 | |
Total Commercial Mortgage-Backed Securities - Non-Agency (Cost $45,506,325) | 38,915,463 | |||
Residential Mortgage-Backed Securities - Agency 105.4% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Fannie Mae REMICS | ||||
CMO Series 2018-7 Class CD | ||||
02/25/2048 | 3.000% | 9,336,203 | 8,264,500 | |
Fannie Mae REMICS(b),(d) | ||||
CMO Series 2023-34 Class S | ||||
-1.0 x 30-day Average SOFR + 6.086% Cap 6.200% 10/25/2048 | 0.765% | 11,647,690 | 1,302,617 | |
Federal Home Loan Mortgage Corp. | ||||
08/01/2035- 08/01/2051 | 2.000% | 32,594,049 | 27,374,315 | |
06/01/2039- 06/01/2053 | 5.000% | 9,077,055 | 8,894,477 | |
08/01/2041- 05/01/2053 | 4.500% | 14,388,242 | 13,798,088 | |
10/01/2041- 12/01/2052 | 4.000% | 32,480,248 | 30,599,137 | |
07/01/2042- 04/01/2047 | 3.500% | 28,106,626 | 25,875,348 | |
11/01/2042- 08/01/2052 | 3.000% | 56,258,188 | 49,326,763 | |
02/01/2051- 03/01/2052 | 2.500% | 39,225,508 | 32,833,256 | |
07/01/2053 | 5.500% | 7,698,134 | 7,673,597 | |
Federal Home Loan Mortgage Corp.(b) | ||||
12-month Term SOFR + 1.621% Cap 11.183% 01/01/2037 | 5.870% | 20,330 | 20,710 | |
12-month Term SOFR + 1.910% Cap 10.449% 09/01/2037 | 6.003% | 51,319 | 52,502 | |
Federal Home Loan Mortgage Corp.(b),(d) | ||||
CMO Series 264 Class S1 | ||||
-1.0 x 30-day Average SOFR + 5.836% Cap 5.950% 07/15/2042 | 0.517% | 3,054,818 | 268,188 | |
CMO Series 318 Class S1 | ||||
-1.0 x 30-day Average SOFR + 5.836% Cap 5.950% 11/15/2043 | 0.517% | 6,440,264 | 563,439 | |
CMO Series 4286 Class NS | ||||
-1.0 x 30-day Average SOFR + 5.786% Cap 5.900% 12/15/2043 | 0.467% | 2,120,583 | 231,339 | |
CMO Series 4594 Class SA | ||||
-1.0 x 30-day Average SOFR + 5.836% Cap 5.950% 06/15/2046 | 0.517% | 4,956,789 | 579,904 |
Columbia Variable Portfolio – U.S. Government Mortgage Fund | First Quarter Report 2024
3
Portfolio of Investments (continued)Columbia Variable Portfolio – U.S. Government Mortgage Fund, March 31, 2024 (Unaudited)
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 4965 Class KS | ||||
-1.0 x 30-day Average SOFR + 5.736% Cap 5.850% 04/25/2050 | 0.415% | 2,923,670 | 287,140 | |
CMO Series 4987 Class KS | ||||
-1.0 x 30-day Average SOFR + 6.194% Cap 6.080% 06/25/2050 | 0.645% | 6,095,216 | 827,542 | |
CMO Series 4993 Class MS | ||||
-1.0 x 30-day Average SOFR + 5.936% Cap 6.050% 07/25/2050 | 0.615% | 7,588,844 | 1,060,838 | |
CMO STRIPS Series 309 Class S4 | ||||
-1.0 x 30-day Average SOFR + 5.856% Cap 5.970% 08/15/2043 | 0.537% | 1,764,369 | 149,256 | |
CMO STRIPS Series 326 Class S1 | ||||
-1.0 x 30-day Average SOFR + 5.886% Cap 6.000% 03/15/2044 | 0.567% | 737,373 | 64,451 | |
Federal Home Loan Mortgage Corp.(d) | ||||
CMO Series 266 | ||||
07/15/2042 | 4.000% | 1,871,120 | 308,002 | |
CMO Series 267 | ||||
08/15/2042 | 4.000% | 1,455,633 | 242,356 | |
CMO Series 4139 Class CI | ||||
05/15/2042 | 3.500% | 916,640 | 72,122 | |
CMO Series 4147 Class CI | ||||
01/15/2041 | 3.500% | 703,613 | 18,057 | |
CMO Series 4177 Class IY | ||||
03/15/2043 | 4.000% | 3,622,759 | 546,287 | |
Federal Home Loan Mortgage Corp.(c),(d) | ||||
CMO Series 4068 Class GI | ||||
09/15/2036 | 0.000% | 1,289,027 | 99,025 | |
Federal Home Loan Mortgage Corp. REMICS | ||||
CMO Series 204378 Class ZB | ||||
08/15/2044 | 3.000% | 6,663,062 | 5,882,571 | |
CMO Series 204763 Class ZW | ||||
08/15/2047 | 4.000% | 6,374,888 | 5,936,202 | |
Federal Home Loan Mortgage Corp. REMICS(b),(d) | ||||
CMO Series 4983 Class SY | ||||
-1.0 x 30-day Average SOFR + 5.986% Cap 6.100% 05/25/2050 | 0.665% | 14,821,400 | 1,572,459 |
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 5345 Class SE | ||||
-1.0 x 30-day Average SOFR + 5.886% Cap 6.000% 01/15/2048 | 0.567% | 19,813,891 | 1,933,574 | |
Federal Home Loan Mortgage Corp. REMICS(d) | ||||
CMO Series 5105 Class ID | ||||
05/25/2051 | 3.000% | 9,680,857 | 1,789,560 | |
Federal National Mortgage Association | ||||
03/01/2027- 01/01/2052 | 2.500% | 85,351,451 | 73,063,179 | |
03/01/2027- 05/01/2052 | 3.500% | 59,264,571 | 54,388,206 | |
05/01/2027- 11/01/2050 | 3.000% | 67,175,135 | 59,366,442 | |
06/01/2036- 05/01/2051 | 2.000% | 49,044,697 | 40,271,580 | |
12/01/2037- 09/01/2053 | 5.000% | 16,057,482 | 15,814,299 | |
05/01/2039- 08/01/2047 | 4.500% | 2,882,074 | 2,814,917 | |
11/01/2043- 08/01/2052 | 4.000% | 39,030,063 | 36,794,439 | |
CMO Series 2017-72 Class B | ||||
09/25/2047 | 3.000% | 2,267,840 | 2,042,623 | |
Federal National Mortgage Association(b) | ||||
6-month Term SOFR + 1.383% Floor 1.383%, Cap 9.383% 02/01/2033 | 5.758% | 7,359 | 7,303 | |
12-month Term SOFR + 1.694% Floor 1.694%, Cap 8.944% 12/01/2033 | 6.069% | 944 | 958 | |
12-month Term SOFR + 1.585% Floor 1.585%, Cap 9.153% 06/01/2034 | 5.335% | 11,527 | 11,441 | |
Federal National Mortgage Association(f) | ||||
12/01/2050 | 2.000% | 23,223,472 | 18,499,521 | |
Federal National Mortgage Association(c) | ||||
CMO Series 2003-W11 Class A1 | ||||
06/25/2033 | 6.720% | 551 | 554 | |
Federal National Mortgage Association(c),(d) | ||||
CMO Series 2006-5 Class N1 | ||||
08/25/2034 | 0.000% | 1,369,094 | 14 | |
Federal National Mortgage Association(d) | ||||
CMO Series 2012-129 Class IC | ||||
01/25/2041 | 3.500% | 614,264 | 22,145 | |
CMO Series 2012-133 Class EI | ||||
07/25/2031 | 3.500% | 24,849 | 57 | |
CMO Series 2012-144 Class HI | ||||
07/25/2042 | 3.500% | 846,688 | 78,955 | |
CMO Series 2012-40 Class IP | ||||
09/25/2040 | 4.000% | 1,773,398 | 93,953 |
4
Columbia Variable Portfolio – U.S. Government Mortgage Fund | First Quarter Report 2024
Portfolio of Investments (continued)Columbia Variable Portfolio – U.S. Government Mortgage Fund, March 31, 2024 (Unaudited)
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2013-1 Class AI | ||||
02/25/2043 | 3.500% | 881,596 | 127,563 | |
CMO Series 2013-10 Class AI | ||||
11/25/2041 | 3.500% | 2,640,849 | 135,244 | |
CMO Series 2013-16 | ||||
01/25/2040 | 3.500% | 422,833 | 7,913 | |
CMO Series 2020-55 Class MI | ||||
08/25/2050 | 2.500% | 10,491,051 | 1,719,057 | |
CMO Series 2021-3 Class TI | ||||
02/25/2051 | 2.500% | 37,674,680 | 6,328,416 | |
Federal National Mortgage Association(b),(d) | ||||
CMO Series 2012-99 Class SL | ||||
-1.0 x 30-day Average SOFR + 6.506% Cap 6.620% 09/25/2042 | 1.185% | 3,676,216 | 584,720 | |
CMO Series 2014-93 Class ES | ||||
-1.0 x 30-day Average SOFR + 6.036% Cap 6.150% 01/25/2045 | 0.715% | 2,154,132 | 251,961 | |
CMO Series 2016-37 Class SA | ||||
-1.0 x 30-day Average SOFR + 5.736% Cap 5.850% 06/25/2046 | 0.415% | 2,976,828 | 373,402 | |
CMO Series 2016-42 Class SB | ||||
-1.0 x 30-day Average SOFR + 5.886% Cap 6.000% 07/25/2046 | 0.565% | 7,666,267 | 907,720 | |
CMO Series 2017-3 Class SA | ||||
-1.0 x 30-day Average SOFR + 5.886% Cap 6.000% 02/25/2047 | 0.565% | 5,414,928 | 564,965 | |
CMO Series 2017-51 Class SC | ||||
-1.0 x 30-day Average SOFR + 6.036% Cap 6.150% 07/25/2047 | 0.715% | 5,778,260 | 699,377 | |
CMO Series 2017-72 Class S | ||||
-1.0 x 30-day Average SOFR + 3.836% Cap 2.750% 09/25/2047 | 0.000% | 13,208,882 | 434,610 | |
CMO Series 2017-90 Class SP | ||||
-1.0 x 30-day Average SOFR + 6.036% Cap 6.150% 11/25/2047 | 0.715% | 3,050,479 | 353,483 |
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2019-33 Class SB | ||||
-1.0 x 30-day Average SOFR + 5.936% Cap 6.050% 07/25/2049 | 0.615% | 8,932,148 | 898,976 | |
CMO Series 2019-34 Class SM | ||||
-1.0 x 30-day Average SOFR + 5.936% Cap 6.050% 07/25/2049 | 0.615% | 7,591,443 | 1,008,185 | |
CMO Series 2020-40 Class LS | ||||
-1.0 x 30-day Average SOFR + 5.966% Cap 6.080% 06/25/2050 | 0.645% | 8,778,338 | 1,238,141 | |
Federal National Mortgage Association REMICS(b),(d) | ||||
CMO Series 2016-1 Class SJ | ||||
-1.0 x 30-day Average SOFR + 6.036% Cap 6.150% 02/25/2046 | 0.715% | 7,465,537 | 879,365 | |
Federal National Mortgage Association REMICS | ||||
CMO Series 2016-23 Class Z | ||||
04/25/2046 | 3.500% | 5,363,105 | 4,865,179 | |
Federal National Mortgage Association REMICS(d) | ||||
CMO Series 2021-13 Class IO | ||||
03/25/2051 | 3.000% | 6,748,647 | 1,248,654 | |
CMO Series 2021-54 Class LI | ||||
04/25/2049 | 2.500% | 10,389,376 | 1,433,363 | |
Freddie Mac REMICS | ||||
CMO Series 4633 Class ZM | ||||
11/15/2046 | 3.000% | 3,870,671 | 3,369,568 | |
CMO Series 5104 Class LH | ||||
06/25/2049 | 2.000% | 2,960,442 | 2,425,911 | |
Freddie Mac REMICS(d) | ||||
CMO Series 5177 Class PI | ||||
12/25/2051 | 2.500% | 12,374,402 | 1,439,780 | |
Freddie Mac REMICS(b),(d) | ||||
CMO Series 5371 Class S | ||||
-1.0 x 30-day Average SOFR + 5.936% Cap 6.050% 08/15/2048 | 0.617% | 12,800,585 | 1,302,559 | |
Government National Mortgage Association | ||||
08/20/2040 | 5.000% | 1,586,187 | 1,594,841 | |
07/20/2041 | 4.500% | 2,125,069 | 2,094,019 | |
04/20/2051- 05/20/2051 | 2.500% | 21,364,090 | 17,663,999 | |
08/20/2052 | 4.000% | 8,424,389 | 7,850,570 | |
Government National Mortgage Association(f) | ||||
04/20/2048 | 4.500% | 3,719,767 | 3,623,459 |
Columbia Variable Portfolio – U.S. Government Mortgage Fund | First Quarter Report 2024
5
Portfolio of Investments (continued)Columbia Variable Portfolio – U.S. Government Mortgage Fund, March 31, 2024 (Unaudited)
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Government National Mortgage Association(d) | ||||
CMO Series 2012-121 Class PI | ||||
09/16/2042 | 4.500% | 1,326,176 | 185,529 | |
CMO Series 2014-131 Class EI | ||||
09/16/2039 | 4.000% | 1,832,706 | 137,649 | |
CMO Series 2020-104 Class IY | ||||
07/20/2050 | 3.000% | 9,085,609 | 1,439,031 | |
CMO Series 2020-138 Class IN | ||||
09/20/2050 | 2.500% | 6,180,676 | 845,884 | |
CMO Series 2020-138 Class JI | ||||
09/20/2050 | 2.500% | 15,922,748 | 2,140,038 | |
CMO Series 2020-142 Class GI | ||||
09/20/2050 | 3.000% | 3,435,848 | 539,939 | |
CMO Series 2020-191 Class UC | ||||
12/20/2050 | 4.000% | 10,421,664 | 2,113,382 | |
CMO Series 2021-1 Class IB | ||||
01/20/2051 | 2.500% | 10,437,800 | 1,441,399 | |
CMO Series 2021-1 Class QI | ||||
01/20/2051 | 2.500% | 12,187,992 | 1,695,874 | |
CMO Series 2021-122 Class HI | ||||
11/20/2050 | 2.500% | 8,373,388 | 1,063,605 | |
CMO Series 2021-142 Class IX | ||||
08/20/2051 | 2.500% | 11,739,377 | 1,614,853 | |
CMO Series 2021-146 Class IK | ||||
08/20/2051 | 3.500% | 10,260,288 | 1,898,028 | |
CMO Series 2021-158 Class VI | ||||
09/20/2051 | 3.000% | 8,605,464 | 1,369,117 | |
CMO Series 2021-159 Class IP | ||||
09/20/2051 | 3.000% | 6,498,504 | 1,031,663 | |
CMO Series 2021-175 Class IJ | ||||
10/20/2051 | 3.000% | 10,991,997 | 1,790,948 | |
CMO Series 2021-228 Class IJ | ||||
12/20/2051 | 2.500% | 13,039,432 | 1,792,694 | |
CMO Series 2021-27 Class IN | ||||
02/20/2051 | 2.500% | 6,981,687 | 959,964 | |
CMO Series 2021-67 Class GI | ||||
04/20/2051 | 3.000% | 10,348,899 | 1,674,789 | |
CMO Series 2021-8 Class BI | ||||
01/20/2051 | 2.500% | 11,267,408 | 1,647,103 | |
CMO Series 2021-8 Class IO | ||||
01/20/2051 | 3.000% | 18,710,259 | 2,987,877 | |
Government National Mortgage Association(b),(d) | ||||
CMO Series 2014-131 Class BS | ||||
-1.0 x 1-month Term SOFR + 6.086% Cap 6.200% 09/16/2044 | 0.759% | 1,863,070 | 227,595 |
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2017-170 Class QS | ||||
-1.0 x 1-month Term SOFR + 6.086% Cap 6.200% 11/20/2047 | 0.757% | 2,892,683 | 284,536 | |
CMO Series 2018-1 Class SA | ||||
-1.0 x 1-month Term SOFR + 6.086% Cap 6.200% 01/20/2048 | 0.757% | 2,095,540 | 210,879 | |
CMO Series 2018-105 Class SA | ||||
-1.0 x 1-month Term SOFR + 6.086% Cap 6.200% 08/20/2048 | 0.757% | 2,567,764 | 227,924 | |
CMO Series 2018-139 Class KS | ||||
-1.0 x 1-month Term SOFR + 6.036% Cap 6.150% 10/20/2048 | 0.707% | 4,500,330 | 413,094 | |
CMO Series 2018-147 Class SA | ||||
-1.0 x 1-month Term SOFR + 6.086% Cap 6.200% 10/20/2048 | 0.757% | 5,447,111 | 543,496 | |
CMO Series 2018-155 Class LS | ||||
-1.0 x 1-month Term SOFR + 6.036% Cap 6.150% 11/20/2048 | 0.707% | 3,671,680 | 354,170 | |
CMO Series 2018-21 Class WS | ||||
-1.0 x 1-month Term SOFR + 6.086% Cap 6.200% 02/20/2048 | 0.757% | 3,370,494 | 397,354 | |
CMO Series 2018-36 Class SG | ||||
-1.0 x 1-month Term SOFR + 6.086% Cap 6.200% 03/20/2048 | 0.757% | 17,143,675 | 1,963,571 | |
CMO Series 2018-40 Class SC | ||||
-1.0 x 1-month Term SOFR + 6.086% Cap 6.200% 03/20/2048 | 0.757% | 1,780,832 | 171,379 | |
CMO Series 2018-63 Class HS | ||||
-1.0 x 1-month Term SOFR + 6.086% Cap 6.200% 04/20/2048 | 0.757% | 2,579,005 | 243,040 |
6
Columbia Variable Portfolio – U.S. Government Mortgage Fund | First Quarter Report 2024
Portfolio of Investments (continued)Columbia Variable Portfolio – U.S. Government Mortgage Fund, March 31, 2024 (Unaudited)
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2018-94 Class SA | ||||
-1.0 x 1-month Term SOFR + 6.086% Cap 6.200% 05/20/2048 | 0.757% | 3,432,150 | 401,380 | |
CMO Series 2018-97 Class MS | ||||
-1.0 x 1-month Term SOFR + 6.086% Cap 6.200% 07/20/2048 | 0.757% | 2,930,663 | 257,163 | |
CMO Series 2019-117 Class SA | ||||
-1.0 x 1-month Term SOFR + 5.986% Cap 6.100% 09/20/2049 | 0.657% | 7,598,025 | 866,280 | |
CMO Series 2019-23 Class SQ | ||||
1-month Term SOFR + 6.164% Cap 6.050% 02/20/2049 | 0.607% | 3,233,219 | 380,169 | |
CMO Series 2019-43 Class SE | ||||
-1.0 x 1-month Term SOFR + 5.986% Cap 6.100% 04/20/2049 | 0.657% | 6,023,659 | 567,689 | |
CMO Series 2019-52 Class AS | ||||
-1.0 x 1-month Term SOFR + 5.936% Cap 6.050% 04/16/2049 | 0.609% | 7,562,329 | 1,109,258 | |
CMO Series 2019-92 Class SD | ||||
-1.0 x 1-month Term SOFR + 5.986% Cap 6.100% 07/20/2049 | 0.657% | 14,815,602 | 1,543,232 | |
CMO Series 2020-104 Class SA | ||||
-1.0 x 1-month Term SOFR + 6.086% Cap 6.200% 07/20/2050 | 0.757% | 6,294,564 | 678,935 | |
CMO Series 2020-125 Class SD | ||||
-1.0 x 1-month Term SOFR + 6.136% Cap 6.250% 08/20/2050 | 0.807% | 7,795,398 | 891,566 | |
CMO Series 2020-133 Class SK | ||||
-1.0 x 1-month Term SOFR + 6.186% Cap 6.300% 09/20/2050 | 0.857% | 14,022,373 | 1,722,968 |
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2020-77 Class GS | ||||
-1.0 x 1-month Term SOFR + 5.936% Cap 6.050% 05/20/2049 | 0.607% | 7,564,133 | 672,035 | |
CMO Series 2020-79 Class S | ||||
-1.0 x 1-month Term SOFR + 5.986% Cap 6.100% 06/20/2050 | 0.657% | 6,757,405 | 827,981 | |
CMO Series 2021-161 Class SM | ||||
-1.0 x 1-month Term SOFR + 6.186% Cap 6.300% 09/20/2051 | 0.857% | 12,815,978 | 1,551,097 | |
CMO Series 2021-193 Class ES | ||||
30-day Average SOFR + 1.700% 11/20/2051 | 0.000% | 71,878,798 | 155,560 | |
CMO Series 2021-46 Class SE | ||||
-1.0 x 1-month Term SOFR + 6.186% Cap 6.300% 03/20/2051 | 0.857% | 12,915,120 | 1,468,458 | |
CMO Series 2022-126 Class SN | ||||
-1.0 x 30-day Average SOFR + 5.970% Cap 5.970% 07/20/2052 | 0.651% | 13,267,921 | 1,149,587 | |
CMO Series 2022-128 Class SD | ||||
-1.0 x 30-day Average SOFR + 5.980% Cap 5.980% 07/20/2052 | 0.661% | 12,261,465 | 1,023,521 | |
CMO Series 2022-152 Class SA | ||||
-1.0 x 30-day Average SOFR + 6.050% Cap 6.050% 09/20/2052 | 0.731% | 20,428,559 | 1,773,213 | |
CMO Series 2022-190 Class CS | ||||
-1.0 x 30-day Average SOFR + 6.050% Cap 6.050% 11/20/2049 | 0.607% | 14,515,551 | 1,343,468 | |
CMO Series 2023-100 Class KS | ||||
-1.0 x 30-day Average SOFR + 6.850% Cap 6.850% 07/20/2053 | 1.531% | 17,035,595 | 1,615,874 |
Columbia Variable Portfolio – U.S. Government Mortgage Fund | First Quarter Report 2024
7
Portfolio of Investments (continued)Columbia Variable Portfolio – U.S. Government Mortgage Fund, March 31, 2024 (Unaudited)
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2023-100 Class SC | ||||
-1.0 x 1-month Term SOFR + 5.936% Cap 6.050% 09/20/2049 | 0.607% | 18,666,728 | 1,759,839 | |
CMO Series 2023-113 Class HS | ||||
1-month Term SOFR + 5.936% Cap 6.050% 09/20/2049 | 0.607% | 20,750,790 | 2,065,009 | |
CMO Series 2023-115 Class SB | ||||
-1.0 x 30-day Average SOFR + 5.820% Cap 5.820% 08/20/2053 | 0.501% | 9,930,320 | 324,134 | |
CMO Series 2023-115 Class SG | ||||
-1.0 x 30-day Average SOFR + 5.700% Cap 5.700% 08/20/2053 | 0.381% | 22,577,498 | 976,863 | |
CMO Series 2023-133 Class HS | ||||
-1.0 x 30-day Average SOFR + 6.500% Cap 6.500% 09/20/2053 | 1.181% | 33,335,197 | 1,542,670 | |
CMO Series 2023-140 Class LS | ||||
-1.0 x 30-day Average SOFR + 6.450% Cap 6.450% 09/20/2053 | 1.131% | 15,130,651 | 769,981 | |
CMO Series 2023-140 Class SJ | ||||
-1.0 x 30-day Average SOFR + 6.500% Cap 6.500% 09/20/2053 | 1.181% | 10,214,350 | 578,119 | |
CMO Series 2023-141 Class SQ | ||||
-1.0 x 1-month Term SOFR + 5.936% Cap 6.050% 12/20/2049 | 0.607% | 13,337,630 | 1,389,928 | |
CMO Series 2023-17 Class NS | ||||
-1.0 x 30-day Average SOFR + 6.150% Cap 6.150% 02/20/2053 | 0.831% | 15,688,560 | 1,404,587 | |
CMO Series 2023-17 Class SY | ||||
-1.0 x 1-month Term SOFR + 5.936% Cap 6.050% 05/20/2050 | 0.607% | 14,981,649 | 1,511,734 |
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2023-47 Class AS | ||||
-1.0 x 30-day Average SOFR + 6.350% Cap 6.350% 03/20/2053 | 1.031% | 10,391,801 | 896,231 | |
CMO Series 2023-81 Class SB | ||||
-1.0 x 30-day Average SOFR + 6.050% Cap 6.050% 06/20/2053 | 0.731% | 8,676,727 | 592,512 | |
Government National Mortgage Association(b) | ||||
CMO Series 2023-140 Class JS | ||||
-2.5 x 30-day Average SOFR + 16.050% Cap 16.050% 09/20/2053 | 2.814% | 1,710,656 | 1,571,139 | |
Government National Mortgage Association TBA(g) | ||||
04/18/2054 | 3.000% | 17,000,000 | 14,990,152 | |
04/18/2054 | 4.000% | 10,000,000 | 9,356,891 | |
04/18/2054 | 4.500% | 40,000,000 | 38,433,153 | |
Uniform Mortgage-Backed Security TBA(g) | ||||
04/11/2054 | 2.000% | 25,000,000 | 19,774,695 | |
04/11/2054 | 3.000% | 10,000,000 | 8,602,111 | |
04/11/2054 | 3.500% | 58,256,536 | 52,132,455 | |
04/11/2054 | 4.000% | 26,000,000 | 24,076,042 | |
04/11/2054 | 4.500% | 23,000,000 | 21,901,115 | |
04/11/2054 | 5.000% | 32,000,000 | 31,221,222 | |
04/11/2054 | 5.500% | 7,000,000 | 6,965,254 | |
04/11/2054 | 6.000% | 25,000,000 | 25,227,599 | |
Total Residential Mortgage-Backed Securities - Agency (Cost $1,018,911,799) | 918,612,481 | |||
Residential Mortgage-Backed Securities - Non-Agency 5.2% | ||||
Arroyo Mortgage Trust(a),(c) | ||||
CMO Series 2019-3 Class M1 | ||||
10/25/2048 | 4.204% | 1,740,000 | 1,475,340 | |
Bellemeade Re Ltd.(a),(b) | ||||
CMO Series 2022-1 Class M1A | ||||
30-day Average SOFR + 1.750% Floor 1.750% 01/26/2032 | 7.071% | 1,990,876 | 1,991,194 | |
CHNGE Mortgage Trust(a),(c) | ||||
CMO Series 2022-1 Class A1 | ||||
01/25/2067 | 3.007% | 3,069,517 | 2,787,818 | |
CMO Series 2022-2 Class A1 | ||||
03/25/2067 | 3.757% | 3,389,481 | 3,134,660 | |
CMO Series 2023-3 Class A1 | ||||
07/25/2058 | 7.100% | 4,202,785 | 4,217,391 | |
Citigroup Mortgage Loan Trust, Inc.(a),(c) | ||||
CMO Series 2014-A Class B2 | ||||
01/25/2035 | 5.466% | 660,260 | 646,164 |
8
Columbia Variable Portfolio – U.S. Government Mortgage Fund | First Quarter Report 2024
Portfolio of Investments (continued)Columbia Variable Portfolio – U.S. Government Mortgage Fund, March 31, 2024 (Unaudited)
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Citigroup Mortgage Loan Trust, Inc.(a) | ||||
CMO Series 2015-RP2 Class B2 | ||||
01/25/2053 | 4.250% | 1,796,982 | 1,711,269 | |
Connecticut Avenue Securities Trust(a),(b) | ||||
CMO Series 2022-R01 Class 1M2 | ||||
30-day Average SOFR + 1.900% 12/25/2041 | 7.220% | 5,500,000 | 5,540,807 | |
Credit Suisse Mortgage Trust(a),(c) | ||||
CMO Series 2021-NQM1 Class A2 | ||||
05/25/2065 | 0.994% | 996,549 | 845,861 | |
Ellington Financial Mortgage Trust(a),(c) | ||||
CMO Series 2019-2 Class M1 | ||||
11/25/2059 | 3.469% | 1,200,000 | 1,061,640 | |
Freddie Mac Structured Agency Credit Risk Debt Notes(a),(b),(h),(i) | ||||
CMO Series 2019-CS02 Class M2 | ||||
1-month Term SOFR + 0.000% 02/25/2032 | 4.506% | 3,154,279 | 3,126,679 | |
Freddie Mac Structured Agency Credit Risk Debt Notes(a),(b) | ||||
CMO Series 2022-DNA2 Class M1B | ||||
30-day Average SOFR + 2.400% 02/25/2042 | 7.720% | 3,500,000 | 3,560,752 | |
GCAT LLC(a),(c) | ||||
CMO Series 2021-CM1 Class A1 | ||||
04/25/2065 | 1.469% | 759,958 | 701,871 | |
GCAT Trust(a),(c) | ||||
CMO Series 2022-NQM2 Class A3 | ||||
02/25/2067 | 4.210% | 2,887,194 | 2,608,982 | |
Home Re Ltd.(a),(b) | ||||
Subordinated CMO Series 2022-1 Class M1A | ||||
30-day Average SOFR + 2.850% 10/25/2034 | 8.170% | 1,506,096 | 1,515,270 | |
Legacy Mortgage Asset Trust(a),(c) | ||||
CMO Series 2021-GS1 Class A1 | ||||
10/25/2066 | 4.892% | 3,504,363 | 3,436,832 |
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
New Residential Mortgage Loan Trust(a),(c),(d) | ||||
CMO Series 2014-1A Class AIO | ||||
01/25/2054 | 2.234% | 8,109,219 | 415,616 | |
Pretium Mortgage Credit Partners(a),(c) | ||||
CMO Series 2022-NPL1 Class A1 | ||||
01/25/2052 | 2.981% | 1,677,288 | 1,630,072 | |
SG Residential Mortgage Trust(a),(c) | ||||
CMO Series 2019-3 Class M1 | ||||
09/25/2059 | 3.526% | 2,200,000 | 2,071,723 | |
Stanwich Mortgage Loan Co. LLC(a),(c) | ||||
CMO Series 2021-NPB1 Class A1 | ||||
10/16/2026 | 2.735% | 1,387,224 | 1,349,802 | |
VCAT LLC(a),(c) | ||||
CMO Series 2021-NPL1 Class A1 | ||||
12/26/2050 | 2.289% | 1,403,767 | 1,392,016 | |
Total Residential Mortgage-Backed Securities - Non-Agency (Cost $46,021,895) | 45,221,759 |
Money Market Funds 4.0% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 5.543%(j),(k) | 34,721,651 | 34,714,707 |
Total Money Market Funds (Cost $34,713,619) | 34,714,707 | |
Total Investments in Securities (Cost: $1,236,050,930) | 1,120,688,126 | |
Other Assets & Liabilities, Net | (249,551,787 ) | |
Net Assets | 871,136,339 |
At March 31, 2024, securities and/or cash totaling $5,726,838 were pledged as collateral.
Investments in derivatives
Long futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
U.S. Treasury 5-Year Note | 1,175 | 06/2024 | USD | 125,743,359 | 332,928 | — |
Short futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
U.S. Long Bond | (153) | 06/2024 | USD | (18,426,938 ) | — | (207,126 ) |
U.S. Treasury 10-Year Note | (1,759) | 06/2024 | USD | (194,891,703 ) | — | (676,868 ) |
Columbia Variable Portfolio – U.S. Government Mortgage Fund | First Quarter Report 2024
9
Portfolio of Investments (continued)Columbia Variable Portfolio – U.S. Government Mortgage Fund, March 31, 2024 (Unaudited)
Short futures contracts (continued) | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
U.S. Treasury 2-Year Note | (139) | 06/2024 | USD | (28,423,328 ) | 8,183 | — |
U.S. Treasury Ultra Bond | (26) | 06/2024 | USD | (3,354,000 ) | — | (32,762 ) |
Total | 8,183 | (916,756 ) |
Credit default swap contracts - sell protection | |||||||||||||
Reference entity | Counterparty | Maturity date | Receive fixed rate (%) | Payment frequency | Implied credit spread (%)* | Notional currency | Notional amount | Value ($) | Periodic payments receivable (payable) ($) | Upfront payments ($) | Upfront receipts ($) | Unrealized appreciation ($) | Unrealized depreciation ($) |
Markit CMBX North America Index, Series 7 BBB- | Morgan Stanley | 01/17/2047 | 3.000 | Monthly | 26.860 | USD | 1,194,410 | (203,052 ) | 398 | — | (60,548 ) | — | (142,106 ) |
* 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 March 31, 2024, the total value of these securities amounted to $132,248,680, which represents 15.18% of total net assets. |
(b) | Variable rate security. The interest rate shown was the current rate as of March 31, 2024. |
(c) | 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 March 31, 2024. |
(d) | Represents interest only securities which have the right to receive the monthly interest payments on an underlying pool of mortgage loans. |
(e) | Represents a security in default. |
(f) | This security or a portion of this security has been pledged as collateral in connection with derivative contracts. |
(g) | Represents a security purchased on a when-issued basis. |
(h) | Represents fair value as determined in good faith under procedures approved by the Board of Trustees. At March 31, 2024, the total value of these securities amounted to $3,126,679, which represents 0.36% of total net assets. |
(i) | Valuation based on significant unobservable inputs. |
(j) | The rate shown is the seven-day current annualized yield at March 31, 2024. |
(k) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended March 31, 2024 are as follows: |
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Realized gain (loss)($) | Dividends($) | End of period shares |
Columbia Short-Term Cash Fund, 5.543% | ||||||||
29,956,017 | 38,805,024 | (34,046,307 ) | (27 ) | 34,714,707 | 139 | 305,356 | 34,721,651 |
Abbreviation Legend
CMO | Collateralized Mortgage Obligation |
FHLMC | Federal Home Loan Mortgage Corporation |
SOFR | Secured Overnight Financing Rate |
STRIPS | Separate Trading of Registered Interest and Principal Securities |
TBA | To Be Announced |
10
Columbia Variable Portfolio – U.S. Government Mortgage Fund | First Quarter Report 2024
Portfolio of Investments (continued)Columbia Variable Portfolio – U.S. Government Mortgage Fund, March 31, 2024 (Unaudited)
Currency Legend
USD | US Dollar |
Investments are valued using policies described in the Notes to Financial Statements in the most recent shareholder report.
Columbia Variable Portfolio – U.S. Government Mortgage Fund | First Quarter Report 2024
11