CTIVP® – BlackRock Global Inflation-Protected Securities 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 InvestmentsCTIVP® – BlackRock Global Inflation-Protected Securities Fund, March 31, 2024 (Unaudited)(Percentages represent value of investments compared to net assets)
Investments in securities
Commercial Mortgage-Backed Securities - Non-Agency 0.7% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
United States 0.7% | ||||
AMSR Trust(a) | ||||
Subordinated Series 2022-SFR3 Class D | ||||
10/17/2039 | 4.000% | 155,000 | 144,017 | |
New Residential Mortgage Loan Trust(a) | ||||
Subordinated CMO Series 2022-SFR2 Class D | ||||
09/04/2039 | 4.000% | 155,000 | 142,974 | |
Pagaya AI Technology in Housing Trust(a) | ||||
Series 2022-1 Class D | ||||
08/25/2025 | 4.250% | 100,000 | 94,615 | |
Progress Residential Trust(a) | ||||
Subordinated Series 2022-SFR7 Class D | ||||
10/27/2039 | 5.500% | 200,000 | 195,151 | |
Total | 576,757 | |||
Total Commercial Mortgage-Backed Securities - Non-Agency (Cost $571,817) | 576,757 | |||
Corporate Bonds & Notes(b) 0.5% | ||||
Belgium 0.2% | ||||
European Union(a) | ||||
03/04/2053 | 3.000% | EUR | 165,000 | 169,517 |
United Kingdom 0.1% | ||||
Credit Agricole SA(a) | ||||
01/22/2034 | 3.750% | EUR | 100,000 | 110,207 |
United States 0.2% | ||||
JPMorgan Chase & Co.(a),(c) | ||||
11/13/2031 | 4.457% | EUR | 100,000 | 114,145 |
Total Corporate Bonds & Notes (Cost $379,111) | 393,869 | |||
Foreign Government Obligations(b),(d) 0.6% | ||||
Belgium 0.2% | ||||
Kingdom of Belgium Government Bond(a) | ||||
06/22/2054 | 3.300% | EUR | 138,960 | 148,721 |
France 0.2% | ||||
French Republic Government Bond OAT(a) | ||||
05/25/2054 | 3.000% | EUR | 140,960 | 144,036 |
Mexico 0.2% | ||||
Mexican Bonos | ||||
03/01/2029 | 8.500% | MXN | 1,000,000 | 58,289 |
05/31/2029 | 8.500% | MXN | 2,000,000 | 116,664 |
Total | 174,953 |
Foreign Government Obligations(b),(d) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Netherlands 0.0% | ||||
EnBW International Finance BV(a) | ||||
05/23/2030 | 3.850% | EUR | 2,000 | 2,213 |
Total Foreign Government Obligations (Cost $462,891) | 469,923 | |||
Inflation-Indexed Bonds(b) 95.6% | ||||
Australia 1.1% | ||||
Australia Government Bond(a) | ||||
11/21/2027 | 0.750% | AUD | 190,030 | 122,125 |
09/20/2030 | 2.500% | AUD | 263,183 | 183,591 |
11/21/2032 | 0.250% | AUD | 97,709 | 57,221 |
08/21/2035 | 2.000% | AUD | 191,742 | 130,200 |
08/21/2040 | 1.250% | AUD | 145,919 | 88,676 |
02/21/2050 | 1.000% | AUD | 138,313 | 75,160 |
Australia Government Index-Linked Bond(a) | ||||
09/20/2025 | 3.000% | AUD | 285,815 | 191,398 |
Total | 848,371 | |||
Canada 1.7% | ||||
Canadian Government Real Return Bond | ||||
12/01/2026 | 4.250% | CAD | 261,352 | 206,124 |
12/01/2031 | 4.000% | CAD | 303,149 | 262,066 |
12/01/2036 | 3.000% | CAD | 184,442 | 155,513 |
12/01/2041 | 2.000% | CAD | 234,848 | 180,969 |
12/01/2044 | 1.500% | CAD | 267,029 | 191,600 |
12/01/2047 | 1.250% | CAD | 320,990 | 219,771 |
12/01/2050 | 0.500% | CAD | 213,150 | 123,252 |
12/01/2054 | 0.250% | CAD | 39,669 | 21,018 |
Total | 1,360,313 | |||
Denmark 0.2% | ||||
Denmark I/L Government Bond(a) | ||||
11/15/2030 | 0.100% | DKK | 844,158 | 120,327 |
France 8.7% | ||||
France Government Bond OAT(a) | ||||
07/25/2027 | 1.850% | EUR | 723,008 | 819,839 |
07/25/2029 | 3.400% | EUR | 374,269 | 465,447 |
07/25/2030 | 0.700% | EUR | 542,581 | 598,166 |
07/25/2032 | 3.150% | EUR | 471,315 | 619,755 |
07/25/2047 | 0.100% | EUR | 392,739 | 365,491 |
French Republic Government Bond OAT(a) | ||||
03/01/2026 | 0.100% | EUR | 427,765 | 457,743 |
03/01/2028 | 0.100% | EUR | 503,775 | 534,050 |
03/01/2029 | 0.100% | EUR | 538,520 | 572,645 |
07/25/2031 | 0.100% | EUR | 375,610 | 396,915 |
03/01/2032 | 0.100% | EUR | 197,048 | 205,836 |
07/25/2034 | 0.600% | EUR | 85,322 | 92,429 |
2
CTIVP® – BlackRock Global Inflation-Protected Securities Fund | First Quarter Report 2024
Portfolio of Investments (continued)CTIVP® – BlackRock Global Inflation-Protected Securities Fund, March 31, 2024 (Unaudited)
Inflation-Indexed Bonds(b) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
03/01/2036 | 0.100% | EUR | 263,846 | 266,667 |
07/25/2036 | 0.100% | EUR | 350,755 | 354,980 |
07/25/2038 | 0.100% | EUR | 230,496 | 229,283 |
03/01/2039 | 0.550% | EUR | 67,168 | 70,731 |
07/25/2040 | 1.800% | EUR | 508,416 | 640,120 |
07/25/2053 | 0.100% | EUR | 195,922 | 178,264 |
Total | 6,868,361 | |||
Germany 2.9% | ||||
Bundesrepublik Deutschland Bundesobligation Inflation-Linked Bond(a) | ||||
04/15/2030 | 0.500% | EUR | 695,839 | 762,195 |
Deutsche Bundesrepublik Inflation-Linked Bond(a) | ||||
04/15/2026 | 0.100% | EUR | 675,408 | 718,865 |
04/15/2033 | 0.100% | EUR | 324,310 | 346,935 |
04/15/2046 | 0.100% | EUR | 455,736 | 477,461 |
Total | 2,305,456 | |||
Italy 5.8% | ||||
Italy Buoni Poliennali Del Tesoro(a) | ||||
05/15/2026 | 0.650% | EUR | 269,781 | 288,448 |
09/15/2026 | 3.100% | EUR | 417,315 | 474,936 |
05/15/2028 | 1.300% | EUR | 708,596 | 769,970 |
05/15/2029 | 1.500% | EUR | 91,812 | 100,131 |
09/15/2032 | 1.250% | EUR | 465,556 | 497,283 |
05/15/2033 | 0.100% | EUR | 485,826 | 460,019 |
09/15/2035 | 2.350% | EUR | 477,766 | 558,841 |
05/15/2036 | 1.800% | EUR | 114,408 | 123,897 |
05/15/2039 | 2.400% | EUR | 30,442 | 34,998 |
09/15/2041 | 2.550% | EUR | 567,826 | 677,226 |
05/15/2051 | 0.150% | EUR | 241,720 | 172,968 |
Italy Buoni Poliennali Del Tesoro | ||||
05/15/2030 | 0.400% | EUR | 434,397 | 443,439 |
Total | 4,602,156 | |||
Japan 2.1% | ||||
Japanese Government CPI-Linked Bond | ||||
03/10/2026 | 0.100% | JPY | 42,157,752 | 287,262 |
03/10/2027 | 0.100% | JPY | 35,415,575 | 246,163 |
03/10/2028 | 0.100% | JPY | 32,507,097 | 225,475 |
03/10/2029 | 0.100% | JPY | 43,007,651 | 299,643 |
03/10/2030 | 0.200% | JPY | 13,833,560 | 94,078 |
03/10/2031 | 0.005% | JPY | 17,641,316 | 124,811 |
03/10/2032 | 0.005% | JPY | 28,196,000 | 198,986 |
03/10/2033 | 0.005% | JPY | 26,063,295 | 183,192 |
Total | 1,659,610 | |||
New Zealand 0.4% | ||||
New Zealand Government Inflation-Linked Bond(a) | ||||
09/20/2030 | 3.000% | NZD | 117,233 | 73,119 |
09/20/2035 | 2.500% | NZD | 202,646 | 119,354 |
Inflation-Indexed Bonds(b) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
New Zealand Government Inflation-Linked Bond | ||||
09/20/2040 | 2.500% | NZD | 219,582 | 126,031 |
Total | 318,504 | |||
Spain 2.5% | ||||
Spain Government Inflation-Linked Bond(a) | ||||
11/30/2027 | 0.650% | EUR | 527,021 | 568,671 |
11/30/2030 | 1.000% | EUR | 558,736 | 611,501 |
11/30/2033 | 0.700% | EUR | 590,531 | 621,860 |
11/30/2039 | 2.050% | EUR | 108,766 | 129,522 |
Total | 1,931,554 | |||
Sweden 0.7% | ||||
Sweden Inflation-Linked Bond | ||||
06/01/2025 | 1.000% | SEK | 2,522,521 | 232,043 |
12/01/2028 | 3.500% | SEK | 2,022,107 | 209,665 |
Sweden Inflation-Linked Bond(a) | ||||
06/01/2030 | 0.125% | SEK | 441,813 | 39,266 |
06/01/2032 | 0.125% | SEK | 790,397 | 69,487 |
06/01/2039 | 0.125% | SEK | 302,356 | 25,183 |
Total | 575,644 | |||
United Kingdom 20.2% | ||||
United Kingdom Gilt Inflation-Linked Bond(a) | ||||
03/22/2026 | 0.125% | GBP | 527,083 | 662,587 |
11/22/2027 | 1.250% | GBP | 720,864 | 951,691 |
08/10/2028 | 0.125% | GBP | 602,552 | 765,166 |
03/22/2029 | 0.125% | GBP | 637,008 | 803,981 |
07/22/2030 | 4.125% | GBP | 347,688 | 544,391 |
08/10/2031 | 0.125% | GBP | 238,239 | 302,586 |
11/22/2032 | 1.250% | GBP | 17,413 | 24,022 |
03/22/2034 | 0.750% | GBP | 643,107 | 843,416 |
01/26/2035 | 2.000% | GBP | 498,727 | 725,104 |
11/22/2036 | 0.125% | GBP | 239,928 | 288,576 |
11/22/2037 | 1.125% | GBP | 626,289 | 845,364 |
03/22/2039 | 0.125% | GBP | 369,527 | 424,513 |
03/22/2040 | 0.625% | GBP | 628,639 | 772,331 |
08/10/2041 | 0.125% | GBP | 418,525 | 467,268 |
11/22/2042 | 0.625% | GBP | 578,363 | 695,367 |
03/22/2044 | 0.125% | GBP | 631,662 | 669,523 |
03/22/2046 | 0.125% | GBP | 607,210 | 624,674 |
11/22/2047 | 0.750% | GBP | 553,386 | 650,662 |
08/10/2048 | 0.125% | GBP | 419,659 | 418,619 |
03/22/2050 | 0.500% | GBP | 553,404 | 599,430 |
03/22/2051 | 0.125% | GBP | 366,385 | 354,110 |
03/22/2052 | 0.250% | GBP | 484,239 | 482,213 |
11/22/2055 | 1.250% | GBP | 574,422 | 748,607 |
11/22/2056 | 0.125% | GBP | 259,503 | 240,949 |
03/22/2058 | 0.125% | GBP | 409,292 | 373,875 |
03/22/2062 | 0.375% | GBP | 505,030 | 496,853 |
11/22/2065 | 0.125% | GBP | 309,231 | 269,249 |
03/22/2068 | 0.125% | GBP | 493,137 | 424,989 |
03/22/2073 | 0.125% | GBP | 134,894 | 121,621 |
CTIVP® – BlackRock Global Inflation-Protected Securities Fund | First Quarter Report 2024
3
Portfolio of Investments (continued)CTIVP® – BlackRock Global Inflation-Protected Securities Fund, March 31, 2024 (Unaudited)
Inflation-Indexed Bonds(b) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
United Kingdom Inflation-Linked Gilt(a) | ||||
11/22/2033 | 0.750% | GBP | 208,225 | 274,342 |
03/22/2045 | 0.625% | GBP | 98,696 | 114,951 |
Total | 15,981,030 | |||
United States 49.3% | ||||
U.S. Treasury Inflation-Indexed Bond | ||||
04/15/2025 | 0.125% | 442,155 | 431,171 | |
07/15/2025 | 0.375% | 1,306,369 | 1,277,775 | |
10/15/2025 | 0.125% | 1,009,817 | 979,953 | |
01/15/2026 | 0.625% | 201,083 | 195,239 | |
01/15/2026 | 2.000% | 869,736 | 865,653 | |
04/15/2026 | 0.125% | 775,777 | 742,953 | |
07/15/2026 | 0.125% | 1,235,846 | 1,184,402 | |
10/15/2026 | 0.125% | 1,105,518 | 1,054,850 | |
01/15/2027 | 0.375% | 1,271,516 | 1,212,863 | |
01/15/2027 | 2.375% | 641,991 | 647,165 | |
04/15/2027 | 0.125% | 955,290 | 900,271 | |
07/15/2027 | 0.375% | 1,291,654 | 1,229,455 | |
10/15/2027 | 1.625% | 1,030,194 | 1,020,585 | |
01/15/2028 | 0.500% | 1,173,334 | 1,110,706 | |
01/15/2028 | 1.750% | 610,635 | 605,957 | |
04/15/2028 | 1.250% | 1,058,521 | 1,029,111 | |
04/15/2028 | 3.625% | 821,430 | 873,632 | |
07/15/2028 | 0.750% | 1,140,840 | 1,090,591 | |
10/15/2028 | 2.375% | 1,532,747 | 1,569,554 | |
01/15/2029 | 0.875% | 329,616 | 314,486 | |
01/15/2029 | 2.500% | 513,281 | 527,725 | |
04/15/2029 | 3.875% | 937,555 | 1,025,902 | |
07/15/2029 | 0.250% | 1,277,395 | 1,178,575 | |
01/15/2030 | 0.125% | 1,216,082 | 1,101,416 | |
07/15/2030 | 0.125% | 1,352,565 | 1,219,523 | |
01/15/2031 | 0.125% | 1,308,497 | 1,165,146 | |
07/15/2031 | 0.125% | 1,282,384 | 1,135,720 | |
04/15/2032 | 3.375% | 227,501 | 252,166 | |
07/15/2032 | 0.625% | 1,283,737 | 1,165,329 | |
07/15/2033 | 1.375% | 1,217,964 | 1,170,083 | |
01/15/2034 | 1.750% | 927,599 | 916,976 | |
02/15/2040 | 2.125% | 574,755 | 582,146 | |
02/15/2041 | 2.125% | 865,686 | 877,524 | |
02/15/2042 | 0.750% | 803,514 | 641,888 | |
02/15/2043 | 0.625% | 777,641 | 597,641 | |
02/15/2044 | 1.375% | 760,524 | 667,483 | |
02/15/2045 | 0.750% | 778,879 | 598,373 | |
02/15/2046 | 1.000% | 696,014 | 557,811 | |
02/15/2047 | 0.875% | 600,185 | 463,464 | |
02/15/2048 | 1.000% | 562,518 | 443,564 | |
02/15/2049 | 1.000% | 269,502 | 211,426 | |
02/15/2050 | 0.250% | 467,606 | 295,636 | |
02/15/2051 | 0.125% | 544,640 | 326,074 | |
02/15/2052 | 0.125% | 552,230 | 325,442 | |
02/15/2053 | 1.500% | 539,245 | 471,493 | |
02/15/2054 | 2.125% | 231,012 | 233,933 |
Inflation-Indexed Bonds(b) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
U.S. Treasury Inflation-Indexed Bond(e) | ||||
01/15/2032 | 0.125% | 1,445,626 | 1,264,380 | |
01/15/2033 | 1.125% | 1,319,421 | 1,238,941 | |
Total | 38,992,152 | |||
Total Inflation-Indexed Bonds (Cost $86,685,004) | 75,563,478 | |||
Residential Mortgage-Backed Securities - Agency 2.2% | ||||
United States 2.2% | ||||
Uniform Mortgage-Backed Security TBA(f) | ||||
04/11/2054 | 4.500% | 439,000 | 418,026 | |
04/11/2054 | 5.000% | 786,280 | 767,144 | |
04/11/2054 | 5.500% | 539,754 | 537,075 | |
Total | 1,722,245 | |||
Total Residential Mortgage-Backed Securities - Agency (Cost $1,725,357) | 1,722,245 | |||
Residential Mortgage-Backed Securities - Non-Agency 0.9% | ||||
United States 0.9% | ||||
CSMC Trust(a),(g) | ||||
CMO Series 2022-NQM5 Class A1 | ||||
05/25/2067 | 5.169% | 242,594 | 242,272 | |
Ellington Financial Mortgage Trust(a),(g) | ||||
CMO Series 2021-3 Class A1 | ||||
09/25/2066 | 1.241% | 126,045 | 100,285 | |
PRKCM Trust(a),(g) | ||||
CMO Series 2022-AFC2 Class A1 | ||||
08/25/2057 | 5.335% | 88,471 | 88,255 | |
SG Residential Mortgage Trust(a),(g) | ||||
CMO Series 2021-1 Class A1 | ||||
07/25/2061 | 1.160% | 144,043 | 115,533 | |
CMO Series 2022-2 Class A1 | ||||
08/25/2062 | 5.353% | 87,163 | 86,923 | |
Verus Securitization Trust(a),(g) | ||||
CMO Series 2022-7 Class A1 | ||||
07/25/2067 | 5.350% | 98,496 | 98,455 | |
Total | 731,723 | |||
Total Residential Mortgage-Backed Securities - Non-Agency (Cost $722,722) | 731,723 | |||
4
CTIVP® – BlackRock Global Inflation-Protected Securities Fund | First Quarter Report 2024
Portfolio of Investments (continued)CTIVP® – BlackRock Global Inflation-Protected Securities Fund, March 31, 2024 (Unaudited)
U.S. Treasury Obligations 0.4% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
United States 0.4% | ||||
U.S. Treasury | ||||
02/15/2049 | 3.000% | 325,000 | 253,399 | |
02/15/2054 | 4.250% | 15,000 | 14,763 | |
Total | 268,162 | |||
Total U.S. Treasury Obligations (Cost $270,196) | 268,162 |
Call Option Contracts Purchased 0.0% | |||||
Value ($) | |||||
(Cost $581) | 143 | ||||
Put Option Contracts Purchased 0.0% | |||||
Value ($) | |||||
(Cost $629) | 210 |
Money Market Funds 0.2% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 5.543%(h),(i) | 186,920 | 186,883 |
Total Money Market Funds (Cost $186,880) | 186,883 | |
Total Investments in Securities (Cost $91,005,188) | 79,913,393 | |
Other Assets & Liabilities, Net | (855,298 ) | |
Net Assets | $79,058,095 |
At March 31, 2024, securities and/or cash totaling $327,980 were pledged as collateral.
Investments in derivatives
Forward foreign currency exchange contracts | |||||
Currency to be sold | Currency to be purchased | Counterparty | Settlement date | Unrealized appreciation ($) | Unrealized depreciation ($) |
1,421,000 AUD | 924,723 USD | Citi | 04/02/2024 | — | (1,271 ) |
828,000 DKK | 120,304 USD | Citi | 04/02/2024 | 544 | — |
15,544,000 EUR | 16,826,599 USD | Citi | 04/02/2024 | 56,955 | — |
317,546,000 JPY | 2,117,902 USD | Citi | 04/02/2024 | 20,228 | — |
521,000 NZD | 317,806 USD | Citi | 04/02/2024 | 6,535 | — |
7,578,000 SEK | 732,977 USD | Citi | 04/02/2024 | 25,018 | — |
195,306 USD | 153,000 GBP | Citi | 04/02/2024 | — | (2,197 ) |
2,145,452 USD | 324,267,000 JPY | Citi | 04/02/2024 | — | (3,379 ) |
20,198 AUD | 13,188 USD | Citi | 05/02/2024 | 15 | — |
42,933 CAD | 31,740 USD | Citi | 05/02/2024 | 31 | — |
300,266 GBP | 379,368 USD | Citi | 05/02/2024 | 324 | — |
282,916,000 JPY | 1,880,103 USD | Citi | 05/02/2024 | 2,618 | — |
1,870,000 CAD | 1,378,023 USD | Deutsche Bank | 04/02/2024 | — | (2,510 ) |
294,000 EUR | 318,832 USD | Deutsche Bank | 04/02/2024 | 1,650 | — |
13,117,000 GBP | 16,583,676 USD | Deutsche Bank | 04/02/2024 | 28,054 | — |
130,000 GBP | 164,060 USD | Deutsche Bank | 04/02/2024 | — | (19 ) |
6,721,000 JPY | 44,998 USD | Deutsche Bank | 04/02/2024 | 599 | — |
924,862 USD | 1,417,000 AUD | Deutsche Bank | 04/02/2024 | — | (1,474 ) |
1,353,817 USD | 1,839,663 CAD | Deutsche Bank | 04/02/2024 | 4,319 | — |
120,236 USD | 828,000 DKK | Deutsche Bank | 04/02/2024 | — | (477 ) |
17,332,469 USD | 16,023,962 EUR | Deutsche Bank | 04/02/2024 | — | (45,017 ) |
173,911 USD | 138,000 GBP | Deutsche Bank | 04/02/2024 | 266 | — |
16,187,639 USD | 12,810,524 GBP | Deutsche Bank | 04/02/2024 | — | (18,836 ) |
311,152 USD | 518,000 NZD | Deutsche Bank | 04/02/2024 | — | (1,673 ) |
715,796 USD | 7,578,000 SEK | Deutsche Bank | 04/02/2024 | — | (7,837 ) |
1,417,000 AUD | 925,657 USD | Deutsche Bank | 05/02/2024 | 1,475 | — |
1,818,000 CAD | 1,338,455 USD | Deutsche Bank | 05/02/2024 | — | (4,273 ) |
828,000 DKK | 120,416 USD | Deutsche Bank | 05/02/2024 | 477 | — |
15,287,545 EUR | 16,554,236 USD | Deutsche Bank | 05/02/2024 | 41,394 | — |
12,569,000 GBP | 15,884,100 USD | Deutsche Bank | 05/02/2024 | 17,497 | — |
CTIVP® – BlackRock Global Inflation-Protected Securities Fund | First Quarter Report 2024
5
Portfolio of Investments (continued)CTIVP® – BlackRock Global Inflation-Protected Securities Fund, March 31, 2024 (Unaudited)
Forward foreign currency exchange contracts (continued) | |||||
Currency to be sold | Currency to be purchased | Counterparty | Settlement date | Unrealized appreciation ($) | Unrealized depreciation ($) |
518,000 NZD | 311,162 USD | Deutsche Bank | 05/02/2024 | 1,672 | — |
6,170,000 SEK | 582,785 USD | Deutsche Bank | 05/02/2024 | 5,673 | — |
Total | 215,344 | (88,963 ) |
Long futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
30-Day Fed Funds | 2 | 04/2024 | USD | 789,001 | — | (399 ) |
Banker’s Acceptance | 4 | 12/2024 | CAD | 954,500 | — | (437 ) |
Euro-Schatz | 5 | 06/2024 | EUR | 528,500 | 395 | — |
Long Gilt | 10 | 06/2024 | GBP | 999,400 | 19,352 | — |
U.S. Treasury 10-Year Note | 1 | 06/2024 | USD | 110,797 | — | (103 ) |
U.S. Treasury 2-Year Note | 5 | 06/2024 | USD | 1,022,422 | 759 | — |
Total | 20,506 | (939 ) |
Short futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
Banker’s Acceptance | (4) | 06/2024 | CAD | (949,000 ) | 18 | — |
Euro-Bobl | (1) | 06/2024 | EUR | (118,250 ) | — | (777 ) |
Euro-Bund | (2) | 06/2024 | EUR | (266,760 ) | — | (3,414 ) |
U.S. Long Bond | (4) | 06/2024 | USD | (481,750 ) | — | (10,194 ) |
U.S. Treasury 5-Year Note | (2) | 06/2024 | USD | (214,031 ) | 638 | — |
U.S. Treasury 5-Year Note | (11) | 06/2024 | USD | (1,177,172 ) | — | (4,142 ) |
U.S. Treasury Ultra 10-Year Note | (9) | 06/2024 | USD | (1,031,484 ) | 1,252 | — |
U.S. Treasury Ultra 10-Year Note | (3) | 06/2024 | USD | (343,828 ) | — | (1,750 ) |
U.S. Treasury Ultra Bond | (1) | 06/2024 | USD | (129,000 ) | 1,717 | — |
U.S. Treasury Ultra Bond | (2) | 06/2024 | USD | (258,000 ) | — | (5,817 ) |
Total | 3,625 | (26,094 ) |
Call option contracts purchased | ||||||||
Description | Counterparty | Trading currency | Notional amount | Number of contracts | Exercise price/Rate | Expiration date | Cost ($) | Value ($) |
10-Year OTC interest rate swap with Citi to receive exercise rate and pay SOFR | Citi | USD | 107,000 | 107,000 | 3.43 | 04/26/2024 | 85 | 66 |
10-Year OTC interest rate swap with Deutsche Bank to receive exercise rate and pay SOFR | Deutsche Bank | USD | 124,000 | 124,000 | 3.33 | 04/05/2024 | 149 | — |
10-Year OTC interest rate swap with Deutsche Bank to receive exercise rate and pay SOFR | Deutsche Bank | USD | 123,000 | 123,000 | 3.28 | 04/12/2024 | 183 | 3 |
10-Year OTC interest rate swap with Deutsche Bank to receive exercise rate and pay SOFR | Deutsche Bank | USD | 121,000 | 121,000 | 3.51 | 04/19/2024 | 164 | 74 |
Total | 581 | 143 |
6
CTIVP® – BlackRock Global Inflation-Protected Securities Fund | First Quarter Report 2024
Portfolio of Investments (continued)CTIVP® – BlackRock Global Inflation-Protected Securities Fund, March 31, 2024 (Unaudited)
Put option contracts purchased | ||||||||
Description | Counterparty | Trading currency | Notional amount | Number of contracts | Exercise price/Rate | Expiration date | Cost ($) | Value ($) |
10-Year OTC interest rate swap with Citi to receive SOFR and pay exercise rate | Citi | USD | 107,000 | 107,000 | 4.23 | 04/26/2024 | 109 | 75 |
10-Year OTC interest rate swap with Deutsche Bank to receive SOFR and pay exercise rate | Deutsche Bank | USD | 124,000 | 124,000 | 4.13 | 04/05/2024 | 146 | 9 |
10-Year OTC interest rate swap with Deutsche Bank to receive SOFR and pay exercise rate | Deutsche Bank | USD | 123,000 | 123,000 | 4.08 | 04/12/2024 | 202 | 96 |
10-Year OTC interest rate swap with Deutsche Bank to receive SOFR and pay exercise rate | Deutsche Bank | USD | 121,000 | 121,000 | 4.31 | 04/19/2024 | 172 | 30 |
Total | 629 | 210 |
Call option contracts written | ||||||||
Description | Counterparty | Trading currency | Notional amount | Number of contracts | Exercise price/Rate | Expiration date | Premium received ($) | Value ($) |
10-Year OTC interest rate swap with Citi to receive SOFR and pay exercise rate | Citi | USD | (107,000 ) | (107,000 ) | 3.63 | 4/26/2024 | (340 ) | (265 ) |
10-Year OTC interest rate swap with Deutsche Bank to receive SOFR and pay exercise rate | Deutsche Bank | USD | (124,000 ) | (124,000 ) | 3.53 | 4/05/2024 | (505 ) | (4 ) |
10-Year OTC interest rate swap with Deutsche Bank to receive SOFR and pay exercise rate | Deutsche Bank | USD | (123,000 ) | (123,000 ) | 3.48 | 4/12/2024 | (530 ) | (27 ) |
10-Year OTC interest rate swap with Deutsche Bank to receive SOFR and pay exercise rate | Deutsche Bank | USD | (121,000 ) | (121,000 ) | 3.71 | 4/19/2024 | (491 ) | (356 ) |
Total | (1,866 ) | (652 ) |
Put option contracts written | ||||||||
Description | Counterparty | Trading currency | Notional amount | Number of contracts | Exercise price/Rate | Expiration date | Premium received ($) | Value ($) |
10-Year OTC interest rate swap with Citi to receive exercise rate and pay SOFR | Citi | USD | (107,000 ) | (107,000 ) | 4.03 | 04/26/2024 | (370 ) | (259 ) |
10-Year OTC interest rate swap with Deutsche Bank to receive exercise rate and pay SOFR | Deutsche Bank | USD | (124,000 ) | (124,000 ) | 3.93 | 04/05/2024 | (435 ) | (169 ) |
10-Year OTC interest rate swap with Deutsche Bank to receive exercise rate and pay SOFR | Deutsche Bank | USD | (123,000 ) | (123,000 ) | 3.88 | 04/12/2024 | (536 ) | (502 ) |
10-Year OTC interest rate swap with Deutsche Bank to receive exercise rate and pay SOFR | Deutsche Bank | USD | (121,000 ) | (121,000 ) | 4.11 | 04/19/2024 | (464 ) | (132 ) |
Total | (1,805 ) | (1,062 ) |
Cleared interest rate swap contracts | |||||||||||
Fund receives | Fund pays | Payment frequency | Counterparty | Maturity date | Notional currency | Notional amount | Value ($) | Upfront payments ($) | Upfront receipts ($) | Unrealized appreciation ($) | Unrealized depreciation ($) |
U.S. CPI Urban Consumers NSA | Fixed rate of 2.192% | Receives at Maturity, Pays at Maturity | Goldman Sachs | 12/27/2025 | USD | 825,000 | 4,170 | — | — | 4,170 | — |
U.S. CPI Urban Consumers NSA | Fixed rate of 2.219% | Receives at Maturity, Pays at Maturity | Goldman Sachs | 01/30/2026 | USD | 390,000 | 2,240 | — | — | 2,240 | — |
TONA | Fixed rate of 0.270% | Receives Annually, Pays Annually | Goldman Sachs | 03/11/2026 | JPY | 61,640,000 | 136 | — | — | 136 | — |
UK Retail Price Index All Items Monthly | Fixed rate of 3.811% | Receives at Maturity, Pays at Maturity | Goldman Sachs | 03/15/2026 | GBP | 690,000 | 597 | — | — | 597 | — |
Eurostat Eurozone HICP ex-Tobacco NSA | Fixed rate of 2.138% | Receives at Maturity, Pays at Maturity | Goldman Sachs | 03/15/2026 | EUR | 380,000 | 411 | — | — | 411 | — |
Fixed rate of 2.462% | U.S. CPI Urban Consumers NSA | Receives at Maturity, Pays at Maturity | Goldman Sachs | 03/18/2026 | USD | 445,000 | (367 ) | — | — | — | (367 ) |
CTIVP® – BlackRock Global Inflation-Protected Securities Fund | First Quarter Report 2024
7
Portfolio of Investments (continued)CTIVP® – BlackRock Global Inflation-Protected Securities Fund, March 31, 2024 (Unaudited)
Cleared interest rate swap contracts (continued) | |||||||||||
Fund receives | Fund pays | Payment frequency | Counterparty | Maturity date | Notional currency | Notional amount | Value ($) | Upfront payments ($) | Upfront receipts ($) | Unrealized appreciation ($) | Unrealized depreciation ($) |
U.S. CPI Urban Consumers NSA | Fixed rate of 2.481% | Receives at Maturity, Pays at Maturity | Goldman Sachs | 03/20/2026 | USD | 405,000 | 123 | — | — | 123 | — |
CORRA | Fixed rate of 4.173% | Receives SemiAnnually, Pays SemiAnnually | Goldman Sachs | 03/22/2026 | CAD | 1,143,000 | 406 | — | — | 406 | — |
Fixed rate of 4.520% | SOFR | Receives Annually, Pays Annually | Goldman Sachs | 03/26/2026 | USD | 837,000 | (543 ) | — | — | — | (543 ) |
Fixed rate of 3.858% | UK Retail Price Index All Items Monthly | Receives at Maturity, Pays at Maturity | Goldman Sachs | 03/15/2027 | GBP | 690,000 | (837 ) | — | — | — | (837 ) |
Fixed rate of 2.146% | Eurostat Eurozone HICP ex-Tobacco NSA | Receives at Maturity, Pays at Maturity | Goldman Sachs | 03/15/2028 | EUR | 380,000 | (758 ) | — | — | — | (758 ) |
U.S. CPI Urban Consumers NSA | Fixed rate of 2.438% | Receives at Maturity, Pays at Maturity | Goldman Sachs | 03/18/2028 | USD | 445,000 | 1,212 | — | — | 1,212 | — |
U.S. CPI Urban Consumers NSA | Fixed rate of 2.547% | Receives at Maturity, Pays at Maturity | Goldman Sachs | 10/03/2028 | USD | 775,000 | 534 | — | — | 534 | — |
U.S. CPI Urban Consumers NSA | Fixed rate of 2.471% | Receives at Maturity, Pays at Maturity | Goldman Sachs | 04/03/2029 | USD | 217,500 | (3 ) | — | — | — | (3 ) |
UK Retail Price Index All Items Monthly | Fixed rate of 3.790% | Receives at Maturity, Pays at Maturity | Goldman Sachs | 03/15/2033 | GBP | 710,000 | 4,647 | — | — | 4,647 | — |
Fixed rate of 2.513% | U.S. CPI Urban Consumers NSA | Receives at Maturity, Pays at Maturity | Goldman Sachs | 03/01/2034 | USD | 190,000 | (1,319 ) | — | — | — | (1,319 ) |
Fixed rate of 0.853% | TONA | Receives Annually, Pays Annually | Goldman Sachs | 03/11/2034 | JPY | 12,940,000 | 135 | — | — | 135 | — |
UK Retail Price Index All Items Monthly | Fixed rate of 3.670% | Receives at Maturity, Pays at Maturity | Goldman Sachs | 03/15/2034 | GBP | 275,000 | 212 | — | — | 212 | — |
Fixed rate of 2.780% | Eurostat Eurozone HICP ex-Tobacco NSA | Receives at Maturity, Pays at Maturity | Goldman Sachs | 08/15/2053 | EUR | 5,000 | 478 | — | — | 478 | — |
Fixed rate of 3.224% | Eurostat Eurozone HICP ex-Tobacco NSA | Receives at Maturity, Pays at Maturity | Goldman Sachs | 11/15/2053 | EUR | 15,000 | 670 | — | — | 670 | — |
Fixed rate of 2.529% | Eurostat Eurozone HICP ex-Tobacco NSA | Receives at Maturity, Pays at Maturity | Goldman Sachs | 11/15/2053 | EUR | 25,000 | 294 | — | — | 294 | — |
U.S. CPI Urban Consumers NSA | Fixed rate of 2.475% | Receives at Maturity, Pays at Maturity | Goldman Sachs | 12/18/2053 | USD | 75,000 | 533 | — | — | 533 | — |
6-Month EURIBOR | Fixed rate of 2.490% | Receives SemiAnnually, Pays Annually | Goldman Sachs | 02/19/2054 | EUR | 90,090 | (3,265 ) | — | — | — | (3,265 ) |
6-Month EURIBOR | Fixed rate of 2.506% | Receives SemiAnnually, Pays Annually | Goldman Sachs | 02/20/2054 | EUR | 90,090 | (3,596 ) | — | — | — | (3,596 ) |
6-Month EURIBOR | Fixed rate of 2.513% | Receives SemiAnnually, Pays Annually | Goldman Sachs | 02/20/2054 | EUR | 126,000 | (5,245 ) | — | — | — | (5,245 ) |
U.S. CPI Urban Consumers NSA | Fixed rate of 2.480% | Receives at Maturity, Pays at Maturity | Goldman Sachs | 03/01/2054 | USD | 75,000 | 577 | — | — | 577 | — |
6-Month EURIBOR | Fixed rate of 2.511% | Receives SemiAnnually, Pays Annually | Goldman Sachs | 03/01/2054 | EUR | 45,000 | (1,874 ) | — | — | — | (1,874 ) |
U.S. CPI Urban Consumers NSA | Fixed rate of 2.488% | Receives at Maturity, Pays at Maturity | Goldman Sachs | 03/06/2054 | USD | 35,000 | 215 | — | — | 215 | — |
U.S. CPI Urban Consumers NSA | Fixed rate of 2.498% | Receives at Maturity, Pays at Maturity | Goldman Sachs | 03/07/2054 | USD | 185,000 | 663 | — | — | 663 | — |
Fixed rate of 2.515% | Eurostat Eurozone HICP ex-Tobacco NSA | Receives at Maturity, Pays at Maturity | Goldman Sachs | 03/15/2054 | EUR | 25,000 | (89 ) | — | — | — | (89 ) |
8
CTIVP® – BlackRock Global Inflation-Protected Securities Fund | First Quarter Report 2024
Portfolio of Investments (continued)CTIVP® – BlackRock Global Inflation-Protected Securities Fund, March 31, 2024 (Unaudited)
Cleared interest rate swap contracts (continued) | |||||||||||
Fund receives | Fund pays | Payment frequency | Counterparty | Maturity date | Notional currency | Notional amount | Value ($) | Upfront payments ($) | Upfront receipts ($) | Unrealized appreciation ($) | Unrealized depreciation ($) |
6-Month EURIBOR | Fixed rate of 2.456% | Receives SemiAnnually, Pays Annually | Goldman Sachs | 03/22/2054 | EUR | 19,000 | (576 ) | — | — | — | (576 ) |
U.S. CPI Urban Consumers NSA | Fixed rate of 2.509% | Receives at Maturity, Pays at Maturity | Goldman Sachs | 03/25/2054 | USD | 35,000 | (18 ) | — | — | — | (18 ) |
Total | (237 ) | — | — | 18,253 | (18,490 ) |
Reference index and values for swap contracts as of period end | ||
Reference index | Reference rate | |
6-Month EURIBOR | Euro Interbank Offered Rate | 3.851% |
CORRA | Canadian Overnight Repo Rate Average | 5.020% |
Eurostat Eurozone HICP ex-Tobacco NSA | Harmonised Index of Consumer Price Index Excluding Tobacco | 2.500% |
SOFR | Secured Overnight Financing Rate | 5.330% |
TONA | Tokyo Overnight Average Rate | 0.077% |
UK Retail Price Index All Items Monthly | United Kingdom Retail Price Index All Items | 3.200% |
U.S. CPI Urban Consumers NSA | United States Consumer Price All Urban Non-Seasonally Adjusted Index | 3.480% |
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 $34,537,544, which represents 43.69% of total net assets. |
(b) | Principal amounts are denominated in United States Dollars unless otherwise noted. |
(c) | Represents a variable rate security with a step coupon where the rate adjusts according to a schedule for a series of periods, typically lower for an initial period and then increasing to a higher coupon rate thereafter. The interest rate shown was the current rate as of March 31, 2024. |
(d) | Principal and interest may not be guaranteed by a governmental entity. |
(e) | This security or a portion of this security has been pledged as collateral in connection with derivative contracts. |
(f) | Represents a security purchased on a when-issued basis. |
(g) | Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. The interest rate shown was the current rate as of March 31, 2024. |
(h) | The rate shown is the seven-day current annualized yield at March 31, 2024. |
(i) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended March 31, 2024 are as follows: |
Affiliated issuers | Beginning of period($) | 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% | ||||||||
76,094 | 5,376,152 | (5,265,361 ) | (2 ) | 186,883 | 215 | 4,434 | 186,920 |
Abbreviation Legend
CMO | Collateralized Mortgage Obligation |
SOFR | Secured Overnight Financing Rate |
TBA | To Be Announced |
CTIVP® – BlackRock Global Inflation-Protected Securities Fund | First Quarter Report 2024
9
Portfolio of Investments (continued)CTIVP® – BlackRock Global Inflation-Protected Securities Fund, March 31, 2024 (Unaudited)
Currency Legend
AUD | Australian Dollar |
CAD | Canada Dollar |
DKK | Danish Krone |
EUR | Euro |
GBP | British Pound |
JPY | Japanese Yen |
MXN | Mexican Peso |
NZD | New Zealand Dollar |
SEK | Swedish Krona |
USD | US Dollar |
Investments are valued using policies described in the Notes to Financial Statements in the most recent shareholder report.
10
CTIVP® – BlackRock Global Inflation-Protected Securities Fund | First Quarter Report 2024